Offsetting Assets and Liabilities (Tables)

9 Months Ended

Sep. 30, 2013

Offsetting Assets and Liabilities

Schedule of offsetting assets and liabilities

In accordance with Accounting Standards Update (“ASU”) No. 2011-11 and ASU No. 2013-01, we are disclosing the following information to enable users of our financial statements to understand the potential effect of netting arrangements on our financial position for recognized assets and liabilities within the scope of these standards, which for us are derivative assets and liabilities as well as repurchase agreement liabilities (amounts in thousands):

			(ii)				(iv)
	(i)		Gross Amounts Offset in the		(iii) = (i) - (ii) Net Amounts of		Gross Amounts Not Offset in the Statement of Financial Position
As of September 30, 2013 Description	Gross Amounts of Recognized Assets		Statement of Financial Position		Assets Presented in the Statement of Financial Position		Financial Instruments		Cash Collateral Received		(v) = (iii) - (iv) Net Amount
Derivatives	$	9,513	$	—	$	9,513	$	6,269	$	2,080	$	1,164
Total	$	9,513	$	—	$	9,513	$	6,269	$	2,080	$	1,164

			(ii)				(iv)
	(i)		Gross Amounts Offset in the		(iii) = (i) - (ii) Net Amounts of		Gross Amounts Not Offset in the Statement of Financial Position
As of September 30, 2013 Description	Gross Amounts of Recognized Liabilities		Statement of Financial Position		Assets Presented in the Statement of Financial Position		Financial Instruments		Cash Collateral Pledged		(v) = (iii) - (iv) Net Amount
Derivatives	$	32,252	$	—	$	32,252	$	6,269	$	2,239	$	23,744
Secured financing facilities (1)	1,014,250		—		1,014,250		1,014,250		—		—
Total	$	1,046,502	$	—	$	1,046,502	$	1,020,519	$	2,239	$	23,744

(1) The fair value of assets pledged against the Company’s repurchase agreements was $2,115.5 million at September 30, 2013.

With regard to the repurchase agreement liabilities above, the actual fair values and carrying values (if carried at amortized cost) exceed the respective liabilities.  However, the amount required to be disclosed as offsetting collateral is limited to the repurchase agreement liability.

			(ii)				(iv)
	(i) Gross		Gross Amounts Offset in the		(iii) = (i) - (ii) Net Amounts of		Gross Amounts Not Offset in the Statement of Financial Position
As of December 31, 2012 Description	Amounts of Recognized Assets		Statement of Financial Position		Assets Presented in the Statement of Financial Position		Financial Instruments		Cash Collateral Received		(v) = (iii) - (iv) Net Amount
Derivatives	$	9,227	$	—	$	9,227	$	4,335	$	2,989	$	1,903
Total	$	9,227	$	—	$	9,227	$	4,335	$	2,989	$	1,903

			(ii)				(iv)
	(i) Gross		Gross Amounts Offset in the		(iii) = (i) - (ii) Net Amounts of		Gross Amounts Not Offset in the Statement of Financial Position
As of December 31, 2012 Description	Amounts of Recognized Liabilities		Statement of Financial Position		Assets Presented in  the Statement of Financial Position		Financial Instruments		Cash Collateral Pledged		(v) = (iii) - (iv) Net Amount
Derivatives	$	27,770	$	—	$	27,770	$	4,335	$	—	$	23,435
Secured financing facilities (1)	1,305,812		—		1,305,812		1,305,812		—		—
Total	$	1,333,582	$	—	$	1,333,582	$	1,310,147	$	—	$	23,435

With regard to the repurchase agreement liabilities above, the actual fair values and carrying values (if carried at amortized cost) exceed the respective liabilities.  However, the amount required to be disclosed as offsetting collateral is limited to the repurchase agreement liability.

(1) The fair value of assets pledged against the Company’s repurchase agreements was $2,502.9 million at December 31, 2012.