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Derivative Instruments (Tables)
 12 Months Ended
Dec. 31, 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
 
December 31, 2019
  
December 31, 2018
 
Notional amount of interest rate swaps
 
$
2,355,850
  
$
1,380,000
 
Notional amount of swaptions
  
40,000
   
110,000
 
Notional amount of TBAs, net
  
140,300
   
35,000
 
Notional amount of Treasury futures
  
310,300
   
80,000
 
Total notional amount
 
$
2,846,450
  
$
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
 
December 31, 2019
 
$
2,355,850
   
1.70
%
  
1.92
%
  
5.3
 
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
 
December 31, 2019
 
$
40,000
   
2.38
%
  
LIBOR-BBA% 
   
10.7
 
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 consolidated statements of income for the periods indicated (dollars in thousands):

Realized Gains (Losses) on Derivatives

    
Year Ended December 31,
 
Derivatives
 
Consolidated Statements of Income (Loss) Location
 
2019
  
2018
  
2017
 
Interest rate swaps
 
Realized (loss) on derivatives, net
 
$
(27,950
)
 
$
(2,149
)
 
$
(1,573
)
Swaptions
 
Realized (loss) on derivatives, net
  
(1,544
)
  
(1,451
)
  
(680
)
TBAs
 
Realized gain (loss) on derivatives, net
  
2,251
   
(2,315
)
  
(1,339
)
Treasury futures
 
Realized gain (loss) on derivatives, net
  
14,881
   
26
   
(1,962
)
Total
 
 
 
$
(12,362
)
 
$
(5,889
)
 
$
(5,554
)
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, 2019

 
 
   
Gross Amounts of Recognized Assets or Liabilities
     
Gross Amounts Offset in the Consolidated Balance Sheet
    
Net Amounts of Assets and Liabilities Presented in the Consolidated Balance Sheet
    
Gross Amounts Not Offset in the
Consolidated Balance Sheet
    
Net Amount
  
Financial
Instruments
  
Cash Collateral Received (Pledged)
Assets
                  
Interest rate swaps
 
$
17,921
  
$
-
  
$
17,921
  
$
(17,921
)
 
$
-
  
$
-
 
Interest rate swaptions
  
368
   
-
   
368
   
(368
)
  
-
   
-
 
TBAs
  
2,297
   
(2,297
)
  
-
   
-
   
-
   
-
 
Total Assets
 
$
20,586
  
$
(2,297
)
 
$
18,289
  
$
(18,289
)
 
$
-
  
$
-
 

As of December 31, 2018

 
 
   
Gross Amounts of Recognized Assets or Liabilities
     
Gross Amounts Offset in the Consolidated Balance Sheet
    
Net Amounts of Assets and Liabilities Presented in the Consolidated Balance Sheet
    
Gross Amounts Not Offset in the
Consolidated Balance Sheet
    
Net Amount
  
Financial
Instruments
  
Cash Collateral Received (Pledged)
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 consolidated balance sheets as of the dates indicated (dollars in thousands):

Offsetting Assets and Liabilities

As of December 31, 2019
Liabilities
                        
Repurchase agreements
 
$
2,337,638
  
$
-
  
$
2,337,638
  
$
(2,276,251
)
 
$
(61,387
)
 
$
-
 
Interest rate swaps
  
10,140
   
-
   
10,140
   
(10,140
)
  
-
   
-
 
TBAs
  
2,720
   
(2,297
)
  
423
   
(423
)
  
-
   
-
 
Treasury futures
  
1,774
   
-
   
1,774
   
3,876
   
(5,650
)
  
-
 
Total Liabilities
 
$
2,352,272
  
$
(2,297
)
 
$
2,349,975
  
$
(2,282,938
)
 
$
(67,037
)
 
$
-
 

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
)
 
$
-