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FAIR VALUE MEASUREMENTS
 6 Months Ended
Jul. 02, 2011
Fair Value Disclosures [Abstract]  
FAIR VALUE MEASUREMENTS
NOTE 8 – FAIR VALUE MEASUREMENTS:

The Company accounts for its fair value measurements in accordance with accounting guidance which defines fair value, establishes a framework for measuring fair value, and expands disclosures about fair value measurements.  The fair value hierarchy for disclosure of fair value measurements is as follows:

Level 1
-  Quoted prices in active markets for identical assets or liabilities
   
Level 2
-  Quoted prices for similar assets and liabilities in active markets or inputs that are observable
   
Level 3
-  Inputs that are unobservable (for example, cash flow modeling inputs based on assumptions)

The following table summarizes assets and liabilities measured at fair value on a recurring basis:

   
July 2, 2011
  
January 1, 2011
  
July 3, 2010
 
(dollars in millions)
 
Level 1
  
Level 2
  
Level 3
  
Level 1
  
Level 2
  
Level 3
  
Level 1
  
Level 2
  
Level 3
 
                             
Assets
                           
Investments
 $55.3  $--  $--  $226.5  $--  $--  $215.3  $15.0  $-- 
                                      
Liabilities
                                    
Interest rate swap agreements
 $--  $--  $--  $--  $--  $--  $--  $0.6  $-- 

At July 2, 2011, we had approximately $30.3 million of cash invested in a JP Morgan money market deposit account and $25.0 million in U.S. Treasury bills.
 
At January 1, 2011, we had approximately $151.5 million of cash invested in money market deposit accounts ($73.3 million in Bank of America and $78.2 million in JP Morgan) and $75.0 million in U.S. Treasury bills.

At July 3, 2010, we had approximately $215.3 million invested in money market deposit accounts and $15.0 million invested in a Dreyfus Treasury Prime Cash Management fund, which invests only in U.S. Treasury Bills or U.S. Treasury Notes.  

Our former senior credit facility required us to hedge at least 25% of our variable rate debt under this facility.  The Company historically entered into interest rate swap agreements in order to hedge the risk of interest rate fluctuations.  These interest rate swap agreements were designated as cash flow hedges of the variable interest payments on a portion of our variable rate former term loan debt.  Our interest rate swap agreements were traded in the over-the-counter market.  Fair values were based on quoted market prices for similar assets or liabilities or determined using inputs that use as their basis readily observable market data that are actively quoted and can be validated through external sources, including third-party pricing services, brokers, and market transactions.  Our interest rate swap agreements were classified as current as their terms spanned less than one year.

As of July 3, 2010, approximately $130.7 million of our $232.8 million of outstanding debt was hedged under interest rate swap agreements.  In connection with the repayment of the Company’s former term loan, the Company terminated its two remaining interest rate swap agreements totaling $100.0 million originally scheduled to mature in January 2011.

On June 22, 2011, as part of the Acquisition, the Company entered into a forward foreign currency exchange contract to reduce its risk from exchange rate fluctuations on the purchase price of Bonnie Togs.  The contract was settled on June 30, 2011 and a gain of $0.2 million was recognized in earnings.

      The fair value of our derivative instruments in our accompanying unaudited condensed consolidated balance sheets were as follows:

 
Asset Derivatives
 
Liability Derivatives
 
            
(dollars in millions)
Balance sheet
location
 
Fair value
 
Balance sheet
location
 
Fair value
 
            
July 2, 2011
Prepaid expenses and other current assets
 $-- 
Other current liabilities
 $-- 
January 1, 2011
Prepaid expenses and other current assets
 $-- 
Other current liabilities
 $-- 
July 3, 2010
Prepaid expenses and other current assets
 $-- 
Other current liabilities
 $0.6 

 
The effect of derivative instruments designated as cash flow hedges on our accompanying unaudited condensed consolidated financial statements was as follows:
 
   
For the three-month period ended
July 2, 2011
  
For the six-month period ended
July 2, 2011
 
(dollars in thousands)
 
Amount of gain
recognized in accumulated
other comprehensive
income (loss) on effective hedges
  
Amount of loss
reclassified
from accumulated
other comprehensive
income (loss)
into interest expense
  
Amount of gain
recognized in accumulated
other comprehensive
income (loss) on
effective hedges
  
Amount of loss
reclassified
from accumulated
other comprehensive
income (loss)
into interest expense
 
Interest rate hedge agreements
 $--  $--  $--  $-- 
 
 
   
For the three-month period ended
July 3, 2010
  
For the six-month period ended
July 3, 2010
 
(dollars in thousands)
 
Amount of gain
recognized in accumulated
other comprehensive
income (loss) on effective hedges (1)
  
Amount of loss
reclassified from accumulated
other comprehensive
income (loss) into interest expense
  
Amount of loss
recognized in accumulated
other comprehensive
income (loss) on
effective hedges (1)
  
Amount of loss
reclassified
from accumulated
other comprehensive
income (loss)
into interest expense
 
              
Interest rate hedge agreements
 $297  $(514) $463  $(1,149)
 
(1)  Amount recognized in accumulated other comprehensive income (loss), net of tax of $174,000 and $272,000 for the three and six-month periods ended July 3, 2010, respectively.
 
 
 
 

   
Gains (losses) recognized in earnings
 
(dollars in thousands)
 
For the three and six-month periods ended July 2, 2011
  
For the three and six-month periods ended July 3, 2010
 
        
Foreign exchange forward contract
 $231  $--