Derivative Financial Instruments

12 Months Ended

Dec. 31, 2011

Derivative Financial Instruments [Abstract]

Derivative Financial Instruments

NOTE 7: DERIVATIVE FINANCIAL INSTRUMENTS

We may use derivative financial instruments to hedge all or a portion of the interest rate risk associated with our borrowings. The principal objective of such arrangements is to minimize the risks and/or costs associated with our operating and financial structure as well as to hedge specific anticipated transactions. The counterparties to these contractual arrangements are major financial institutions with which we and our affiliates may also have other financial relationships. In the event of nonperformance by the counterparties, we are potentially exposed to credit loss. However, because of the high credit ratings of the counterparties, we do not anticipate that any of the counterparties will fail to meet their obligations.

Cash Flow Hedges

We have entered into various interest rate swap contracts to hedge interest rate exposure on floating rate indebtedness. We designate interest rate hedge agreements at inception and determine whether or not the interest rate hedge agreement is highly effective in offsetting interest rate fluctuations associated with the identified indebtedness. At designation, certain of these interest rate swaps had a fair value not equal to zero. However, we concluded, at designation, that these hedging arrangements were highly effective during their term using regression analysis and determined that the hypothetical derivative method would be used in measuring any ineffectiveness. At each reporting period, we update our regression analysis and, as of December 31, 2011, we concluded that these hedging arrangements were highly effective during their remaining term and used the hypothetical derivative method in measuring the ineffective portions of these hedging arrangements.

The following table summarizes the aggregate notional amount and estimated net fair value of our derivative instruments as of December 31, 2011 and December 31, 2010:

	As of December 31, 2011					As of December 31, 2010
	Notional		Fair Value			Notional		Fair Value
Cash flow hedges:
Interest rate swaps	$	1,570,787	$	(181,499	)	$	1,786,698	$	(184,878	)
Interest rate caps		36,000		1,360			36,000		1,496
Net fair value	$	1,606,787	$	(180,139	)	$	1,822,698	$	(183,382	)

In November 2011, an interest rate swap agreement that had a notional amount of $107,113 and strike rate of 5.25%, as of September 30, 2011 terminated in accordance with its terms. During 2012, interest rate swap agreements with a notional amount of $185,625 and a weighted average strike rate of 4.15% as of December 31, 2011, will terminate in accordance with their terms.

The following table summarizes the effect on income by derivative instrument type for the following periods:

	For the Year Ended December 31, 2011					For the Year Ended December 31, 2010					For the Year Ended December 31, 2009
Type of Derivative	Amounts Reclassified to Earnings for Effective Hedges— Gains (Losses)			Amounts Reclassified to Earnings for Hedge Ineffectiveness— Gains (Losses)		Amounts Reclassified to Earnings for Effective Hedges— Gains (Losses)			Amounts Reclassified to Earnings for Hedge Ineffectiveness— Gains (Losses)		Amounts Reclassified to Earnings for Effective Hedges— Gains (Losses)			Amounts Reclassified to Earnings for Hedge Ineffectiveness— Gains (Losses)
Interest rate swaps	$	(42,820	)	$	8	$	(46,111	)	$	46	$	(45,476	)	$	(449	)
Currency options		0			0		0			0		0			(21	)
Total	$	(42,820	)	$	8	$	(46,111	)	$	46	$	(45,476	)	$	(470	)

On January 1, 2008, we adopted the fair value option, which has been classified under FASB ASC Topic 825, "Financial Instruments", for certain of our CDO notes payable. Upon the adoption of this standard, hedge accounting for any previously designated cash flow hedges associated with these CDO notes payable was discontinued and all changes in fair value of these cash flow hedges are recorded in earnings. As of December 31, 2011, the notional value associated with these cash flow hedges where hedge accounting was discontinued was $967,276 and had a liability balance with a fair value of $94,478. See Note 8: "Fair Value of Financial Instruments" for the changes in value of these hedges during the years ended December 31, 2011 and 2010. The change in value of these hedges was recorded as a component of the change in fair value of financial instruments in our consolidated statement of operations.

Amounts reclassified to earnings associated with effective cash flow hedges are reported in investment interest expense and the fair value of these hedge agreements is included in other assets or derivative liabilities.