Derivative Financial Instruments And Hedging Activities

12 Months Ended

Dec. 31, 2011

General Discussion of Derivative Instruments and Hedging Activities [Abstract]

Derivative Financial Instruments And Hedging Activities

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

	Successor
	December 31, 2012				December 31, 2011
	Notional		Fair Value(b)		Notional		Fair Value(b)
Assets
Interest rate swaps(a)	$	24,126	$	133	$	509,561	$	2,004
Interest rate caps(a)	750,983		386		1,512,793		4,548
Total assets	$	775,109	$	519	$	2,022,354	$	6,552
Liabilities
Interest rate swaps	$	24,126	$	133	$	509,561	$	6,440
Interest rate caps	750,983		394		1,470,856		4,768
Total liabilities	$	775,109	$	527	$	1,980,417	$	11,208

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

(b) See Note 12 - "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 loss as of December 31, 2012 and 2011, respectively. The ineffectiveness gain (loss) related to the interest rate swap agreements was $(0.1) million for fiscal 2012, $1.1 million for fiscal 2011, $(1.1) million for the three months ended December 31, 2010, $(0.1) million for the three months ended September 30, 2010 and $0.4 million for fiscal 2010, respectively. We estimate the remaining amount of unrealized losses included in accumulated other comprehensive loss 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 gains (losses) of $0.2 million for fiscal 2012, $(1.7) million for fiscal 2011, $1.2 million for the three months ended December 31, 2010, $5.4 million for the three months ended September 30, 2010 and $12.6 million for fiscal 2010 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 December 31, 2012 and 2011, these restricted cash accounts totaled $4.2 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
	Successor									Predecessor
	For the Year Ended December 31, 2012			For the Year Ended December 31, 2011			Period From October 1, 2010 Through December 31, 2010			Period From July 1, 2010 Through September 30, 2010			For the Year Ended June 30, 2010
Non-designated hedges:
Interest rate contracts(a)	$	362		$	(1,701	)	$	1,060		$	5,478		$	13,248
Foreign currency exchange derivatives(b)				2,125			(535		)	(383		)	(1,206		)
	$	362		$	424		$	525		$	5,095		$	12,042
Designated hedges:
Interest rate contracts(a)	$	(120	)	$	1,090		$	(1,092	)	$	(85	)	$	394
	Losses Recognized In Accumulated Other Comprehensive (Loss) Income
	Successor									Predecessor
	For the Year Ended December 31, 2012			For the Year Ended December 31, 2011			Period From October 1, 2010 Through December 31, 2010			Period From July 1, 2010 Through September 30, 2010			For the Year Ended June 30, 2010
Designated hedges:
Interest rate contracts	$	(66	)	$	(50	)	$	(464	)	$	(8,218	)	$	(36,761	)
	Income (Losses) Reclassified From Accumulated Other Comprehensive (Loss) Income Into Income
	Successor									Predecessor
	For the Year Ended December 31, 2012			For the Year Ended December 31, 2011			Period From October 1, 2010 Through December 31, 2010			Period From July 1, 2010 Through September 30, 2010			For the Year Ended June 30, 2010
Designated hedges:
Interest rate contracts(a)	$	2,383		$	(2,902	)	$	(52	)	$	(14,473	)	$	(80,067	)

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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 December 31, 2012. Income (losses) recognized in earnings is included in operating expenses.