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Derivative instruments | 3 Months Ended
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Mar. 31, 2013
Derivative Instruments And Hedging Activities Disclosure [Abstract] |
Derivative instruments | Note 9 – Derivative instruments The Company uses interest rate swaps and caps to manage exposure to variable cash flows on portions of its borrowings under repurchase agreements. The Company’s repurchase agreements bear interest at a LIBOR-based variable rate and increases in LIBOR could negatively impact earnings. Interest rate swap and cap agreements allow the Company to receive a variable rate cash flow based on LIBOR and pay a fixed rate cash flow, mitigating the impact of this exposure. The Company entered into interest rate swaps and forward-starting caps in an effort to economically hedge a portion of its floating-rate interest payments due under the Wells Facility as well as potential extensions of the collateral securing the Wells Facility borrowings. The Company’s derivative instruments consist of the following at March 31, 2013 and December 31, 2012:
|  |  |  | March 31, 2013 |  |  | December 31, 2012 |
|  | Balance Sheet Location |  | Notional Value |  |  | Estimated Fair Value |  |  | Notional Value |  |  | Estimated Fair Value |
Interest rate swaps |  | Derivative instruments |  | $ | 66,895 |  |  | $ | (84 | ) |  | $ | 80,881 |  |  | $ | (156 | )
Interest rate caps |  | Derivative instruments |  |  | 209,620 | * |  |  | 1 |  |  |  | 203,248 | * |  |  | 1 |
Total derivative instruments |  |  |  |  |  |  |  | $ | (83 | ) |  |  |  |  |  | $ | (155 | )
* | Represents the notional values at March 31, 2013 and December 31, 2012 but does not include forward-starting notionals.
The Company has an agreement with its derivative counterparty that contains a provision where if the Company either defaults or is capable of being declared in default on any of its indebtedness, then the Company could also be declared in default on its derivative obligations. The following table summarizes the amounts recognized on the consolidated statements of operations related to the Company’s derivatives for the three months ended March 31, 2013 and 2012.
|  |  |  | Amount of loss recognized in income |
|  | Location of Loss Recognized in Income |  | 2013 |  |  | 2012 |
Interest rate swaps |  | Loss on derivative instruments – realized * |  | $ | (72 | ) |  | $ | (412 | )
Interest rate swaps |  | Gain on derivative instruments – unrealized |  |  | 72 |  |  |  | 147 |
Interest rate caps |  | Loss on derivative instruments - unrealized |  |  | — |  |  |  | (152 | )
Total |  |  |  | $ | — |  |  | $ | (417 | )
* | Realized losses represent net amounts accrued for the Company’s derivative instruments during the period.
The following table summarizes the gross asset and liability amounts related to the Company’s derivatives at March 31, 2013 and December 31, 2012.
|  | March 31, 2013 |  |  | December 31, 2012 |
|  | Gross Amount of Assets Recognized as Liabilities |  |  | Gross Amounts Offset in the Statement of Financial Position |  |  | Net Amounts of Liabilities Presented in the Statement of Financial Position |  |  | Gross Amount of Assets Recognized as Liabilities |  |  | Gross Amounts Offset in the Statement of Financial Position |  |  | Net Amounts of Liabilities Presented in the Statement of Financial Position |
Interest rate swaps |  | $ | - |  |  | $ | (84 | ) |  | $ | (84 | ) |  | $ | - |  |  | $ | (156 | ) |  | $ | (156 | )
Interest rate caps |  |  | 1 |  |  |  | - |  |  |  | 1 |  |  |  | 1 |  |  |  | - |  |  |  | 1 |
Total derivative instruments |  | $ | 1 |  |  | $ | (84 | ) |  | $ | (83 | ) |  | $ | 1 |  |  | $ | (156 | ) |  | $ | (155 | )

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- Definition The entire disclosure for the entity's entire derivative instruments and hedging activities. Describes an entity's risk management strategies, derivatives in hedging activities and non-hedging derivative instruments, the assets, obligations, liabilities, revenues and expenses arising therefrom, and the amounts of and methodologies and assumptions used in determining the amounts of such items. + References Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 30 -Section 50 -Paragraph 2 -URI http://asc.fasb.org/extlink&oid=7668309&loc=d3e80784-113994 Reference 2: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4C -URI http://asc.fasb.org/extlink&oid=7476318&loc=SL5624171-113959 Reference 3: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4E -URI http://asc.fasb.org/extlink&oid=7476318&loc=SL5624181-113959 Reference 4: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4K -URI http://asc.fasb.org/extlink&oid=7476318&loc=SL5708775-113959 Reference 5: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 1A -URI http://asc.fasb.org/extlink&oid=7476318&loc=SL5579245-113959 Reference 6: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 235 -SubTopic 10 -Section S99 -Paragraph 1 -Subparagraph (SX 210.4-08.(n)) -URI http://asc.fasb.org/extlink&oid=6881521&loc=d3e23780-122690 Reference 7: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 5 -URI http://asc.fasb.org/extlink&oid=7476318&loc=d3e41641-113959 Reference 8: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 1 -URI http://asc.fasb.org/extlink&oid=7476318&loc=SL5579240-113959 Reference 9: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 30 -Section 45 -Paragraph 1 -URI http://asc.fasb.org/extlink&oid=6441202&loc=d3e80720-113993 Reference 10: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4 -URI http://asc.fasb.org/extlink&oid=7476318&loc=d3e41638-113959 Reference 11: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 3 -URI http://asc.fasb.org/extlink&oid=7476318&loc=d3e41635-113959 Reference 12: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Statement of Financial Accounting Standard (FAS) -Number 133 -Paragraph 44 -LegacyDoc This reference is SUPERSEDED by the Accounting Standards Codification effective for interim and annual periods ending after September 15, 2009. This reference is included to help users transition from the previous accounting hierarchy and will be removed from future versions of this taxonomy. 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