Derivative Instruments (Tables)

12 Months Ended

Dec. 31, 2019

Derivative Instruments

Fair Value of Derivative Instruments

		December 31,		December 31,
Derivative Instruments	Balance Sheet Location	2019		2018
		(in thousands)
Interest rate swaps	Derivative Assets	$	5,302	$	40,192
TBA Agency MBS	Derivative Assets		531		6,015
		$	5,833	$	46,207
Interest rate swaps	Derivative Liabilities		52,197		15,901
		$	52,197	$	15,901

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

	December 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	$	541,000	1.70	%	7	$	725,000	1.60	%	7
1 year to 2 years		190,000	1.63		21		591,000	1.70		19
2 years to 3 years		335,000	1.65		34		400,000	1.96		30
3 years to 4 years		295,000	1.71		45		220,000	1.92		43
4 years to 5 years		550,000	2.18		61		205,000	2.27		57
5 years to 7 years		390,000	2.51		85		475,000	2.41		73
7 years to 10 years		200,000	2.94		103		690,000	2.83		104
	$	2,501,000	2.02	%	48	$	3,306,000	2.10	%	47

Swap Agreements by Counterparty

	December 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	$	541,000	1.70	%	7	$	725,000	1.60	%	7
1 year to 2 years		190,000	1.63		21		591,000	1.70		19
2 years to 3 years		335,000	1.65		34		400,000	1.96		30
3 years to 4 years		295,000	1.71		45		220,000	1.92		43
4 years to 5 years		550,000	2.18		61		205,000	2.27		57
5 years to 7 years		390,000	2.51		85		475,000	2.41		73
7 years to 10 years		200,000	2.94		103		690,000	2.83		104
	$	2,501,000	2.02	%	48	$	3,306,000	2.10	%	47

Swap Agreements by Counterparty

	December 31,		December 31,
	2019		2018
	(in thousands)
Central clearing houses(1)	$	2,501,000	$	3,306,000

(1) For all swap agreements entered into after September 9, 2013, the counterparty will be central clearing houses, such as the Chicago Mercantile Exchange or LCH, regardless of who the trading party is. See the section entitled “Derivative Financial Instruments – Risk Management” in Note 1 for additional details.