6. Derivatives

In February 2008, $250.0 notional amount of outstanding borrowings under the ABL facility was swapped from a floating LIBOR-based rate to a fixed rate. The swaps entitled us to receive quarterly payments of interest at a floating rate indexed to three-month LIBOR and pay a fixed rate that ranged from 2.686% to 2.997%, converting a portion of the outstanding borrowings on our ABL facility from a floating rate obligation to a fixed rate obligation. The Company’s ABL facility interest rate swaps expired during the second quarter of 2011.

In November 2004 and December 2007, ORMS, which we acquired on December 31, 2010 (see Note 2), entered into two separate interest rate swap agreements in connection with the Jeffersonville, Indiana IRBs discussed in Note 9. The notional amounts under these swaps correspond to the principal amounts of the IRBs. The first swap agreement matured in December 2011. The second swap agreement matures in December 2017, and had notional value of $4.0 as of December 31, 2011, an amount that is reduced on an annual basis as the IRB is redeemed. Under the swaps, the notional amounts under the Jeffersonville IRBs were swapped from a floating rate based on a rate established by the Securities Industry and Financial Market Association (“SIFMA”) to fixed rates of 4.00% and 3.75%, converting the outstanding borrowings on the Jeffersonville IRBs from floating rate obligations to fixed rate obligations.

We account for gains and losses on our interest rate swap derivatives based on realized and unrealized amounts. Realized gains and losses are determined by actual derivative settlements during the period. Unrealized gains and losses are based on the periodic mark to market valuation of our derivative contracts in place. The primary objective for our use of interest rate swaps is to reduce our exposure to changes in interest rates and to manage variable interest rate exposure to achieve greater flexibility in meeting overall financial objectives.

The following table presents the location within the consolidated balance sheets of all assets and liabilities associated with the Company’s outstanding derivatives at December 31, 2011 and 2010.


Derivatives not designated as hedging instruments under ASC 815	Balance Sheet Location	Asset Derivatives				Liability Derivatives
		Fair Value at December 31,
		2011		2010		2011		2010
Interest rate swaps	Accrued liabilities	$	—	$	—	$	—	$	1.9
	Other long-term liabilities		—		—		0.6		0.4

Total derivatives not designated as hedging instruments under ASC 815		$	—	$	—	$	0.6	$	2.3

Total derivatives		$	—	$	—	$	0.6	$	2.3

The following tables present the pretax impact of the Company’s derivative instruments within the consolidated statements of operations for the years ended December 31, 2011, 2010 and 2009.


	Derivatives Designated as Cash Flow Hedges
	Amount of Gain Recognized in OCI on Derivatives (Effective Portion)		Amount of Loss Reclassified from OCI into Income (Effective Portion)			Amount of Gain (Loss) Recognized in Income on Derivatives (Ineffective Portion)
	Years Ended December 31,
	2009		2009			2009
Interest rate swaps	$	3.4	$	(2.7	)	$	—


	Derivatives Not Designated as Cash Flow Hedges
	Amount Recognized as Interest Expense from Derivatives
	Years Ended December 31,
	2011		2010		2009
Interest rate swaps	$	0.4	$	2.6	$	4.1

The Company’s credit exposure related to interest rate swaps is represented by the fair value of swap agreements with a net positive fair value (asset position) to the Company at the reporting date. At such times, the outstanding instruments expose the Company to credit loss in the event of nonperformance by the counterparty to the agreements. However, we have not experienced any credit loss as a result of counterparty nonperformance in the past. Our credit risk exposure with respect to our interest rate swaps is limited to a single counterparty, which we monitor based on credit ratings. As of December 31, 2011, our interest rate swap derivatives had a net negative fair value (liability position).