Derivative Instruments (Tables)

6 Months Ended

Jun. 30, 2020

Derivative Instruments

Fair Value of Derivative Instruments

		June 30,		December 31,
Derivative Instruments	Balance Sheet Location	2020		2019
		(in thousands)
Interest rate swaps	Derivative Assets	$	—	$	5,302
TBA Agency MBS	Derivative Assets		2,205		531
		$	2,205	$	5,833
Interest rate swaps	Derivative Liabilities		93,317		52,197
		$	93,317	$	52,197

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

	June 30, 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	$	200,000	1.72	%	2	$	541,000	1.70	%	7
1 year to 2 years		—	—		—		190,000	1.63		21
2 years to 3 years		—	—		—		335,000	1.65		34
3 years to 4 years		50,000	1.55		40		295,000	1.71		45
4 years to 5 years		175,000	1.73		58		550,000	2.18		61
5 years to 7 years		440,000	2.63		87		390,000	2.51		85
7 years to 10 years		50,000	3.22		102		200,000	2.94		103
	$	915,000	2.23	%	61	$	2,501,000	2.02	%	48