Derivative Instruments (Tables)

12 Months Ended

Dec. 31, 2018

Derivative Instruments [Abstract]

Outstanding Notional Amounts of Derivative Instruments

The following table summarizes the outstanding notional amounts of derivative instruments as of the dates indicated (dollars in thousands):

Derivatives	December 31, 2018		December 31, 2017
Notional amount of interest rate swaps	$	1,380,000	$	1,067,950
Notional amount of swaptions		110,000		155,000
Notional amount of TBAs, net		35,000		26,900
Notional amount of Treasury futures		80,000		-
Notional amount of options on Treasury futures		-		-
Total notional amount	$	1,605,000	$	1,249,850

Information about Company's Interest Rate Swap Agreements

The following table presents information about the Company’s interest rate swap agreements as of the dates indicated (dollars in thousands):

	Notional Amount		Weighted Average Pay Rate			Weighted Average Receive Rate			Weighted Average Years to Maturity
December 31, 2018	$	1,380,000		2.18	%		2.61	%		5.0
December 31, 2017	$	1,067,950		1.83	%		1.44	%		4.9

Information about Company's Interest Rate Swaption Agreements

The following table presents information about the Company’s interest rate swaption agreements as of the dates indicated (dollars in thousands):

	Notional Amount		Weighted Average Pay Rate			Weighted Average Receive Rate(A)	Weighted Average Years to Maturity
December 31, 2018	$	110,000		3.25	%	LIBOR-BBA%		10.0
December 31, 2017	$	155,000		2.88	%	LIBOR-BBA%		10.8

(A) Floats in accordance with LIBOR.

Realized Gain (Loss) Related to Derivatives

The following table presents information about realized gain (loss) on derivatives, which is included on the consolidated statements of income for the periods indicated (dollars in thousands):

Realized Gains (Losses) on Derivatives

	Consolidated Statements of Income (Loss) Location	Year Ended December 31,
Derivatives		2018		2017		2016
Interest rate swaps	Realized gain (loss) on derivatives, net	$	(2,149)	$	(1,573)	$	(6,600)
Swaptions	Realized gain (loss) on derivatives, net		(1,451)		(680)		(884)
TBAs	Realized gain (loss) on derivatives, net		(2,315)		(1,339)		(316)
Treasury futures	Realized gain (loss) on derivatives, net		26		(1,962)		(163)
Total		$	(5,889)	$	(5,554)	$	(7,963)

Offsetting Assets

The following tables present information about the Company’s assets and liabilities that are subject to master netting arrangements or similar agreements and can potentially be offset on the Company’s consolidated balance sheets as of the dates indicated (dollars in thousands):

Offsetting Assets and Liabilities

As of December 31, 2018

						Net Amounts of Assets		Gross Amounts Not Offset in the Consolidated Balance Sheet
	Gross Amounts of Recognized Assets or Liabilities		Gross Amounts Offset in the Consolidated Balance Sheet			and Liabilities Presented in the Consolidated Balance Sheet		Financial Instruments			Cash Collateral Received (Pledged)			Net Amount
Assets
Interest rate swaps	$	23,176	$	-		$	23,176	$	(23,176	)	$	-		$	-
Swaptions		170		-			170		(170	)		-			-
TBAs		349		(181	)		168		(168	)		-			-
Treasury futures		744		-			744		(57	)		(687	)		-
Total Assets	$	24,439	$	(181	)	$	24,258	$	(23,571	)	$	(687	)	$	-

As of December 31, 2017

					Net Amounts of Assets		Gross Amounts Not Offset in the Consolidated Balance Sheet
	Gross Amounts of Recognized Assets or Liabilities		Gross Amounts Offset in the Consolidated Balance Sheet		and Liabilities Presented in the Consolidated Balance Sheet		Financial Instruments			Cash Collateral Received (Pledged)		Net Amount
Assets
Interest rate swaps	$	12,994	$	—	$	12,994	$	(12,994	)	$	—	$	—
Swaptions		802		—		802		(802	)		—		—
TBAs		34		—		34		(34	)		—		—
Total Assets	$	13,830	$	—	$	13,830	$	(13,830	)	$	—	$	—

Offsetting Liabilities

The following tables present information about the Company’s assets and liabilities that are subject to master netting arrangements or similar agreements and can potentially be offset on the Company’s consolidated balance sheets as of the dates indicated (dollars in thousands):

Offsetting Assets and Liabilities

As of December 31, 2018

Liabilities
Repurchase agreements	$	1,598,592	$	-		$	1,598,592	$	(1,591,094	)	$	(7,498	)	$	-
Interest rate swaps		3,816		-			3,816		(3,816	)		-			-
TBAs		181		(181	)		-		-			-			-
Total Liabilities	$	1,602,589	$	(181	)	$	1,602,408	$	(1,594,910	)	$	(7,498	)	$	-

As of December 31, 2017

Liabilities
Repurchase agreements	$	1,666,537	$	—	$	1,666,537	$	(1,637,922	)	$	(28,615	)	$	—
Interest rate swaps		342		—		342		32			(374	)		—
Treasury futures		2		—		2		177			(179	)		—
Total Liabilities	$	1,666,881	$	—	$	1,666,881	$	(1,637,713	)	$	(29,168	)	$	—