Annual and transition report of foreign private issuers pursuant to Section 13 or 15(d)

Derivative Assets And Liabilities

v3.3.1.900
Derivative Assets And Liabilities
12 Months Ended
Dec. 31, 2015
Derivative Assets And Liabilities [Abstract]  
Derivative Assets And Liabilities

12. Derivative assets and liabilities 

We have entered into interest rate derivatives to hedge the current and future interest rate payments on our variable rate debt. These derivative financial instruments can include interest rate swaps, caps, floors, options and forward contracts.

 

As of December 31, 2015, we had interest rate caps and swaps outstanding, with underlying variable benchmark interest rates ranging from one to three-month U.S. dollar LIBOR.

 

All of our interest rate swaps acquired as part of the ILFC Transaction expired during the year ended December 31, 2015. None of our derivatives that were outstanding as of December 31, 2015 were subject to master netting agreements, which allow the netting of derivative assets and liabilities in the case of default under any one contract.

Some of our agreements with derivative counterparties require a two-way cash collateralization of derivative fair values. As of December 31, 2015 and 2014, we had cash collateral of $4.5 million and $8.1 million, respectively, from various counterparties and the obligation to return such collateral was recorded in accounts payable, accrued expenses and other liabilities. The Company had not advanced any cash collateral to counterparties as of December 31, 2015 and 2014.

The counterparties to our interest rate derivatives are major international financial institutions. We continually monitor our positions and the credit ratings of the counterparties involved and limit the amount of credit exposure to any one party. We could be exposed to potential losses due to the credit risk of non-performance by these counterparties. We have not experienced any material losses to date.

Our derivative assets are recorded in other assets and our derivative liabilities are recorded in accounts payable, accrued expenses and other liabilities in our Consolidated Balance Sheets. The following tables present notional amounts and fair values of derivatives outstanding as of December 31, 2015 and 2014:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

As of December 31,

 

2015

 

2014

 

Notional amount

 

Fair value

 

Notional amount

 

Fair value

Derivative assets not designated as hedges:

 

 

 

 

 

 

 

 

 

 

 

Interest rate caps

$

2,194,210 

 

$

18,965 

 

$

1,715,002 

 

$

24,549 

Total derivative assets

 

 

 

$

18,965 

 

 

 

 

$

24,549 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

As of December 31,

 

2015

 

2014

 

Notional amount

 

Fair value

 

Notional amount

 

Fair value

Derivative liabilities not designated as hedges:

 

 

 

 

 

 

 

 

 

 

 

Interest rate floors

$

 —

 

$

 —

 

$

35,440 

 

$

253 

Interest rate swaps

 

 —

 

 

 —

 

 

51,630 

 

 

1,549 

Derivative liabilities designated as cash flow hedges:

 

 

 

 

 

 

 

 

 

 

 

Interest rate swaps

 

23,223 

 

 

21 

 

 

39,000 

 

 

406 

Total derivative liabilities

 

 

 

$

21 

 

 

 

 

$

2,208 

 

We recorded the following in other comprehensive income (loss) related to derivative financial instruments for the years ended December 31, 2015, 2014 and 2013:

 

 

 

 

 

 

 

 

 

 

 

 

Year Ended December 31,

 

2015

 

2014

 

2013

Gain (Loss)

 

 

 

 

 

 

 

 

Effective portion of change in fair market value of derivatives designated as cash flow hedges:

 

 

 

 

 

 

 

 

Interest rate swaps

$

385 

 

$

2,065 

 

$

5,686 

Reclassification of derivative loss to interest expense

 

 —

 

 

3,126 

 

 

 —

Income tax effect

 

(47)

 

 

(649)

 

 

(711)

Net changes in cash flow hedges, net of tax

$

338 

 

$

4,542 

 

$

4,975 

 

The following table presents the effect of derivatives recorded in interest expense in our Consolidated Income Statements. We do not expect to reclassify amounts from AOCI to interest expense in our Consolidated Income Statements over the next 12 months.

 

 

 

 

 

 

 

 

 

 

 

 

Year Ended December 31,

 

2015

 

2014

 

2013

Loss (Gain)

 

 

 

 

 

 

 

 

Derivatives not designated as hedges:

 

 

 

 

 

 

 

 

Interest rate caps, floors and swaps

$

18,118 

 

$

13,569 

 

$

(11,709)

Reclassification to Consolidated Income Statements:

 

 

 

 

 

 

 

 

Reclassification of amounts previously recorded in AOCI

 

 —

 

 

3,126 

 

 

 —

Effect from derivatives

$

18,118 

 

$

16,695 

 

$

(11,709)