DERIVATIVES

The Company utilizes derivative instruments to economically hedge a portion of its exposure to market risks, primarily interest rate risk. The Company primarily uses pay-fixed interest rate swaps and Eurodollar contracts to hedge its exposure to changes in interest rates and uses receive-fixed interest rate swaps to offset a portion of its pay-fixed interest rate swaps in order to manage its overall hedge position. The objective of the Company's risk management strategy is to mitigate declines in book value resulting from fluctuations in the fair value of the Company's assets from changing interest rates and to protect some portion of the Company's earnings from rising interest rates. Please refer to Note 1 for information related to the Company's accounting policy for its derivative instruments.

The table below summarizes information about the Company’s derivative instruments treated as trading instruments on its consolidated balance sheet as of the dates indicated:



	June 30, 2015
	Derivative Assets				Derivative Liabilities
Trading Instruments	Fair Value		Notional		Fair Value			Notional
Interest rate swaps	$	20,804	$	1,305,000	$	(4,249	)	$	885,000
Eurodollar futures ⁽¹⁾	—		—		(43,991		)	14,000,000
Total	$	20,804	$	1,305,000	$	(48,240	)	$	14,885,000



	December 31, 2014
	Derivative Assets				Derivative Liabilities
Trading Instruments	Fair Value		Notional		Fair Value			Notional
Interest rate swaps	$	5,727	$	440,000	$	(3,002	)	$	485,000
Eurodollar futures ⁽¹⁾	—		—		(32,896		)	16,600,000
Total	$	5,727	$	440,000	$	(35,898	)	$	17,085,000


(1)	The Eurodollar futures aggregate notional amount represents the total notional of the 3-month contracts with expiration dates from 2015 to 2020. The maximum notional outstanding for any future 3-month period did not exceed $1,300,000 as of June 30, 2015 or as of December 31, 2014.

The following table summarizes the contractual maturities remaining for the Company’s outstanding interest rate swap agreements as of June 30, 2015:



Remaining Maturity	Pay-Fixed Interest Rate Swaps		Pay-Fixed Weighted-Average Rate		Receive-Fixed Interest Rate Swaps		Receive-Fixed Weighted-Average Rate
37-48 months	$	345,000	1.13	%	$	—	—	%
49-60 months	835,000		1.77	%	300,000		1.24	%
61-72 months	—		—	%	—		—	%
73-84 months	75,000		1.77	%	—		—	%
85-96 months	125,000		1.98	%	—		—	%
97-108 months	—		—	%	—		—	%
109-120 months	485,000		2.96	%	25,000		2.71	%

The table above contains forward-starting interest rate swaps with a combined notional value of $800,000 and a weighted average pay-fixed rate of 2.38% which will not be effective until 2016.

The following table summarizes the volume of activity related to derivative instruments for the period indicated:



For the six months ended June 30, 2015:	Beginning of Period Notional Amount		Additions		Settlement, Termination, Expiration or Exercise			End of Period Notional Amount
Receive-fixed interest rate swaps	$	275,000	$	50,000	$	—		$	325,000
Pay-fixed interest rate swaps	650,000		1,735,000		(520,000		)	1,865,000
Eurodollar futures	16,600,000		—		(2,600,000		)	14,000,000
	$	17,525,000	$	1,785,000	$	(3,120,000	)	$	16,190,000

The table below provides detail of the Company's "gain (loss) on derivative instruments, net" by type of interest rate derivative for the periods indicated:



	Three Months Ended						Six Months Ended
	June 30,						June 30,
Type of Derivative Instrument	2015			2014			2015			2014
Receive-fixed interest rate swaps	$	(1,746	)	$	—		$	2,782		$	—
Pay-fixed interest rate swaps	16,263			(11,694		)	2,900			(20,702		)
Eurodollar futures	2,573			(11,380		)	(13,915		)	(15,794		)
Gain (loss) on derivative instruments, net	$	17,090		$	(23,074	)	$	(8,233	)	$	(36,496	)

There is a net unrealized loss of $663 remaining in AOCI on the Company's consolidated balance sheet as of June 30, 2015 which represents the activity related to these interest rate swap agreements while they were previously designated as cash flow hedges, and this amount will be recognized in the Company's net income as a portion of "interest expense" over the remaining contractual life of the agreements. The Company estimates the portion of existing net unrealized loss on discontinued cash flow hedges expected to be reclassified to net income within the next 12 months is $1,491.

Many of the Company's interest rate swaps were entered into under bilateral agreements which contain various covenants related to the Company’s credit risk. Specifically, if the Company defaults on any of its indebtedness, including those circumstances whereby repayment of the indebtedness has not yet been accelerated by the lender, or is declared in default of any of its covenants with any counterparty, then the Company could also be declared in default under the bilateral agreement. Additionally, these agreements allow those counterparties to require settlement of its outstanding derivative transactions if the Company fails to earn net income excluding derivative gains and losses greater than one dollar as measured on a rolling two quarter basis. These interest rate agreements also contain provisions whereby, if the Company fails to maintain a minimum net amount of shareholders’ equity, then the Company may be declared in default on its derivative obligations. The Company was in compliance with all covenants under bilateral agreements on June 30, 2015.

Please see Note 6 for the Company's disclosures related to offsetting assets and liabilities.