Derivative Instruments

3 Months Ended

Jun. 30, 2012

Derivative Instruments [Abstract]

Derivative Instruments

11.DerivativeInstruments

We are exposed to various market risks, including the potential loss arising from adverse changes in interest rates. We may elect to use financial derivative instruments to hedge such interest rate exposures. These decisions are principally based on our policy to manage the general trend in interest rates at the applicable dates and our perception of the future volatility of interest rates. In addition, the Chartwelltransaction discussed in Note 3 exposes us to the potential loss associated with adverse changes in the Canadian Dollar to U.S. Dollar exchange rate. We elected to manage this risk through the use of a forward exchange contract.

Derivatives are recorded at fair value on the balance sheet as assets or liabilities. The valuation of derivative instruments requires us to make estimates and judgments that affect the fair value of the instruments. Fair values of our interest rate swap agreements are estimated by pricing models that consider the forward yield curves and discount rates. The fair value of our forward exchange contracts are estimated by pricing models that consider foreign currency spot rates, forward trade rates and discount rates. Such amounts and the recognition of such amounts are subject to significant estimates that may change in the future.

Interest Rate Swap Contracts Designated as Cash Flow Hedges

For instruments that are designated and qualify as a cash flow hedge, the effective portion of the gain or loss on the derivative is reported as a component of other comprehensive income (“OCI”), and reclassified into earnings in the same period, or periods, during which the hedged transaction affects earnings. Gains and losses on the derivative representing either hedge ineffectiveness or hedge components excluded from the assessment of effectiveness are recognized in earnings. As of June 30, 2012, we had five interest rate swaps for a total aggregate notional amount of $101,040,000. The swaps hedge interest payments associated with long-term LIBOR based borrowings and mature between December 31, 2012 and December 31, 2013. Approximately $1,883,000 of losses, which are included in accumulated other comprehensive income (“AOCI”), are expected to be reclassified into earnings in the next 12 months.

Forward Exchange Contracts

On February 15, 2012, we entered into a forward exchange contract to purchase $250,000,000 Canadian Dollars at a fixed rate in the future.  The forward contract was used to limit exposure to fluctuations in the Canadian Dollar to U.S. Dollar exchange rate associated with our initial cash investment funded for the Chartwell transaction discussed in Note 3 and Note 7.  On May 3, 2012, this forward exchange contract was settled for a gain of $2,772,000 and the proceeds were used to fund our investment.    On May 3, 2012, we also entered into a forward contract to sell $250,000,000 Canadian dollars at a fixed rate on July 31, 2012.  This forward contract has been designated as a net investment hedge of our Chartwell investment and changes in fair value are reported in OCI as no ineffectiveness is anticipated.

The following presents the impact of derivative instruments on the statement of comprehensive income and OCI for the periods presented (dollars in thousands):

			Three Months Ended				Six Months Ended
			June 30,				June 30,
		Location		2012		2011		2012		2011
Gain (loss) on interest rate swap recognized in
	OCI (effective portion)	n/a	$	806	$	(4,962)	$	1,545	$	(7,016)
Gain (loss) on interest rate swaps reclassified from
	AOCI into income (effective portion)	Interest expense		360		(794)		821		(1,598)
Gain (loss) on interest rate sawps recognized
	in income	Realized loss		(96)		0		(96)		0
Gain (loss) on forward exchange contracts recognized in
	income (ineffective portion and amount excluded
	from effectiveness testing)	Unrealized loss		0		0		(555)		0
Gain (loss) on forward exchange contracts recognized
	in income	Realized gain		2,772		0		2,772		0
Gain (loss) on forward exchange contracts designated
	as net investment hedge recognized in OCI	n/a		6,916		0		6,916		0