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USE OF DERIVATIVE FINANCIAL INSTRUMENTS, OFFSETTING DISCLOSURES AND CHANGES IN OTHER COMPREHENSIVE INCOME BY COMPONENT (Tables)
 12 Months Ended
Dec. 31, 2014
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 December 31, 2014, the Company’s portfolio of 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:
    
First quarter 2015
 
$
1,100,000
   
0.50
%
Second quarter 2015
  
200,000
   
0.43
 
Third quarter 2015
  
400,000
   
0.47
 
Fourth quarter 2015
  
1,200,000
   
0.45
 
First quarter 2016
  
1,700,000
   
0.51
 
Second quarter 2016
  
1,100,000
   
0.47
 
Third quarter 2016
  
700,000
   
0.56
 
Fourth quarter 2016
  
800,000
   
0.66
 
(average expiration: 12 months)
  
7,200,000
   
0.51
 
Forward-starting contracts:
        
First quarter 2017 (average expiration: 24 months)
  
500,000
   
0.72
 
(average expiration: 12 months)
 
$
7,700,000
     
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
 
December 31
 
 
Location
 
2014
  
2013
 
Balance sheet-related
     
Swap agreements in a gain position (an asset) related to:
     
Borrowings under repurchase arrangements
(a)
 
$
1,657
  
$
1,094
 
Unsecured borrowings
(a)
  
–
   
3,911
 
Swap agreements in a loss position (a liability) related to:
         
Borrowings under repurchase arrangements
(a)
  
(6,332
)
  
(11,304
)
Unsecured borrowings
(a)
  
(20,702
)
  
–
 
Related net interest payable
(b)
  
(9,516
)
  
(5,493
)
    
$
(34,893
)
 
$
(11,792
)

(a)The fair value of Derivatives with realized and unrealized gains are aggregated and recorded as an asset on the face of the Balance Sheets separately from the fair value of Derivatives with realized and unrealized losses that are recorded as a liability.  The amount of unrealized losses scheduled to be recognized in the Statements of Income over the next twelve months primarily in the form of fixed-rate swap payments in excess of current market rates totaled $12.2 million at December 31, 2014.
 
(b)Included in “Accounts payable and accrued expenses” on the face of the Balance Sheets.
 
  
Location of Gain or (Loss) Recognized in
  
Year ended December 31
 
  
Net Income
  
2014
  
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
   
$
(22,055
)
 
$
(16,914
)
 
$
(19,882
)
Amount of gain (loss) recognized (ineffective portion)
    
(473
)
  
24
   
(542
)
Increase in interest expense and decrease in Net income as a result of the use of Derivatives
  
*
  
$
(22,528
)
 
$
(16,890
)
 
$
(20,424
)
Other comprehensive income-related
                
Amount of gain (loss) recognized in Other comprehensive income (loss) (effective portion)
     
$
(41,059
)
 
$
9,320
  
$
(22,262
)
 
 
*Included in “Interest expense:  Repurchase arrangements and similar borrowings” on the face of the Statements of Income.
Schedule of Offsetting Disclosures for Asset Derivatives Held and Repurchase Arrangements and Similar Borrowings Outstanding
Capstead’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 Asset
 
  
Gross
  
Gross
Amounts
  
Net Amounts
of Assets
  
Gross Amounts Not Offset
in the Balance Sheet(a)
   
  
Amounts of
Recognized
Assets
  
Offset in
the Balance
Sheet
  
Presented in
the Balance
Sheet
  
Financial Instruments
  
Cash Collateral Received
  
Net
Amount
 
December 31, 2014
            
Counterparty 2
 
$
–
  
$
95
  
$
95
  
$
(95
)
 
$
–
  
$
–
 
Counterparty 4
  
1,128
   
434
   
1,562
   
(1,562
)
  
–
   
–
 
  
$
1,128
  
$
529
  
$
1,657
  
$
(1,657
)
 
$
–
  
$
–
 
December 31, 2013
                        
Counterparty 1
 
$
3,911
  
$
–
  
$
3,911
  
$
(3,911
)
 
$
–
  
$
–
 
Counterparty 2
  
634
   
–
   
634
   
(634
)
  
–
   
–
 
Counterparty 4
  
460
   
–
   
460
   
(460
)
  
–
   
–
 
  
$
5,005
  
$
–
  
$
5,005
  
$
(5,005
)
 
$
–
  
$
–
 
Schedule of Offsetting Disclosures for Liability Derivatives Held and Repurchase Arrangements and Similar Borrowings Outstanding
  
Offsetting of Financial Liabilities and Derivative Liabilities
 
  
Gross
  
Gross
Amounts
  
Net Amounts
of Liabilities
  
Gross Amounts Not Offset
in the Balance Sheet (c)
  
  
Amounts of
Recognized
Liabilities(b)
  
Offset in
the Balance
Sheet
  
Presented in
the Balance
Sheet (a)
  
Financial
Instruments
  
Cash
Collateral
Pledged
  
Net
Amount
 
December 31, 2014
          
Derivatives by counterparty:
          
Counterparty 1
 
$
24,533
  
$
–
  
$
24,533
  
$
–
  
$
(24,533
)
 
$
–
 
Counterparty 2
  
4,042
   
95
   
4,137
   
(95
)
  
(4,042
)
  
–
 
Counterparty 3
  
736
   
–
   
736
   
–
   
(736
)
  
–
 
Counterparty 4
  
6,710
   
434
   
7,144
   
(1,562
)
  
(5,582
)
  
–
 
   
36,021
   
529
   
36,550
   
(1,657
)
  
(34,893
)
  
–
 
Repurchase arrangements and similar borrowings
  
12,812,947
   
–
   
12,812,947
   
(12,812,947
)
  
–
   
–
 
  
$
12,848,968
  
$
529
  
$
12,849,497
  
$
(12,814,604
)
 
$
(34,893
)
 
$
–
 
December 31, 2013
                        
Derivatives by counterparty:
                        
Counterparty 1
 
$
6,002
  
$
–
  
$
6,002
  
$
(3,911
)
 
$
(2,091
)
 
$
–
 
Counterparty 2
  
6,352
   
–
   
6,352
   
(634
)
  
(5,718
)
  
–
 
Counterparty 3
  
1,581
   
–
   
1,581
   
–
   
(1,581
)
  
–
 
Counterparty 4
  
2,862
   
–
   
2,862
   
(460
)
  
(2,402
)
  
–
 
   
16,797
   
–
   
16,797
   
(5,005
)
  
(11,792
)
  
–
 
Repurchase arrangements and similar borrowings
  
12,487,604
   
–
   
12,487,604
   
(12,487,604
)
  
–
   
–
 
  
$
12,504,401
  
$
–
  
$
12,504,401
  
$
(12,492,609
)
 
$
(11,792
)
 
$
–
 

(a)Amounts presented are limited to recognized liabilities and cash collateral received associated with the indicated counterparty sufficient to reduce the related Net Amount to zero in accordance with ASU No. 2011-11, as amended by ASU No. 2013-01.
 
(b)Amounts include accrued interest of $9.5 million and $5.5 million on interest rate swap agreements and $6.1 million and $4.7 million on repurchase arrangements and similar borrowings, included in “Accounts payable and accrued expenses” on the face of the Balance Sheets as of December 31, 2014 and December 31, 2013, respectively.
 
(c)Amounts presented are limited to recognized assets and collateral pledged associated with the indicated counterparty 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 three years ended December 31, 2014 were as follows (in thousands):
 
  
Gains and Losses
on Cash Flow
Hedges
  
Unrealized Gains
and Losses on
Available-for-Sale
Securities
  
Total
 
Balance at December 31, 2011
 
$
(30,159
)
 
$
234,699
  
$
204,540
 
Activity for the year ended December 31, 2012:
            
Other comprehensive income (loss) before reclassifications
  
(22,262
)
  
91,750
   
69,488
 
Amounts reclassified from accumulated other comprehensive income
  
19,882
   
–
   
19,882
 
Other comprehensive income (loss)
  
(2,380
)
  
91,750
   
89,370
 
Balance at December 31, 2012
  
(32,539
)
  
326,449
   
293,910
 
Activity for the year ended December 31, 2013:
            
Other comprehensive income (loss) before reclassifications
  
9,320
   
(101,001
)
  
(91,681
)
Amounts reclassified from accumulated other comprehensive income
  
16,914
   
–
   
16,914
 
Other comprehensive income (loss)
  
26,234
   
(101,001
)
  
(74,767
)
Balance at December 31, 2013
  
(6,305
)
  
225,448
   
219,143
 
Activity for the year ended December 31, 2014:
            
Other comprehensive income (loss) before reclassifications
  
(41,059
)
  
27,283
   
(13,776
)
Amounts reclassified from accumulated other comprehensive income
  
22,055
   
–
   
22,055
 
Other comprehensive income (loss)
  
(19,004
)
  
27,283
   
8,279
 
Balance at December 31, 2014
 
$
(25,309
)
 
$
252,731
  
$
227,422