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Derivatives and Hedging Activities (Tables)
3 Months Ended
Mar. 31, 2017
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Outstanding Interest Rate Swaptions and Derivative Instrument Information
The following table summarizes changes in the notional amount of our derivative instruments during 2017:
$ in thousands
Notional Amount as
of January 1, 2017
 
Additions
 
Settlement,
Termination,
Expiration
or Exercise
 
Notional Amount as
of March 31, 2017
Interest Rate Swaps
6,500,000

 
1,150,000

 

 
7,650,000

Currency Forward Contracts
62,308

 
69,269

 
(65,576
)
 
66,001

Credit Derivatives
569,966

 

 
(3,007
)
 
566,959

Total
7,132,274

 
1,219,269

 
(68,583
)
 
8,282,960

Interest Rate Derivatives Outstanding Designated as Cash Flow Hedges
As of March 31, 2017, we had the following interest rate swaps outstanding:
$ in thousands
Counterparty
 
Notional
 
Maturity Date
 
Fixed Interest Rate
in Contract
ING Capital Markets LLC
 
350,000

 
2/24/2018
 
0.95
%
UBS AG
 
500,000

 
5/24/2018
 
1.10
%
ING Capital Markets LLC
 
400,000

 
6/5/2018
 
0.87
%
CME Central Clearing
 
300,000

 
2/5/2021
 
2.50
%
CME Central Clearing
 
300,000

 
2/5/2021
 
2.69
%
Wells Fargo Bank, N.A.
 
200,000

 
3/15/2021
 
3.14
%
CME Central Clearing
 
500,000

 
5/24/2021
 
2.25
%
Citibank, N.A.
 
200,000

 
5/25/2021
 
2.83
%
CME Central Clearing
 
500,000

 
6/24/2021
 
2.44
%
HSBC Bank USA, National Association
 
550,000

 
2/24/2022
 
2.45
%
CME Central Clearing
 
1,000,000

 
6/9/2022
 
2.21
%
The Royal Bank of Scotland Plc
 
500,000

 
8/15/2023
 
1.98
%
CME Central Clearing
 
600,000

 
8/24/2023
 
2.88
%
HSBC Bank USA, National Association
 
500,000

 
12/15/2023
 
2.20
%
CME Central Clearing
 
450,000

 
1/12/2024
 
2.10
%
CME Central Clearing
 
450,000

 
1/25/2024
 
2.15
%
CME Central Clearing
 
100,000

 
4/2/2025
 
2.04
%
CME Central Clearing
(1
)
250,000

 
5/24/2028
 
2.78
%
Total
 
7,650,000

 
 
 
2.16
%

(1)
Forward start date of 5/24/2018
Disclosure of Credit Derivatives
At March 31, 2017 and December 31, 2016, terms of the GSE CRT embedded derivatives are:
$ in thousand
March 31, 2017
 
December 31, 2016
Fair value amount
31,243

 
17,095

Notional amount
566,959

 
569,966

Maximum potential amount of future undiscounted payments
566,959

 
569,966

Fair Value of Derivative Financial Instruments and Classification on Balance Sheet
The table below presents the fair value of our derivative financial instruments, as well as their classification on the condensed consolidated balance sheets as of March 31, 2017 and December 31, 2016.
$ in thousands
Derivative Assets
 
Derivative Liabilities
 
 
As of March 31, 2017
 
As of December 31, 2016
 
 
 
As of March 31, 2017
 
As of December 31, 2016
Balance
Sheet
 
Fair Value
 
Fair Value
 
Balance
Sheet
 
Fair Value
 
Fair Value
Interest Rate Swaps Asset
 
5,387

 
3,085

 
Interest Rate Swaps Liability
 
45,404

 
133,833

Currency Forward Contracts
 
412

 
101

 
Currency Forward Contracts
 
219

 
395

Effect of Derivative Financial Instruments on Statement of Operations
The tables below present the effect of our credit derivatives on the condensed consolidated statements of operations for the three months ended March 31, 2017 and 2016.
$ in thousands
 
Three months ended March 31, 2017
Derivative
not designated as
hedging instrument
 
Realized gain (loss), net
 
GSE CRT embedded derivative coupon interest
 
Unrealized gain (loss), net
 
Realized and unrealized credit derivative income (loss), net
GSE CRT Embedded Derivatives
 

 
5,807

 
14,148

 
19,955

$ in thousands
 
Three months ended March 31, 2016
Derivative
not designated as
hedging instrument
 
Realized gain (loss), net
 
GSE CRT embedded derivative coupon interest
 
Unrealized gain (loss), net
 
Realized and unrealized credit derivative income (loss), net
GSE CRT Embedded Derivatives
 
(920
)
 
6,314

 
3,016

 
8,410

The following table summarizes the effect of interest rate swaps, interest rate swaptions and currency forward contracts reported in gain (loss) on derivative instruments, net on the condensed consolidated statements of operations for the three months ended March 31, 2017 and 2016:

$ in thousands
 
Three months ended March 31, 2017
Derivative
not designated as
hedging instrument
 
Realized gain (loss) on derivative instruments, net
 
 Contractual net interest expense
 
Unrealized gain (loss), net
 
Gain (loss) on derivative instruments, net
Interest Rate Swaps
 
15,994

 
(22,894
)
 
12,950

 
6,050

Currency Forward Contracts
 
(1,076
)
 

 
488

 
(588
)
Total
 
14,918

 
(22,894
)
 
13,438

 
5,462

$ in thousands
 
Three months ended March 31, 2016
Derivative
not designated as
hedging instrument
 
Realized gain (loss) on derivative instruments, net
 
 Contractual net interest expense
 
Unrealized gain (loss), net
 
Gain (loss) on derivative instruments, net
Interest Rate Swaps
 
(43,895
)
 
(29,091
)
 
(166,671
)
 
(239,657
)
Interest Rate Swaptions
 
(1,485
)
 

 
1,485

 

Currency Forward Contracts
 
2,395

 

 
(1,281
)
 
1,114

Total
 
(42,985
)
 
(29,091
)
 
(166,467
)
 
(238,543
)