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USE OF DERIVATIVE FINANCIAL INSTRUMENTS, OFFSETTING DISCLOSURES AND CHANGES IN OTHER COMPREHENSIVE INCOME BY COMPONENT (Tables)
 6 Months Ended
Jun. 30, 2015
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 June 30, 2015, 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:
    
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
 
First quarter 2017
  
1,000,000
   
0.72
 
Second quarter 2017
  
900,000
   
0.74
 
(average expiration: 11 months)
 
$
7,800,000
   
0.57
 
Forward-starting contracts expiring in 2035 and 2036 related to unsecured borrowings
 
$
100,000
   
4.09
 
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
Location
June 30
  
December 31
   
2015
   
2014
 
Balance sheet-related
     
Swap agreements in a gain position (an asset) related to:
     
Borrowings under repurchase arrangements
(a)
 
$
318
  
$
1,657
 
Swap agreements in a loss position (a liability) related to:
         
Borrowings under repurchase arrangements
(a)
  
(9,587
)
  
(6,332
)
Unsecured borrowings
(a)
  
(17,814
)
  
(20,702
)
Related net interest payable
(b)
  
(12,183
)
  
(9,516
)
    
$
(39,266
)
 
$
(34,893
)
 
(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 $14.9 million at June 30, 2015.
 
(b)Included in “Accounts payable and accrued expenses” on the face of the Balance Sheets.

  
Location of
Gain or
(Loss)
Recognized
in
  
Quarter Ended
June 30
  
Six Months Ended
June 30
 
  
Net Income
  
2015
  
2014
  
2015
  
2014
 
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
   
$
(6,863
)
 
$
(5,384
)
 
$
(13,311
)
 
$
(10,106
)
Amount of gain (loss) recognized (ineffective portion)
    
3
   
(110
)
  
(306
)
  
(168
)
Increase in interest expense and decrease in Net income as a result of the use of Derivatives
  
*
  
$
(6,860
)
 
$
(5,494
)
 
$
(13,617
)
 
$
(10,274
)
Other comprehensive income-related
                    
Amount of gain (loss) recognized in Other comprehensive income (loss) (effective portion)
     
$
3,400
  
$
(12,998
)
 
$
(14,991
)
 
$
(25,654
)

*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
The following tables provide disclosures concerning offsetting of financial liabilities and Derivatives as of the indicated dates (in thousands):

  
Offsetting of Derivative Assets
   
    
 
  
 
  
Gross Amounts Not Offset
in the Balance Sheet(a)
   
  
Gross
Amounts of
Recognized
Assets
  
Gross
Amounts
Offset in
the Balance
Sheet
  
Net Amounts
of Assets
Presented in
the Balance
Sheet
  
Financial
Instruments
  
Cash
Collateral
Received
  
Net
Amount
 
June 30, 2015
            
Counterparty 4
 
$
–
  
$
318
  
$
318
  
$
(318
)
 
$
–
  
$
–
 
                         
December 31, 2014
                        
Counterparty 2
 
$
–
  
$
95
  
$
95
  
$
(95
)
 
$
–
  
$
–
 
Counterparty 4
  
1,128
   
434
   
1,562
   
(1,562
)
  
–
   
–
 
  
$
1,128
  
$
529
  
$
1,657
  
$
(1,657
)
 
$
–
  
$
–
 
Schedule of Offsetting Disclosures for Liability Derivatives Held and Repurchase Arrangements and Similar Borrowings Outstanding
  
Offsetting of Financial Liabilities and Derivative Liabilities
 
    
  
  
Gross Amounts Not Offset
in the Balance Sheet (c)
   
  
Gross
Amounts of
Recognized
Liabilities(b)
  
Gross
Amounts
Offset in
the Balance
Sheet
  
Net Amounts
of Liabilities
Presented in
the Balance
Sheet (a)
  
Financial
Instruments
  
Cash
Collateral
Pledged
  
Net
Amount
 
June 30, 2015
          
Derivatives by counterparty:
          
Counterparty 1
 
$
20,131
  
$
–
  
$
20,131
  
$
–
  
$
(20,131
)
 
$
–
 
Counterparty 2
  
2,938
   
–
   
2,938
   
–
   
(2,800
)
  
138
 
Counterparty 4
  
16,197
   
318
   
16,515
   
(318
)
  
(16,197
)
  
–
 
   
39,266
   
318
   
39,584
   
(318
)
  
(39,128
)
  
138
 
                        
Repurchase arrangements and similar borrowings
  
12,976,370
   
–
   
12,976,370
   
(12,976,370
)
  
–
   
–
 
  
$
13,015,636
  
$
318
  
$
13,015,954
  
$
(12,976,688
)
 
$
(39,128
)
 
$
138
 
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
)
 
$
–
 

(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 $12.2 million and $9.5 million on interest rate swap agreements and $8.8 million and $6.1 million on repurchase arrangements and similar borrowings, included in “Accounts payable and accrued expenses” on the face of the Balance Sheets as of June 30, 2015 and December 31, 2014, 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 quarter and six months ended June 30, 2015 were as follows (in thousands):
 
  
Gains and Losses
on Cash Flow
Hedges
  
Unrealized Gains
and Losses on
Available-for-Sale
Securities
  
Total
 
Balance at March 31, 2015
 
$
(37,252
)
 
$
258,838
  
$
221,586
 
Activity for the quarter ended June 30, 2015:
            
Other comprehensive income (loss) before reclassifications
  
3,400
   
(18,747
)
  
(15,347
)
Amounts reclassified from accumulated other comprehensive income
  
6,863
   
–
   
6,863
 
Other comprehensive income (loss)
  
10,263
   
(18,747
)
  
(8,484
)
Balance at June 30, 2015
 
$
(26,989
)
 
$
240,091
  
$
213,102
 
 
Balance at December 31, 2014
 
$
(25,309
)
 
$
252,731
  
$
227,422
 
Activity for the six months ended June 30, 2015:
            
Other comprehensive income (loss) before reclassifications
  
(14,991
)
  
(12,640
)
  
(27,631
)
Amounts reclassified from accumulated other comprehensive income
  
13,311
   
–
   
13,311
 
Other comprehensive income (loss)
  
(1,680
)
  
(12,640
)
  
(14,320
)
Balance at June 30, 2015
 
$
(26,989
)
 
$
240,091
  
$
213,102