2.2.0.7falseDerivatives - Interest Rate Swap Agreements10701 - Disclosure - Derivatives - Interest Rate Swap Agreementstruefalsefalsefalse1USDfalsefalseUnit12Standardhttp://www.xbrl.org/2003/iso4217USDiso42170Unit1Standardhttp://www.xbrl.org/2003/instancesharesxbrli0Unit13Dividehttp://www.xbrl.org/2003/iso4217USDiso4217http://www.xbrl.org/2003/instancesharesxbrli0$53us-gaap_ScheduleOfDerivativeInstrumentsTextBlockus-gaaptruenadurationNo definition available.falsefalsefalsefalsefalsefalsefalsefalsefalsefalsefalsefalse1falsefalsefalsefalse00<div> <font style="font-family: Times New Roman;" class="_mt" size="2">
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<p style="margin-top: 18px; margin-bottom: 0px;"><font style="font-family: Times New Roman;" class="_mt" size="2"><b>7. Derivatives - Interest Rate Swap Agreements </b></font></p>
<p style="margin-top: 6px; margin-bottom: 0px; margin-left: 2%;"><font style="font-family: Times New Roman;" class="_mt" size="2"><b><i>Risk Management Objective of Using Derivatives </i></b></font></p>
<p style="margin-top: 6px; margin-bottom: 0px;"><font style="font-family: Times New Roman;" class="_mt" size="2">The Company is exposed to certain risk arising from both its business operations and economic conditions. The Company principally manages its exposures to a wide variety of business and operational risks through management of its core business activities. The Company manages economic risks, including interest rate, liquidity, and credit risk primarily by managing the amount, sources, and duration of its debt funding. The Company's primary source of debt funding is repurchase agreements. Since the interest rate on repurchase agreements change on a monthly basis, the Company is exposed to constantly changing interest rates, and the cash flows associated with these rates. To minimize the effect of changes in these interest rates, the Company enters into interest rate swap agreements and enters into forward commitments to purchase TBA securities which help to manage the volatility in the interest rate exposures and their related cash flows. </font></p>
<p style="margin-top: 18px; margin-bottom: 0px; margin-left: 2%;"><font style="font-family: Times New Roman;" class="_mt" size="2"><b><i>Cash Flow Hedges of Interest Rate Risk </i></b></font></p>
<p style="margin-top: 6px; margin-bottom: 0px;"><font style="font-family: Times New Roman;" class="_mt" size="2">The Company finances its activities primarily through repurchase agreements, which are generally settled on a short-term basis, usually from one to three months. At each settlement date, the Company refinances each repurchase agreement at the market interest rate at that time. Since the interest rates on its repurchase agreements change on a monthly basis, the Company is constantly exposed to changing interest rates. The Company's objectives in using interest rate derivatives are to add stability to interest expense and to manage its exposure to interest rate movements. To accomplish this objective, the Company currently uses interest rate swaps as part of its interest rate risk management strategy. Interest rate swaps designated as cash flow hedges involve the receipt of variable-rate amounts from a counterparty in exchange for the Company making fixed-rate payments over the life of the agreements without exchange of the underlying notional amount. The effect of these hedges is to synthetically lock up interest rates on a portion of the Company's outstanding debt for the terms of the swaps. </font></p>
<p style="margin-top: 0px; margin-bottom: 0px;"><font class="_mt" size="1"> </font> </p>
<p style="margin-top: 0px; margin-bottom: 0px;"><font style="font-family: Times New Roman;" class="_mt" size="2">For qualifying derivatives under cash flow hedge accounting, effective hedge gains or losses are initially recorded in accumulated other comprehensive income (loss) and subsequently reclassified into earnings in the period that the hedged forecasted transaction affects earnings. During the three months ended June 30, 2010 and 2009, these effective hedge gain (loss) totaled ($49,125) and $11,294, respectively. During the six months ended June 30, 2010 and 2009, these effective hedge losses totaled ($78,559) and ($324), respectively. Ineffective gains (losses) are recorded on a current basis in earnings and for the three months ended June 30, 2010 and 2009, the Company recorded ($48) and $203, respectively. For the six months ending June 30, 2010 and 2009 the Company recorded ($261) and $179, respectively, of hedge ineffectiveness gains (losses) in earnings. The hedge ineffectiveness is attributable primarily to differences in the reset dates on the Company's swaps versus the refinancing dates of its repurchase agreements. </font></p>
<p style="margin-top: 12px; margin-bottom: 0px;"><font style="font-family: Times New Roman;" class="_mt" size="2">Amounts reported in accumulated other comprehensive income related to derivatives will be reclassified to interest expense as interest is accrued and paid on the Company's repurchase agreements. During the next 12 months, the Company estimates that an additional $54,714 will be reclassified as an increase to interest expense. </font></p>
<p style="margin-top: 12px; margin-bottom: 0px;"><font style="font-family: Times New Roman;" class="_mt" size="2">The Company is hedging its exposure to the variability in future cash flows for forecasted transactions over an average period of 25 months. </font></p>
<p style="margin-top: 0px; margin-bottom: 0px; font-size: 12px;"> </p>
<table border="0" cellspacing="0" cellpadding="0" width="84%">
<tr><td width="64%"> </td>
<td valign="bottom" width="8%"> </td>
<td> </td>
<td> </td>
<td valign="bottom" width="8%"> </td>
<td> </td>
<td valign="bottom" width="8%"> </td>
<td> </td>
<td> </td></tr>
<tr><td valign="bottom" nowrap="nowrap">
<p style="border-bottom: #000000 1px solid; width: 31pt;"><font style="font-family: Times New Roman;" class="_mt" size="1"><b>Maturity</b></font></p></td>
<td valign="bottom"><font class="_mt" size="1"> </font></td>
<td style="border-bottom: #000000 1px solid;" valign="bottom" colspan="2" align="center"><font style="font-family: Times New Roman;" class="_mt" size="1"><b>Notional</b></font><br /><font style="font-family: Times New Roman;" class="_mt" size="1"><b>Amount</b></font></td>
<td valign="bottom"><font class="_mt" size="1"> </font></td>
<td style="border-bottom: #000000 1px solid;" valign="bottom" align="center"><font style="font-family: Times New Roman;" class="_mt" size="1"><b>Weighted</b></font><br /><font style="font-family: Times New Roman;" class="_mt" size="1"><b>Average</b></font><br /><font style="font-family: Times New Roman;" class="_mt" size="1"><b>Remaining</b></font><br /><font style="font-family: Times New Roman;" class="_mt" size="1"><b>Term</b></font><br /><font style="font-family: Times New Roman;" class="_mt" size="1"><b>in Months</b></font></td>
<td valign="bottom"><font class="_mt" size="1"> </font></td>
<td style="border-bottom: #000000 1px solid;" valign="bottom" align="center"><font style="font-family: Times New Roman;" class="_mt" size="1"><b>Fixed Interest</b></font><br /><font style="font-family: Times New Roman;" class="_mt" size="1"><b>Rate in Contract</b></font></td>
<td valign="bottom"><font class="_mt" size="1"> </font></td></tr>
<tr bgcolor="#cceeff"><td valign="top">
<p style="text-indent: -1em; margin-left: 1em;"><font style="font-family: Times New Roman;" class="_mt" size="2">12 months or less</font></p></td>
<td valign="bottom"><font class="_mt" size="1"> </font></td>
<td valign="bottom"><font style="font-family: Times New Roman;" class="_mt" size="2">$</font></td>
<td valign="bottom" align="right"><font style="font-family: Times New Roman;" class="_mt" size="2">1,000,000</font></td>
<td valign="bottom"><font class="_mt" size="1"> </font></td>
<td valign="bottom" align="right"><font style="font-family: Times New Roman;" class="_mt" size="2">7</font></td>
<td valign="bottom"><font class="_mt" size="1"> </font></td>
<td valign="bottom" align="right"><font style="font-family: Times New Roman;" class="_mt" size="2">3.34</font></td>
<td valign="bottom" nowrap="nowrap"><font style="font-family: Times New Roman;" class="_mt" size="2">% </font></td></tr>
<tr><td valign="top">
<p style="text-indent: -1em; margin-left: 1em;"><font style="font-family: Times New Roman;" class="_mt" size="2">Over 12 months to 24 months</font></p></td>
<td valign="bottom"><font class="_mt" size="1"> </font></td>
<td valign="bottom"><font style="font-family: Times New Roman;" class="_mt" size="2"> </font></td>
<td valign="bottom" align="right"><font style="font-family: Times New Roman;" class="_mt" size="2">300,000</font></td>
<td valign="bottom"><font class="_mt" size="1"> </font></td>
<td valign="bottom" align="right"><font style="font-family: Times New Roman;" class="_mt" size="2">16</font></td>
<td valign="bottom"><font class="_mt" size="1"> </font></td>
<td valign="bottom" align="right"><font style="font-family: Times New Roman;" class="_mt" size="2">3.45</font></td>
<td valign="bottom" nowrap="nowrap"><font style="font-family: Times New Roman;" class="_mt" size="2">% </font></td></tr>
<tr bgcolor="#cceeff"><td valign="top">
<p style="text-indent: -1em; margin-left: 1em;"><font style="font-family: Times New Roman;" class="_mt" size="2">Over 24 months to 36 months</font></p></td>
<td valign="bottom"><font class="_mt" size="1"> </font></td>
<td valign="bottom"><font style="font-family: Times New Roman;" class="_mt" size="2"> </font></td>
<td valign="bottom" align="right"><font style="font-family: Times New Roman;" class="_mt" size="2">700,000</font></td>
<td valign="bottom"><font class="_mt" size="1"> </font></td>
<td valign="bottom" align="right"><font style="font-family: Times New Roman;" class="_mt" size="2">30</font></td>
<td valign="bottom"><font class="_mt" size="1"> </font></td>
<td valign="bottom" align="right"><font style="font-family: Times New Roman;" class="_mt" size="2">1.86</font></td>
<td valign="bottom" nowrap="nowrap"><font style="font-family: Times New Roman;" class="_mt" size="2">% </font></td></tr>
<tr><td valign="top">
<p style="text-indent: -1em; margin-left: 1em;"><font style="font-family: Times New Roman;" class="_mt" size="2">Over 36 months to 48 months</font></p></td>
<td valign="bottom"><font class="_mt" size="1"> </font></td>
<td valign="bottom"><font style="font-family: Times New Roman;" class="_mt" size="2"> </font></td>
<td valign="bottom" align="right"><font style="font-family: Times New Roman;" class="_mt" size="2">900,000</font></td>
<td valign="bottom"><font class="_mt" size="1"> </font></td>
<td valign="bottom" align="right"><font style="font-family: Times New Roman;" class="_mt" size="2">43</font></td>
<td valign="bottom"><font class="_mt" size="1"> </font></td>
<td valign="bottom" align="right"><font style="font-family: Times New Roman;" class="_mt" size="2">2.23</font></td>
<td valign="bottom" nowrap="nowrap"><font style="font-family: Times New Roman;" class="_mt" size="2">% </font></td></tr>
<tr bgcolor="#cceeff"><td valign="top">
<p style="text-indent: -1em; margin-left: 1em;"><font style="font-family: Times New Roman;" class="_mt" size="2">Over 48 months to 60 months</font></p></td>
<td valign="bottom"><font class="_mt" size="1"> </font></td>
<td valign="bottom"><font style="font-family: Times New Roman;" class="_mt" size="2"> </font></td>
<td valign="bottom" align="right"><font style="font-family: Times New Roman;" class="_mt" size="2">500,000</font></td>
<td valign="bottom"><font class="_mt" size="1"> </font></td>
<td valign="bottom" align="right"><font style="font-family: Times New Roman;" class="_mt" size="2">53</font></td>
<td valign="bottom"><font class="_mt" size="1"> </font></td>
<td valign="bottom" align="right"><font style="font-family: Times New Roman;" class="_mt" size="2">2.36</font></td>
<td valign="bottom" nowrap="nowrap"><font style="font-family: Times New Roman;" class="_mt" size="2">% </font></td></tr>
<tr style="font-size: 1px;"><td valign="bottom"> </td>
<td valign="bottom"> </td>
<td style="border-top: #000000 1px solid;" valign="bottom"> </td>
<td style="border-top: #000000 1px solid;" valign="bottom"> </td>
<td valign="bottom"> </td>
<td valign="bottom"> </td>
<td valign="bottom"> </td>
<td valign="bottom"> </td>
<td valign="bottom"> </td></tr>
<tr><td valign="top">
<p style="text-indent: -1em; margin-left: 1em;"><font style="font-family: Times New Roman;" class="_mt" size="2">Total</font></p></td>
<td valign="bottom"><font class="_mt" size="1"> </font></td>
<td valign="bottom"><font style="font-family: Times New Roman;" class="_mt" size="2">$</font></td>
<td valign="bottom" align="right"><font style="font-family: Times New Roman;" class="_mt" size="2">3,400,000</font></td>
<td valign="bottom"><font class="_mt" size="1"> </font></td>
<td valign="bottom" align="right"><font style="font-family: Times New Roman;" class="_mt" size="2">29</font></td>
<td valign="bottom"><font class="_mt" size="1"> </font></td>
<td valign="bottom" align="right"><font style="font-family: Times New Roman;" class="_mt" size="2">2.61</font></td>
<td valign="bottom" nowrap="nowrap"><font style="font-family: Times New Roman;" class="_mt" size="2">% </font></td></tr>
<tr style="font-size: 1px;"><td valign="bottom"> </td>
<td valign="bottom"> </td>
<td style="border-top: #000000 3px double;" valign="bottom"> </td>
<td style="border-top: #000000 3px double;" valign="bottom"> </td>
<td valign="bottom"> </td>
<td valign="bottom"> </td>
<td valign="bottom"> </td>
<td style="border-top: #000000 3px double;" valign="bottom"> </td>
<td> </td></tr></table>
<p style="margin-top: 12px; margin-bottom: 0px;"><font style="font-family: Times New Roman;" class="_mt" size="2">The fair values of interest rate swaps are determined using the market standard methodology of netting the discounted future fixed cash receipts (or payments) and the discounted expected variable cash payments (or receipts). The variable cash payments (or receipts) are based on an expectation of future interest rates (forward curves) derived from observable market interest rate curves. The table below presents the fair value of the Company's derivative financial instruments as well as their classification on the balance sheet as of June 30, 2010 and December 31, 2009. </font></p>
<p style="margin-top: 0px; margin-bottom: 0px; font-size: 12px;"> </p>
<table border="0" cellspacing="0" cellpadding="0" width="100%">
<tr><td width="36%"> </td>
<td valign="bottom" width="3%"> </td>
<td> </td>
<td valign="bottom" width="3%"> </td>
<td> </td>
<td> </td>
<td valign="bottom" width="3%"> </td>
<td> </td>
<td valign="bottom" width="3%"> </td>
<td> </td>
<td> </td>
<td valign="bottom" width="3%"> </td>
<td> </td>
<td valign="bottom" width="3%"> </td>
<td> </td>
<td> </td>
<td valign="bottom" width="3%"> </td>
<td> </td>
<td valign="bottom" width="3%"> </td>
<td> </td>
<td> </td></tr>
<tr><td valign="bottom"><font class="_mt" size="1"> </font></td>
<td valign="bottom"><font class="_mt" size="1"> </font></td>
<td style="border-bottom: #000000 1px solid;" valign="bottom" colspan="9" align="center"><font style="font-family: Times New Roman;" class="_mt" size="1"><b>Asset Derivatives</b></font></td>
<td valign="bottom"><font class="_mt" size="1"> </font></td>
<td style="border-bottom: #000000 1px solid;" valign="bottom" colspan="9" align="center"><font style="font-family: Times New Roman;" class="_mt" size="1"><b>Liability Derivatives</b></font></td></tr>
<tr><td valign="bottom"><font class="_mt" size="1"> </font></td>
<td valign="bottom"><font class="_mt" size="1"> </font></td>
<td style="border-bottom: #000000 1px solid;" valign="bottom" colspan="4" align="center"><font style="font-family: Times New Roman;" class="_mt" size="1"><b>As of June 30, 2010</b></font></td>
<td valign="bottom"><font class="_mt" size="1"> </font></td>
<td style="border-bottom: #000000 1px solid;" valign="bottom" colspan="4" align="center"><font style="font-family: Times New Roman;" class="_mt" size="1"><b>As of December 31, 2009</b></font></td>
<td valign="bottom"><font class="_mt" size="1"> </font></td>
<td style="border-bottom: #000000 1px solid;" valign="bottom" colspan="4" align="center"><font style="font-family: Times New Roman;" class="_mt" size="1"><b>As of June 30, 2010</b></font></td>
<td valign="bottom"><font class="_mt" size="1"> </font></td>
<td style="border-bottom: #000000 1px solid;" valign="bottom" colspan="4" align="center"><font style="font-family: Times New Roman;" class="_mt" size="1"><b>As of December 31, 2009</b></font></td></tr>
<tr><td valign="bottom"><font class="_mt" size="1"> </font></td>
<td valign="bottom"><font class="_mt" size="1"> </font></td>
<td style="border-bottom: #000000 1px solid;" valign="bottom" align="center"><font style="font-family: Times New Roman;" class="_mt" size="1"><b>Balance</b></font><br /><font style="font-family: Times New Roman;" class="_mt" size="1"><b>Sheet</b></font></td>
<td valign="bottom"><font class="_mt" size="1"> </font></td>
<td style="border-bottom: #000000 1px solid;" valign="bottom" colspan="2" align="center"><font style="font-family: Times New Roman;" class="_mt" size="1"><b>Fair</b></font><br /><font style="font-family: Times New Roman;" class="_mt" size="1"><b>Value</b></font></td>
<td valign="bottom"><font class="_mt" size="1"> </font></td>
<td style="border-bottom: #000000 1px solid;" valign="bottom" align="center"><font style="font-family: Times New Roman;" class="_mt" size="1"><b>Balance</b></font><br /><font style="font-family: Times New Roman;" class="_mt" size="1"><b>Sheet</b></font></td>
<td valign="bottom"><font class="_mt" size="1"> </font></td>
<td style="border-bottom: #000000 1px solid;" valign="bottom" colspan="2" align="center"><font style="font-family: Times New Roman;" class="_mt" size="1"><b>Fair</b></font><br /><font style="font-family: Times New Roman;" class="_mt" size="1"><b>Value</b></font></td>
<td valign="bottom"><font class="_mt" size="1"> </font></td>
<td style="border-bottom: #000000 1px solid;" valign="bottom" align="center"><font style="font-family: Times New Roman;" class="_mt" size="1"><b>Balance</b></font><br /><font style="font-family: Times New Roman;" class="_mt" size="1"><b>Sheet</b></font></td>
<td valign="bottom"><font class="_mt" size="1"> </font></td>
<td style="border-bottom: #000000 1px solid;" valign="bottom" colspan="2" align="center"><font style="font-family: Times New Roman;" class="_mt" size="1"><b>Fair</b></font><br /><font style="font-family: Times New Roman;" class="_mt" size="1"><b>Value</b></font></td>
<td valign="bottom"><font class="_mt" size="1"> </font></td>
<td style="border-bottom: #000000 1px solid;" valign="bottom" align="center"><font style="font-family: Times New Roman;" class="_mt" size="1"><b>Balance</b></font><br /><font style="font-family: Times New Roman;" class="_mt" size="1"><b>Sheet</b></font></td>
<td valign="bottom"><font class="_mt" size="1"> </font></td>
<td style="border-bottom: #000000 1px solid;" valign="bottom" colspan="2" align="center"><font style="font-family: Times New Roman;" class="_mt" size="1"><b>Fair</b></font><br /><font style="font-family: Times New Roman;" class="_mt" size="1"><b>Value</b></font></td></tr>
<tr bgcolor="#cceeff"><td valign="top">
<p style="text-indent: -1em; margin-left: 1em;"><font style="font-family: Times New Roman;" class="_mt" size="2">Interest rate hedge</font></p></td>
<td valign="bottom"><font class="_mt" size="1"> </font></td>
<td valign="bottom"><font style="font-family: Times New Roman;" class="_mt" size="2">Interest rate</font></td>
<td valign="bottom"><font class="_mt" size="1"> </font></td>
<td valign="bottom"><font style="font-family: Times New Roman;" class="_mt" size="2">$</font></td>
<td valign="bottom" align="right"><font style="font-family: Times New Roman;" class="_mt" size="2">— </font></td>
<td valign="bottom"><font class="_mt" size="1"> </font></td>
<td valign="bottom"><font style="font-family: Times New Roman;" class="_mt" size="2">Interest rate</font></td>
<td valign="bottom"><font class="_mt" size="1"> </font></td>
<td valign="bottom"><font style="font-family: Times New Roman;" class="_mt" size="2">$</font></td>
<td valign="bottom" align="right"><font style="font-family: Times New Roman;" class="_mt" size="2">7,851</font></td>
<td valign="bottom"><font class="_mt" size="1"> </font></td>
<td valign="bottom"><font style="font-family: Times New Roman;" class="_mt" size="2">Interest rate</font></td>
<td valign="bottom"><font class="_mt" size="1"> </font></td>
<td valign="bottom"><font style="font-family: Times New Roman;" class="_mt" size="2">$</font></td>
<td valign="bottom" align="right"><font style="font-family: Times New Roman;" class="_mt" size="2">80,588</font></td>
<td valign="bottom"><font class="_mt" size="1"> </font></td>
<td valign="bottom"><font style="font-family: Times New Roman;" class="_mt" size="2">Interest rate</font></td>
<td valign="bottom"><font class="_mt" size="1"> </font></td>
<td valign="bottom"><font style="font-family: Times New Roman;" class="_mt" size="2">$</font></td>
<td valign="bottom" align="right"><font style="font-family: Times New Roman;" class="_mt" size="2">43,446</font></td></tr>
<tr><td valign="top"> </td>
<td valign="bottom"><font class="_mt" size="1"> </font></td>
<td valign="bottom"><font style="font-family: Times New Roman;" class="_mt" size="2">hedge asset</font></td>
<td valign="bottom"><font class="_mt" size="1"> </font></td>
<td valign="bottom"> </td>
<td valign="bottom"> </td>
<td valign="bottom"><font class="_mt" size="1"> </font></td>
<td valign="bottom"><font style="font-family: Times New Roman;" class="_mt" size="2">hedge asset</font></td>
<td valign="bottom"><font class="_mt" size="1"> </font></td>
<td valign="bottom"> </td>
<td valign="bottom"> </td>
<td valign="bottom"><font class="_mt" size="1"> </font></td>
<td valign="bottom"><font style="font-family: Times New Roman;" class="_mt" size="2">hedge liability</font></td>
<td valign="bottom"><font class="_mt" size="1"> </font></td>
<td valign="bottom"> </td>
<td valign="bottom"> </td>
<td valign="bottom"><font class="_mt" size="1"> </font></td>
<td valign="bottom"><font style="font-family: Times New Roman;" class="_mt" size="2">hedge liability</font></td>
<td valign="bottom"><font class="_mt" size="1"> </font></td>
<td valign="bottom"> </td>
<td valign="bottom"> </td></tr>
<tr><td height="8"> </td>
<td height="8" colspan="2"> </td>
<td height="8" colspan="3"> </td>
<td height="8" colspan="2"> </td>
<td height="8" colspan="3"> </td>
<td height="8" colspan="2"> </td>
<td height="8" colspan="3"> </td>
<td height="8" colspan="2"> </td>
<td height="8" colspan="3"> </td></tr>
<tr bgcolor="#cceeff"><td valign="top">
<p style="text-indent: -1em; margin-left: 1em;"><font style="font-family: Times New Roman;" class="_mt" size="2">Forward purchase commitment</font></p></td>
<td valign="bottom"><font class="_mt" size="1"> </font></td>
<td valign="bottom"><font style="font-family: Times New Roman;" class="_mt" size="2">Other</font></td>
<td valign="bottom"><font class="_mt" size="1"> </font></td>
<td valign="bottom"><font style="font-family: Times New Roman;" class="_mt" size="2">$</font></td>
<td valign="bottom" align="right"><font style="font-family: Times New Roman;" class="_mt" size="2">8,528</font></td>
<td valign="bottom"><font class="_mt" size="1"> </font></td>
<td valign="bottom" align="right"><font style="font-family: Times New Roman;" class="_mt" size="2">— </font></td>
<td valign="bottom"><font class="_mt" size="1"> </font></td>
<td valign="bottom"><font style="font-family: Times New Roman;" class="_mt" size="2">$</font></td>
<td valign="bottom" align="right"><font style="font-family: Times New Roman;" class="_mt" size="2">— </font></td>
<td valign="bottom"><font class="_mt" size="1"> </font></td>
<td valign="bottom" align="right"><font style="font-family: Times New Roman;" class="_mt" size="2">— </font></td>
<td valign="bottom"><font class="_mt" size="1"> </font></td>
<td valign="bottom"><font style="font-family: Times New Roman;" class="_mt" size="2">$</font></td>
<td valign="bottom" align="right"><font style="font-family: Times New Roman;" class="_mt" size="2">— </font></td>
<td valign="bottom"><font class="_mt" size="1"> </font></td>
<td valign="bottom" align="right"><font style="font-family: Times New Roman;" class="_mt" size="2">— </font></td>
<td valign="bottom"><font class="_mt" size="1"> </font></td>
<td valign="bottom"><font style="font-family: Times New Roman;" class="_mt" size="2">$</font></td>
<td valign="bottom" align="right"><font style="font-family: Times New Roman;" class="_mt" size="2">— </font></td></tr>
<tr><td valign="top"> </td>
<td valign="bottom"><font class="_mt" size="1"> </font></td>
<td valign="bottom"><font style="font-family: Times New Roman;" class="_mt" size="2">assets</font></td>
<td valign="bottom"><font class="_mt" size="1"> </font></td>
<td valign="bottom"> </td>
<td valign="bottom"> </td>
<td valign="bottom"><font class="_mt" size="1"> </font></td>
<td valign="bottom"> </td>
<td valign="bottom"><font class="_mt" size="1"> </font></td>
<td valign="bottom"> </td>
<td valign="bottom"> </td>
<td valign="bottom"><font class="_mt" size="1"> </font></td>
<td valign="bottom"> </td>
<td valign="bottom"><font class="_mt" size="1"> </font></td>
<td valign="bottom"> </td>
<td valign="bottom"> </td>
<td valign="bottom"><font class="_mt" size="1"> </font></td>
<td valign="bottom"> </td>
<td valign="bottom"><font class="_mt" size="1"> </font></td>
<td valign="bottom"> </td>
<td valign="bottom"> </td></tr></table>
<p style="margin-top: 0px; margin-bottom: 0px;"><font class="_mt" size="1"> </font> </p>
<p style="margin-top: 0px; margin-bottom: 0px;"><font style="font-family: Times New Roman;" class="_mt" size="2">The table below presents the effect of the Company's derivative financial instruments on the income statement for the three months ended June 30, 2010. </font></p>
<p style="margin-top: 0px; margin-bottom: 0px; font-size: 12px;"> </p>
<table border="0" cellspacing="0" cellpadding="0" width="100%">
<tr><td width="30%"> </td>
<td valign="bottom" width="7%"> </td>
<td> </td>
<td> </td>
<td valign="bottom" width="7%"> </td>
<td> </td>
<td valign="bottom" width="7%"> </td>
<td> </td>
<td> </td>
<td valign="bottom" width="7%"> </td>
<td> </td>
<td valign="bottom" width="7%"> </td>
<td> </td>
<td> </td></tr>
<tr><td valign="bottom" nowrap="nowrap">
<p style="margin-top: 0px; margin-bottom: 0px;"><font style="font-family: Times New Roman;" class="_mt" size="1"><b>Derivative</b></font></p>
<p style="margin-top: 0px; margin-bottom: 0px;"><font style="font-family: Times New Roman;" class="_mt" size="1"><b>type for</b></font></p>
<p style="margin-top: 0px; margin-bottom: 0px;"><font style="font-family: Times New Roman;" class="_mt" size="1"><b>cash flow</b></font></p>
<p style="border-bottom: #000000 1px solid; margin-top: 0px; width: 35pt; margin-bottom: 1px;"><font style="font-family: Times New Roman;" class="_mt" size="1"><b>hedge</b></font></p></td>
<td valign="bottom"><font class="_mt" size="1"> </font></td>
<td style="border-bottom: #000000 1px solid;" valign="bottom" colspan="2" align="center"><font style="font-family: Times New Roman;" class="_mt" size="1"><b>Amount of loss recognized</b></font><br /><font style="font-family: Times New Roman;" class="_mt" size="1"><b>in OCI on derivative</b></font><br /><font style="font-family: Times New Roman;" class="_mt" size="1"><b>(effective portion)</b></font></td>
<td valign="bottom"><font class="_mt" size="1"> </font></td>
<td style="border-bottom: #000000 1px solid;" valign="bottom" align="center"><font style="font-family: Times New Roman;" class="_mt" size="1"><b>Location of loss</b></font><br /><font style="font-family: Times New Roman;" class="_mt" size="1"><b>reclassified from</b></font><br /><font style="font-family: Times New Roman;" class="_mt" size="1"><b>accumulated</b></font><br /><font style="font-family: Times New Roman;" class="_mt" size="1"><b>OCI into</b></font><br /><font style="font-family: Times New Roman;" class="_mt" size="1"><b>income</b></font><br /><font style="font-family: Times New Roman;" class="_mt" size="1"><b>(effective</b></font><br /><font style="font-family: Times New Roman;" class="_mt" size="1"><b>portion)</b></font></td>
<td valign="bottom"><font class="_mt" size="1"> </font></td>
<td style="border-bottom: #000000 1px solid;" valign="bottom" colspan="2" align="center"><font style="font-family: Times New Roman;" class="_mt" size="1"><b>Amount of loss</b></font><br /><font style="font-family: Times New Roman;" class="_mt" size="1"><b>reclassified from<br />accumulated OCI into</b></font><br /><font style="font-family: Times New Roman;" class="_mt" size="1"><b>income (effective</b></font><br /><font style="font-family: Times New Roman;" class="_mt" size="1"><b>portion)</b></font></td>
<td valign="bottom"><font class="_mt" size="1"> </font></td>
<td style="border-bottom: #000000 1px solid;" valign="bottom" align="center"><font style="font-family: Times New Roman;" class="_mt" size="1"><b>Location of loss</b></font><br /><font style="font-family: Times New Roman;" class="_mt" size="1"><b>recognized in</b></font><br /><font style="font-family: Times New Roman;" class="_mt" size="1"><b>income on</b></font><br /><font style="font-family: Times New Roman;" class="_mt" size="1"><b>derivative</b></font><br /><font style="font-family: Times New Roman;" class="_mt" size="1"><b>(ineffective</b></font><br /><font style="font-family: Times New Roman;" class="_mt" size="1"><b>portion)</b></font> </td>
<td valign="bottom"><font class="_mt" size="1"> </font></td>
<td style="border-bottom: #000000 1px solid;" valign="bottom" colspan="2" align="center"><font style="font-family: Times New Roman;" class="_mt" size="1"><b>Amount of loss</b></font><br /><font style="font-family: Times New Roman;" class="_mt" size="1"><b>recognized in income</b></font><br /><font style="font-family: Times New Roman;" class="_mt" size="1"><b>on derivative</b></font><br /><font style="font-family: Times New Roman;" class="_mt" size="1"><b>(ineffective portion)</b></font></td></tr>
<tr bgcolor="#cceeff"><td valign="top">
<p style="text-indent: -1em; margin-left: 1em;"><font style="font-family: Times New Roman;" class="_mt" size="2">Interest Rate</font></p></td>
<td valign="bottom"><font class="_mt" size="1"> </font></td>
<td valign="bottom"><font style="font-family: Times New Roman;" class="_mt" size="2">$</font></td>
<td valign="bottom" align="right"><font style="font-family: Times New Roman;" class="_mt" size="2">49,125</font></td>
<td valign="bottom"><font class="_mt" size="1"> </font></td>
<td valign="bottom" align="right"><font style="font-family: Times New Roman;" class="_mt" size="2">Interest Expense</font></td>
<td valign="bottom"><font class="_mt" size="1"> </font></td>
<td valign="bottom"><font style="font-family: Times New Roman;" class="_mt" size="2">$</font></td>
<td valign="bottom" align="right"><font style="font-family: Times New Roman;" class="_mt" size="2">16,959</font></td>
<td valign="bottom"><font class="_mt" size="1"> </font></td>
<td valign="bottom" align="right"><font style="font-family: Times New Roman;" class="_mt" size="2">Interest Expense</font></td>
<td valign="bottom"><font class="_mt" size="1"> </font></td>
<td valign="bottom"><font style="font-family: Times New Roman;" class="_mt" size="2">$</font></td>
<td valign="bottom" align="right"><font style="font-family: Times New Roman;" class="_mt" size="2">48</font></td></tr></table>
<p style="margin-top: 12px; margin-bottom: 0px;"><font style="font-family: Times New Roman;" class="_mt" size="2">The table below presents the effect of the Company's derivative financial instruments on the income statement for the three months ended June 30, 2009. </font></p>
<p style="margin-top: 0px; margin-bottom: 0px; font-size: 12px;"> </p>
<table border="0" cellspacing="0" cellpadding="0" width="100%">
<tr><td width="29%"> </td>
<td valign="bottom" width="7%"> </td>
<td> </td>
<td> </td>
<td valign="bottom" width="7%"> </td>
<td> </td>
<td valign="bottom" width="7%"> </td>
<td> </td>
<td> </td>
<td valign="bottom" width="7%"> </td>
<td> </td>
<td valign="bottom" width="7%"> </td>
<td> </td>
<td> </td></tr>
<tr><td valign="bottom" nowrap="nowrap">
<p style="margin-top: 0px; margin-bottom: 0px;"><font style="font-family: Times New Roman;" class="_mt" size="1"><b>Derivative</b></font></p>
<p style="margin-top: 0px; margin-bottom: 0px;"><font style="font-family: Times New Roman;" class="_mt" size="1"><b>type for</b></font></p>
<p style="margin-top: 0px; margin-bottom: 0px;"><font style="font-family: Times New Roman;" class="_mt" size="1"><b>cash flow</b></font></p>
<p style="border-bottom: #000000 1px solid; margin-top: 0px; width: 35pt; margin-bottom: 1px;"><font style="font-family: Times New Roman;" class="_mt" size="1"><b>hedge</b></font></p></td>
<td valign="bottom"><font class="_mt" size="1"> </font></td>
<td style="border-bottom: #000000 1px solid;" valign="bottom" colspan="2" align="center"><font style="font-family: Times New Roman;" class="_mt" size="1"><b>Amount of gain recognized</b></font><br /><font style="font-family: Times New Roman;" class="_mt" size="1"><b>in OCI on derivative</b></font><br /><font style="font-family: Times New Roman;" class="_mt" size="1"><b>(effective portion)</b></font></td>
<td valign="bottom"><font class="_mt" size="1"> </font></td>
<td style="border-bottom: #000000 1px solid;" valign="bottom" align="center"><font style="font-family: Times New Roman;" class="_mt" size="1"><b>Location of loss</b></font><br /><font style="font-family: Times New Roman;" class="_mt" size="1"><b>reclassified from</b></font><br /><font style="font-family: Times New Roman;" class="_mt" size="1"><b>accumulated</b></font><br /><font style="font-family: Times New Roman;" class="_mt" size="1"><b>OCI into</b></font><br /><font style="font-family: Times New Roman;" class="_mt" size="1"><b>income</b></font><br /><font style="font-family: Times New Roman;" class="_mt" size="1"><b>(effective</b></font><br /><font style="font-family: Times New Roman;" class="_mt" size="1"><b>portion)</b></font></td>
<td valign="bottom"><font class="_mt" size="1"> </font></td>
<td style="border-bottom: #000000 1px solid;" valign="bottom" colspan="2" align="center"><font style="font-family: Times New Roman;" class="_mt" size="1"><b>Amount of loss</b></font><br /><font style="font-family: Times New Roman;" class="_mt" size="1"><b>reclassified from</b></font><br /><font style="font-family: Times New Roman;" class="_mt" size="1"><b>accumulated OCI into</b></font><br /><font style="font-family: Times New Roman;" class="_mt" size="1"><b>income (effective</b></font><br /><font style="font-family: Times New Roman;" class="_mt" size="1"><b>portion)</b></font></td>
<td valign="bottom"><font class="_mt" size="1"> </font></td>
<td style="border-bottom: #000000 1px solid;" valign="bottom" align="center"><font style="font-family: Times New Roman;" class="_mt" size="1"><b>Location of gain</b></font><br /><font style="font-family: Times New Roman;" class="_mt" size="1"><b>recognized in</b> </font><br /><font style="font-family: Times New Roman;" class="_mt" size="1"><b>income on</b></font><br /><font style="font-family: Times New Roman;" class="_mt" size="1"><b>derivative</b></font><br /><font style="font-family: Times New Roman;" class="_mt" size="1"><b>(ineffective</b></font><br /><font style="font-family: Times New Roman;" class="_mt" size="1"><b>portion)</b></font> </td>
<td valign="bottom"><font class="_mt" size="1"> </font></td>
<td style="border-bottom: #000000 1px solid;" valign="bottom" colspan="2" align="center"><font style="font-family: Times New Roman;" class="_mt" size="1"><b>Amount of gain</b></font><br /><font style="font-family: Times New Roman;" class="_mt" size="1"><b>recognized in income</b></font><br /><font style="font-family: Times New Roman;" class="_mt" size="1"><b>on derivative</b></font><br /><font style="font-family: Times New Roman;" class="_mt" size="1"><b>(ineffective portion)</b></font></td></tr>
<tr bgcolor="#cceeff"><td valign="top">
<p style="text-indent: -1em; margin-left: 1em;"><font style="font-family: Times New Roman;" class="_mt" size="2">Interest Rate</font></p></td>
<td valign="bottom"><font class="_mt" size="1"> </font></td>
<td valign="bottom"><font style="font-family: Times New Roman;" class="_mt" size="2">$</font></td>
<td valign="bottom" align="right"><font style="font-family: Times New Roman;" class="_mt" size="2">11,294</font></td>
<td valign="bottom"><font class="_mt" size="1"> </font></td>
<td valign="bottom" align="right"><font style="font-family: Times New Roman;" class="_mt" size="2">Interest Expense</font></td>
<td valign="bottom"><font class="_mt" size="1"> </font></td>
<td valign="bottom"><font style="font-family: Times New Roman;" class="_mt" size="2">$</font></td>
<td valign="bottom" align="right"><font style="font-family: Times New Roman;" class="_mt" size="2">12,439</font></td>
<td valign="bottom"><font class="_mt" size="1"> </font></td>
<td valign="bottom" align="right"><font style="font-family: Times New Roman;" class="_mt" size="2">Interest Expense</font></td>
<td valign="bottom"><font class="_mt" size="1"> </font></td>
<td valign="bottom"><font style="font-family: Times New Roman;" class="_mt" size="2">$</font></td>
<td valign="bottom" align="right"><font style="font-family: Times New Roman;" class="_mt" size="2">203</font></td></tr></table>
<p style="margin-top: 12px; margin-bottom: 0px;"><font style="font-family: Times New Roman;" class="_mt" size="2">The table below presents the effect of the Company's derivative financial instruments on the income statement for the six months ended June 30, 2010. </font></p>
<p style="margin-top: 0px; margin-bottom: 0px; font-size: 12px;"> </p>
<table border="0" cellspacing="0" cellpadding="0" width="100%">
<tr><td width="29%"> </td>
<td valign="bottom" width="7%"> </td>
<td> </td>
<td> </td>
<td valign="bottom" width="7%"> </td>
<td> </td>
<td valign="bottom" width="7%"> </td>
<td> </td>
<td> </td>
<td valign="bottom" width="7%"> </td>
<td> </td>
<td valign="bottom" width="7%"> </td>
<td> </td>
<td> </td></tr>
<tr><td valign="bottom" nowrap="nowrap">
<p style="margin-top: 0px; margin-bottom: 0px;"><font style="font-family: Times New Roman;" class="_mt" size="1"><b>Derivative</b></font></p>
<p style="margin-top: 0px; margin-bottom: 0px;"><font style="font-family: Times New Roman;" class="_mt" size="1"><b>type for</b></font></p>
<p style="margin-top: 0px; margin-bottom: 0px;"><font style="font-family: Times New Roman;" class="_mt" size="1"><b>cash flow</b></font></p>
<p style="border-bottom: #000000 1px solid; margin-top: 0px; width: 35pt; margin-bottom: 1px;"><font style="font-family: Times New Roman;" class="_mt" size="1"><b>hedge</b></font></p></td>
<td valign="bottom"><font class="_mt" size="1"> </font></td>
<td style="border-bottom: #000000 1px solid;" valign="bottom" colspan="2" align="center"><font style="font-family: Times New Roman;" class="_mt" size="1"><b>Amount of loss recognized</b></font><br /><font style="font-family: Times New Roman;" class="_mt" size="1"><b>in OCI on derivative</b></font><br /><font style="font-family: Times New Roman;" class="_mt" size="1"><b>(effective portion)</b></font></td>
<td valign="bottom"><font class="_mt" size="1"> </font></td>
<td style="border-bottom: #000000 1px solid;" valign="bottom" align="center"><font style="font-family: Times New Roman;" class="_mt" size="1"><b>Location of loss</b></font><br /><font style="font-family: Times New Roman;" class="_mt" size="1"><b>reclassified from</b></font><br /><font style="font-family: Times New Roman;" class="_mt" size="1"><b>accumulated</b></font><br /><font style="font-family: Times New Roman;" class="_mt" size="1"><b>OCI into</b></font><br /><font style="font-family: Times New Roman;" class="_mt" size="1"><b>income</b></font><br /><font style="font-family: Times New Roman;" class="_mt" size="1"><b>(effective</b></font><br /><font style="font-family: Times New Roman;" class="_mt" size="1"><b>portion)</b></font></td>
<td valign="bottom"><font class="_mt" size="1"> </font></td>
<td style="border-bottom: #000000 1px solid;" valign="bottom" colspan="2" align="center"><font style="font-family: Times New Roman;" class="_mt" size="1"><b>Amount of loss</b></font><br /><font style="font-family: Times New Roman;" class="_mt" size="1"><b>reclassified from</b></font><br /><font style="font-family: Times New Roman;" class="_mt" size="1"><b>accumulated OCI into</b></font><br /><font style="font-family: Times New Roman;" class="_mt" size="1"><b>income (effective</b></font><br /><font style="font-family: Times New Roman;" class="_mt" size="1"><b>portion)</b></font></td>
<td valign="bottom"><font class="_mt" size="1"> </font></td>
<td style="border-bottom: #000000 1px solid;" valign="bottom" align="center"><font style="font-family: Times New Roman;" class="_mt" size="1"><b>Location of gain</b></font><br /><font style="font-family: Times New Roman;" class="_mt" size="1"><b>recognized in</b></font><br /><font style="font-family: Times New Roman;" class="_mt" size="1"><b>income on</b></font><br /><font style="font-family: Times New Roman;" class="_mt" size="1"><b>derivative</b></font><br /><font style="font-family: Times New Roman;" class="_mt" size="1"><b>(ineffective</b></font><br /><font style="font-family: Times New Roman;" class="_mt" size="1"><b>portion)</b></font> </td>
<td valign="bottom"><font class="_mt" size="1"> </font></td>
<td style="border-bottom: #000000 1px solid;" valign="bottom" colspan="2" align="center"><font style="font-family: Times New Roman;" class="_mt" size="1"><b>Amount of gain</b></font><br /><font style="font-family: Times New Roman;" class="_mt" size="1"><b>recognized in income</b></font><br /><font style="font-family: Times New Roman;" class="_mt" size="1"><b>on derivative</b></font><br /><font style="font-family: Times New Roman;" class="_mt" size="1"><b>(ineffective portion)</b></font></td></tr>
<tr bgcolor="#cceeff"><td valign="top">
<p style="text-indent: -1em; margin-left: 1em;"><font style="font-family: Times New Roman;" class="_mt" size="2">Interest Rate</font></p></td>
<td valign="bottom"><font class="_mt" size="1"> </font></td>
<td valign="bottom"><font style="font-family: Times New Roman;" class="_mt" size="2">$</font></td>
<td valign="bottom" align="right"><font style="font-family: Times New Roman;" class="_mt" size="2">78,559</font></td>
<td valign="bottom"><font class="_mt" size="1"> </font></td>
<td valign="bottom" align="right"><font style="font-family: Times New Roman;" class="_mt" size="2">Interest Expense</font></td>
<td valign="bottom"><font class="_mt" size="1"> </font></td>
<td valign="bottom"><font style="font-family: Times New Roman;" class="_mt" size="2">$</font></td>
<td valign="bottom" align="right"><font style="font-family: Times New Roman;" class="_mt" size="2">33,826</font></td>
<td valign="bottom"><font class="_mt" size="1"> </font></td>
<td valign="bottom" align="right"><font style="font-family: Times New Roman;" class="_mt" size="2">Interest Expense</font></td>
<td valign="bottom"><font class="_mt" size="1"> </font></td>
<td valign="bottom"><font style="font-family: Times New Roman;" class="_mt" size="2">$</font></td>
<td valign="bottom" align="right"><font style="font-family: Times New Roman;" class="_mt" size="2">261</font></td></tr></table>
<p style="margin-top: 0px; margin-bottom: 0px;"><font class="_mt" size="1"> </font> </p>
<p style="margin-top: 0px; margin-bottom: 0px;"><font style="font-family: Times New Roman;" class="_mt" size="2">The table below presents the effect of the Company's derivative financial instruments on the income statement for the six months ended June 30, 2009. </font></p>
<table border="0" cellspacing="0" cellpadding="0" width="100%">
<tr><td width="27%"> </td>
<td valign="bottom" width="8%"> </td>
<td> </td>
<td> </td>
<td valign="bottom" width="8%"> </td>
<td> </td>
<td valign="bottom" width="8%"> </td>
<td> </td>
<td> </td>
<td valign="bottom" width="8%"> </td>
<td> </td>
<td valign="bottom" width="8%"> </td>
<td> </td>
<td> </td></tr>
<tr><td valign="bottom" nowrap="nowrap">
<p style="margin-top: 0px; margin-bottom: 0px;"><font style="font-family: Times New Roman;" class="_mt" size="1"><b>Derivative</b></font></p>
<p style="margin-top: 0px; margin-bottom: 0px;"><font style="font-family: Times New Roman;" class="_mt" size="1"><b>type for</b></font></p>
<p style="margin-top: 0px; margin-bottom: 0px;"><font style="font-family: Times New Roman;" class="_mt" size="1"><b>cash flow</b></font></p>
<p style="border-bottom: #000000 1px solid; margin-top: 0px; width: 35pt; margin-bottom: 1px;"><font style="font-family: Times New Roman;" class="_mt" size="1"><b>hedge</b></font></p></td>
<td valign="bottom"><font class="_mt" size="1"> </font></td>
<td style="border-bottom: #000000 1px solid;" valign="bottom" colspan="2" align="center"><font style="font-family: Times New Roman;" class="_mt" size="1"><b>Amount of loss recognized</b></font><br /><font style="font-family: Times New Roman;" class="_mt" size="1"><b>in OCI on derivative</b></font><br /><font style="font-family: Times New Roman;" class="_mt" size="1"><b>(effective portion)</b></font></td>
<td valign="bottom"><font class="_mt" size="1"> </font></td>
<td style="border-bottom: #000000 1px solid;" valign="bottom" align="center"><font style="font-family: Times New Roman;" class="_mt" size="1"><b>Location of loss</b></font><br /><font style="font-family: Times New Roman;" class="_mt" size="1"><b>reclassified from</b></font><br /><font style="font-family: Times New Roman;" class="_mt" size="1"><b>accumulated</b></font><br /><font style="font-family: Times New Roman;" class="_mt" size="1"><b>OCI into</b></font><br /><font style="font-family: Times New Roman;" class="_mt" size="1"><b>income</b></font><br /><font style="font-family: Times New Roman;" class="_mt" size="1"><b>(effective</b></font><br /><font style="font-family: Times New Roman;" class="_mt" size="1"><b>portion)</b></font></td>
<td valign="bottom"><font class="_mt" size="1"> </font></td>
<td style="border-bottom: #000000 1px solid;" valign="bottom" colspan="2" align="center"><font style="font-family: Times New Roman;" class="_mt" size="1"><b>Amount of loss</b></font><br /><font style="font-family: Times New Roman;" class="_mt" size="1"><b>reclassified from</b></font><br /><font style="font-family: Times New Roman;" class="_mt" size="1"><b>accumulated OCI into</b></font><br /><font style="font-family: Times New Roman;" class="_mt" size="1"><b>income (effective</b></font><br /><font style="font-family: Times New Roman;" class="_mt" size="1"><b>portion)</b></font></td>
<td valign="bottom"><font class="_mt" size="1"> </font></td>
<td style="border-bottom: #000000 1px solid;" valign="bottom" align="center"><font style="font-family: Times New Roman;" class="_mt" size="1"><b>Location of gain</b></font><br /><font style="font-family: Times New Roman;" class="_mt" size="1"><b>recognized in</b></font><br /><font style="font-family: Times New Roman;" class="_mt" size="1"><b>income on</b></font><br /><font style="font-family: Times New Roman;" class="_mt" size="1"><b>derivative</b></font><br /><font style="font-family: Times New Roman;" class="_mt" size="1"><b>(ineffective</b></font><br /><font style="font-family: Times New Roman;" class="_mt" size="1"><b>portion)</b></font> </td>
<td valign="bottom"><font class="_mt" size="1"> </font></td>
<td style="border-bottom: #000000 1px solid;" valign="bottom" colspan="2" align="center"><font style="font-family: Times New Roman;" class="_mt" size="1"><b>Amount of gain</b></font><br /><font style="font-family: Times New Roman;" class="_mt" size="1"><b>recognized in income</b></font><br /><font style="font-family: Times New Roman;" class="_mt" size="1"><b>on derivative</b></font><br /><font style="font-family: Times New Roman;" class="_mt" size="1"><b>(ineffective portion)</b></font></td></tr>
<tr bgcolor="#cceeff"><td valign="top">
<p style="text-indent: -1em; margin-left: 1em;"><font style="font-family: Times New Roman;" class="_mt" size="2">Interest Rate</font></p></td>
<td valign="bottom"><font class="_mt" size="1"> </font></td>
<td valign="bottom"><font style="font-family: Times New Roman;" class="_mt" size="2">$</font></td>
<td valign="bottom" align="right"><font style="font-family: Times New Roman;" class="_mt" size="2">324</font></td>
<td valign="bottom"><font class="_mt" size="1"> </font></td>
<td valign="bottom" align="right"><font style="font-family: Times New Roman;" class="_mt" size="2">Interest Expense</font></td>
<td valign="bottom"><font class="_mt" size="1"> </font></td>
<td valign="bottom"><font style="font-family: Times New Roman;" class="_mt" size="2">$</font></td>
<td valign="bottom" align="right"><font style="font-family: Times New Roman;" class="_mt" size="2">23,047</font></td>
<td valign="bottom"><font class="_mt" size="1"> </font></td>
<td valign="bottom" align="right"><font style="font-family: Times New Roman;" class="_mt" size="2">Interest Expense</font></td>
<td valign="bottom"><font class="_mt" size="1"> </font></td>
<td valign="bottom"><font style="font-family: Times New Roman;" class="_mt" size="2">$</font></td>
<td valign="bottom" align="right"><font style="font-family: Times New Roman;" class="_mt" size="2">179</font></td></tr></table>
<p style="margin-top: 12px; margin-bottom: 0px;"><font style="font-family: Times New Roman;" class="_mt" size="2">The following table presents the impact of the Company's interest rate swap agreements on the Company's accumulated other comprehensive income for the six months ended June 30, 2010 and the year ended December 31, 2009, respectively. </font></p>
<p style="margin-top: 0px; margin-bottom: 0px; font-size: 12px;"> </p>
<table border="0" cellspacing="0" cellpadding="0" width="84%">
<tr><td width="72%"> </td>
<td valign="bottom" width="8%"> </td>
<td> </td>
<td> </td>
<td> </td>
<td valign="bottom" width="8%"> </td>
<td> </td>
<td> </td>
<td> </td></tr>
<tr><td valign="bottom"><font class="_mt" size="1"> </font></td>
<td valign="bottom"><font class="_mt" size="1"> </font></td>
<td style="border-bottom: #000000 1px solid;" valign="bottom" colspan="2" align="center"><font style="font-family: Times New Roman;" class="_mt" size="1"><b>June 30, 2010</b></font></td>
<td valign="bottom"><font class="_mt" size="1"> </font></td>
<td valign="bottom"><font class="_mt" size="1"> </font></td>
<td style="border-bottom: #000000 1px solid;" valign="bottom" colspan="2" align="center"><font style="font-family: Times New Roman;" class="_mt" size="1"><b>December 31,2009</b></font></td>
<td valign="bottom"><font class="_mt" size="1"> </font></td></tr>
<tr bgcolor="#cceeff"><td valign="top">
<p style="text-indent: -1em; margin-left: 1em;"><font style="font-family: Times New Roman;" class="_mt" size="2">Beginning balance</font></p></td>
<td valign="bottom"><font class="_mt" size="1"> </font></td>
<td valign="bottom"><font style="font-family: Times New Roman;" class="_mt" size="2">$</font></td>
<td valign="bottom" align="right"><font style="font-family: Times New Roman;" class="_mt" size="2">(35,742</font></td>
<td valign="bottom" nowrap="nowrap"><font style="font-family: Times New Roman;" class="_mt" size="2">) </font></td>
<td valign="bottom"><font class="_mt" size="1"> </font></td>
<td valign="bottom"><font style="font-family: Times New Roman;" class="_mt" size="2">$</font></td>
<td valign="bottom" align="right"><font style="font-family: Times New Roman;" class="_mt" size="2">(62,496</font></td>
<td valign="bottom" nowrap="nowrap"><font style="font-family: Times New Roman;" class="_mt" size="2">) </font></td></tr>
<tr><td valign="top">
<p style="text-indent: -1em; margin-left: 1em;"><font style="font-family: Times New Roman;" class="_mt" size="2">Unrealized gain (loss) on interest rate swaps</font></p></td>
<td valign="bottom"><font class="_mt" size="1"> </font></td>
<td valign="bottom"><font style="font-family: Times New Roman;" class="_mt" size="2"> </font></td>
<td valign="bottom" align="right"><font style="font-family: Times New Roman;" class="_mt" size="2">(78,559</font></td>
<td valign="bottom" nowrap="nowrap"><font style="font-family: Times New Roman;" class="_mt" size="2">) </font></td>
<td valign="bottom"><font class="_mt" size="1"> </font></td>
<td valign="bottom"><font style="font-family: Times New Roman;" class="_mt" size="2"> </font></td>
<td valign="bottom" align="right"><font style="font-family: Times New Roman;" class="_mt" size="2">(26,256</font></td>
<td valign="bottom" nowrap="nowrap"><font style="font-family: Times New Roman;" class="_mt" size="2">) </font></td></tr>
<tr bgcolor="#cceeff"><td valign="top">
<p style="text-indent: -1em; margin-left: 1em;"><font style="font-family: Times New Roman;" class="_mt" size="2">Reclassification of net losses included in income statement</font></p></td>
<td valign="bottom"><font class="_mt" size="1"> </font></td>
<td valign="bottom"><font style="font-family: Times New Roman;" class="_mt" size="2"> </font></td>
<td valign="bottom" align="right"><font style="font-family: Times New Roman;" class="_mt" size="2">33,826</font></td>
<td valign="bottom" nowrap="nowrap"><font style="font-family: Times New Roman;" class="_mt" size="2"> </font></td>
<td valign="bottom"><font class="_mt" size="1"> </font></td>
<td valign="bottom"><font style="font-family: Times New Roman;" class="_mt" size="2"> </font></td>
<td valign="bottom" align="right"><font style="font-family: Times New Roman;" class="_mt" size="2">53,010</font></td>
<td valign="bottom" nowrap="nowrap"><font style="font-family: Times New Roman;" class="_mt" size="2"> </font></td></tr>
<tr style="font-size: 1px;"><td valign="bottom"> </td>
<td valign="bottom"> </td>
<td style="border-top: #000000 1px solid;" valign="bottom"> </td>
<td style="border-top: #000000 1px solid;" valign="bottom"> </td>
<td> </td>
<td valign="bottom"> </td>
<td style="border-top: #000000 1px solid;" valign="bottom"> </td>
<td style="border-top: #000000 1px solid;" valign="bottom"> </td>
<td> </td></tr>
<tr><td valign="top">
<p style="text-indent: -1em; margin-left: 1em;"><font style="font-family: Times New Roman;" class="_mt" size="2">Ending balance</font></p></td>
<td valign="bottom"><font class="_mt" size="1"> </font></td>
<td valign="bottom"><font style="font-family: Times New Roman;" class="_mt" size="2">$</font></td>
<td valign="bottom" align="right"><font style="font-family: Times New Roman;" class="_mt" size="2">(80,475</font></td>
<td valign="bottom" nowrap="nowrap"><font style="font-family: Times New Roman;" class="_mt" size="2">) </font></td>
<td valign="bottom"><font class="_mt" size="1"> </font></td>
<td valign="bottom"><font style="font-family: Times New Roman;" class="_mt" size="2">$</font></td>
<td valign="bottom" align="right"><font style="font-family: Times New Roman;" class="_mt" size="2">(35,742</font></td>
<td valign="bottom" nowrap="nowrap"><font style="font-family: Times New Roman;" class="_mt" size="2">) </font></td></tr>
<tr style="font-size: 1px;"><td valign="bottom"> </td>
<td valign="bottom"> </td>
<td style="border-top: #000000 3px double;" valign="bottom"> </td>
<td style="border-top: #000000 3px double;" valign="bottom"> </td>
<td> </td>
<td valign="bottom"> </td>
<td style="border-top: #000000 3px double;" valign="bottom"> </td>
<td style="border-top: #000000 3px double;" valign="bottom"> </td>
<td> </td></tr></table>
<p style="margin-top: 12px; margin-bottom: 0px;"><font style="font-family: Times New Roman;" class="_mt" size="2">During the six months ended June 30, 2010, the Company entered into forward commitments to purchase TBA agency securities that were accounted for as derivatives. These forward contracts were designated as all-in-one cash flow hedges pursuant to ASC Topic 815. The fair value of the forward commitment of $8,528 is reported in other assets, with a corresponding unrealized gain recognized in other comprehensive income. On the date of physical settlement, unrealized gains or losses will be reclassified to OCI for available-for-sale securities. </font></p>
<p style="margin-top: 18px; margin-bottom: 0px; margin-left: 2%;"><font style="font-family: Times New Roman;" class="_mt" size="2"><b><i>Credit-risk-related Contingent Features </i></b></font></p>
<p style="margin-top: 6px; margin-bottom: 0px;"><font style="font-family: Times New Roman;" class="_mt" size="2">The Company has agreements with certain of its derivative counterparties that contain a provision where if the Company defaults on any of its indebtedness, including default where repayment of the indebtedness has not been accelerated by the lender then the Company could also be declared in default on its derivative obligations with those counterparties. </font></p>
<p style="margin-top: 12px; margin-bottom: 0px;"><font style="font-family: Times New Roman;" class="_mt" size="2">The Company has agreements with certain of its derivative counterparties that contain a provision where if the Company's U.S. GAAP shareholders' equity declines by a specified percentage over a specified time period, or if the Company fails to maintain a minimum shareholders' equity threshold, then the Company could be declared in default on its derivative obligations. The Company has an agreement with one of its derivative counterparties that contain a provision where if the Company exceeds a leverage ratio of 12 to 1 then the Company could be declared in default on its derivative obligations with that counterparty. </font></p>
<p style="margin-top: 12px; margin-bottom: 0px;"><font style="font-family: Times New Roman;" class="_mt" size="2">As of June 30, 2010, the fair value of derivatives in a net liability position, which includes accrued interest but excludes any adjustment for nonperformance risk, related to these agreements was $80,588. The Company has collateral posting requirements with each of its counterparties and all interest rate swap agreements were fully collateralized as of June 30, 2010. At June 30, 2010 the Company was in compliance with these requirements. </font></p></div> </div>7. Derivatives - Interest Rate Swap Agreements
Risk Management Objective of Using Derivatives
The Company is exposed to certain risk arising from both itsfalsefalsefalseus-types:textBlockItemTypetextblockA table or schedule that identifies and provides pertinent information about a derivative or group of derivatives on a disaggregated basis, such as for individual instruments, or small groups of similar instruments. May include a combination of the type of instrument, risks being hedged, notional amount, hedge designation, related hedged item, inception date, maturity date, or other relevant item.No authoritative reference available.false11falseUnKnownUnKnownUnKnownfalsetrue