Derivative Financial Instruments And Hedging Activities

9 Months Ended

Sep. 30, 2012

General Discussion of Derivative Instruments and Hedging Activities [Abstract]

Derivative Financial Instruments And Hedging Activities

DERIVATIVE FINANCIAL INSTRUMENTS AND HEDGING ACTIVITIES

Interest rate cap and swap derivatives consist of the following (in thousands):

	September 30, 2012				December 31, 2011
	Notional		Fair Value(b)		Notional		Fair Value(b)
Assets
Interest rate swaps(a)	$	25,404	$	301	$	509,561	$	2,004
Interest rate caps(a)	1,493,304		1,471		1,512,793		4,548
Total assets	$	1,518,708	$	1,772	$	2,022,354	$	6,552
Liabilities
Interest rate swaps	$	25,404	$	301	$	509,561	$	6,440
Interest rate caps	1,493,304		1,501		1,470,856		4,768
Total liabilities	$	1,518,708	$	1,802	$	1,980,417	$	11,208

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(a) Included in other assets on the consolidated balance sheets.

(b) See Note 9 - "Fair Value of Assets and Liabilities" for further discussion of fair value disclosure related to the derivatives.

Generally, we purchase interest rate cap agreements to limit floating rate exposures on securities issued in our credit facilities. We utilize interest rate swap agreements to convert floating rate exposures on securities issued in securitization transactions to fixed rates, thereby hedging the variability in interest expense paid. Interest rate swap agreements designated as hedges had insignificant losses and $2.4 million of gains included in accumulated other comprehensive income as of September 30, 2012 and December 31, 2011, respectively. The ineffectiveness gain (loss) related to the interest rate swap agreements was $(0.1) million and $(0.2) million for the three and nine months ended September 30, 2012 and insignificant and $0.3 million for the three and nine months ended September 30, 2011, respectively. We estimate approximately $0.1 million of unrealized losses included in accumulated other comprehensive income will be reclassified into earnings within the next twelve months.

Interest rate swap agreements not designated as hedges had a change in fair value which resulted in insignificant gains for the three and nine months ended September 30, 2012 and gains of $1.0 million and $1.1 million for the three and nine months ended September 30, 2011, and are included in interest expense on the consolidated statements of income and comprehensive income.

Under the terms of our derivative financial instruments, we are required to pledge certain funds to be held in restricted cash accounts as collateral for the outstanding derivative transactions. As of September 30, 2012 and December 31, 2011, these restricted cash accounts totaled $6.4 million and $35.5 million, respectively, and are included in other assets on the consolidated balance sheets.

The following tables present information on the effect of derivative instruments on the consolidated statements of income and comprehensive income (in thousands):

	Income (Losses) Recognized In Income
	Three Months Ended						Nine Months Ended
	September 30,						September 30,
	2012			2011			2012			2011
Non-designated hedges:
Interest rate contracts(a)	$	53		$	879		$	337		$	912
Foreign currency exchange derivatives(b)				1,998						2,125
	$	53		$	2,877		$	337		$	3,037
Designated hedges:
Interest rate contracts(a)	$	(69	)	$	23		$	(161	)	$	260
	Losses Recognized In Accumulated Other Comprehensive Income (Loss)
	Three Months Ended						Nine Months Ended
	September 30,						September 30,
	2012			2011			2012			2011
Designated hedges:
Interest rate contracts	$	(11	)	$	(1,078	)	$	(66	)	$	(1,930	)
	Income (Losses) Reclassified From Accumulated Other Comprehensive Income (Loss) Into Income
	Three Months Ended						Nine Months Ended
	September 30,						September 30,
	2012			2011			2012			2011
Designated hedges:
Interest rate contracts(a)	$	(50	)	$	(893	)	$	2,415		$	(1,892	)

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(a) Income (losses) recognized in earnings are included in interest expense.

(b) There were no outstanding foreign currency exchange derivatives at September 30, 2012. Income recognized in earnings is included in operating expenses.