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USE OF DERIVATIVE FINANCIAL INSTRUMENTS, OFFSETTING DISCLOSURES AND CHANGES IN OTHER COMPREHENSIVE INCOME BY COMPONENT (Tables)
 9 Months Ended
Sep. 30, 2013
USE OF DERIVATIVE FINANCIAL INSTRUMENTS, OFFSETTING DISCLOSURES AND CHANGES IN OTHER COMPREHENSIVE INCOME BY COMPONENT [Abstract]  
Schedule of Swap Agreements Expiration Period and Characteristics
At September 30, 2013, the Company’s portfolio financing-related swap positions had the following characteristics (dollars in thousands):

Period of
Contract Expiration
 
Notional
Amount
  
Average Fixed Rate
Payment Requirement
 
Currently-paying contracts:
 
  
 
Fourth quarter 2013
 
$
800,000
   
0.78
%
First quarter 2014
  
200,000
   
0.60
 
Second quarter 2014
  
400,000
   
0.51
 
Third quarter 2014
  
200,000
   
0.51
 
Fourth quarter 2014
  
500,000
   
0.58
 
First quarter 2015
  
1,100,000
   
0.50
 
Second quarter 2015
  
200,000
   
0.43
 
Third quarter 2015
  
400,000
   
0.47
 
(average expiration:  11 months)
  
3,800,000
   
0.57
 
Forward-starting contracts:
        
Fourth quarter 2015
  
1,200,000
   
0.45
 
First quarter 2016
  
1,700,000
   
0.51
 
Second quarter 2016
  
400,000
   
0.45
 
(average expiration:  27 months)
  
3,300,000
   
0.48
 
(average expiration:  18 months)
 
$
7,100,000
     
Impact of Derivative Instruments on Statements of Financial Performance and Financial Position
The following tables include fair value and other related disclosures regarding all Derivatives held as of and for the indicated periods (in thousands):

 
Balance Sheet
 
September 30,
  
December 31,
 
 
Location
 
2013
  
2012
 
Balance sheet-related
 
 
  
 
Interest rate swap agreements in a gain position (an asset) related to borrowings under repurchase arrangements
(a)
 
$
1,558
  
$
169
 
Interest rate swap agreements in a loss position (a liability) related to:
 
        
Borrowings under repurchase arrangements
(a)
  
(10,858
)
  
(18,671
)
Unsecured borrowings
(a)
  
(567
)
  
(14,197
)
Related net interest payable
(b)
  
(6,356
)
  
(7,788
)
 
  
 
$
(16,223
)
 
$
(40,487
)

(a)The fair value of Derivatives with realized and unrealized gains are aggregated and recorded as an asset on the face of the Balance Sheet separately from the fair value of Derivatives with realized and unrealized losses that are recorded as a liability.  The amount of unrealized losses at September 30, 2013 scheduled to be recognized in the Statement of Income over the next twelve months primarily in the form of fixed-rate swap payments in excess of current market rates totaled $13.4 million.
(b)Included in “Accounts payable and accrued expenses” on the face of the Balance Sheet.

 
Location of
Gain or (Loss)
Recognized in
 
Quarter Ended
September 30
  
Nine Months Ended
September 30, 2013
 
 
Net Income
 
2013
  
2012
  
2013
  
2012
 
Income statement-related
 
 
  
  
  
 
Components of effect on interest expense:
 
 
  
  
  
 
Amount of loss reclassified from Accumulated other comprehensive income related to the effective portion of active positions
 
 
$
(3,698
)
 
$
(4,835
)
 
$
(13,548
)
 
$
(14,630
)
Amount of gain (loss) recognized (ineffective portion)
 
  
(23
)
  
211
   
73
   
(96
)
Increase in interest expense and decrease in Net income as a result of the use of Derivatives
(a)
 
$
(3,721
)
 
$
(4,624
)
 
$
(13,475
)
 
$
(14,726
)
Other comprehensive income-related
 
                
Amount of gain (loss) recognized in Other comprehensive income (loss) (effective portion)
 
 
$
(10,867
)
 
$
(8,454
)
 
$
9,136
  
$
(25,539
)

(a)Included in “Interest expense:  Repurchase arrangements and similar borrowings” on the face of the Statement of Income.
 
Schedule Of Offsetting Disclosures For All Derivatives Held And Repurchase Arrangements And Similar Borrowings Outstanding Table [Text Block]
The Company’s swap agreements and borrowings under repurchase arrangements are subject to master netting arrangements in the event of default on, or termination of, any one contract.  See NOTE 6 for more information on the Company’s use of repurchase arrangements.  The following tables provide disclosures concerning offsetting of financial liabilities and Derivatives as of the indicated dates (in thousands):

 
 
Offsetting of Derivative Assets
 
 
 
  
Gross
  
Net Amounts
  
Gross Amounts Not Offset
  
 
 
 
Gross
  
Amounts
  
of Assets
  
in the Balance Sheet
  
 
 
 
Amounts of
  
Offset in
  
Presented in
  
  
Cash
  
 
 
 
Recognized
  
the Balance
  
the Balance
  
Financial
  
Collateral
  
Net
 
 
 
Assets
  
Sheet
  
Sheet
  
Instruments
  
Received
  
Amount
 
As of September 30, 2013:
 
  
  
  
  
  
 
Counterparty 1
 
$
463
  
$
–
  
$
463
  
$
(463
)
 
$
–
  
$
–
 
Counterparty 2
  
1,095
   
–
   
1,095
   
(1,095
)
  
–
   
–
 
 
 
$
1,558
  
$
–
  
$
1,558
  
$
(1,558
)
 
$
–
  
$
–
 
As of December 31, 2012:
                        
Counterparty 1
 
$
128
  
$
–
  
$
128
  
$
(128
)
 
$
–
  
$
–
 
Counterparty 2
  
41
   
–
   
41
   
(41
)
  
–
   
–
 
 
 
$
169
  
$
–
  
$
169
  
$
(169
)
 
$
–
  
$
–
 

 
 
Offsetting of Financial Liabilities and Derivative Liabilities
 
 
 
  
Gross
  
Net Amounts
  
Gross Amounts Not Offset
  
 
 
 
Gross
  
Amounts
  
of Liabilities
  
in the Balance Sheet (b)
  
 
 
 
Amounts of
  
Offset in
  
Presented in
  
  
Cash
  
 
 
 
Recognized
  
the Balance
  
the Balance
  
Financial
  
Collateral
  
Net
 
 
 
Liabilities(a)
  
Sheet
  
Sheet (a)
  
Instruments
  
Pledged
  
Amount
 
As of September 30, 2013:
 
  
  
  
  
  
 
Derivatives by counterparty:
 
  
  
  
  
  
 
Counterparty 1
 
$
8,930
  
$
–
  
$
8,930
  
$
(463
)
 
$
(8,467
)
 
$
–
 
Counterparty 2
  
7,547
   
–
   
7,547
   
(1,095
)
  
(6,452
)
  
–
 
Counterparty 3
  
1,304
   
–
   
1,304
   
–
   
(1,304
)
  
–
 
 
  
17,781
   
–
   
17,781
   
(1,558
)
  
(16,223
)
  
–
 
Repurchase arrangements and similar borrowings
  
12,621,015
   
–
   
12,621,015
   
(12,621,015
)
  
–
   
–
 
 
 
$
12,638,796
  
$
–
  
$
12,638,796
  
$
(12,622,573
)
 
$
(16,223
)
 
$
–
 
As of December 31, 2012:
                        
Derivatives by counterparty:
                        
Counterparty 1
 
$
26,904
  
$
–
  
$
26,904
  
$
(128
)
 
$
(26,776
)
 
$
–
 
Counterparty 2
  
12,357
   
–
   
12,357
   
(41
)
  
(11,500
)
  
816
 
Counterparty 3
  
1,395
   
–
   
1,395
   
–
   
(1,395
)
  
–
 
 
  
40,656
   
–
   
40,656
   
(169
)
  
(39,671
)
  
816
 
Repurchase arrangements and similar borrowings
  
12,791,243
   
–
   
12,791,243
   
(12,791,243
)
  
–
   
–
 
 
 
$
12,831,899
  
$
–
  
$
12,831,899
  
$
(12,791,412
)
 
$
(39,671
)
 
$
816
 

(a)Amounts include accrued interest of $6.4 million and $7.8 million on interest rate swap agreements and $2.4 million and $7.0 million on repurchase arrangements and similar borrowings, included in “Accounts payable and accrued expenses” on the face of the Balance Sheets as of September 30, 2013 and December 31, 2012, respectively.
(b)Amounts presented are limited to collateral pledged sufficient to reduce the related Net Amount to zero in accordance with ASU No. 2011-11, as amended by ASU No. 2013-01.
 
Changes in Accumulated Other Comprehensive Income
Changes in Accumulated other comprehensive income by component for the quarter and nine months ended September 30, 2013 were as follows (in thousands):

 
 
 
Gains and Losses
on Cash Flow
Hedges
  
Unrealized Gains
and Losses on
Available-for-Sale
Securities
  
Total
 
Balance at June 30, 2013
 
$
(2,686
)
 
$
249,951
  
$
247,265
 
Activity for the quarter ended September 30, 2013:
            
Other comprehensive income (loss) before reclassifications
  
(10,867
)
  
(27,539
)
  
(38,406
)
Amounts reclassified from accumulated other comprehensive income
  
3,698
   
–
   
3,698
 
Net other comprehensive income (loss)
  
(7,169
)
  
(27,539
)
  
(34,708
)
Balance at September 30, 2013
 
$
(9,855
)
 
$
222,412
  
$
212,557
 
Balance at December 31, 2012
 
$
(32,539
)
 
$
326,449
  
$
293,910
 
Activity for the nine months ended September 30, 2013:
            
Other comprehensive income (loss) before reclassifications
  
9,136
   
(104,037
)
  
(94,901
)
Amounts reclassified from accumulated other comprehensive income
  
13,548
   
–
   
13,548
 
Net other comprehensive income (loss)
  
22,684
   
(104,037
)
  
(81,353
)
Balance at September 30, 2013
 
$
(9,855
)
 
$
222,412
  
$
212,557