Derivative Financial Instruments (Tables)

9 Months Ended

Sep. 30, 2013

Aggregate Fair Value and Notional Amount of Derivative Financial Instruments

The following table presents the fair value and notional amount of derivative financial instruments held by us at September 30, 2013 and December 31, 2012.

	September 30, 2013				December 31, 2012
(In Thousands)	Fair Value		Notional Amount		Fair Value		Notional Amount
Assets - Risk Management Derivatives
Interest rate swaps	$	3,539	$	122,000	$	739	$	147,000
TBAs		745		69,000		–		–
Futures		–		–		–		–
Swaptions		568		385,000		2,233		575,000
Total Assets	$	4,852	$	576,000	$	2,972	$	722,000
Liabilities - Cash Flow Hedges
Interest rate swaps	$	(23,550)	$	139,500	$	(48,581)	$	139,500
Liabilities - Risk Management Derivatives
Interest rate swaps		(2,806)		162,500		(1,893)		357,500
TBAs		(5,810)		341,000		–		–
Futures		(531)		180,000		(607)		234,000
Total Liabilities	$	(32,697)	$	823,000	$	(51,081)	$	731,000
Total Derivative Financial Instruments, Net	$	(27,845)	$	1,399,000	$	(48,109)	$	1,453,000

Impact on Interest Expense of Interest Rate Agreements Accounted for as Cash Flow Hedges

The following table illustrates the impact on interest expense of our interest rate agreements accounted for as cash flow hedges for the three and nine months ended September 30, 2013 and 2012.

Impact on Interest Expense of Our Interest Rate Agreements Accounted for as Cash Flow Hedges

	Three Months Ended September 30,				Nine Months Ended September 30,
(In Thousands)	2013		2012		2013		2012
Net interest expense on cash flow interest rate agreements	$	(1,474)	$	(1,409)	$	(4,406)	$	(4,361)
Realized expense due to ineffective portion of hedges		-		-		-		(34)
Realized net losses reclassified from other comprehensive income		(62)		(1,126)		(219)		(3,260)
Total Interest Expense	$	(1,536)	$	(2,535)	$	(4,625)	$	(7,655)