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Derivatives and Hedging Activity (Tables)
 9 Months Ended
Sep. 30, 2013
Derivatives and Hedging Activity  
Tabular Disclosure of Fair Values of Derivative Instruments

The table below presents the fair value of our derivative financial instruments as well as their classification on the balance sheet as of September 30, 2013 and December 31, 2012 (amounts in thousands):

 

Tabular Disclosure of Fair Values of Derivative Instruments

 

 

 

Derivatives in an Asset Position

 

Derivatives in a Liability Position

 

 

 

As of September 30, 2013

 

As of December 31,
2012

 

As of September 30, 2013

 

As of December 31,
2012

 

 

 

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

 

Derivative Assets

 

$

96

 

Derivative Assets

 

$

—

 

Derivative Liabilities

 

$

1,084

 

Derivative Liabilities

 

$

2,571

 

Total derivatives designated as hedging instruments

 

 

 

96

 

 

 

—

 

 

 

1,084

 

 

 

2,571

 

Derivatives not designatedas hedging instruments:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate swaps

 

Derivative Assets

 

3,243

 

Derivative Assets

 

4,892

 

Derivative Liabilities

 

6,186

 

Derivative Liabilities

 

1,772

 

Foreign exchange contracts

 

Derivative Assets

 

3,243

 

N/A

 

4,335

 

Derivative Liabilities

 

24,982

 

Derivative Liabilities

 

23,427

 

Credit index instruments

 

Derivative Assets

 

2,931

 

N/A

 

—

 

Derivative Liabilities

 

—

 

N/A

 

—

 

Total derivatives not designated as hedging instruments

 

 

 

9,417

 

 

 

9,227

 

 

 

31,168

 

 

 

25,199

 

Total derivatives

 

 

 

$

9,513

 

 

 

$

9,227

 

 

 

$

32,252

 

 

 

$

27,770

 

 
Schedule of cash flow hedges impact

Cash flow hedges impact for the three months ended September 30, 2013:

 

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

 

$

594

 

Interest Expense

 

$

397

 

Interest Expense

 

$

—

 

 

Cash flow hedges impact for the three months ended September 30, 2012:

 

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

 

$

1,072

 

Interest Expense

 

$

661

 

Interest Expense

 

$

—

 

 

Cash flow hedges impact for the nine months ended September 30, 2013:

 

Derivative type for
cash flow hedge 

 

Amount of Gain
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

 

$

332

 

Interest Expense

 

$

1,251

 

Interest Expense

 

$

—

 

 

Cash flow hedges impact for the nine months ended September 30, 2012:

 

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

 

$

3,534

 

Interest Expense

 

$

1,911

 

Interest Expense

 

$

—

 

 
Schedule of non-designated derivatives impact

Non-Designated derivatives impact for the three months ended September 30, 2013 and 2012:

 

Derivatives Not Designated

 

Location of Gain/(Loss)
Recognized in Income on

 

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

 

as Hedging Instruments 

 

Derivative

 

2013

 

2012

 

Interest Rate Swaps

 

Gain (loss) on derivative financial instruments

 

$

(4,261

)

$

(51

)

Foreign Exchange Contracts

 

Gain (loss) on derivative financial instruments

 

(17,459

)

(7,510

)

Credit Index Instruments

 

Gain (loss) on derivative financial instruments

 

(731

)

—

 

 

 

 

 

$

(22,451

)

$

(7,561

)

 

Non-Designated derivatives impact for the nine months ended September 30, 2013 and 2012:

 

Derivatives Not Designated

 

Location of Gain/(Loss)
Recognized in Income on

 

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

 

as Hedging Instruments 

 

Derivative

 

2013

 

2012

 

Interest Rate Swaps

 

Gain (loss) on derivative financial instruments

 

$

2,752

 

$

608

 

Foreign Exchange Contracts

 

Gain (loss) on derivative financial instruments

 

(2,692

)

(10,392

)

Credit Index Instruments

 

Gain (loss) on derivative financial instruments

 

(125

)

—

 

 

 

 

 

$

(65

)

$

(9,784

)