Derivatives (Tables)

3 Months Ended

Mar. 31, 2016

Derivative [Line Items]

Schedule of Derivative Instruments

The following tables present information about our derivatives at March 31, 2016 and December 31, 2015.

March 31, 2016

Derivative Type	Remaining / Underlying Term	Weighted Average Remaining Swap / Option Term (Months)	Weighted Average Rate		Notional Amount (3)		Asset Fair Value (1)		Liability Fair Value (1)
Interest rate swap contracts	13-24 Months	19	0.80	%	$	650,000	$	—	$	(2,532	)
Interest rate swap contracts	25-36 Months	25	1.29	%	400,000		—		(5,666		)
Interest rate swap contracts	37-48 Months	44	1.47	%	2,350,000		—		(71,913		)
Interest rate swap contracts	61-72 Months	70	2.04	%	275,000		—		(18,190		)
Interest rate swap contracts	73-84 Months	80	2.10	%	1,900,000		—		(101,528		)
Interest rate swap contracts	109-120 Months	119	2.27	%	750,000		—		(70,939		)
Interest rate swap contracts	121-132 Months	123	2.50	%	250,000		—		(27,917		)
Basis swap contracts (2)	0-60 Months	19	0.22	%	2,000,000		1,665		—
Total or Weighted Average					$	8,575,000	$	1,665	$	(298,685	)

(1) See Note 5, “Fair Value of Financial Instruments” for additional discussion.

(2) Weighted average rate is the spread over the pay index.

(3) Notional amount includes $1,175,000 of forward starting interest rate swap contracts which become effective within 3 months.

December 31, 2015

Derivative Type	Remaining / Underlying Term	Weighted Average Remaining Swap / Option Term (Months)	Weighted Average Rate		Notional Amount		Asset Fair Value (1)		Liability Fair Value (1)
Interest rate swap contracts	13-24 Months	19	0.63	%	350,000		265		(87		)
Interest rate swap contracts	25-36 Months	27	1.16	%	700,000		192		(1,633		)
Interest rate swap contracts	37-48 Months	47	1.46	%	2,000,000		—		(18,120		)
Interest rate swap contracts	49-60 Months	49	1.53	%	350,000		—		(3,085		)
Interest rate swap contracts	73-84 Months	75	2.05	%	1,025,000		—		(26,047		)
Interest rate swap contracts	85-96 Months	86	2.11	%	1,375,000		—		(23,543		)
Interest rate swap contracts	109-120 Months	108	2.66	%	1,000,000		—		(92,927		)
Interest rate swap contracts	121-132 Months	123	2.30	%	2,000,000		—		(67,858		)
Basis swap contracts (2)	0-60 Months	22	0.22	%	2,000,000		542		(1		)
Total or Weighted Average					$	10,800,000	$	999	$	(233,301	)

(1) See Note 5, “Fair Value of Financial Instruments” for additional discussion.

Derivative Instruments, Gain (Loss)

The following table represents the location and information regarding our derivatives which are included in Other Income (Loss) in the accompanying condensed consolidated statements of operations for the quarters ended March 31, 2016 and March 31, 2015.

		Income (Loss) Recognized
		For the Quarter Ended
Derivatives	Location on condensed consolidated statements of operations	March 31, 2016			March 31, 2015
Interest rate swap contracts:
Realized gain (loss)	Realized loss on derivatives	$	(226,754	)	$	48,931
Interest income	Realized loss on derivatives	7,449			4,178
Interest expense	Realized loss on derivatives	(26,991		)	(44,919		)
Changes in fair value	Unrealized gain (loss) on derivatives	(89,989		)	(216,426		)
		$	(336,285	)	$	(208,236	)
Futures Contracts:
Realized loss	Realized loss on derivatives	—			(91		)
Changes in fair value	Unrealized gain (loss) on derivatives	—			88
		$	—		$	(3	)
Basis swap contracts:
Interest income	Realized loss on derivatives	472			—
Interest expense	Realized loss on derivatives	(281		)	—
Changes in fair value	Unrealized gain (loss) on derivatives	931			—
		$	1,122		$	—
Totals		$	(335,163	)	$	(208,239	)

Derivative

Derivative [Line Items]

Offsetting Assets

The following tables present information about interest rate swap contracts and Futures Contracts and the potential effects of netting if we were to offset the assets and liabilities of these financial instruments on the accompanying condensed consolidated balance sheets. Currently, we present these financial instruments at their gross amounts and they are included in derivatives, at fair value on the accompanying condensed consolidated balance sheet at December 31, 2015.

December 31, 2015			Gross Amounts Not Offset in the Condensed Consolidated Balance Sheet
Assets	Gross and Net Amounts of Assets Presented in the Condensed Consolidated Balance Sheet		Financial Instruments			Cash Collateral		Net Amount
Interest rate swap contracts	$	457	$	(233,301	)	$	241,604	$	8,760
Basis swap contracts	542		—			—		542
Totals	$	999	$	(233,301	)	$	241,604	$	9,302

The following tables present information about interest rate swap contracts and basis swap contracts and the potential effects of netting if we were to offset the assets and liabilities of these financial instruments on the accompanying condensed consolidated balance sheets. Currently, we present these financial instruments at their gross amounts and they are included in derivatives, at fair value on the accompanying condensed consolidated balance sheet at March 31, 2016.

March 31, 2016			Gross Amounts Not Offset in the Condensed Consolidated Balance Sheet
Assets	Gross and Net Amounts of Assets Presented in the Condensed Consolidated Balance Sheet		Financial Instruments			Cash Collateral		Net Amount
Interest rate swap contracts	$	—	$	(298,685	)	$	304,396	$	5,711
Basis swap contracts	1,665		—			—		1,665
Totals	$	1,665	$	(298,685	)	$	304,396	$	7,376

Offsetting Liabilities

March 31, 2016				Gross Amounts Not Offset in the Condensed Consolidated Balance Sheet
Liabilities	Gross and Net Amounts of Liabilities Presented in the Condensed Consolidated Balance Sheet			Financial Instruments		Cash Collateral		Net Amount
Interest rate swap contracts	$	(298,685	)	$	298,685	$	—	$	—
Totals	$	(298,685	)	$	298,685	$	—	$	—

December 31, 2015				Gross Amounts Not Offset in the Condensed Consolidated Balance Sheet
Liabilities	Gross and Net Amounts of Liabilities Presented in the Condensed Consolidated Balance Sheet			Financial Instruments		Cash Collateral		Net Amount
Interest rate swap contracts	$	(233,301	)	$	233,301	$	—	$	—
Totals	$	(233,301	)	$	233,301	$	—	$	—