Derivative Instruments (Tables)

3 Months Ended

Mar. 31, 2020

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 March 31, 2020 and December 31, 2019:

		March 31,		December 31,
Derivative Instruments	Balance Sheet Location	2020		2019
		(in thousands)
Interest rate swaps	Derivative Assets	$	—	$	5,302
TBA Agency MBS	Derivative Assets		3,094		531
		$	3,094	$	5,833
Interest rate swaps	Derivative Liabilities		102,802		52,197
		$	102,802	$	52,197

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

	March 31, 2020					December 31, 2019
			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	$	316,000	1.69	%	4	$	541,000	1.70	%	7
1 year to 2 years		25,000	1.50		20		190,000	1.63		21
2 years to 3 years		55,000	1.48		31		335,000	1.65		34
3 years to 4 years		115,000	1.52		43		295,000	1.71		45
4 years to 5 years		225,000	1.73		60		550,000	2.18		61
5 years to 7 years		390,000	2.60		85		390,000	2.51		85
7 years to 10 years		150,000	2.97		102		200,000	2.94		103
	$	1,276,000	2.10	%	55	$	2,501,000	2.02	%	48