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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, 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 September 30, 2015, the Company’s 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 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
 
Third quarter 2017
  
400,000
   
0.74
 
   
7,800,000
   
0.58
 
Forward-starting contracts:
        
Fourth quarter 2017
  
600,000
   
0.83
 
  
$
8,400,000
     
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  2015     2014 
Balance sheet-related
         
Swap agreements in a gain position (an asset) related to:
         
Secured borrowings
(a)
 
$
–
  
$
1,657
 
Swap agreements in a loss position (a liability) related to:
         
Secured borrowings
(a)
  
(14,462
)
  
(6,332
)
Unsecured borrowings
(a)
  
(26,778
)
  
(20,702
)
Related net interest payable
(b)
  
(9,475
)
  
(9,516
)
    
$
(50,715
)
 
$
(34,893
)
 
(a)The fair value of Derivatives with unrealized gains are aggregated and recorded as an asset on the face of the Balance Sheets separately from the fair value of Derivatives with 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 $17.6 million at September 30, 2015.

(b)Included in “Accounts payable and accrued expenses” on the face of the Balance Sheets.
 
  
Location of Gain or (Loss) Recognized in Net Income
  
Quarter Ended
September 30
  
Nine Months Ended
September 30
 
    
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
   
$
(7,183
)
 
$
(5,826
)
 
$
(20,494
)
 
$
(15,932
)
Amount of gain (loss) recognized (ineffective portion)
    
(336
)
  
45
   
(642
)
  
(123
)
Increase in interest expense and decrease in Net income as a result of the use of Derivatives
  
*
  
$
(7,519
)
 
$
(5,781
)
 
$
(21,136
)
 
$
(16,055
)
Other comprehensive income-related
                    
Amount of gain (loss) recognized in Other comprehensive income (loss) (effective portion)
     
$
(21,235
)
 
$
97
  
$
(36,226
)
 
$
(25,557
)

*Included in “Interest expense:  Secured 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 of Recognized Assets
  
Gross Amounts Offset in the Balance Sheet
  
Net Amounts of Assets Presented in the Balance Sheet
  
Gross Amounts Not Offset in the Balance Sheet (a)
  
Net Amount
 
         
Financial Instruments
  
Cash Collateral Received
   
September 30, 2015
            
Counterparties 1-4
 
$
–
  
$
–
  
$
–
  
$
–
  
$
–
  
$
–
 
                         
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 of Recognized Liabilities (b)
  
Gross Amounts Offset in the Balance Sheet
  
Net Amounts of Liabilities Presented in the Balance Sheet (a)
  
Gross Amounts Not Offset in the Balance Sheet (c)
  
Net Amount
 
        
Financial Instruments
  
Cash Collateral Pledged
   
September 30, 2015
            
Derivatives by counterparty:
            
Counterparty 1
 
$
28,410
  
$
–
  
$
28,410
  
$
–
  
$
(28,410
)
 
$
–
 
Counterparty 2
  
2,816
   
–
   
2,816
   
–
   
(2,600
)
  
216
 
Counterparty 4
  
19,489
   
–
   
19,489
   
–
   
(19,489
)
  
–
 
   
50,715
   
–
   
50,715
   
–
   
(50,499
)
  
216
 
Borrowings under repurchase arrangements
  
10,460,193
   
–
   
10,460,193
   
(10,460,193
)
  
–
   
–
 
  
$
10,510,908
  
$
–
  
$
10,510,908
  
$
(10,460,193
)
 
$
(50,499
)
 
$
216
 
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
)
  
–
 
Borrowings under repurchase arrangements
  
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 $9.5 million and $9.5 million on interest rate swap agreements and $8.5 million and $6.1 million on  borrowings under repurchase arrangements, included in “Accounts payable and accrued expenses” on the face of the Balance Sheets as of September 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 nine months ended September 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 June 30, 2015
 
$
(26,989
)
 
$
240,091
  
$
213,102
 
Activity for the quarter ended September 30, 2015:
            
Other comprehensive income (loss) before reclassifications
  
(21,235
)
  
(11,130
)
  
(32,365
)
Amounts reclassified from accumulated other comprehensive income
  
7,183
   
–
   
7,183
 
Other comprehensive income (loss)
  
(14,052
)
  
(11,130
)
  
(25,182
)
Balance at September 30, 2015
 
$
(41,041
)
 
$
228,961
  
$
187,920
 
             
Balance at December 31, 2014
 
$
(25,309
)
 
$
252,731
  
$
227,422
 
Activity for the nine months ended September 30, 2015:
            
Other comprehensive income (loss) before reclassifications
  
(36,226
)
  
(23,770
)
  
(59,996
)
Amounts reclassified from accumulated other comprehensive income
  
20,494
   
–
   
20,494
 
Other comprehensive income (loss)
  
(15,732
)
  
(23,770
)
  
(39,502
)
Balance at September 30, 2015
 
$
(41,041
)
 
$
228,961
  
$
187,920