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USE OF DERIVATIVES, OFFSETTING DISCLOSURES AND CHANGES IN OTHER COMPREHENSIVE INCOME BY COMPONENT (Tables)
 9 Months Ended
Sep. 30, 2016
USE OF DERIVATIVES, OFFSETTING DISCLOSURES AND CHANGES IN OTHER COMPREHENSIVE INCOME BY COMPONENT [Abstract]  
Schedule of Swap Agreements Expiration Period and Characteristics
At September 30, 2016, the Company’s portfolio financing-related swap positions had the following characteristics (dollars in thousands):

Period of
Contract Expiration
 
Notional
Amount
  
Average Fixed-Rate
Payment Requirement
 
Fourth quarter 2016 (expired October 1, 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
 
Fourth quarter 2017
  
1,500,000
   
0.79
 
First quarter 2018
  
1,700,000
   
0.76
 
Second quarter 2018
  
600,000
   
0.79
 
Third quarter 2018
  
400,000
   
0.88
 
Second quarter 2019
  
450,000
   
0.77
 
Third quarter 2019
  
100,000
   
0.68
 
  
$
7,850,000
     
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
 
2016
  
2015
 
Balance sheet-related
       
Swap agreements in a gain position (an asset) related to Secured borrowings
(a)
 
$
2,501
  
$
7,720
 
Swap agreements in a loss position (a liability) related to:
         
Secured borrowings
(a)
  
(5,981
)
  
(1,051
)
Unsecured borrowings
(a)
  
(40,973
)
  
(25,010
)
Related net interest payable
(b)
  
(11,727
)
  
(10,942
)
    
$
(56,180
)
 
$
(29,283
)

(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 net 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 $8.8 million at September 30, 2016.
 
(b)
Included in “Accounts payable and accrued expenses” on the face of the Balance Sheets.

  
Location of
Gain or
(Loss)
     
  
Recognized
in
  
Quarter Ended
September 30
  
Nine Months Ended
September 30
 
  
Net Income
  
2016
  
2015
  
2016
  
2015
 
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
    
$
(4,927
)
 
$
(7,183
)
 
$
(16,107
)
 
$
(20,494
)
Amount of gain (loss) recognized (ineffective portion)
     
(323
)
  
(336
)
  
(1,210
)
  
(642
)
Increase in interest expense and decrease in Net income as a result of the use of Derivatives
  
*
  
$
(5,250
)
 
$
(7,519
)
 
$
(17,317
)
 
$
(21,136
)
Other comprehensive income-related
                    
Amount of gain (loss) recognized in Other comprehensive income (loss) (effective portion)
     
$
12,558
  
$
(21,235
)
 
$
(41,714
)
 
$
(36,226
)

*
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
  
Net Amounts
  
Gross Amounts Not Offset
    
 
Gross
  
Amounts
  
of Assets
  
in the Balance Sheet(a)
    
 
Amounts of
Recognized
  
Offset in
the Balance
  
Presented in
the Balance
  
Financial
  
Cash
Collateral
  
Net
 
  
Assets
  
Sheet
  
Sheet
  
Instruments
  
Received
  
Amount
 
September 30, 2016
                  
Counterparty 4
 
$
1,126
  
$
1,375
  
$
2,501
  
$
(2,501
)
 
$
–
  
$
–
 
                         
December 31, 2015
                        
Counterparty 2
 
$
–
  
$
23
  
$
23
  
$
(23
)
 
$
–
  
$
–
 
Counterparty 4
  
4,758
   
2,939
   
7,697
   
(7,697
)
  
–
   
–
 
  
$
4,758
  
$
2,962
  
$
7,720
  
$
(7,720
)
 
$
–
  
$
–
 
Schedule of Offsetting Disclosures for Liability Derivatives Held and Repurchase Arrangements and Similar Borrowings Outstanding
 
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
Recognized
  
Offset in
the Balance
  
Presented in
the Balance
  
Financial
  
Cash
Collateral
  
Net
 
  
Liabilities(b)
  
Sheet
  
Sheet (a)
  
Instruments
  
Pledged
  
Amount
 
September 30, 2016
               
Derivatives by counterparty:
               
Counterparty 1
 
$
42,029
  
$
–
  
$
42,029
  
$
–
  
$
(42,029
)
 
$
–
 
Counterparty 4
  
15,277
   
1,375
   
16,652
   
(2,501
)
  
(14,151
)
  
–
 
   
57,306
   
1,375
   
58,681
   
(2,501
)
  
(56,180
)
  
–
 
Borrowings under repurchase arrangements
  
12,186,583
   
–
   
12,186,583
   
(12,186,583
)
  
–
   
–
 
  
$
12,243,889
  
$
1,375
  
$
12,245,264
  
$
(12,189,084
)
 
$
(56,180
)
 
$
–
 
December 31, 2015
                        
Derivatives by counterparty:
                        
Counterparty 1
 
$
26,311
  
$
–
  
$
26,311
  
$
–
  
$
(26,311
)
 
$
–
 
Counterparty 2
  
776
   
23
   
799
   
(23
)
  
(776
)
  
–
 
Counterparty 4
  
6,954
   
2,939
   
9,893
   
(7,697
)
  
(2,196
)
  
–
 
   
34,041
   
2,962
   
37,003
   
(7,720
)
  
(29,283
)
  
–
 
Borrowings under repurchase arrangements
  
10,090,846
   
–
   
10,090,846
   
(10,090,846
)
  
–
   
–
 
  
$
10,124,887
  
$
2,962
  
$
10,127,849
  
$
(10,098,566
)
 
$
(29,283
)
 
$
–
 

(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 $11.7 million and $10.9 million on interest rate swap agreements and $6.4 million and $9.3 million on borrowings under repurchase arrangements, included in “Accounts payable and accrued expenses” on the face of the Balance Sheets as of September 30, 2016 and December 31, 2015, 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, 2016 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, 2016
 
$
(61,526
)
 
$
183,929
  
$
122,403
 
Activity for the quarter ended September 30, 2016:
            
Other comprehensive income (loss) before reclassifications
  
12,558
   
(19,155
)
  
(6,597
)
Amounts reclassified from accumulated other comprehensive income
  
4,927
   
–
   
4,927
 
Other comprehensive income (loss)
  
17,485
   
(19,155
)
  
(1,670
)
Balance at September 30, 2016
 
$
(44,041
)
 
$
164,774
  
$
120,733
 
Balance at December 31, 2015
 
$
(18,434
)
 
$
154,529
  
$
136,095
 
Activity for the nine months ended September 30, 2016:
            
Other comprehensive income (loss) before reclassifications
  
(41,714
)
  
10,245
   
(31,469
)
Amounts reclassified from accumulated other comprehensive income
  
16,107
   
–
   
16,107
 
Other comprehensive income (loss)
  
(25,607
)
  
10,245
   
(15,362
)
Balance at September 30, 2016
 
$
(44,041
)
 
$
164,774
  
$
120,733