Derivative Instruments (Tables)

6 Months Ended

Jun. 30, 2018

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 June 30, 2018 and December 31, 2017:

		June 30,		December 31,
Derivative Instruments	Balance Sheet Location	2018		2017
		(in thousands)
Interest rate swaps	Derivative Assets	$	67,735	$	27,793
TBA Agency MBS	Derivative Assets		1,904		—
		$	69,639	$	27,793
Interest rate swaps	Derivative Liabilities	$	652	$	51
TBA Agency MBS	Derivative Liabilities		—		1,284
		$	652	$	1,335

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

At June 30, 2018 and December 31, 2017, our interest rate swaps had the following notional amounts, weighted average fixed rates, and remaining terms:

	June 30, 2018					December 31, 2017
			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	$	250,000	1.55	%	5	$	410,000	0.96	%	4
1 year to 2 years		766,000	1.62		16		725,000	1.60		19
2 years to 3 years		550,000	1.78		28		516,000	1.62		33
3 years to 4 years		300,000	1.87		39		350,000	1.90		43
4 years to 5 years		170,000	1.83		52		220,000	1.92		56
5 years to 7 years		485,000	2.32		73		260,000	1.98		74
7 years to 10 years		625,000	2.63		105		200,000	2.08		101
	$	3,146,000	1.99	%	48	$	2,681,000	1.65	%	37

Swap Agreements by Counterparty

	June 30,		December 31,
	2018		2017
	(in thousands)
Central clearing houses(1)	$	3,146,000	$	2,421,000
JPMorgan Securities		—		50,000
Deutsche Bank Securities		—		75,000
RBS Greenwich Capital		—		115,000
Bank of New York		—		20,000
	$	3,146,000	$	2,681,000

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 for additional details.