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Derivative instruments
 9 Months Ended
Sep. 30, 2013
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Derivative instruments
Derivative Instruments
From time to time, the Company uses interest rate swaps and caps to manage exposure to variable cash flows on portions of its borrowings under repurchase agreements. Some of 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. All of the Company's derivative instruments matured during the third quarter of 2013. The Company’s derivative instruments consist of the following at December 31, 2012:
 
 
 
 
December 31, 2012
 
Balance Sheet Location
 
Notional
Value
 
Estimated
Fair Value
Interest rate swaps
Derivative instruments
 
$
80,881

  
$
(156
)
Interest rate caps
Derivative instruments
 
203,248

* 
1

Total derivative instruments
 
 
 
 
$
(155
)
 
*
Represents the notional values at 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 and nine months ended September 30, 2013 and 2012.
 
 
 
 
Three months ended September 30,
 
Nine months ended September 30,
 
Location of Loss Recognized in Income
 
2013
 
2012
 
2013
 
2012
Interest rate swaps
Loss on derivative instruments – realized *
 
$
(24
)
 
$
(127
)
 
$
(156
)
 
$
(796
)
Interest rate swaps
Gain on derivative instruments – unrealized
 
25

 
50

 
155

 
414

Interest rate caps
Loss on derivative instruments - unrealized
 
—

 
(10
)
 
—

 
(187
)
Total
 
 
$
1

 
$
(87
)
 
$
(1
)
 
$
(569
)
 
*
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 December 31, 2012.
 
 
 
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
Interest rate swaps
 
$
—

 
$
(156
)
 
$
(156
)
Interest rate caps
 
1

 
—

 
1

Total derivative instruments
 
$
1

 
$
(156
)
 
$
(155
)