Fair Value Measurements

6 Months Ended

Jun. 27, 2021

Fair Value Measurements:

The table below presents the balances of assets and liabilities measured at fair value as of June 27, 2021, December 31, 2020, and June 28, 2020 on a recurring basis as well as the fair values of other financial instruments, including their locations within the unaudited condensed consolidated balance sheets:


(In thousands)	Balance Sheet Location	Fair Value Hierarchy Level	June 27, 2021				December 31, 2020				June 28, 2020
(In thousands)	Balance Sheet Location	Fair Value Hierarchy Level	Carrying Value		Fair Value		Carrying Value		Fair Value		Carrying Value		Fair Value
Financial assets (liabilities) measured on a recurring basis:
Short-term investments	Other current assets	Level 1	$	361	$	361	$	280	$	280	$	156	$	156
Interest rate swaps	Derivative Liability (1)	Level 2	$	(31,690)	$	(31,690)	$	(39,086)	$	(39,086)	$	(44,575)	$	(44,575)
Other financial assets (liabilities):
Term debt	Long-Term Debt (2)	Level 2	$	(264,250)	$	(258,965)	$	(264,250)	$	(253,680)	$	(264,250)	$	(252,359)
2024 senior notes	Long-Term Debt (2)	Level 1	$	(450,000)	$	(453,938)	$	(450,000)	$	(451,125)	$	(450,000)	$	(427,500)
2025 senior notes	Long-Term Debt (2)	Level 2	$	(1,000,000)	$	(1,041,250)	$	(1,000,000)	$	(1,043,750)	$	(1,000,000)	$	(992,500)
2027 senior notes	Long-Term Debt (2)	Level 1	$	(500,000)	$	(516,250)	$	(500,000)	$	(507,500)	$	(500,000)	$	(465,000)
2028 senior notes	Long-Term Debt (2)	Level 1 (3)	$	(300,000)	$	(324,000)	$	(300,000)	$	(318,000)	—		—
2029 senior notes	Long-Term Debt (2)	Level 1	$	(500,000)	$	(515,000)	$	(500,000)	$	(505,625)	$	(500,000)	$	(462,500)

(1)As of June 28, 2020, $7.3 million of the fair value of our swap portfolio was classified as current and recorded in "Other accrued liabilities".

(2)Carrying values of long-term debt balances are before reductions for debt issuance costs and original issue discount of $53.5 million, $60.0 million, and $53.7 million as of June 27, 2021, December 31, 2020, and June 28, 2020, respectively.

(3)The 2028 senior notes were based on Level 1 inputs as of June 27, 2021 and Level 2 inputs as of December 31, 2020.

Fair values of the interest rate swap agreements are determined using significant inputs, including the LIBOR forward curves, which are considered Level 2 observable market inputs.

Due to the negative effects of the COVID-19 pandemic on our expected future operating results, we tested our long-lived assets, goodwill, and indefinite-lived intangible assets for impairment during the first quarter of 2020. We concluded the estimated fair value of goodwill and long-lived assets at the Schlitterbahn parks reporting unit and the Schlitterbahn trade name, and the estimated fair value of goodwill at the Dorney Park reporting unit no longer exceeded their carrying values. Therefore, as of March 29, 2020, these assets were measured at fair value. We recorded a $2.7 million, $73.6 million and $7.9 million impairment charge to long-lived assets, goodwill and the trade name at the Schlitterbahn parks, respectively, and a $6.8 million impairment charge to goodwill at Dorney Park during the first quarter of 2020. The long-lived asset impairment charge was recorded in "Loss on impairment / retirement of fixed assets", and the goodwill and intangible asset impairment charges were recorded in "Loss on impairment of goodwill and other intangibles" within the unaudited condensed consolidated statements of operations and comprehensive loss.

The fair value determination for our long-lived assets, reporting units and indefinite-lived intangible assets included numerous assumptions based on Level 3 inputs. The fair value of our long-lived assets was determined using a real and personal property appraisal of which the principal assumptions included the principal market and market participants upon sale. The primary assumptions used to determine the fair value of our reporting units included growth rates in revenues and costs, estimates of future expected changes in operating margins and cash expenditures, the anticipated time frame to re-open our parks, the related anticipated demand upon re-opening our parks, terminal value growth rates, future estimates of capital expenditures, changes in future capital requirements, and a weighted-average cost of capital that reflected current market conditions. The fair value of our indefinite-lived intangible assets was determined using a relief-from-royalty method of which the principal assumptions included royalty rates, growth rates in revenues, estimates of future expected changes in operating margins, the anticipated time frame to re-open our parks, the related anticipated demand upon re-opening our parks, terminal value growth rates, and a discount rate based on a weighted-average cost of capital that reflected current market conditions.

The carrying value of cash and cash equivalents, revolving credit loans, accounts receivable, current portion of term debt, accounts payable, and accrued liabilities approximates fair value because of the short maturity of these instruments. There were no assets measured at fair value on a non-recurring basis as of June 27, 2021, December 31, 2020 or June 28, 2020.

- Definition

The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information.

+ References + Details