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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, 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 June 30, 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:
 
  
 
Third quarter 2014
 
$
200,000
   
0.51
%
Fourth quarter 2014
  
500,000
   
0.58
 
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
 
(average expiration:  14 months)
  
6,400,000
   
0.49
 
Forward-starting contracts:
        
Third quarter 2016
  
700,000
   
0.56
 
Fourth quarter 2016
  
400,000
   
0.65
 
(average expiration:  25 months)
  
1,100,000
   
0.59
 
(average expiration:  16 months)
 
$
7,500,000
   
 
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
  
June 30,
  
December 31,
 
 
 
Location
  
2014
  
2013
 
Balance sheet-related
 
 
 
  
  
 
Swap agreements in a gain position (an asset) related to:
     
  
 
Borrowings under repurchase arrangements
 
(a)
  
$
78
  
$
1,094
 
Unsecured borrowings
 
(a)
   
–
   
3,911
 
Swap agreements in a loss position (a liability) related to:
            
Borrowings under repurchase arrangements
 
(a)
   
(13,978
)
  
(11,304
)
Unsecured borrowings
 
(a)
   
(8,001
)
  
–
 
Related net interest payable
 
(b)
   
(9,909
)
  
(5,493
)
 
     
$
(31,810
)
 
$
(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 $19.0 million at June 30,2014.
 
(b)Included in “Accounts payable and accrued expenses” on the face of the Balance Sheets.
 
 
 
Location of
  
  
  
  
 
 
 
Gain or
 (Loss)
  
Quarter Ended
  
Six Months Ended
 
 
 
Recognized in
  
30-Jun
  
30-Jun
 
 
 
Net Income
  
2014
  
2013
  
2014
  
2013
 
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
 
  
$ 
(5,384
)
 
$ 
(4,416
)
 
$ 
(10,106
)
 
$ 
(9,850
)
Amount of gain (loss) recognized (ineffective portion)
 
   
(110.00
)
  
(24.00
)
  
(168.00
)
  
96.00
 
Increase in interest expense and decrease in Net income as a result of the use of Derivatives
  
*
  
$ 
(5,494
)
 
$ 
(4,440
)
 
$ 
(10,274
)
 
$ 
(9,754
)
Other comprehensive income-related
                    
Amount of gain (loss) recognized in Other comprehensive income (loss) (effective portion)
     
$ 
(12,998
)
 
$
17,524
  
$ 
(25,654
)
 
$
20,003
 
 
 *Included in “Interest expense:  Repurchase arrangements and similar borrowings” on the face of the Statements of Income.
 
Schedule Of Offsetting Disclosures For All Derivatives Held And Repurchase Arrangements And Similar Borrowings Outstanding Table [Text Block]
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 Assets
 
 
 
Gross
 
Net Amounts
 
Gross Amounts Not Offset
 
 
 
Gross
 
Amounts
 
of Assets
 
in the Balance Sheet(a)
 
 
 
Amounts of
 
Offset in
 
Presented in
 
 
Cash
 
 
 
Recognized
 
the Balance
 
the Balance
 
Financial
 
Collateral
 
Net
 
 
Assets
 
Sheet
 
Sheet
 
Instruments
 
Received
 
Amount
 
As of June 30, 2014:
 
 
 
 
 
 
Counterparty 4
 
$
78
  
$
–
  
$
78
  
$
(78
)
 
$
–
  
$
–
 
As of 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
)
 
$
–
  
$
–
 

 
 
Offsetting of Financial Liabilities and Derivative Liabilities
 
 
 
  
Gross
  
Net Amounts
  
Gross Amounts Not Offset
  
 
 
Gross
  
Amounts
  
of Liabilities
  
in the Balance Sheet (c)
  
 
 
Amounts of
  
Offset in
  
Presented in
  
  
Cash
  
 
 
 
Recognized
  
the Balance
  
the Balance
  
Financial
  
Collateral
  
Net
 
 
 
Liabilities(b)
  
Sheet
  
Sheet (a)
  
Instruments
  
Pledged
  
Amount
 
As of June 30, 2014:
 
  
  
  
  
 
Derivatives by counterparty:
 
  
  
  
  
 
Counterparty 1
 
$
14,496
  
$
–
  
$
14,496
  
$
–
  
$
(14,496
)
 
$
–
 
Counterparty 2
  
7,188
   
–
   
7,188
   
–
   
(7,050
)
  
138
 
Counterparty 3
  
1,296
   
–
   
1,296
   
–
   
(1,296
)
  
–
 
Counterparty 4
  
8,908
   
–
   
8,908
   
(78
)
  
(8,830
)
  
–
 
 
  
31,888
   
–
   
31,888
   
(78
)
  
(31,672
)
  
138
 
Repurchase arrangements and similar borrowings
  
12,789,109
   
–
   
12,789,109
   
(12,789,109
)
  
–
   
–
 
 
 
$
12,820,997
  
$
–
  
$
12,820,997
  
$
(12,789,187
)
 
$
(31,672
)
 
$
138
 
As of 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 $9.9 million and $5.5 million on interest rate swap agreements and $2.3 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 June 30, 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 quarter and six months ended June 30, 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 March 31, 2014
 
$
(14,239
)
 
$
242,141
  
$
227,902
 
Activity for the quarter ended June 30, 2014:
            
Other comprehensive income (loss) beforereclassifications
  
(12,998
)
  
16,492
   
3,494
 
Amounts reclassified from accumulated other comprehensive income
  
5,384
   
–
   
5,384
 
Other comprehensive income (loss)
  
(7,614
)
  
16,492
   
8,878
 
Balance at June 30, 2014
 
$
(21,853
)
 
$
258,633
  
$
236,780
 
Balance at December 31, 2013
 
$
(6,305
)
 
$
225,448
  
$
219,143
 
Activity for the six months ended June 30, 2014:
            
Other comprehensive income (loss) before reclassifications
  
(25,654
)
  
33,185
   
7,531
 
Amounts reclassified from accumulated other comprehensive income
  
10,106
   
–
   
10,106
 
Other comprehensive income (loss)
  
(15,548
)
  
33,185
   
17,637
 
Balance at June 30, 2014
 
$
(21,853
)
 
$
258,633
  
$
236,780