Derivative Instruments (Tables)

6 Months Ended

Jun. 30, 2017

Derivative Instruments And Hedging Activities Disclosure [Abstract]

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 June 30, 2017 and December 31, 2016:

		June 30,		December 31,
Derivative Instruments	Balance Sheet Location	2017		2016
		(in thousands)
De-designated interest rate swaps	Derivative Assets	$	7,273	$	7,668
Eurodollar Futures Contracts	Derivative Assets		—		524
		$	7,273	$	8,192
De-designated interest rate swaps	Derivative Liabilities	$	20,793	$	20,976
TBA Agency MBS	Derivative Liabilities		2,811		13,103
Eurodollar Futures Contracts	Derivative Liabilities		—		223
		$	23,604	$	34,302

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

At June 30, 2017 and December 31, 2016, our interest rate swaps had the following notional amounts (dollar amounts in thousands), weighted average fixed rates, and remaining terms:

	June 30, 2017					December 31, 2016
			Weighted					Weighted
			Average		Remaining			Average		Remaining
	Notional		Fixed		Term in	Notional		Fixed		Term in
Maturity	Amount		Rate		Months	Amount		Rate		Months
Less than 1 year	$	535,000	0.91	%	6	$	500,000	0.79	%	6
1 year to 2 years		100,000	1.00		16		410,000	0.96		16
2 years to 3 years		366,000	1.48		30		150,000	1.29		34
3 years to 4 years		150,000	1.44		41		166,000	1.45		46
4 years to 5 years		165,000	2.29		51		125,000	2.44		57
5 years to 7 years		420,000	2.73		69		420,000	2.73		75
7 years to 10 years		100,000	2.00		86		—	—		—
	$	1,836,000	1.67	%	37	$	1,771,000	1.51	%	34

Swap Agreements by Counterparty

Swap Agreements by Counterparty

	June 30,		December 31,
	2017		2016
	(in thousands)
Central clearing houses(1)	$	1,026,000	$	786,000
JPMorgan Securities		350,000		425,000
Deutsche Bank Securities		225,000		325,000
RBS Greenwich Capital		115,000		115,000
Nomura Securities International		100,000		100,000
Bank of New York		20,000		20,000
	$	1,836,000	$	1,771,000

(1) For all interest rate swap agreements 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 for additional details.