Derivative Instruments (Tables)

3 Months Ended

Mar. 31, 2019

Derivative Instruments

Fair Value of Derivative Instruments

The table below presents the fair value of our derivative instruments as well as their classification in our consolidated balance sheets as of March 31, 2019 and December 31, 2018:

		March 31,		December 31,
Derivative Instruments	Balance Sheet Location	2019		2018
		(in thousands)
Interest rate swaps	Derivative Assets	$	22,974	$	40,192
TBA Agency MBS	Derivative Assets		4,422		6,015
		$	27,396	$	46,207
Interest rate swaps	Derivative Liabilities	$	36,261	$	15,901
TBA Agency MBS	Derivative Liabilities		—		—
		$	36,261	$	15,901

Notional Amounts of Swap Agreement, Weighted Average Fixed Rates and Remaining Terms

At March 31, 2019 and December 31, 2018, our interest rate swaps had the following notional amounts, weighted average fixed rates, and remaining terms:

	March 31, 2019					December 31, 2018
			Weighted					Weighted
			Average		Remaining			Average		Remaining
	Notional		Fixed		Term in	Notional		Fixed		Term in
Maturity	Amount		Rate		Months	Amount		Rate		Months
	(in thousands)					(in thousands)
Less than 1 year	$	650,000	1.61	%	6	$	725,000	1.60	%	7
1 year to 2 years		666,000	1.76		18		591,000	1.70		19
2 years to 3 years		300,000	1.87		30		400,000	1.96		30
3 years to 4 years		270,000	2.09		44		220,000	1.92		43
4 years to 5 years		355,000	2.39		57		205,000	2.27		57
5 years to 7 years		525,000	2.48		75		475,000	2.41		73
7 years to 10 years		590,000	2.82		104		690,000	2.83		104
	$	3,356,000	2.13	%	47	$	3,306,000	2.10	%	47

Swap Agreements by Counterparty

	March 31,		December 31,
	2019		2018
	(in thousands)
Central clearing houses(1)	$	3,356,000	$	3,306,000

For all interest rate swaps entered into after September 9, 2013, the counterparty will be central clearing houses, such as the CME or LCH, regardless of who the trading party is. See the section entitled “Derivative Financial Instruments – Interest Rate Risk Management” in Note 1, “Organization and Significant Accounting Policies,” for additional details.