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Derivatives and Hedging Activity (Tables)
9 Months Ended
Sep. 30, 2011
Derivatives and Hedging Activity 
Tabular disclosure of fair values of derivative instruments

 

 

 

 

Derivatives in an Asset Position

 

Derivatives in a Liability Position

 

 

 

As of September 30, 2011

 

As of December 31,
2010

 

As of September, 2011

 

As of December 31,
2010

 

 

 

Balance
Sheet
Location

 

Fair
Value

 

Balance
Sheet
Location

 

Fair
Value

 

Balance
Sheet
Location

 

Fair
Value

 

Balance
Sheet
Location

 

Fair
Value

 

Derivatives designated as hedging instruments

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate swaps

 

N/A

 

$

—

 

Derivative Assets

 

$

89

 

Derivative Liabilities

 

$

1,611

 

Derivative Liabilities

 

$

1,714

 

Total derivatives designated as hedging instruments

 

 

 

$

—

 

 

 

$

89

 

 

 

$

1,611

 

 

 

$

1,714

 

Derivatives not designated as hedging instruments

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate swaps

 

N/A

 

$

—

 

Derivative Assets

 

$

248

 

Derivative Liabilities

 

$

11,154

 

Derivative Liabilities

 

$

303

 

Foreign exchange contracts

 

Derivative Assets

 

3,588

 

N/A

 

—

 

Derivative Liabilities

 

$

8,297

 

Derivative Liabilities

 

$

7,383

 

Credit spread derivatives

 

Derivative Assets

 

$

61

 

N/A

 

—

 

N/A

 

—

 

N/A

 

—

 

Total derivatives not designated as hedging instruments

 

 

 

$

3,649

 

 

 

$

248

 

 

 

$

19,451

 

 

 

$

7,686

 

Schedule of cash flow hedges impact

Cash flow hedges impact for the three months ended September 30, 2011:

 

Derivative type for
cash flow hedge 

 

Amount of loss
recognized in
OCI
on derivative
(effective portion)

 

Location of loss
reclassified from
accumulated OCI
into income
(effective portion)

 

Amount of loss
reclassified from
accumulated OCI
into income
(effective portion)

 

Location of loss
recognized in
income on
derivative
(ineffective portion)

 

Amount of loss
recognized in
income on
derivative
(ineffective portion)

 

Interest Rate Swaps

 

$

544

 

Interest Expense

 

$

527

 

Interest Expense

 

$

—

 

 

Cash flow hedges impact for the three months ended September 30, 2010:

 

Derivative type for
cash flow hedge

 

Amount of loss
recognized in
OCI
on derivative
(effective portion)

 

Location of loss
reclassified from
accumulated OCI
into income
(effective portion)

 

Amount of loss
reclassified from
accumulated OCI
into income
(effective portion)

 

Location of gain
recognized in
income on
derivative
(ineffective portion)

 

Amount of gain
recognized in
income on
derivative
(ineffective portion)

 

Interest Rate Swaps

 

$

1,573

 

Interest Expense

 

$

598

 

Interest Expense

 

$

—

 

 

Cash flow hedges impact for the nine months ended September 30, 2011:

 

Derivative type for
cash flow hedge

 

Amount of loss
recognized in
OCI
on derivative
(effective portion)

 

Location of loss
reclassified from
accumulated OCI
into income
(effective portion)

 

Amount of loss
reclassified from
accumulated OCI
into income
(effective portion)

 

Location of loss
recognized in
income on
derivative
(ineffective portion)

 

Amount of loss
recognized in
income on
derivative
(ineffective portion)

 

Interest Rate Swaps

 

$

1,759

 

Interest Expense

 

$

1,730

 

Interest Expense

 

$

45

 

 

Cash flow hedges impact for the nine months ended September 30, 2010:

 

Derivative type for
cash flow hedge

 

Amount of loss
recognized in
OCI
on derivative
(effective portion)

 

Location of loss
reclassified from
accumulated OCI
into income
(effective portion)

 

Amount of loss
reclassified from
accumulated OCI
into income
(effective portion)

 

Location of gain
recognized in
income on
derivative
(ineffective portion)

 

Amount of gain
recognized in
income on
derivative
(ineffective portion)

 

Interest Rate Swaps

 

$

3,475

 

Interest Expense

 

$

1,178

 

Interest Expense

 

$

—

 

Schedule of non-designated derivatives impact

Non-Designated derivatives impact for the three months ended September 30, 2011 and September 30, 2010:

 

Derivatives Not Designated

 

Location of Gain/(Loss)
Recognized in Income on

 

Amount of Gain/(Loss)
Recognized in Income on
Derivative

 

as Hedging Instruments 

 

Derivative

 

2011

 

2010

 

Interest Rate Swaps – Realized losses

 

Gains (losses) on interest rate hedges

 

$

(12,302

)

$

—

 

Interest Rate Swaps – Unrealized losses

 

Gains (losses) on interest rate hedges

 

$

(6,869

)

$

—

 

Foreign Exchange – Realized losses

 

Gains (losses) on currency hedges

 

$

(86

)

$

(24

)

Foreign Exchange – Unrealized gains(losses)

 

Gains (losses) on currency hedges

 

$

8,703

 

$

(5,326

)

Credit Spread Derivative– Realized gains

 

Gains (losses) on credit spread hedges

 

$

4,539

 

$

—

 

Credit Spread Derivative– Unrealized losses

 

Gains (losses) on credit spread hedges

 

$

(2,280

)

$

—

 

 

Non-Designated derivatives impact for the nine months ended September 30, 2011 and September 30, 2010:

 

Derivatives Not Designated

 

Location of Gain/(Loss)
Recognized in Income on

 

Amount of Gain/(Loss)
Recognized in Income on
Derivative

 

as Hedging Instruments

 

Derivative

 

2011

 

2010

 

Interest Rate Swaps – Realized losses

 

Gains (losses) on interest rate hedges

 

$

(14,883

)

$

—

 

Interest Rate Swaps – Unrealized losses

 

Gains (losses) on interest rate hedges

 

$

(11,099

)

$

—

 

Foreign Exchange – Realized losses

 

Gains (losses) on currency hedges

 

$

(292

)

$

(24

)

Foreign Exchange – Unrealized gains(losses)

 

Gains (losses) on currency hedges

 

$

2,674

 

$

(9,020

)

Credit Spread Derivative– Realized gains

 

Gains (losses) on credit spread hedges

 

$

3,569

 

$

—

 

Credit Spread Derivative– Unrealized gains

 

Gains (losses) on credit spread hedges

 

$

161

 

$

—