5. DERIVATIVES

The following tables disclose the fair values and locations of the derivative instruments on the Company’s consolidated balance sheets and consolidated statements of operations (in thousands):

	December 31,
	2011			2010
Intangible and other assets:
Interest rate cap	$	255		$	1,000
Total intangible and other assets	$	255		$	1,000

Derivative liabilities:
Compound embedded conversion option with 8.00% Notes	$	(7,111	)	$	(23,008	)
Warrants issued with 8.00% Notes		(22,673	)		(29,924	)
Warrants issued in conjunction with contingent equity agreement		(6,155	)		(7,887	)
Contingent put feature embedded in the 5.0% Notes		(3,057	)		—
Total derivative liabilities	$	(38,996	)	$	(60,819	)

	Year ended December 31,
	2011			2010			2009
Interest rate cap	$	(745	)	$	(5,801	)	$	(5,624	)
Compound embedded conversion option with 8.00% Notes		15,361			(10,676	)		2,997
Warrants issued with 8.00% Notes		6,687			(11,197	)		(14,920	)
Warrants issued in conjunction with contingent equity agreement		4,090			(2,301	)		1,962
Contingent put feature embedded in the 5.0% Notes		(1,554	)		—			—
Total derivative gain (loss)	$	23,839		$	(29,975	)	$	(15,585	)

None of the derivative instruments are designated as a hedge.

Interest Rate Cap

In June 2009, in connection with entering into the Facility Agreement, which provides for interest at a variable rate, the Company entered into five ten-year interest rate cap agreements. The interest rate cap agreements reflect a variable notional amount ranging from $586.3 million to $14.8 million at interest rates that provide coverage to the Company for exposure resulting from escalating interest rates over the term of the Facility Agreement. The interest rate cap provides limits on the six-month Libor rate (“Base Rate”) used to calculate the coupon interest on outstanding amounts on the Facility Agreement of 4.00% from the date of issuance through December 2012. Thereafter, the Base Rate is capped at 5.50% should the Base Rate not exceed 6.5%. Should the Base Rate exceed 6.5%, the Company’s Base Rate will be 1% less than the then six-month Libor rate. The Company paid an approximately $12.4 million upfront fee for the interest rate cap agreements. The interest rate cap did not qualify for hedge accounting treatment, and changes in the fair value of the agreements are included in the consolidated statement of operations.

Compound Embedded Conversion Option with 8.00% Notes

The Company recorded the conversion rights and features embedded within the 8.00% Notes as a compound embedded derivative liability on its consolidated balance sheet with a corresponding debt discount which is netted against the face value of the 8.00% Notes. The Company is accreting the debt discount associated with the compound embedded derivative liability to interest expense over the term of the 8.00% Notes using the effective interest rate method. The fair value of the compound embedded derivative liability is marked-to-market at the end of each reporting period, with any changes in value reported in the consolidated statements of operations. The Company determined the fair value of the compound embedded derivative using a Monte Carlo simulation model.

Warrants Issued with 8.00% Notes

Due to the cash settlement provisions and reset features in the warrants issued with the 8.00% Notes, the Company recorded the warrants as an embedded derivative liability on its consolidated balance sheet with a corresponding debt discount which is netted against the face value of the 8.00% Notes. The Company is accreting the debt discount associated with the warrant liability to interest expense over the term of the warrants using the effective interest rate method. The fair value of the warrant liability is marked-to-market at the end of each reporting period, with any changes in value reported in the consolidated statements of operations. The Company determined the fair value of the warrant derivative using a Monte Carlo simulation model.

Warrants Issued in Conjunction with Contingent Equity Agreement

The Company determined that the warrants issued in conjunction with the availability fee for the Contingent Equity Agreement is a liability at issuance. The offset is recorded in other non-current assets and is amortized over the one-year availability period. The fair value of the warrant liability is marked-to-market at the end of each reporting period, with any changes in value reported in the consolidated statements of operations. The Company determined the fair value of the warrant derivative using a Monte Carlo simulation model.

Contingent put feature embedded in the 5.0% Notes

The Company evaluated the embedded derivative resulting from the contingent put feature within the Indenture for bifurcation from the 5.0% Notes. The contingent put feature was not deemed clearly and closely related to the 5.0% Notes and was bifurcated as a standalone derivative. The Company recorded this embedded derivative liability as a non-current liability on its consolidated balance sheets with a corresponding debt discount which is netted against the face value of the 5.0% Notes. The fair value of the contingent put feature liability is marked-to-market at the end of each reporting period. The Company determined the fair value of the contingent put feature derivative using a Monte Carlo simulation model based upon a risk-neutral stock price model.