2.4.0.8115 - Disclosure - Derivative and other Hedging Instrumentstruefalsefalse1false
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<p style="MARGIN-TOP: 12pt; FONT-FAMILY: Times New Roman; MARGIN-BOTTOM: 0pt; FONT-SIZE: 12pt">
<b>7. Derivative and other Hedging Instruments</b></p>
<!-- xbrl,body -->
<p style="MARGIN-TOP: 12pt; FONT-FAMILY: Times New Roman; MARGIN-BOTTOM: 0pt; FONT-SIZE: 12pt" align="justify">In connection with our risk management strategy, we
hedge a portion of our interest rate risk by entering into
derivative and other hedging instrument contracts. We may enter
into agreements for interest rate swaps, interest rate swaptions,
interest rate cap or floor contracts and futures or forward
contracts. Our risk management strategy attempts to manage the
overall risk of the portfolio, reduce fluctuations in book value
and generate additional income distributable to stockholders. For
additional information regarding our derivative instruments and our
overall risk management strategy, please refer to the discussion of
derivative and other hedging instruments in Note 2.</p>
<p style="MARGIN-TOP: 12pt; FONT-FAMILY: Times New Roman; MARGIN-BOTTOM: 0pt; FONT-SIZE: 12pt" align="justify">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 fair value of Futures Contracts is
based on quoted prices from the exchange on which they trade. The
table below presents the fair value of the Company’s
derivative instruments as well as their classification on the
balance sheets as of June 30, 2013 and December 31, 2012,
respectively.</p>
<p style="MARGIN-TOP: 12px; MARGIN-BOTTOM: 0px; FONT-SIZE: 1px">
 </p>
<table style="BORDER-COLLAPSE: collapse; FONT-FAMILY: Times New Roman; FONT-SIZE: 10pt" border="0" cellspacing="0" cellpadding="0" width="100%" align="center"><!-- Begin Table Head -->
<tr>
<td width="34%"></td>
<td valign="bottom" width="7%"></td>
<td width="33%"></td>
<td valign="bottom" width="7%"></td>
<td></td>
<td></td>
<td></td>
<td valign="bottom" width="7%"></td>
<td></td>
<td></td>
<td></td>
</tr>
<tr style="FONT-FAMILY: Times New Roman; FONT-SIZE: 10pt">
<td valign="bottom"><b>Derivative Instruments</b></td>
<td valign="bottom"><font style="FONT-SIZE: 8pt"> </font></td>
<td valign="bottom"><b>Balance Sheet Location</b></td>
<td valign="bottom"><font style="FONT-SIZE: 8pt"> </font></td>
<td valign="bottom" colspan="2" align="right">
<b>            June 30, 2013</b></td>
<td valign="bottom"><font style="FONT-SIZE: 8pt"> </font></td>
<td valign="bottom"><font style="FONT-SIZE: 8pt"> </font></td>
<td valign="bottom" colspan="2" align="right">
<b>            December 31, 2012</b></td>
<td valign="bottom"><font style="FONT-SIZE: 8pt"> </font></td>
</tr>
<!-- End Table Head --><!-- Begin Table Body -->
<tr style="FONT-FAMILY: Times New Roman; FONT-SIZE: 10pt" bgcolor="#CCEEFF">
<td valign="top"><font style="FONT-SIZE: 12pt">Interest rate
swaps</font></td>
<td valign="bottom"><font style="FONT-SIZE: 8pt"> </font></td>
<td valign="bottom"><font style="FONT-SIZE: 12pt">Interest rate
hedge asset</font></td>
<td valign="bottom"><font style="FONT-SIZE: 8pt"> </font></td>
<td valign="bottom">$</td>
<td valign="bottom" align="right">25,921</td>
<td valign="bottom" nowrap="nowrap">  </td>
<td valign="bottom"><font style="FONT-SIZE: 8pt"> </font></td>
<td valign="bottom">$</td>
<td valign="bottom" align="right">-  </td>
<td valign="bottom" nowrap="nowrap">  </td>
</tr>
<tr style="FONT-FAMILY: Times New Roman; FONT-SIZE: 10pt">
<td valign="top"><font style="FONT-SIZE: 12pt">Forward purchase
commitments</font></td>
<td valign="bottom"><font style="FONT-SIZE: 8pt"> </font></td>
<td valign="bottom"><font style="FONT-SIZE: 12pt">Other
assets</font></td>
<td valign="bottom"><font style="FONT-SIZE: 8pt"> </font></td>
<td valign="bottom"> </td>
<td valign="bottom" align="right">-  </td>
<td valign="bottom" nowrap="nowrap">  </td>
<td valign="bottom"><font style="FONT-SIZE: 8pt"> </font></td>
<td valign="bottom"> </td>
<td valign="bottom" align="right">5,452</td>
<td valign="bottom" nowrap="nowrap">  </td>
</tr>
<tr style="FONT-FAMILY: Times New Roman; FONT-SIZE: 10pt" bgcolor="#CCEEFF">
<td valign="top"><font style="FONT-SIZE: 12pt">Futures
contracts</font></td>
<td valign="bottom"><font style="FONT-SIZE: 8pt"> </font></td>
<td valign="bottom"><font style="FONT-SIZE: 12pt">Other
assets</font></td>
<td valign="bottom"><font style="FONT-SIZE: 8pt"> </font></td>
<td valign="bottom"> </td>
<td valign="bottom" align="right">5,587</td>
<td valign="bottom" nowrap="nowrap">  </td>
<td valign="bottom"><font style="FONT-SIZE: 8pt"> </font></td>
<td valign="bottom"> </td>
<td valign="bottom" align="right">-  </td>
<td valign="bottom" nowrap="nowrap">  </td>
</tr>
<tr style="FONT-FAMILY: Times New Roman; FONT-SIZE: 10pt">
<td valign="top"><font style="FONT-SIZE: 12pt">Interest rate
swaps</font></td>
<td valign="bottom"><font style="FONT-SIZE: 8pt"> </font></td>
<td valign="bottom" nowrap="nowrap"><font style="FONT-SIZE: 12pt">Interest rate hedge liability</font></td>
<td valign="bottom"><font style="FONT-SIZE: 8pt"> </font></td>
<td valign="bottom">$</td>
<td valign="bottom" align="right">157,869</td>
<td valign="bottom" nowrap="nowrap">  </td>
<td valign="bottom"><font style="FONT-SIZE: 8pt"> </font></td>
<td valign="bottom">$</td>
<td valign="bottom" align="right">243,945</td>
<td valign="bottom" nowrap="nowrap">  </td>
</tr>
<tr style="FONT-FAMILY: Times New Roman; FONT-SIZE: 10pt" bgcolor="#CCEEFF">
<td valign="top" nowrap="nowrap"><font style="FONT-SIZE: 12pt">Forward purchase commitments</font></td>
<td valign="bottom"><font style="FONT-SIZE: 8pt"> </font></td>
<td valign="bottom">
<p style="MARGIN-TOP: 0pt; FONT-FAMILY: Times New Roman; MARGIN-BOTTOM: 1pt; FONT-SIZE: 12pt">
Accounts payable and other liabilities</p>
</td>
<td valign="bottom"><font style="FONT-SIZE: 8pt"> </font></td>
<td valign="bottom"> </td>
<td valign="bottom" align="right">43,724</td>
<td valign="bottom" nowrap="nowrap">  </td>
<td valign="bottom"><font style="FONT-SIZE: 8pt"> </font></td>
<td valign="bottom">$</td>
<td valign="bottom" align="right">-  </td>
<td valign="bottom" nowrap="nowrap">  </td>
</tr>
<!-- End Table Body --></table>
<p style="MARGIN-TOP: 12pt; FONT-FAMILY: Times New Roman; MARGIN-BOTTOM: 0pt; FONT-SIZE: 12pt">
<b>Cash Flow Hedges of Interest Rate Risk</b></p>
<p style="MARGIN-TOP: 12pt; FONT-FAMILY: Times New Roman; MARGIN-BOTTOM: 0pt; FONT-SIZE: 12pt" align="justify">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. 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 repurchase agreements for the terms
of the swaps. Although the Company’s objective is to hedge
the risk associated with changing repurchase agreement rates, the
Company’s hedges are benchmark interest rate hedges which
perform with reference to LIBOR. Therefore, the Company remains at
risk to the variability of the spread between repurchase agreement
rates and LIBOR interest rates.</p>
<p style="MARGIN-TOP: 12pt; FONT-FAMILY: Times New Roman; MARGIN-BOTTOM: 0pt; FONT-SIZE: 12pt" align="justify">For qualifying derivatives under cash flow hedge
accounting, effective hedge gains or losses are initially recorded
in accumulated other comprehensive income and subsequently
reclassified into earnings in the period that the hedged forecasted
transaction affects earnings. During the three months ended
June 30, 2013 and 2012, these effective hedge gains (losses)
which were reclassified into earnings totaled $57,294 and
($59,168), respectively. During the six months ended June 30,
2013 and 2012, these effective hedge gains (losses) which were
reclassified into earnings totaled $51,385 and ($87,591),
respectively. Ineffective hedge gains (losses) are recorded on a
current basis in earnings and for the three months ended
June 30, 2013 and 2012, the Company recorded $212 and ($169)
of hedge ineffectiveness gain (loss) in earnings, respectively. For
the six months ended June 30, 2013 and 2012, the Company
recorded $96 and ($338), respectively, hedge ineffectiveness gain
(loss) 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.</p>
<p style="MARGIN-TOP: 12pt; FONT-FAMILY: Times New Roman; MARGIN-BOTTOM: 0pt; FONT-SIZE: 12pt" align="justify">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 $113,831 will be reclassified as an
increase to interest expense.</p>
<p style="MARGIN-TOP: 12px; MARGIN-BOTTOM: 0px; FONT-SIZE: 1px">
 </p>
<p style="MARGIN-TOP: 0pt; FONT-FAMILY: Times New Roman; MARGIN-BOTTOM: 0pt; FONT-SIZE: 12pt">
The Company is hedging its exposure to the variability in future
cash flows with interest rate swaps for current and forecasted
transactions over a weighted-average period of 28 months. The table
below shows the remaining term of the Company’s interest rate
swaps as of June 30, 2013.</p>
<p style="MARGIN-TOP: 0pt; MARGIN-BOTTOM: 0pt; FONT-SIZE: 12pt">
 </p>
<table style="PADDING-BOTTOM: 2pt; BORDER-COLLAPSE: collapse; FONT-FAMILY: Times New Roman; MARGIN-BOTTOM: -1pt; FONT-SIZE: 10pt" border="0" cellspacing="0" cellpadding="0" width="76%" align="center"><!-- Begin Table Head -->
<tr>
<td width="47%"></td>
<td valign="bottom" width="10%"></td>
<td></td>
<td></td>
<td></td>
<td valign="bottom" width="10%"></td>
<td></td>
<td valign="bottom" width="10%"></td>
<td></td>
</tr>
<tr style="FONT-FAMILY: Times New Roman; FONT-SIZE: 10pt">
<td valign="bottom"><font style="FONT-SIZE: 8pt"> </font></td>
<td valign="bottom"><font style="FONT-SIZE: 8pt">  </font></td>
<td valign="bottom" colspan="2"><font style="FONT-SIZE: 8pt"> </font></td>
<td valign="bottom"><font style="FONT-SIZE: 8pt"> </font></td>
<td valign="bottom"><font style="FONT-SIZE: 8pt">  </font></td>
<td valign="bottom" align="center"><b>Remaining</b></td>
<td valign="bottom"><font style="FONT-SIZE: 8pt">  </font></td>
<td valign="bottom" align="center">
<b>Weighted Average</b></td>
</tr>
<tr style="FONT-FAMILY: Times New Roman; FONT-SIZE: 10pt">
<td valign="bottom"><font style="FONT-SIZE: 8pt"> </font></td>
<td valign="bottom"><font style="FONT-SIZE: 8pt">  </font></td>
<td valign="bottom" colspan="2" align="center"><b>Notional</b></td>
<td valign="bottom"><font style="FONT-SIZE: 8pt"> </font></td>
<td valign="bottom"><font style="FONT-SIZE: 8pt">  </font></td>
<td valign="bottom" align="center"><b>Term</b></td>
<td valign="bottom"><font style="FONT-SIZE: 8pt">  </font></td>
<td valign="bottom" align="center"><b>Fixed Interest</b></td>
</tr>
<tr style="FONT-FAMILY: Times New Roman; FONT-SIZE: 10pt">
<td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom">
<b>  Maturity</b></td>
<td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom">
<font style="FONT-SIZE: 8pt">  </font></td>
<td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" colspan="2" align="center"><b>Amount</b></td>
<td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom">
<font style="FONT-SIZE: 8pt"> </font></td>
<td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom">
<font style="FONT-SIZE: 8pt">  </font></td>
<td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" align="center"><b>in Months</b></td>
<td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom">
<font style="FONT-SIZE: 8pt">  </font></td>
<td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" align="center"><b>Rate in Contract</b></td>
</tr>
<!-- End Table Head --><!-- Begin Table Body -->
<tr>
<td height="16"></td>
<td height="16" colspan="4"></td>
<td height="16" colspan="2"></td>
<td height="16" colspan="2"></td>
</tr>
<tr style="FONT-FAMILY: Times New Roman; FONT-SIZE: 10pt" bgcolor="#CCEEFF">
<td valign="top">
<p style="TEXT-INDENT: -1em; FONT-FAMILY: Times New Roman; MARGIN-LEFT: 1em; FONT-SIZE: 10pt">
  12 months or less</p>
</td>
<td valign="bottom"><font style="FONT-SIZE: 8pt">  </font></td>
<td valign="bottom">$</td>
<td valign="bottom" align="right">1,200,000</td>
<td valign="bottom" nowrap="nowrap">  </td>
<td valign="bottom"><font style="FONT-SIZE: 8pt">  </font></td>
<td valign="bottom" align="center">7</td>
<td valign="bottom"><font style="FONT-SIZE: 8pt">  </font></td>
<td valign="bottom" align="center">1.90%</td>
</tr>
<tr style="FONT-FAMILY: Times New Roman; FONT-SIZE: 10pt">
<td valign="top">
<p style="TEXT-INDENT: -1em; FONT-FAMILY: Times New Roman; MARGIN-LEFT: 1em; FONT-SIZE: 10pt">
  Over 12 months to 24 months</p>
</td>
<td valign="bottom"><font style="FONT-SIZE: 8pt">  </font></td>
<td valign="bottom"> </td>
<td valign="bottom" align="right">3,800,000</td>
<td valign="bottom" nowrap="nowrap">  </td>
<td valign="bottom"><font style="FONT-SIZE: 8pt">  </font></td>
<td valign="bottom" align="center">19</td>
<td valign="bottom"><font style="FONT-SIZE: 8pt">  </font></td>
<td valign="bottom" align="center">1.78%</td>
</tr>
<tr style="FONT-FAMILY: Times New Roman; FONT-SIZE: 10pt" bgcolor="#CCEEFF">
<td valign="top">
<p style="TEXT-INDENT: -1em; FONT-FAMILY: Times New Roman; MARGIN-LEFT: 1em; FONT-SIZE: 10pt">
  Over 24 months to 36 months</p>
</td>
<td valign="bottom"><font style="FONT-SIZE: 8pt">  </font></td>
<td valign="bottom"> </td>
<td valign="bottom" align="right">2,700,000</td>
<td valign="bottom" nowrap="nowrap">  </td>
<td valign="bottom"><font style="FONT-SIZE: 8pt">  </font></td>
<td valign="bottom" align="center">30</td>
<td valign="bottom"><font style="FONT-SIZE: 8pt">  </font></td>
<td valign="bottom" align="center">1.30%</td>
</tr>
<tr style="FONT-FAMILY: Times New Roman; FONT-SIZE: 10pt">
<td valign="top">
<p style="TEXT-INDENT: -1em; FONT-FAMILY: Times New Roman; MARGIN-LEFT: 1em; FONT-SIZE: 10pt">
  Over 36 months to 48 months</p>
</td>
<td valign="bottom"><font style="FONT-SIZE: 8pt">  </font></td>
<td valign="bottom"> </td>
<td valign="bottom" align="right">2,600,000</td>
<td valign="bottom" nowrap="nowrap">  </td>
<td valign="bottom"><font style="FONT-SIZE: 8pt">  </font></td>
<td valign="bottom" align="center">43</td>
<td valign="bottom"><font style="FONT-SIZE: 8pt">  </font></td>
<td valign="bottom" align="center">0.91%</td>
</tr>
<tr style="FONT-FAMILY: Times New Roman; FONT-SIZE: 10pt" bgcolor="#CCEEFF">
<td valign="top">
<p style="TEXT-INDENT: -1em; FONT-FAMILY: Times New Roman; MARGIN-LEFT: 1em; FONT-SIZE: 10pt">
  Over 48 months to 60 months</p>
</td>
<td valign="bottom"><font style="FONT-SIZE: 8pt">  </font></td>
<td valign="bottom"> </td>
<td valign="bottom" align="right">800,000</td>
<td valign="bottom" nowrap="nowrap">  </td>
<td valign="bottom"><font style="FONT-SIZE: 8pt">  </font></td>
<td valign="bottom" align="center">53</td>
<td valign="bottom"><font style="FONT-SIZE: 8pt">  </font></td>
<td valign="bottom" align="center">0.93%</td>
</tr>
<tr>
<td height="16"></td>
<td height="16" colspan="4"></td>
<td height="16" colspan="2"></td>
<td height="16" colspan="2"></td>
</tr>
<tr style="FONT-FAMILY: Times New Roman; FONT-SIZE: 10pt">
<td valign="top">
<p style="TEXT-INDENT: -1em; FONT-FAMILY: Times New Roman; MARGIN-LEFT: 1em; FONT-SIZE: 10pt">
  Total</p>
</td>
<td valign="bottom"><font style="FONT-SIZE: 8pt">  </font></td>
<td valign="bottom"><u style="BORDER-BOTTOM: 1pt double; PADDING-BOTTOM: 1pt">$</u></td>
<td valign="bottom" align="right"><u style="BORDER-BOTTOM: 1pt double; PADDING-BOTTOM: 1pt">        11,100,000</u></td>
<td valign="bottom" nowrap="nowrap">  </td>
<td valign="bottom"><font style="FONT-SIZE: 8pt">  </font></td>
<td valign="bottom" align="center">28</td>
<td valign="bottom"><font style="FONT-SIZE: 8pt">  </font></td>
<td valign="bottom" align="center"><u style="BORDER-BOTTOM: 1pt double; PADDING-BOTTOM: 1pt">1.41%</u></td>
</tr>
<!-- End Table Body --></table>
<p style="MARGIN-TOP: 24pt; FONT-FAMILY: Times New Roman; MARGIN-BOTTOM: 0pt; FONT-SIZE: 12pt">
<b>Non-designated Hedge Instruments</b></p>
<p style="MARGIN-TOP: 6pt; FONT-FAMILY: Times New Roman; MARGIN-BOTTOM: 0pt; FONT-SIZE: 12pt">
For derivative financial instruments not designated as hedge
instruments, realized and unrealized changes in fair value are
recognized in the period in which the changes occur. The change in
the fair value of Futures Contracts not designated and documented
as hedges is recorded through earnings each period. During the
three and six months ended June 30, 2013, the Company
recognized a gain of $5,485 and $5,536, respectively, related to
the change in fair value of these contracts. As of June 30,
2013, the fair value of these Futures Contracts was $5,587.</p>
<p style="MARGIN-TOP: 12pt; FONT-FAMILY: Times New Roman; MARGIN-BOTTOM: 0pt; FONT-SIZE: 12pt">
The Company uses Futures Contracts to 1) synthetically replicate an
interest rate swap, or 2) offset the changes in value of its
forward purchases of certain agency securities. The Company’s
total Futures Contracts designed to replicate interest rate swaps
had a notional equivalent amount of $800,000 at June 30, 2013
with a weighted average swap equivalent rate of 1.35% and a
weighted average term of 56 months as of June 30, 2013. The
Company did not own Futures Contracts at December 31,
2012.</p>
<p style="MARGIN-TOP: 12pt; FONT-FAMILY: Times New Roman; MARGIN-BOTTOM: 0pt; FONT-SIZE: 12pt">
The Company does not use either offsetting or netting to present
any of its derivative assets or liabilities. The following table
shows the gross amounts associated with the Company’s
derivative financial instruments and the impact if netting were
used as of June 30, 2013.</p>
<p style="MARGIN-TOP: 0pt; MARGIN-BOTTOM: 0pt; FONT-SIZE: 24pt">
 </p>
<table style="BORDER-COLLAPSE: collapse; FONT-FAMILY: Times New Roman; FONT-SIZE: 10pt" border="0" cellspacing="0" cellpadding="0" width="92%" align="center"><!-- Begin Table Head -->
<tr>
<td width="42%"></td>
<td valign="bottom" width="10%"></td>
<td></td>
<td></td>
<td></td>
<td valign="bottom" width="10%"></td>
<td></td>
<td></td>
<td></td>
<td valign="bottom" width="10%"></td>
<td></td>
<td></td>
<td></td>
</tr>
<tr style="FONT-FAMILY: Times New Roman; FONT-SIZE: 10pt">
<td valign="bottom"><font style="FONT-SIZE: 8pt"> </font></td>
<td valign="bottom"><font style="FONT-SIZE: 8pt">  </font></td>
<td style="BORDER-BOTTOM: #000000 1pt solid" valign="bottom" colspan="2" align="center">
        Assets        </td>
<td valign="bottom"><font style="FONT-SIZE: 8pt"> </font></td>
<td valign="bottom"><font style="FONT-SIZE: 8pt">  </font></td>
<td style="BORDER-BOTTOM: #000000 1pt solid" valign="bottom" colspan="2" align="center">
    Cash Collateral Posted    </td>
<td valign="bottom"><font style="FONT-SIZE: 8pt"> </font></td>
<td valign="bottom"><font style="FONT-SIZE: 8pt">  </font></td>
<td style="BORDER-BOTTOM: #000000 1pt solid" valign="bottom" colspan="2" align="center">
      Net Amount      </td>
<td valign="bottom"><font style="FONT-SIZE: 8pt"> </font></td>
</tr>
<!-- End Table Head --><!-- Begin Table Body -->
<tr style="FONT-FAMILY: Times New Roman; FONT-SIZE: 10pt" bgcolor="#CCEEFF">
<td valign="top">
<p style="TEXT-INDENT: -1em; FONT-FAMILY: Times New Roman; MARGIN-LEFT: 1em; FONT-SIZE: 10pt">
Interest rate swaps</p>
</td>
<td valign="bottom"><font style="FONT-SIZE: 8pt">  </font></td>
<td valign="bottom">  $</td>
<td valign="bottom" align="right">
    25,921  </td>
<td valign="bottom" nowrap="nowrap">  </td>
<td valign="bottom"><font style="FONT-SIZE: 8pt">  </font></td>
<td valign="bottom">  $</td>
<td valign="bottom" align="right">
-                    </td>
<td valign="bottom" nowrap="nowrap">  </td>
<td valign="bottom"><font style="FONT-SIZE: 8pt">  </font></td>
<td valign="bottom">  $</td>
<td valign="bottom" align="right">25,921  </td>
<td valign="bottom" nowrap="nowrap">  </td>
</tr>
<tr style="FONT-FAMILY: Times New Roman; FONT-SIZE: 10pt">
<td valign="top">
<p style="TEXT-INDENT: -1em; FONT-FAMILY: Times New Roman; MARGIN-LEFT: 1em; FONT-SIZE: 10pt">
Futures contracts</p>
</td>
<td valign="bottom"><font style="FONT-SIZE: 8pt">  </font></td>
<td valign="bottom"> </td>
<td valign="bottom" align="right">5,587  </td>
<td valign="bottom" nowrap="nowrap">  </td>
<td valign="bottom"><font style="FONT-SIZE: 8pt">  </font></td>
<td valign="bottom"> </td>
<td valign="bottom" align="right">4,862  </td>
<td valign="bottom" nowrap="nowrap">  </td>
<td valign="bottom"><font style="FONT-SIZE: 8pt">  </font></td>
<td valign="bottom"> </td>
<td valign="bottom" align="right">10,449  </td>
<td valign="bottom" nowrap="nowrap">  </td>
</tr>
<tr>
<td height="49"></td>
<td height="49" colspan="4"></td>
<td height="49" colspan="4"></td>
<td height="49" colspan="4"></td>
</tr>
<tr style="FONT-FAMILY: Times New Roman; FONT-SIZE: 10pt">
<td valign="bottom"><font style="FONT-SIZE: 8pt"> </font></td>
<td valign="bottom"><font style="FONT-SIZE: 8pt">  </font></td>
<td style="BORDER-BOTTOM: #000000 1pt solid" valign="bottom" colspan="2" align="center">Liabilities</td>
<td valign="bottom"><font style="FONT-SIZE: 8pt"> </font></td>
<td valign="bottom"><font style="FONT-SIZE: 8pt">  </font></td>
<td style="BORDER-BOTTOM: #000000 1pt solid" valign="bottom" colspan="2" align="center">Cash Collateral Posted</td>
<td valign="bottom"><font style="FONT-SIZE: 8pt"> </font></td>
<td valign="bottom"><font style="FONT-SIZE: 8pt">  </font></td>
<td style="BORDER-BOTTOM: #000000 1pt solid" valign="bottom" colspan="2" align="center">Net Amount</td>
<td valign="bottom"><font style="FONT-SIZE: 8pt"> </font></td>
</tr>
<tr style="FONT-FAMILY: Times New Roman; FONT-SIZE: 10pt" bgcolor="#CCEEFF">
<td valign="top">
<p style="TEXT-INDENT: -1em; FONT-FAMILY: Times New Roman; MARGIN-LEFT: 1em; FONT-SIZE: 10pt">
Interest rate swaps</p>
</td>
<td valign="bottom"><font style="FONT-SIZE: 8pt">  </font></td>
<td valign="bottom">  $</td>
<td valign="bottom" align="right">
    157,869  </td>
<td valign="bottom" nowrap="nowrap">  </td>
<td valign="bottom"><font style="FONT-SIZE: 8pt">  </font></td>
<td valign="bottom">  $</td>
<td valign="bottom" align="right">
144,348                    </td>
<td valign="bottom" nowrap="nowrap">  </td>
<td valign="bottom"><font style="FONT-SIZE: 8pt">  </font></td>
<td valign="bottom">  $</td>
<td valign="bottom" align="right">13,521  </td>
<td valign="bottom" nowrap="nowrap">  </td>
</tr>
<tr style="FONT-FAMILY: Times New Roman; FONT-SIZE: 10pt">
<td valign="top">
<p style="TEXT-INDENT: -1em; FONT-FAMILY: Times New Roman; MARGIN-LEFT: 1em; FONT-SIZE: 10pt">
Forward purchase commitments</p>
</td>
<td valign="bottom"><font style="FONT-SIZE: 8pt">  </font></td>
<td valign="bottom"></td>
<td valign="bottom"></td>
<td valign="bottom"></td>
<td valign="bottom"><font style="FONT-SIZE: 8pt">  </font></td>
<td valign="bottom"></td>
<td valign="bottom"></td>
<td valign="bottom"></td>
<td valign="bottom"><font style="FONT-SIZE: 8pt">  </font></td>
<td valign="bottom"></td>
<td valign="bottom"></td>
<td valign="bottom"></td>
</tr>
<!-- End Table Body --></table>
<p style="MARGIN-TOP: 12px; MARGIN-BOTTOM: 0px; FONT-SIZE: 1px">
 </p>
<p style="MARGIN-TOP: 0pt; FONT-FAMILY: Times New Roman; MARGIN-BOTTOM: 0pt; FONT-SIZE: 12pt">
The following table shows the gross amounts associated with the
Company’s derivative financial instruments and the impact if
netting were used as of December 31, 2012.</p>
<p style="MARGIN-TOP: 0pt; MARGIN-BOTTOM: 0pt; FONT-SIZE: 24pt">
 </p>
<table style="BORDER-COLLAPSE: collapse; FONT-FAMILY: Times New Roman; FONT-SIZE: 10pt" border="0" cellspacing="0" cellpadding="0" width="92%" align="center"><!-- Begin Table Head -->
<tr>
<td width="46%"></td>
<td valign="bottom" width="11%"></td>
<td></td>
<td></td>
<td></td>
<td valign="bottom" width="11%"></td>
<td></td>
<td></td>
<td></td>
<td valign="bottom" width="11%"></td>
<td></td>
<td></td>
<td></td>
</tr>
<tr style="FONT-FAMILY: Times New Roman; FONT-SIZE: 10pt">
<td valign="bottom"><font style="FONT-SIZE: 8pt"> </font></td>
<td valign="bottom"><font style="FONT-SIZE: 8pt">  </font></td>
<td style="BORDER-BOTTOM: #000000 1pt solid" valign="bottom" colspan="2" align="center">
        Assets        </td>
<td valign="bottom"><font style="FONT-SIZE: 8pt"> </font></td>
<td valign="bottom"><font style="FONT-SIZE: 8pt">  </font></td>
<td style="BORDER-BOTTOM: #000000 1pt solid" valign="bottom" colspan="2" align="center">
    Cash Collateral Posted    </td>
<td valign="bottom"><font style="FONT-SIZE: 8pt"> </font></td>
<td valign="bottom"><font style="FONT-SIZE: 8pt">  </font></td>
<td style="BORDER-BOTTOM: #000000 1pt solid" valign="bottom" colspan="2" align="center">
    Net Amount    </td>
<td valign="bottom"><font style="FONT-SIZE: 8pt"> </font></td>
</tr>
<!-- End Table Head --><!-- Begin Table Body -->
<tr style="FONT-FAMILY: Times New Roman; FONT-SIZE: 10pt" bgcolor="#CCEEFF">
<td valign="top">
<p style="TEXT-INDENT: -1em; FONT-FAMILY: Times New Roman; MARGIN-LEFT: 1em; FONT-SIZE: 10pt">
Forward purchase commitments</p>
</td>
<td valign="bottom"><font style="FONT-SIZE: 8pt">  </font></td>
<td valign="bottom">  $</td>
<td valign="bottom" align="right">
5,452    </td>
<td valign="bottom" nowrap="nowrap">  </td>
<td valign="bottom"><font style="FONT-SIZE: 8pt">  </font></td>
<td valign="bottom">  $</td>
<td valign="bottom" align="right"><font style="WHITE-SPACE: nowrap">-                    </font></td>
<td valign="bottom" nowrap="nowrap">  </td>
<td valign="bottom"><font style="FONT-SIZE: 8pt">  </font></td>
<td valign="bottom">  $</td>
<td valign="bottom" align="right">5,452  </td>
<td valign="bottom" nowrap="nowrap">  </td>
</tr>
<tr>
<td height="49"></td>
<td height="49" colspan="4"></td>
<td height="49" colspan="4"></td>
<td height="49" colspan="4"></td>
</tr>
<tr style="FONT-FAMILY: Times New Roman; FONT-SIZE: 10pt">
<td valign="bottom"><font style="FONT-SIZE: 8pt"> </font></td>
<td valign="bottom"><font style="FONT-SIZE: 8pt">  </font></td>
<td style="BORDER-BOTTOM: #000000 1pt solid" valign="bottom" colspan="2" align="center">Liabilities</td>
<td valign="bottom"><font style="FONT-SIZE: 8pt"> </font></td>
<td valign="bottom"><font style="FONT-SIZE: 8pt">  </font></td>
<td style="BORDER-BOTTOM: #000000 1pt solid" valign="bottom" colspan="2" align="center">Cash Collateral Posted</td>
<td valign="bottom"><font style="FONT-SIZE: 8pt"> </font></td>
<td valign="bottom"><font style="FONT-SIZE: 8pt">  </font></td>
<td style="BORDER-BOTTOM: #000000 1pt solid" valign="bottom" colspan="2" align="center">Net Amount</td>
<td valign="bottom"><font style="FONT-SIZE: 8pt"> </font></td>
</tr>
<tr style="FONT-FAMILY: Times New Roman; FONT-SIZE: 10pt" bgcolor="#CCEEFF">
<td valign="top">
<p style="TEXT-INDENT: -1em; FONT-FAMILY: Times New Roman; MARGIN-LEFT: 1em; FONT-SIZE: 10pt">
Interest rate swaps</p>
</td>
<td valign="bottom"><font style="FONT-SIZE: 8pt">  </font></td>
<td valign="bottom">  $</td>
<td valign="bottom" align="right">243,945  </td>
<td valign="bottom" nowrap="nowrap">  </td>
<td valign="bottom"><font style="FONT-SIZE: 8pt">  </font></td>
<td valign="bottom">  $</td>
<td valign="bottom" align="right">
281,021      </td>
<td valign="bottom" nowrap="nowrap">  </td>
<td valign="bottom"><font style="FONT-SIZE: 8pt">  </font></td>
<td valign="bottom">  $</td>
<td valign="bottom" align="right">(37,076)  </td>
<td valign="bottom" nowrap="nowrap">  </td>
</tr>
<!-- End Table Body --></table>
<p style="MARGIN-TOP: 36pt; FONT-FAMILY: Times New Roman; MARGIN-BOTTOM: 0pt; FONT-SIZE: 12pt">
The table below presents the effect of the Company’s
derivative financial instruments on the income statement for the
three months ended June 30, 2013.</p>
<p style="MARGIN-TOP: 0pt; MARGIN-BOTTOM: 0pt; FONT-SIZE: 12pt">
 </p>
<table style="BORDER-COLLAPSE: collapse; FONT-FAMILY: Times New Roman; FONT-SIZE: 10pt" border="0" cellspacing="0" cellpadding="0" width="100%" align="center"><!-- Begin Table Head -->
<tr>
<td width="24%"></td>
<td valign="bottom" width="8%"></td>
<td></td>
<td></td>
<td></td>
<td valign="bottom" width="8%"></td>
<td width="12%"></td>
<td valign="bottom" width="8%"></td>
<td></td>
<td></td>
<td></td>
<td valign="bottom" width="8%"></td>
<td width="12%"></td>
<td valign="bottom" width="8%"></td>
<td></td>
<td></td>
<td></td>
</tr>
<tr style="FONT-FAMILY: Times New Roman; FONT-SIZE: 10pt">
<td style="BORDER-BOTTOM: #000000 1px solid" valign="top" nowrap="nowrap" align="center">
<p style="MARGIN-TOP: 0pt; FONT-FAMILY: Times New Roman; MARGIN-BOTTOM: 0pt; FONT-SIZE: 10pt" align="center">Derivative</p>
<p style="MARGIN-TOP: 0pt; FONT-FAMILY: Times New Roman; MARGIN-BOTTOM: 0pt; FONT-SIZE: 10pt" align="center">type for</p>
<p style="MARGIN-TOP: 0pt; FONT-FAMILY: Times New Roman; MARGIN-BOTTOM: 0pt; FONT-SIZE: 10pt" align="center">cash flow</p>
<p style="MARGIN-TOP: 0pt; FONT-FAMILY: Times New Roman; MARGIN-BOTTOM: 1pt; FONT-SIZE: 10pt" align="center">hedge</p>
</td>
<td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom">
<font style="FONT-SIZE: 8pt"> </font></td>
<td style="BORDER-BOTTOM: #000000 1px solid" valign="top" colspan="2" nowrap="nowrap" align="center">
Amount of gain recognized<br />
in OCI on derivative<br />
(effective portion)</td>
<td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom">
<font style="FONT-SIZE: 8pt"> </font></td>
<td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom">
<font style="FONT-SIZE: 8pt"> </font></td>
<td style="BORDER-BOTTOM: #000000 1px solid" valign="top" nowrap="nowrap" align="center">
<p style="MARGIN-TOP: 0pt; FONT-FAMILY: Times New Roman; MARGIN-BOTTOM: 0pt; FONT-SIZE: 10pt" align="center">Location of loss<br />
reclassified from<br />
accumulated</p>
<p style="MARGIN-TOP: 0pt; FONT-FAMILY: Times New Roman; MARGIN-BOTTOM: 0pt; FONT-SIZE: 10pt" align="center">OCI into</p>
<p style="MARGIN-TOP: 0pt; FONT-FAMILY: Times New Roman; MARGIN-BOTTOM: 0pt; FONT-SIZE: 10pt" align="center">income</p>
<p style="MARGIN-TOP: 0pt; FONT-FAMILY: Times New Roman; MARGIN-BOTTOM: 0pt; FONT-SIZE: 10pt" align="center">(effective</p>
<p style="MARGIN-TOP: 0pt; FONT-FAMILY: Times New Roman; MARGIN-BOTTOM: 1pt; FONT-SIZE: 10pt" align="center">portion)</p>
</td>
<td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom">
<font style="FONT-SIZE: 8pt"> </font></td>
<td style="BORDER-BOTTOM: #000000 1px solid" valign="top" colspan="2" nowrap="nowrap" align="center">Amount of loss<br />
reclassified from<br />
accumulated OCI into<br />
income (effective<br />
portion)</td>
<td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom">
<font style="FONT-SIZE: 8pt"> </font></td>
<td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom">
<font style="FONT-SIZE: 8pt"> </font></td>
<td style="BORDER-BOTTOM: #000000 1px solid" valign="top" nowrap="nowrap" align="center">
<p style="MARGIN-TOP: 0pt; FONT-FAMILY: Times New Roman; MARGIN-BOTTOM: 0pt; FONT-SIZE: 10pt" align="center">Location of gain<br />
recognized in<br />
income on<br />
derivative<br />
(ineffective</p>
<p style="MARGIN-TOP: 0pt; FONT-FAMILY: Times New Roman; MARGIN-BOTTOM: 1pt; FONT-SIZE: 10pt" align="center">portion)</p>
</td>
<td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom">
<font style="FONT-SIZE: 8pt"> </font></td>
<td style="BORDER-BOTTOM: #000000 1px solid" valign="top" colspan="2" nowrap="nowrap" align="center">Amount of gain<br />
recognized in income<br />
on derivative<br />
(ineffective portion)</td>
<td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom">
<font style="FONT-SIZE: 8pt"> </font></td>
</tr>
<!-- End Table Head --><!-- Begin Table Body -->
<tr>
<td height="16"></td>
<td height="16" colspan="4"></td>
<td height="16" colspan="2"></td>
<td height="16" colspan="4"></td>
<td height="16" colspan="2"></td>
<td height="16" colspan="4"></td>
</tr>
<tr style="FONT-FAMILY: Times New Roman; FONT-SIZE: 10pt" bgcolor="#CCEEFF">
<td valign="top">
<p style="TEXT-INDENT: -1em; FONT-FAMILY: Times New Roman; MARGIN-LEFT: 1em; FONT-SIZE: 10pt">
Interest Rate</p>
</td>
<td valign="bottom"><font style="FONT-SIZE: 8pt"> </font></td>
<td valign="bottom">$</td>
<td valign="bottom" align="right">57,294</td>
<td valign="bottom" nowrap="nowrap">  </td>
<td valign="bottom"><font style="FONT-SIZE: 8pt"> </font></td>
<td valign="bottom" align="center">Interest Expense</td>
<td valign="bottom"><font style="FONT-SIZE: 8pt"> </font></td>
<td valign="bottom">$</td>
<td valign="bottom" align="right">30,585</td>
<td valign="bottom" nowrap="nowrap">  </td>
<td valign="bottom"><font style="FONT-SIZE: 8pt"> </font></td>
<td valign="bottom" align="center">Interest Expense</td>
<td valign="bottom"><font style="FONT-SIZE: 8pt"> </font></td>
<td valign="bottom">$</td>
<td valign="bottom" align="right">212</td>
<td valign="bottom" nowrap="nowrap">  </td>
</tr>
<!-- End Table Body --></table>
<p style="MARGIN-TOP: 12pt; FONT-FAMILY: Times New Roman; MARGIN-BOTTOM: 0pt; FONT-SIZE: 12pt">
The table below presents the effect of the Company’s
derivative financial instruments on the income statement for the
three months ended June 30, 2012.</p>
<p style="MARGIN-TOP: 0pt; MARGIN-BOTTOM: 0pt; FONT-SIZE: 12pt">
 </p>
<table style="BORDER-COLLAPSE: collapse; FONT-FAMILY: Times New Roman; FONT-SIZE: 10pt" border="0" cellspacing="0" cellpadding="0" width="100%" align="center"><!-- Begin Table Head -->
<tr>
<td width="24%"></td>
<td valign="bottom" width="8%"></td>
<td></td>
<td></td>
<td></td>
<td valign="bottom" width="8%"></td>
<td width="12%"></td>
<td valign="bottom" width="8%"></td>
<td></td>
<td></td>
<td></td>
<td valign="bottom" width="8%"></td>
<td width="12%"></td>
<td valign="bottom" width="8%"></td>
<td></td>
<td></td>
<td></td>
</tr>
<tr style="FONT-FAMILY: Times New Roman; FONT-SIZE: 10pt">
<td style="BORDER-BOTTOM: #000000 1px solid" valign="top" nowrap="nowrap" align="center">
<p style="MARGIN-TOP: 0pt; FONT-FAMILY: Times New Roman; MARGIN-BOTTOM: 0pt; FONT-SIZE: 10pt" align="center">Derivative</p>
<p style="MARGIN-TOP: 0pt; FONT-FAMILY: Times New Roman; MARGIN-BOTTOM: 0pt; FONT-SIZE: 10pt" align="center">type for</p>
<p style="MARGIN-TOP: 0pt; FONT-FAMILY: Times New Roman; MARGIN-BOTTOM: 0pt; FONT-SIZE: 10pt" align="center">cash flow</p>
<p style="MARGIN-TOP: 0pt; FONT-FAMILY: Times New Roman; MARGIN-BOTTOM: 1pt; FONT-SIZE: 10pt" align="center">hedge</p>
</td>
<td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom">
<font style="FONT-SIZE: 8pt"> </font></td>
<td style="BORDER-BOTTOM: #000000 1px solid" valign="top" colspan="2" nowrap="nowrap" align="center">
Amount of loss recognized<br />
in OCI on derivative<br />
(effective portion)</td>
<td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom">
<font style="FONT-SIZE: 8pt"> </font></td>
<td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom">
<font style="FONT-SIZE: 8pt"> </font></td>
<td style="BORDER-BOTTOM: #000000 1px solid" valign="top" nowrap="nowrap" align="center">
<p style="MARGIN-TOP: 0pt; FONT-FAMILY: Times New Roman; MARGIN-BOTTOM: 0pt; FONT-SIZE: 10pt" align="center">Location of loss<br />
reclassified from<br />
accumulated<br />
OCI into</p>
<p style="MARGIN-TOP: 0pt; FONT-FAMILY: Times New Roman; MARGIN-BOTTOM: 1pt; FONT-SIZE: 10pt" align="center">income<br />
(effective<br />
portion)</p>
</td>
<td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom">
<font style="FONT-SIZE: 8pt"> </font></td>
<td style="BORDER-BOTTOM: #000000 1px solid" valign="top" colspan="2" nowrap="nowrap" align="center">Amount of loss<br />
reclassified from<br />
accumulated OCI into<br />
income (effective<br />
portion)</td>
<td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom">
<font style="FONT-SIZE: 8pt"> </font></td>
<td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom">
<font style="FONT-SIZE: 8pt"> </font></td>
<td style="BORDER-BOTTOM: #000000 1px solid" valign="top" nowrap="nowrap" align="center">Location of loss<br />
recognized in<br />
income on<br />
derivative<br />
(ineffective<br />
portion)</td>
<td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom">
<font style="FONT-SIZE: 8pt"> </font></td>
<td style="BORDER-BOTTOM: #000000 1px solid" valign="top" colspan="2" nowrap="nowrap" align="center">Amount of loss<br />
recognized in income<br />
on derivative<br />
(ineffective portion)</td>
<td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom">
<font style="FONT-SIZE: 8pt"> </font></td>
</tr>
<!-- End Table Head --><!-- Begin Table Body -->
<tr>
<td height="16"></td>
<td height="16" colspan="4"></td>
<td height="16" colspan="2"></td>
<td height="16" colspan="4"></td>
<td height="16" colspan="2"></td>
<td height="16" colspan="4"></td>
</tr>
<tr style="FONT-FAMILY: Times New Roman; FONT-SIZE: 10pt" bgcolor="#CCEEFF">
<td valign="top">
<p style="TEXT-INDENT: -1em; FONT-FAMILY: Times New Roman; MARGIN-LEFT: 1em; FONT-SIZE: 10pt">
Interest Rate</p>
</td>
<td valign="bottom"><font style="FONT-SIZE: 8pt"> </font></td>
<td valign="bottom">$</td>
<td valign="bottom" align="right">59,168</td>
<td valign="bottom" nowrap="nowrap">  </td>
<td valign="bottom"><font style="FONT-SIZE: 8pt"> </font></td>
<td valign="bottom" align="center">Interest Expense</td>
<td valign="bottom"><font style="FONT-SIZE: 8pt"> </font></td>
<td valign="bottom">$</td>
<td valign="bottom" align="right">28,352</td>
<td valign="bottom" nowrap="nowrap">  </td>
<td valign="bottom"><font style="FONT-SIZE: 8pt"> </font></td>
<td valign="bottom" align="center">Interest Expense</td>
<td valign="bottom"><font style="FONT-SIZE: 8pt"> </font></td>
<td valign="bottom">$</td>
<td valign="bottom" align="right">169</td>
<td valign="bottom" nowrap="nowrap">  </td>
</tr>
<!-- End Table Body --></table>
<p style="MARGIN-TOP: 12px; MARGIN-BOTTOM: 0px; FONT-SIZE: 1px">
 </p>
<p style="MARGIN-TOP: 0pt; FONT-FAMILY: Times New Roman; MARGIN-BOTTOM: 0pt; FONT-SIZE: 12pt">
The table below presents the effect of the Company’s
derivative financial instruments on the income statement for the
six months ended June 30, 2013.</p>
<p style="MARGIN-TOP: 0pt; MARGIN-BOTTOM: 0pt; FONT-SIZE: 12pt">
 </p>
<table style="BORDER-COLLAPSE: collapse; FONT-FAMILY: Times New Roman; FONT-SIZE: 10pt" border="0" cellspacing="0" cellpadding="0" width="100%" align="center"><!-- Begin Table Head -->
<tr>
<td width="25%"></td>
<td valign="bottom" width="8%"></td>
<td></td>
<td></td>
<td></td>
<td valign="bottom" width="8%"></td>
<td width="12%"></td>
<td valign="bottom" width="8%"></td>
<td></td>
<td></td>
<td></td>
<td valign="bottom" width="8%"></td>
<td width="12%"></td>
<td valign="bottom" width="8%"></td>
<td></td>
<td></td>
<td></td>
</tr>
<tr style="FONT-FAMILY: Times New Roman; FONT-SIZE: 10pt">
<td style="BORDER-BOTTOM: #000000 1px solid" valign="top" nowrap="nowrap" align="center">
<p style="MARGIN-TOP: 0pt; FONT-FAMILY: Times New Roman; MARGIN-BOTTOM: 0pt; FONT-SIZE: 10pt" align="center">Derivative</p>
<p style="MARGIN-TOP: 0pt; FONT-FAMILY: Times New Roman; MARGIN-BOTTOM: 0pt; FONT-SIZE: 10pt" align="center">type for</p>
<p style="MARGIN-TOP: 0pt; FONT-FAMILY: Times New Roman; MARGIN-BOTTOM: 0pt; FONT-SIZE: 10pt" align="center">cash flow</p>
<p style="MARGIN-TOP: 0pt; FONT-FAMILY: Times New Roman; MARGIN-BOTTOM: 1pt; FONT-SIZE: 10pt" align="center">hedge</p>
</td>
<td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom">
<font style="FONT-SIZE: 8pt"> </font></td>
<td style="BORDER-BOTTOM: #000000 1px solid" valign="top" colspan="2" nowrap="nowrap" align="center">
Amount of gain recognized<br />
in OCI on derivative<br />
(effective portion)</td>
<td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom">
<font style="FONT-SIZE: 8pt"> </font></td>
<td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom">
<font style="FONT-SIZE: 8pt"> </font></td>
<td style="BORDER-BOTTOM: #000000 1px solid" valign="top" nowrap="nowrap" align="center">
<p style="MARGIN-TOP: 0pt; FONT-FAMILY: Times New Roman; MARGIN-BOTTOM: 0pt; FONT-SIZE: 10pt" align="center">Location of loss</p>
<p style="MARGIN-TOP: 0pt; FONT-FAMILY: Times New Roman; MARGIN-BOTTOM: 0pt; FONT-SIZE: 10pt" align="center">reclassified from<br />
accumulated<br />
OCI into</p>
<p style="MARGIN-TOP: 0pt; FONT-FAMILY: Times New Roman; MARGIN-BOTTOM: 1pt; FONT-SIZE: 10pt" align="center">income<br />
(effective<br />
portion)</p>
</td>
<td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom">
<font style="FONT-SIZE: 8pt"> </font></td>
<td style="BORDER-BOTTOM: #000000 1px solid" valign="top" colspan="2" nowrap="nowrap" align="center">Amount of loss<br />
reclassified from<br />
accumulated OCI into<br />
income (effective<br />
portion)</td>
<td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom">
<font style="FONT-SIZE: 8pt"> </font></td>
<td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom">
<font style="FONT-SIZE: 8pt"> </font></td>
<td style="BORDER-BOTTOM: #000000 1px solid" valign="top" nowrap="nowrap" align="center">Location of gain<br />
recognized in<br />
income on<br />
derivative<br />
(ineffective<br />
portion)</td>
<td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom">
<font style="FONT-SIZE: 8pt"> </font></td>
<td style="BORDER-BOTTOM: #000000 1px solid" valign="top" colspan="2" nowrap="nowrap" align="center">Amount of gain<br />
recognized in income<br />
on derivative<br />
(ineffective portion)</td>
<td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom">
<font style="FONT-SIZE: 8pt"> </font></td>
</tr>
<!-- End Table Head --><!-- Begin Table Body -->
<tr>
<td height="16"></td>
<td height="16" colspan="4"></td>
<td height="16" colspan="2"></td>
<td height="16" colspan="4"></td>
<td height="16" colspan="2"></td>
<td height="16" colspan="4"></td>
</tr>
<tr style="FONT-FAMILY: Times New Roman; FONT-SIZE: 10pt" bgcolor="#CCEEFF">
<td valign="top">
<p style="TEXT-INDENT: -1em; FONT-FAMILY: Times New Roman; MARGIN-LEFT: 1em; FONT-SIZE: 10pt">
Interest Rate</p>
</td>
<td valign="bottom"><font style="FONT-SIZE: 8pt"> </font></td>
<td valign="bottom">$</td>
<td valign="bottom" align="right">51,385</td>
<td valign="bottom" nowrap="nowrap">  </td>
<td valign="bottom"><font style="FONT-SIZE: 8pt"> </font></td>
<td valign="bottom" align="center">Interest Expense</td>
<td valign="bottom"><font style="FONT-SIZE: 8pt"> </font></td>
<td valign="bottom">$</td>
<td valign="bottom" align="right">60,515</td>
<td valign="bottom" nowrap="nowrap">  </td>
<td valign="bottom"><font style="FONT-SIZE: 8pt"> </font></td>
<td valign="bottom" align="center">Interest Expense</td>
<td valign="bottom"><font style="FONT-SIZE: 8pt"> </font></td>
<td valign="bottom">$</td>
<td valign="bottom" align="right">96</td>
<td valign="bottom" nowrap="nowrap">  </td>
</tr>
<!-- End Table Body --></table>
<p style="MARGIN-TOP: 36pt; FONT-FAMILY: Times New Roman; MARGIN-BOTTOM: 0pt; FONT-SIZE: 12pt">
The table below presents the effect of the Company’s
derivative financial instruments on the income statement for the
six months ended June 30, 2012.</p>
<p style="MARGIN-TOP: 0pt; MARGIN-BOTTOM: 0pt; FONT-SIZE: 24pt">
 </p>
<table style="BORDER-COLLAPSE: collapse; FONT-FAMILY: Times New Roman; FONT-SIZE: 10pt" border="0" cellspacing="0" cellpadding="0" width="100%" align="center"><!-- Begin Table Head -->
<tr>
<td width="24%"></td>
<td valign="bottom" width="8%"></td>
<td></td>
<td></td>
<td></td>
<td valign="bottom" width="8%"></td>
<td></td>
<td valign="bottom" width="8%"></td>
<td></td>
<td></td>
<td></td>
<td valign="bottom" width="8%"></td>
<td></td>
<td valign="bottom" width="8%"></td>
<td></td>
<td></td>
<td></td>
</tr>
<tr style="FONT-FAMILY: Times New Roman; FONT-SIZE: 10pt">
<td style="BORDER-BOTTOM: #000000 1px solid" valign="top" nowrap="nowrap" align="center">
<p style="MARGIN-TOP: 0pt; FONT-FAMILY: Times New Roman; MARGIN-BOTTOM: 0pt; FONT-SIZE: 10pt" align="center">Derivative</p>
<p style="MARGIN-TOP: 0pt; FONT-FAMILY: Times New Roman; MARGIN-BOTTOM: 0pt; FONT-SIZE: 10pt" align="center">type for</p>
<p style="MARGIN-TOP: 0pt; FONT-FAMILY: Times New Roman; MARGIN-BOTTOM: 0pt; FONT-SIZE: 10pt" align="center">cash flow</p>
<p style="MARGIN-TOP: 0pt; FONT-FAMILY: Times New Roman; MARGIN-BOTTOM: 1pt; FONT-SIZE: 10pt" align="center">hedge</p>
</td>
<td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom">
<font style="FONT-SIZE: 8pt"> </font></td>
<td style="BORDER-BOTTOM: #000000 1px solid" valign="top" colspan="2" nowrap="nowrap" align="center">
Amount of loss recognized<br />
in OCI on derivative<br />
(effective portion)</td>
<td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom">
<font style="FONT-SIZE: 8pt"> </font></td>
<td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom">
<font style="FONT-SIZE: 8pt"> </font></td>
<td style="BORDER-BOTTOM: #000000 1px solid" valign="top" nowrap="nowrap" align="center">
<p style="MARGIN-TOP: 0pt; FONT-FAMILY: Times New Roman; MARGIN-BOTTOM: 0pt; FONT-SIZE: 10pt" align="center">Location of loss<br />
reclassified from<br />
accumulated<br />
OCI into</p>
<p style="MARGIN-TOP: 0pt; FONT-FAMILY: Times New Roman; MARGIN-BOTTOM: 1pt; FONT-SIZE: 10pt" align="center">income<br />
(effective<br />
portion)</p>
</td>
<td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom">
<font style="FONT-SIZE: 8pt"> </font></td>
<td style="BORDER-BOTTOM: #000000 1px solid" valign="top" colspan="2" nowrap="nowrap" align="center">Amount of loss<br />
reclassified from<br />
accumulated OCI into<br />
income (effective<br />
portion)</td>
<td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom">
<font style="FONT-SIZE: 8pt"> </font></td>
<td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom">
<font style="FONT-SIZE: 8pt"> </font></td>
<td style="BORDER-BOTTOM: #000000 1px solid" valign="top" nowrap="nowrap" align="center">Location of gain<br />
recognized in<br />
income on<br />
derivative<br />
(ineffective<br />
portion)</td>
<td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom">
<font style="FONT-SIZE: 8pt"> </font></td>
<td style="BORDER-BOTTOM: #000000 1px solid" valign="top" colspan="2" nowrap="nowrap" align="center">Amount of gain<br />
recognized in income<br />
on derivative<br />
(ineffective portion)</td>
<td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom">
<font style="FONT-SIZE: 8pt"> </font></td>
</tr>
<!-- End Table Head --><!-- Begin Table Body -->
<tr>
<td height="16"></td>
<td height="16" colspan="4"></td>
<td height="16" colspan="2"></td>
<td height="16" colspan="4"></td>
<td height="16" colspan="2"></td>
<td height="16" colspan="4"></td>
</tr>
<tr style="FONT-FAMILY: Times New Roman; FONT-SIZE: 10pt" bgcolor="#CCEEFF">
<td valign="top" nowrap="nowrap">
<p style="TEXT-INDENT: -1em; FONT-FAMILY: Times New Roman; MARGIN-LEFT: 1em; FONT-SIZE: 10pt">
Interest Rate</p>
</td>
<td valign="bottom"><font style="FONT-SIZE: 8pt"> </font></td>
<td valign="bottom">$</td>
<td valign="bottom" align="right">87,591</td>
<td valign="bottom" nowrap="nowrap">  </td>
<td valign="bottom"><font style="FONT-SIZE: 8pt"> </font></td>
<td valign="bottom" align="center">Interest Expense</td>
<td valign="bottom"><font style="FONT-SIZE: 8pt"> </font></td>
<td valign="bottom">$</td>
<td valign="bottom" align="right">56,164</td>
<td valign="bottom" nowrap="nowrap">  </td>
<td valign="bottom"><font style="FONT-SIZE: 8pt"> </font></td>
<td valign="bottom" align="center">Interest Expense</td>
<td valign="bottom"><font style="FONT-SIZE: 8pt"> </font></td>
<td valign="bottom">$</td>
<td valign="bottom" align="right">338</td>
<td valign="bottom" nowrap="nowrap">  </td>
</tr>
<!-- End Table Body --></table>
<p style="MARGIN-TOP: 24pt; FONT-FAMILY: Times New Roman; MARGIN-BOTTOM: 0pt; FONT-SIZE: 12pt">
The following table presents the impact of the Company’s
interest rate swap agreements on the Company’s accumulated
other comprehensive income (loss) for the six months ended
June 30, 2013 and the year ended December 31, 2012,
respectively.</p>
<p style="MARGIN-TOP: 0pt; MARGIN-BOTTOM: 0pt; FONT-SIZE: 12pt">
 </p>
<table style="BORDER-COLLAPSE: collapse; FONT-FAMILY: Times New Roman; FONT-SIZE: 10pt" border="0" cellspacing="0" cellpadding="0" width="100%" align="center"><!-- Begin Table Head -->
<tr>
<td width="58%"></td>
<td valign="bottom" width="1%"></td>
<td></td>
<td></td>
<td></td>
<td valign="bottom" width="1%"></td>
<td></td>
<td></td>
<td></td>
</tr>
<tr style="FONT-FAMILY: Times New Roman; FONT-SIZE: 10pt">
<td valign="bottom"><font style="FONT-SIZE: 8pt"> </font></td>
<td valign="bottom"><font style="FONT-SIZE: 8pt">  </font></td>
<td valign="bottom" colspan="2" align="right">
June 30, 2013</td>
<td valign="bottom"><font style="FONT-SIZE: 8pt"> </font></td>
<td valign="bottom"><font style="FONT-SIZE: 8pt">  </font></td>
<td valign="bottom" colspan="2" align="right">
December 31, 2012  </td>
<td valign="bottom"><font style="FONT-SIZE: 8pt"> </font></td>
</tr>
<!-- End Table Head --><!-- Begin Table Body -->
<tr style="FONT-SIZE: 1px">
<td valign="bottom"></td>
<td valign="bottom">  </td>
<td valign="bottom">
<p style="BORDER-TOP: #000000 1px solid"> </p>
</td>
<td valign="bottom" colspan="5">
<p style="BORDER-TOP: #000000 1px solid"> </p>
</td>
<td> </td>
</tr>
<tr style="FONT-FAMILY: Times New Roman; FONT-SIZE: 10pt" bgcolor="#CCEEFF">
<td valign="top">
<p style="TEXT-INDENT: -1em; FONT-FAMILY: Times New Roman; MARGIN-LEFT: 1em; FONT-SIZE: 10pt">
Beginning balance</p>
</td>
<td valign="bottom"><font style="FONT-SIZE: 8pt">  </font></td>
<td valign="bottom"> </td>
<td valign="bottom" align="right">(243,051)</td>
<td valign="bottom" nowrap="nowrap">  </td>
<td valign="bottom"><font style="FONT-SIZE: 8pt">  </font></td>
<td valign="bottom"> </td>
<td valign="bottom" align="right">($218,451)  </td>
<td valign="bottom" nowrap="nowrap">  </td>
</tr>
<tr style="FONT-FAMILY: Times New Roman; FONT-SIZE: 10pt">
<td valign="top">
<p style="TEXT-INDENT: -1em; FONT-FAMILY: Times New Roman; MARGIN-LEFT: 1em; FONT-SIZE: 10pt">
Unrealized gain (loss) on interest rate swaps</p>
</td>
<td valign="bottom"><font style="FONT-SIZE: 8pt">  </font></td>
<td valign="bottom"> </td>
<td valign="bottom" align="right">51,385</td>
<td valign="bottom" nowrap="nowrap">  </td>
<td valign="bottom"><font style="FONT-SIZE: 8pt">  </font></td>
<td valign="bottom"> </td>
<td valign="bottom" align="right">(141,392)  </td>
<td valign="bottom" nowrap="nowrap">  </td>
</tr>
<tr style="FONT-FAMILY: Times New Roman; FONT-SIZE: 10pt" bgcolor="#CCEEFF">
<td valign="top">
<p style="TEXT-INDENT: -1em; FONT-FAMILY: Times New Roman; MARGIN-LEFT: 1em; FONT-SIZE: 10pt">
Reclassification of net losses included in income statement</p>
</td>
<td valign="bottom"><font style="FONT-SIZE: 8pt">  </font></td>
<td valign="bottom"> </td>
<td valign="bottom" align="right">60,515</td>
<td valign="bottom" nowrap="nowrap">  </td>
<td valign="bottom"><font style="FONT-SIZE: 8pt">  </font></td>
<td valign="bottom"> </td>
<td valign="bottom" align="right">116,792  </td>
<td valign="bottom" nowrap="nowrap">  </td>
</tr>
<tr style="FONT-SIZE: 1px">
<td valign="bottom"></td>
<td valign="bottom">  </td>
<td valign="bottom">
<p style="BORDER-TOP: #000000 1px solid"> </p>
</td>
<td valign="bottom" colspan="5">
<p style="BORDER-TOP: #000000 1px solid"> </p>
</td>
<td> </td>
</tr>
<tr style="FONT-FAMILY: Times New Roman; FONT-SIZE: 10pt">
<td valign="top">
<p style="TEXT-INDENT: -1em; FONT-FAMILY: Times New Roman; MARGIN-LEFT: 1em; FONT-SIZE: 10pt">
Ending balance</p>
</td>
<td valign="bottom"><font style="FONT-SIZE: 8pt">  </font></td>
<td valign="bottom"> </td>
<td valign="bottom" align="right">
  $                        (131,151)</td>
<td valign="bottom" nowrap="nowrap">  </td>
<td valign="bottom"><font style="FONT-SIZE: 8pt">  </font></td>
<td valign="bottom"> </td>
<td valign="bottom" align="right">
$                        (243,051)  </td>
<td valign="bottom" nowrap="nowrap">  </td>
</tr>
<tr style="FONT-SIZE: 1px">
<td valign="bottom"></td>
<td valign="bottom">  </td>
<td valign="bottom">
<p style="BORDER-TOP: #000000 3px double"> </p>
</td>
<td valign="bottom" colspan="5">
<p style="BORDER-TOP: #000000 3px double"> </p>
</td>
<td> </td>
</tr>
<!-- End Table Body --></table>
<p style="MARGIN-TOP: 36pt; FONT-FAMILY: Times New Roman; MARGIN-BOTTOM: 0pt; FONT-SIZE: 12pt">
<b>Credit-risk-related Contingent Features</b></p>
<p style="MARGIN-TOP: 6pt; FONT-FAMILY: Times New Roman; MARGIN-BOTTOM: 0pt; FONT-SIZE: 12pt">
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.</p>
<p style="MARGIN-TOP: 12px; MARGIN-BOTTOM: 0px; FONT-SIZE: 1px">
 </p>
<p style="MARGIN-TOP: 0pt; FONT-FAMILY: Times New Roman; MARGIN-BOTTOM: 0pt; FONT-SIZE: 12pt">
The Company has agreements with certain of its derivative
counterparties that contain a provision where if the
Company’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 agreements with several of
its derivative counterparties that contain provisions regarding
maximum leverage ratios. The most restrictive of these leverage
covenants is that if the Company exceeds a leverage ratio of 10 to
1 then the Company could be declared in default on its derivative
obligations with that counterparty. At June 30, 2013, the
Company was in compliance with these requirements.</p>
<p style="MARGIN-TOP: 12pt; FONT-FAMILY: Times New Roman; MARGIN-BOTTOM: 0pt; FONT-SIZE: 12pt" align="justify">As of June 30, 2013, the fair value of
derivatives in a net liability position related to these agreements
was $0. The Company has collateral posting requirements with each
of its counterparties and all interest rate swap agreements were
fully collateralized as of June 30, 2013.</p>
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