NOTE 15. 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 December 31, 2019 and December 31, 2018:


		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

Interest Rate Swap Agreements

At December 31, 2019, we were a counterparty to interest rate swaps, which are derivative instruments as defined by ASC 815‑10, with an aggregate notional amount of $2.5 billion and a weighted average maturity of approximately 48 months. We utilize interest rate swaps to manage interest rate risk relating to our repurchase agreements and do not anticipate entering into derivative transactions for speculative or trading purposes. In accordance with the swap agreements, we will pay a fixed-rate of interest during the term of the swap agreements (ranging from 1.411% to 3.2205%) and receive a payment that varies with the three-month LIBOR rate. During the year ended December 31, 2019, 36 swap agreements with an aggregate notional amount of $1.84 billion matured or were terminated, and we entered into 26 new swap agreements with an aggregate notional amount of $1.035 billion and terms of up to ten years.

At December 31, 2019, the amount in AOCI relating to interest rate swaps was approximately $7.6 million. The estimated net amount of the existing losses that were reported in AOCI at December 31, 2019 that is expected to be reclassified into earnings within the next twelve months is approximately $3.3 million.

At December 31, 2019 and December 31, 2018, our interest rate swaps had the following notional amounts, 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

(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.

TBA Agency MBS

We also enter into TBA contracts and will recognize a gain or loss on the sale of the contracts or dollar roll income. See the section in Note 1 on “Derivative Financial Instruments – TBA Agency MBS” for more information on TBA Agency MBS. During the year ended December 31, 2019, we recognized a gain on derivatives-TBA Agency MBS, net of derivative income, of approximately $14.2 million. During the year ended December 31, 2018, we recognized a loss on derivatives-TBA Agency MBS, net of derivative income, of approximately $8.7 million. The types of securities involved in these TBA contracts are Fannie Mae 15-year and 30-year fixed-rate securities with coupons generally ranging from 3.0% to 4.5%. At December 31, 2019, the notional amount of the TBA Agency MBS was $250 million. At December 31, 2018, the notional amount of the TBA Agency MBS was $900 million.

For more information on our accounting policies, the objectives and risk exposures relating to derivatives and hedging agreements, see the section on “Derivative Financial Instruments” in Note 1. For more information on the fair value of our derivative instruments, see Note 9.

December 31,

December 31,

(in thousands)

Central clearing houses(1)