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Derivatives
 12 Months Ended
Dec. 31, 2011
Derivatives [Abstract]  
Derivatives

12. Derivatives

We are exposed to risks such as changes in interest rates, commodity prices and foreign currency exchange rates. We employ a variety of practices to manage these risks, including operating and financing activities and, where deemed appropriate, the use of derivative instruments. Derivative instruments are used only for risk management purposes and not for speculation or trading, and are not used to address risks related to foreign currency rates. We record derivative instruments as assets or liabilities on the balance sheet at fair value.

On June 12, 2006, we entered into an interest rate swap agreement with Goldman Sachs Capital Markets, to hedge against interest rate risks related to our variable rate U.S. revolving credit facility. The interest rate swap was terminated in March of 2011. This interest rate swap was designated as a cash flow hedge. During fiscal 2009, our debt levels decreased below the interest rate swap notional, at which point the hedge became ineffective in offsetting future changes in expected cash flows during the remaining term of the interest rate swap.

Changes associated with the ineffective interest rate swap recognized in the Consolidated Statements of Operations for fiscal 2011 were approximately $1.7 million of income and are comprised of amortization of the remaining accumulated other comprehensive loss of the ineffective interest rate swap of $0.5 million, which was recorded through interest expense, offset by income of $2.2 million related to reducing the fair value of the ineffective interest rate swap liability to zero. Changes associated with the ineffective interest rate swap recognized in the Consolidated Statement of Operations for fiscal 2010 were approximately $4.6 million of income and are comprised of amortization of the remaining accumulated other comprehensive loss over the life of the ineffective swap of $2.1 million offset by income of $6.7 million related to changes during 2010 in the fair value of the ineffective interest rate swap liability.

The following table presents a reconciliation of the unrealized losses related to our interest rate swap measured at fair value in accumulated other comprehensive loss as of December 31, 2011 (in thousands):

 

      September 30,  

Balance at January 1, 2011

   $ 519  

Changes associated with ineffective interest rate swap recorded to interest expense

     (519 ) 
   

 

 

  

Balance at December 31, 2011

   $ —