XML 43 R32.htm IDEA: XBRL DOCUMENT v3.19.2
Derivative Instruments (Tables)
 6 Months Ended
Jun. 30, 2019
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
 
June 30, 2019
  
December 31, 2018
 
Notional amount of interest rate swaps
 
$
1,541,850
  
$
1,380,000
 
Notional amount of swaptions
  
50,000
   
110,000
 
Notional amount of TBAs, net
  
185,000
   
35,000
 
Notional amount of Treasury futures
  
396,700
   
80,000
 
Total notional amount
 
$
2,173,550
  
$
1,605,000
 
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
 
June 30, 2019
 
$
1,541,850
   
2.10
%
  
2.49
%
  
5.1
 
December 31, 2018
 
$
1,380,000
   
2.18
%
  
2.61
%
  
5.1
 
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
 
June 30, 2019
 
$
50,000
   
3.17
%
 
LIBOR-BBA
%  
10.6
 
December 31, 2018
 
$
110,000
   
3.25
%
 
LIBOR-BBA
%
  
10.0
 

(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 interim consolidated statements of income for the periods indicated (dollars in thousands):

Realized Gains (Losses) on Derivatives

 
Derivatives
 
Three Months Ended June 30,
  
Six Months Ended June 30,
 
 
2019
  
2018
  
2019
  
2018
 
Interest rate swaps
 
$
(5,558
)
 
$
(162
)
 
$
(13,582
)
 
$
(584
)
Swaptions
  
(382
)
  
(101
)
  
(1,144
)
  
(375
)
TBAs
  
1,307
   
(549
)
  
1,087
   
(578
)
Treasury futures
  
4,268
   
(1,221
)
  
5,798
   
(483
)
Total
 
$
(365
)
 
$
(2,033
)
 
$
(7,841
)
 
$
(2,020
)
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 interim consolidated balance sheets   as of the dates indicated (dollars in thousands):

Offsetting Assets and Liabilities

As of June 30, 2019



 
  
Net Amounts
of Assets and
  
Gross Amounts Not Offset in the
Consolidated Balance Sheet
  
 
 
Gross
Amounts of
Recognized
Assets or
Liabilities
  
Gross
Amounts
Offset in the
Consolidated
Balance Sheet
  
Liabilities
Presented in
the
Consolidated
Balance Sheet
  
Financial
Instruments
  
Cash
Collateral
Received
(Pledged)
  
Net
Amount
 
Assets
                  
Interest rate swaps
 
$
24,140
  
$
(6,561
)
 
$
17,579
  
$
(17,579
)
 
$
-
  
$
-
 
Interest Rate swaptions
  
43
   
-
   
43
   
(43
)
  
-
   
-
 
TBAs
  
1,918
   
(234
)
  
1,684
   
(1,684
)
  
-
   
-
 
Treasury futures
  
3,811
   
-
   
3,811
   
3,173
   
(6,984
)
  
-
 
Total Assets
 
$
29,912
  
$
(6,795
)
 
$
23,117
  
$
(16,133
)
 
$
(6,984
)
 
$
-
 

As of December 31, 2018


 
  
Net Amounts
of Assets and
  
Gross Amounts Not Offset in the
Consolidated Balance Sheet
  
 
 
Gross
Amounts of
Recognized
Assets or
Liabilities
  
Gross
Amounts
Offset in the
Consolidated
Balance Sheet
  
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
)
 
$
-
  
$
-
 
Interest Rate 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
)
 
$
-
 
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 interim consolidated balance sheets   as of the dates indicated (dollars in thousands):

Offsetting Assets and Liabilities

As of June 30, 2019

Liabilities
                        
Repurchase agreements
 
$
1,942,511
  
$
-
  
$
1,942,511
  
$
(1,922,474
)
 
$
(20,037
)
 
$
-
 
Interest rate swaps
  
15,931
   
(6,562
)
  
9,369
   
(9,369
)
   -   
-
 
TBAs
  
234
   
(234
)
  
-
   
-
   
-
   
-
 
Total Liabilities
 
$
1,958,676
  
$
(6,796
)
 
$
1,951,880
  
$
(1,931,843
)
 
$
(20,037
)
 
$
-
 

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
)
  
-
   
-
   
-
   
-
 
Treasury futures
  
-
   
-
   
-
   
-
   
-
   
-
 
Total Liabilities
 
$
1,602,589
  
$
(181
)
 
$
1,602,408
  
$
(1,594,910
)
 
$
(7,498
)
 
$
-