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Derivative Instruments (Tables)
 6 Months Ended
Jun. 30, 2018
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Schedule of location and fair value of the derivatives
The table below summarizes the location and fair value of the derivatives reported in the Consolidated Statements of Financial Condition after counterparty netting and posting of cash collateral as of June 30, 2018 and December 31, 2017.

 
 
 
 
June 30, 2018
 
 
 
 
Derivative Assets
 
Derivative Liabilities
Derivative Instruments
 
Notional Amount Outstanding
 
Location on Consolidated Statements of Financial
Condition
Net Estimated Fair Value/Carrying Value
 
Location on Consolidated Statements of Financial
Condition
Net Estimated Fair Value/Carrying Value
 
 
 
 
(dollars in thousands) 
 
 
 
Interest Rate Swaps
 
$
7,692,400

 
Derivatives, at fair value, net
$
123,975

 
Derivatives, at fair value, net
$
—

Swaptions
 
53,000

 
Derivatives, at fair value, net
2,417

 
Derivatives, at fair value, net
—

Treasury Futures
 
619,700

 
Derivatives, at fair value, net
2,949

 
Derivatives, at fair value, net
—

Total
 
$
8,365,100

 
 
$
129,341

 
 
$
—


 
 
 
 
December 31, 2017
 
 
 
 
Derivative Assets
 
Derivative Liabilities
Derivative Instruments
 
Notional Amount Outstanding
 
Location on Consolidated Statements of Financial
Condition
Net Estimated Fair Value/Carrying Value
 
Location on Consolidated Statements of Financial
Condition
Net Estimated Fair Value/Carrying Value
 
 
 
 
(dollars in thousands)  
 
 
 
Interest Rate Swaps
 
$
3,816,400

 
Derivatives, at fair value, net
$
43,257

 
Derivatives, at fair value, net
$
—

Swaptions
 
391,000

 
Derivatives, at fair value, net
2,105

 
Derivatives, at fair value, net
(320
)
Treasury Futures
 
619,700

 
Derivatives, at fair value, net
3,552

 
Derivatives, at fair value, net
—

Total
 
$
4,827,100

 
 
$
48,914

 
 
$
(320
)
Schedule of derivative instruments effects on operating results
The effect of the Company’s derivatives on the Consolidated Statements of Operations is presented below.

 
 
Net gains (losses) on derivatives
for the quarters ended
Derivative Instruments
Location on Consolidated Statements of
Operations and Comprehensive Income
June 30, 2018
June 30, 2017
 
   
(dollars in thousands)
Interest Rate Swaps
Net unrealized gains (losses) on derivatives
$
21,165

$
4,377

Interest Rate Swaps
Net realized gains (losses) on derivatives (1)
1,246

(19,629
)
Treasury Futures
Net unrealized gains (losses) on derivatives
5,984

2,179

Treasury Futures
Net realized gains (losses) on derivatives
(2,210
)
(6,914
)
Swaptions
Net unrealized gains (losses) on derivatives
(1,254
)
(754
)
Swaptions
Net realized gains (losses) on derivatives
(429
)
(1,081
)
Total
 
$
24,502

$
(21,822
)

(1) Includes loss on termination of interest rate swaps of $16 million for the quarter ended June 30, 2017. There were no swaps terminations during the quarter ended June 30, 2018.

 
 
Net gains (losses) on derivatives
for the six months ended
Derivative Instruments
Location on Consolidated Statements of
Operations and Comprehensive Income
June 30, 2018
June 30, 2017
 
   
(dollars in thousands)
Interest Rate Swaps
Net unrealized gains (losses) on derivatives
$
106,129

$
10,693

Interest Rate Swaps
Net realized gains (losses) on derivatives (1)
(1,365
)
(23,733
)
Treasury Futures
Net unrealized gains (losses) on derivatives
(604
)
(388
)
Treasury Futures
Net realized gains (losses) on derivatives
14,215

(8,999
)
Swaptions
Net unrealized gains (losses) on derivatives
1,789

393

Swaptions
Net realized gains (losses) on derivatives
(1,157
)
(4,250
)
Total
 
$
119,007

$
(26,284
)
(1) Includes loss on termination of interest rate swaps of $16 million for the six months ended June 30, 2017. There were no swaps terminations during the six months ended June 30, 2018.