Derivative And Hedging Instruments

9 Months Ended

Sep. 30, 2011

Derivative And Hedging Instruments [Abstract]

Derivative And Hedging Instruments

6.           DERIVATIVE AND HEDGING INSTRUMENTS

Interest Rate Caps.  We utilize interest rate cap agreements to manage the interest rate risk on our Warehouse facilities.  The following tables provide the terms of our interestrate cap agreements that were in effect as of September 30, 2011 and December 31, 2010:

		As of September 30, 2011
Facility (in millions)		Facility Name	Purpose	Start		End		Notional (in millions)		Cap Interest Rate (1)
$	325.0	Warehouse Facility II	Cap Floating Rate		09/2010		06/2013	$	325.0		6.75	%
	75.0	Warehouse Facility III	Cap Floating Rate		09/2010		09/2013		37.5		6.75	%
	75.0	Warehouse Facility IV	Cap Floating Rate		08/2011		03/2014		75.0		5.50	%

As of December 31, 2010

Facility (in millions)

Facility Name

Purpose

Start

End

Notional (in millions)

Cap Interest Rate (1)

$

325.0

Warehouse Facility II

Cap Floating Rate

04/2009

05/2012

$

325.0

6.75

%

75.0

Warehouse Facility III

Cap Floating Rate

09/2010

09/2013

12.5

6.75

%

(1)   Rate excludes the spread over the LIBOR rate or the commercial paper rate, as applicable.

The interest rate caps have not been designated as hedging instruments.

Interest Rate Swaps.  As ofSeptember 30, 2011, we did not have any interest rate swap agreements outstanding.  As of December 31, 2010, we had an interest rate swap outstanding for Warehouse Facility III which matured in August 2011 that converted $25.0 million of the amount outstanding under the facility into fixed rate debt, bearing an interest rate 4.36%.  This interest rate swap had been designated as a cash flow hedging instrument.

Information related to the fair values of derivative instruments in our consolidated balance sheets as of September 30, 2011 and December 31, 2010 is as follows:

(In thousands)		Fair Value as of
	Balance Sheet location	September 30, 2011		December 31, 2010
Derivatives designated as hedging instruments
Liability Derivatives
Interest rate swap	Accounts payable and accrued liabilities	$	-	$	176
Derivatives not designated as hedging instruments
Asset Derivatives
Interest rate caps	Other assets	$	24	$	56
Total Derivatives
Total Asset Derivatives		$	24	$	56
Total Liability Derivatives		$	-	$	176

Information related to the effect of derivative instruments designated as hedging instruments in our consolidated financial statements is as follows:

(In thousands)
Derivatives in Cash Flow Hedging Relationships	(Loss) / Gain Recognized in OCI on Derivative (Effective Portion)						(Loss) / Gain Reclassified from Accumulated OCI into Income (Effective Portion)
	For the Three Months Ended September 30,							For the Three Months Ended September 30,
	2011			2010			Location	2011			2010
Interest rate swap	$	-		$	(83	)	Interest expense	$	(49	)	$	(68	)
(In thousands)
Derivatives in Cash Flow Hedging Relationships	(Loss) / Gain Recognized in OCI on Derivative (Effective Portion)						(Loss) / Gain Reclassified from Accumulated OCI into Income (Effective Portion)
	For the Nine Months Ended September 30,							For the Nine Months Ended September 30,
		2011			2010		Location		2011			2010
Interest rate swap	$	(16	)	$	528		Interest expense	$	(192	)	$	(676	)

Information related to the effect of derivative instruments not designated as hedging instruments on our consolidated statements of income for the three and nine months ended September 30, 2011 and 2010 is as follows:

(In thousands)
Derivatives Not Designated as Hedging Instruments		Amount of (Loss) / Gain Recognized in Income on Derivatives
		For the Three Months Ended September 30,						For the Nine Months Ended September 30,
	Location	2011			2010			2011			2010
Interest rate caps	Interest expense	$	(61	)	$	(24	)	$	(202	)	$	(181	)
Interest rate swap	Interest expense		-			-			-			(590	)
Total		$	(61	)	$	(24	)	$	(202	)	$	(771	)