| 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 September 30, 2020 and December 31, 2019. | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Gross Amounts Not Offset | | | | Assets | | Gross Amounts(1) | | Financial
Instruments | | Cash Collateral | | Total Net | | September 30, 2020 | | | | | | | | | | Interest rate swap contracts | | $ | 5,223 | | | $ | (9,528) | | | $ | 15,942 | | | $ | 11,637 | | | TBA Agency Securities | | 5,334 | | | (3,860) | | | (1,445) | | | 29 | | | Totals | | $ | 10,557 | | | $ | (13,388) | | | $ | 14,497 | | | $ | 11,666 | | | | | | | | | | | | 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 | |
(1)See Note 5 - Fair Value of Financial Instruments for additional discussion.
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| 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 three and nine months ended September 30, 2020 and September 30, 2019. | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Income (Loss) Recognized | | | | | For the Three Months Ended September 30, | | For the Nine Months Ended September 30, | | Derivatives | | Location on consolidated statements of operations | | 2020 | | 2019 | | 2020 | | 2019 | | Interest rate swap contracts: | | | | | | | | | | | | Realized loss | | Realized gain (loss) on derivatives | | $ | — | | | $ | (93,378) | | | (461,374) | | | (237,725) | | | Interest income | | Realized gain (loss) on derivatives | | 1,136 | | | 43,021 | | | 28,937 | | | 154,813 | | | Interest expense | | Realized gain (loss) on derivatives | | (2,603) | | | (35,520) | | | (43,172) | | | (128,983) | | | Changes in fair value | | Unrealized gain (loss) on derivatives | | 13,478 | | | 10,376 | | | 43,030 | | | (205,759) | | | | | | $ | 12,011 | | | (75,501) | | | $ | (432,579) | | | $ | (417,654) | | |
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| TBA Agency Securities: | | | | | | | | | | | | Realized gain | | Realized gain (loss) on derivatives | | 22,333 | | | 801 | | | 80,759 | | | 11,697 | | | Changes in fair value | | Unrealized gain (loss) on derivatives | | (6,612) | | | (6,531) | | | 3,274 | | | (10,767) | | | | | | $ | 15,721 | | | $ | (5,730) | | | $ | 84,033 | | | $ | 930 | | | Totals | | $ | 27,732 | | | $ | (81,231) | | | $ | (348,546) | | | $ | (416,724) | |
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| Schedule of Derivative Instruments |
The following tables present information about our derivatives at September 30, 2020 and December 31, 2019. | | | | | | | | | | | | | | | | | | | | | Interest Rate Swaps (1) | | Notional Amount | | Weighted Average Remaining Term (Months) | | Weighted Average Rate | | September 30, 2020 | | | | | | | < 3 years | | $ | 2,230,000 | | | 15 | | 0.06 | % | ≥ 3 years and < 5 years | | 463,000 | | | 48 | | 0.14 | % | ≥ 5 years and < 7 years | | 942,000 | | | 75 | | 0.28 | % | ≥ 7 years | | 1,302,000 | | | 113 | | 0.44 | % | |
Total or Weighted Average (2) | | $ | 4,937,000 | | | 55 | | 0.21 | % | | | | | | | | | 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 | | 1,175,000 | | | 118 | | 1.54 | % | |
Total or Weighted Average (3) | | $ | 7,975,000 | | | 53 | | 1.74 | % |
(1)Pay Fixed/Receive Variable. (2)Of this amount, $2,707,000 notional are Fed Funds based swaps, the last of which matures in 2030 and $2,230,000 notional are SOFR based swaps, the last of which matures in 2023. (3)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 | | September 30, 2020 | | | | | | | | 15 Year Long | | | | | | | 1.5% | | $ | 200,000 | | | $ | 204,410 | | | $ | 204,641 | | 2.0% | | 1,000,000 | | | 1,035,020 | | | 1,037,000 | | |
| 30 Year Long | | | | | | | 2.0% | | 200,000 | | | 206,351 | | | 206,781 | | 2.5% | | 600,000 | | | 626,438 | | | 627,483 | | |
Total (1) | | $ | 2,000,000 | | | $ | 2,072,219 | | | $ | 2,075,905 | | | | | | | | | | 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 | |
(1)$1,800,000 and $1,000,000 notional were forward settling at September 30, 2020 and December 31, 2019, respectively.
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