Thrifty Car Rental 2010 Annual Report Download - page 75

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The fair value of derivatives outstanding for the years ended December 31, 2010 and 2009 are
as follows (in thousands):
Balance Balance Balance Balance
Sheet Fair Sheet Fair Sheet Fair Sheet Fair
Location Value Location Value Location Value Location Value
Interest rate contracts
Prepaid expenses
and other assets 861$ Receivables -$
Accrued
liabilities 31,254$
Accrued
liabilities 40,639$
861$ -$ 31,254$ 40,639$
Interest rate contracts
Prepaid expenses
and other assets 494$ Receivables 16$
Accrued
liabilities 5,634$
Accrued
liabilities 34,732$
494$ 16$ 5,634$ 34,732$
Total derivatives 1,355$ 16$ 36,888$ 75,371$
Fair Values of Derivative Instruments
Asset Derivatives Liability Derivatives
December 31, December 31, December 31, December 31,
2010 2009
Derivatives designated as hedging
instruments
Total derivatives designated as hedging
instruments
Derivatives not designated as hedging
instruments
Total derivatives not designated as
hedging instruments
2010 2009
The interest rate swap agreements related to the Series 2005-1 notes and Series 2006-1 notes
and the interest rate cap agreements related to the Series 2010-1 VFN and the Series 2010-3
VFN do not qualify for hedge accounting treatment. The (gain) loss recognized in income on
derivatives not designated as hedging instruments for the years ended December 31, 2010 and
2009 are as follows (in thousands):
2010 2009
Interest rate contracts (28,694)$ (28,848)$
Total (28,694)$ (28,848)$
Net (increase) decrease in fair
value of derivatives
Derivatives Not Designated as Hedging
Instruments
Location of (Gain) or Loss
Recognized in Income on
Derivative
Years Ended
December 31,
Amount of (Gain) or Loss
Recognized in Income on
Derivative
The interest rate swap agreement entered into in May 2007 related to the Series 2007-1 notes
(“2007 Swap”) and the interest rate cap agreement entered into in June 2010 related to the
Series 2010-2 VFN (“2010-2 Cap”) both constitute cash flow hedges and satisfy the criteria for
hedge accounting under the “long-haul” method. The amount of gain (loss) recognized on
derivatives in other comprehensive income (loss) (“OCI”) and the amount of the gain (loss)
reclassified from Accumulated OCI (“AOCI”) into income (loss) for the years ended December
31, 2010 and 2009 are as follows (in thousands):
2010 2009 2010 2009
Years Ended
December 31,
Interest rate contracts 5,543$ 8,662$ (14,069)$ (13,953)$
Total 5,543$ 8,662$ (14,069)$ (13,953)$
Interest expense, net of
interest income
Derivatives in Cash
Flow Hedging
Relationships
Amount of Gain or (Loss)
Recognized in OCI on
Derivative (Effective Portion)
Amount of Gain or (Loss)
Reclassified from AOCI into
Income (Effective Portion)
Location of (Gain) or Loss
Reclassified from AOCI in
Income (Effective Portion)
74