Summary of Offsetting Assets and Liabilities

9 Months Ended

Sep. 30, 2013

Summary of Offsetting Assets and Liabilities

Summary of Offsetting Assets and Liabilities

8.  Summary of Offsetting Assets and Liabilities

The Company enters into derivative transactions and short-term reverse repurchase agreements with several approved counterparties. The Company’s derivative transactions are generally governed by International Swaps and Derivatives Association (“ISDA”) Master Agreements which provide for legally enforceable set-off and close-out netting in the event of default or bankruptcy of the Company’s counterparties.  In the event of default or bankruptcy of the Company, there are circumstances whereby a regulator under Colorado insolvency laws may disallow set-off and close-out netting.  The Company’s ISDA Master Agreements generally include Credit Support Annex provisions which require both the pledging and accepting of collateral in connection with its derivative transactions. These provisions have the effect of securing each party’s position to the extent of collateral held.  Short-term reverse repurchase agreements also include collateral provisions with the counterparty.  The following tables summarize the effect of master netting arrangements on the Company’s financial position in the normal course of business and in the event of default or bankruptcy of the Company’s counterparties:

	September 30, 2013
			Gross fair value not offset
			in balance sheets
	Gross fair value of		Financial			Cash collateral		Net
Financial instruments (assets):	recognized assets (1)		instruments			received		fair value
Derivative instruments (2)	$	26,852	$	(26,650	)	$	—	$	202
Short-term reverse repurchase agreements (3)	600,000		(600,000		)	—		—
Total financial instruments (assets)	$	626,852	$	(626,650	)	$	—	$	202

	September 30, 2013
			Gross fair value not offset
			in balance sheets
	Gross fair value of		Financial			Cash collateral			Net
Financial instruments (liabilities):	recognized liabilities (1)		instruments			pledged			fair value
Derivative instruments (4)	$	159,717	$	(26,650	)	$	(131,503	)	$	1,564

(1) The gross fair value of derivative instrument and short-term reverse repurchase agreement assets are not netted against offsetting liabilities for presentation on the condensed consolidated balance sheets.

(2) The estimated fair value of derivative instrument assets is reported in other assets in the condensed consolidated balance sheets and includes income and expense accruals.

(3) The estimated fair value of short-term reverse repurchase agreement assets is reported in short-term investments, available-for sale in the condensed consolidated balance sheets.  The collateral is held by an independent third-party custodian under a tri-party agreement.

(4) The estimated fair value of derivative instrument liabilities is reported in other liabilities in the condensed consolidated balance sheets and includes income and expense accruals.

	December 31, 2012
				Gross fair value not offset
				in balance sheets
	Gross fair value of			Financial			Cash collateral		Net
Financial instruments (assets):	recognized assets (1)			instruments			received		fair value
Derivative instruments (2)	$	26,647		$	(26,647	)	$	—	$	—
Short-term reverse repurchase agreements (3)	4,138			(4,138		)	—		—
Total financial instruments (assets)	$		30,785	$	(30,785	)	$	—	$	—

	December 31, 2012
			Gross fair value not offset
			in balance sheets
	Gross fair value of		Financial			Cash collateral			Net
Financial instruments (liabilities):	recognized liabilities (1)		instruments			pledged			fair value
Derivative instruments (4)	$	87,093	$	(26,647	)	$	(54,400	)	$	6,046

(1) The gross fair value of derivative instrument and short-term reverse repurchase agreement assets are not netted against offsetting liabilities for presentation on the condensed consolidated balance sheets.

(2) The estimated fair value of derivative instrument assets is reported in other assets in the condensed consolidated balance sheets and includes income and expense accruals.

(3) The estimated fair value of short-term reverse repurchase agreement assets is reported in short-term investments, available-for sale in the condensed consolidated balance sheets.  The collateral is held by an independent third-party custodian under a tri-party agreement.

(4) The estimated fair value of derivative instrument liabilities is reported in other liabilities in the condensed consolidated balance sheets and includes income and expense accruals.