Derivatives (Tables)

12 Months Ended

Dec. 31, 2019

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Offsetting Assets

The following tables present information about the potential effects of netting our derivatives if we were to offset the assets and liabilities on the accompanying consolidated balance sheets. We currently present these financial instruments at their gross amounts and they are included in derivatives, at fair value on the accompanying consolidated balance sheets at December 31, 2019 and December 31, 2018.

			Gross Amounts Not Offset
Assets	Gross Amounts(1)		Financial Instruments			Cash Collateral			Total Net
December 31, 2019
Interest rate swap contracts	$	23,659	$	(70,290	)	$	83,066		$	36,435
TBA Agency Securities	1,092		(1,092		)	—			—
Totals	$	24,751	$	(71,382	)	$	83,066		$	36,435
December 31, 2018
Interest rate swap contracts	$	107,677	$	(24,505	)	$	(82,838	)	$	334
TBA Agency Securities	4,236		—			(2,593		)	1,643
Totals	$	111,913	$	(24,505	)	$	(85,431	)	$	1,977

(1)

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

Offsetting Liabilities

				Gross Amounts Not Offset
Liabilities	Gross Amounts(1)			Financial Instruments		Cash Collateral		Total Net
December 31, 2019
Interest rate swap contracts	$	(70,290	)	$	70,290	$	—	$	—
TBA Agency Securities	(1,684		)	1,092		377		(215		)
Totals	$	(71,974	)	$	71,382	$	377	$	(215	)
December 31, 2018
Interest rate swap contracts	$	(24,505	)	$	24,505	$	—	$	—
Totals	$	(24,505	)	$	24,505	$	—	$	—

 

(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 consolidated statements of operations for the years ended December 31, 2019, December 31, 2018 and December 31, 2017.

		Income (Loss) Recognized
		For the Years Ended
Derivatives	Location on consolidated statements of operations	December 31, 2019			December 31, 2018		December 31, 2017
Interest rate swap contracts:
Realized gain (loss)	Realized loss on derivatives	$	(237,725	)	2,655		990
Interest income	Realized loss on derivatives	187,899			124,714		50,464
Interest expense	Realized loss on derivatives	(162,529		)	(124,241	)	(83,797		)
Changes in fair value	Unrealized gain (loss) on derivatives	(132,303		)	43,755		39,388
		$	(344,658	)	46,883		$	7,045
TBA Agency Securities:
Realized gain (loss)	Realized loss on derivatives	(1,641		)	(50,625	)	9,668
Changes in fair value	Unrealized gain (loss) on derivatives	(3,824		)	5,561		(116		)
		$	(5,465	)	(45,064	)	9,552
Totals		$	(350,123	)	1,819		16,597

Schedule of Derivative Instruments

The following tables present information about our derivatives at December 31, 2019 and December 31, 2018.

Interest Rate Swaps (1)	Notional Amount		Weighted Average Remaining Term (Months)	Weighted Average Rate
December 31, 2019
< 3 years	$	2,750,000	19	1.66	%
≥ 3 years and < 5 years	2,850,000		47	1.84	%
≥ 5 years and < 7 years	1,200,000		83	1.86	%
≥ 7 years and < 10 years	1,175,000		118	1.54	%
Total or Weighted Average (2)	$	7,975,000	53	1.74	%
December 31, 2018
< 3 years	$	2,225,000	20	1.67	%
≥ 3 years and < 5 years	1,725,000		54	1.95	%
≥ 5 years and < 7 years	925,000		69	2.06	%
≥ 7 years and < 10 years	2,475,000		104	2.25	%
Total or Weighted Average	$	7,350,000	62	1.98	%

(1) Pay Fixed/Receive Variable

(2) Of this amount, $1,025,000 notional are LIBOR based swaps, the last of which matures in 2023; $375,000 notional are SOFR based swaps, the last of which matures in 2024; and $6,575,000 notional are Fed Funds based swaps, the last of which matures in 2029

TBA Agency Securities	Notional Amount		Cost Basis		Fair Value
December 31, 2019
15 Year Long
3.0%	$	500,000	$	511,055	$	511,885
30 Year Long
2.5%	500,000		494,813		494,395
Total (1)	$	1,000,000	$	1,005,868	$	1,006,280
December 31, 2018
30 Year Long
4.5%	$	500,000	$	514,270	$	517,123
5.0%	400,000		414,914		416,297
Total	$	900,000	$	929,184	$	933,420

(1)

$1,000,000 notional are forward settling.