Burger King 2011 Annual Report Download - page 116

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Table of Contents
BURGER KING HOLDINGS, INC. AND SUBSIDIARIES
Notes to Consolidated Financial Statements — (Continued)
accompanying consolidated balance sheets. At each cap maturity date, the portion of fair value attributable to the matured cap will be reclassified from AOCI
into earnings as a component of interest expense.
Interest Rate Swaps
In connection with the Transactions, interest rate swaps with a notional value of $500 million were terminated. The remaining interest rate swaps that were
not terminated by counterparties had a notional value of $75 million and expired on September 30, 2011.
Foreign Currency Forward Contracts
From time to time, we enter into foreign currency forward contracts to economically hedge the remeasurement of certain foreign currency-denominated
intercompany loans receivable and other foreign-currency denominated assets recorded in our consolidated balance sheets. At December 31, 2011, we had no
foreign currency forward contracts outstanding.
Credit Risk
By entering into derivative instrument contracts, we are exposed to counterparty credit risk. Counterparty credit risk is the failure of the counterparty to
perform under the terms of the derivative contract. When the fair value of a derivative contract is in an asset position, the counterparty has a liability to us, which
creates credit risk for us. We attempt to minimize this risk by selecting counterparties with investment grade credit ratings and regularly monitoring our market
position with each counterparty.
Credit-Risk Related Contingent Features
Our derivative instruments do not contain any credit-risk related contingent features.
The following tables present the required quantitative disclosures for our derivative instruments (in millions):
Successor
2011
Interest
Rate
Caps
Interest
Rate
Swaps
Foreign
Currency
Forward
Contracts Total
Derivatives designated as cash flow hedging instruments:
Gain (loss) recognized in other comprehensive income (effective portion) $ (67.2) $ — $ — $ (67.2)
Gain (loss) reclassified from AOCI into interest expense, net(1) $ 0.5 $ — $ — $ 0.5
Derivatives not designated as hedging instruments:
Gain (loss) recognized in other operating expense, net $ — $ — $ 0.1 $ 0.1
Gain (loss) recognized in interest expense, net $ — $ (0.1) $ — $ (0.1)
(1) Includes zero in gains for the fiscal year ended December 31, 2011 related to terminated hedges.
115
Source: Burger King Holdings Inc, 10-K, March 14, 2012 Powered by Morningstar® Document Research℠