Derivative And Hedging Instruments

3 Months Ended

Mar. 31, 2012

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 table provides the terms of our interest rate cap agreements that were in effect as of both March 31, 2012 and December 31, 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	%

(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.

Information related to the fair values of derivative instruments in our consolidated balance sheets as of March 31, 2012 and December 31, 2011 is as follows:

(In thousands)		Fair Value as of
	Balance Sheet location	March 31, 2012		December 31, 2011
Derivatives not designated as hedging instruments
Asset Derivatives
Interest rate caps	Other assets	$	2	$	16

Information related to the effect of derivative instruments designated as hedging instruments in our consolidated financial statements for the three months ended March 31, 2012 and 2011 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 March 31,						For the Three Months Ended March 31,
	2012		2011			Location	2012		2011
Interest rate swap	$	–	$	(8	)	Interest expense	$	–	$	(69	)

Information related to the effect of derivative instruments not designated as hedging instruments on our consolidated statements of income for the three months ended March 31, 2012 and 2011 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 March 31,
	Location	2012			2011
Interest rate caps	Interest expense	$	(14	)	$	(20	)