September 30, 2015
Days to Maturity
≤ 1 month
> 9 to ≤ 12 months
> 36 to ≤ 48 months
> 48 to < 60 months
Total FHLB advances
Debt of Consolidated Variable Interest Entities
As of September 30, 2015 and December 31, 2014, debt of consolidated VIEs, at fair value, was $626 million and $761 million, respectively, and had a weighted average interest rate of LIBOR plus 40 and 43 basis points, respectively, and a principal balance of $621 million and $742 million, respectively. The actual maturities of our debt of consolidated VIEs are generally shorter than the stated contractual maturities. The actual maturities are affected by the contractual lives of the underlying agency MBS securitizing the debt of our consolidated VIEs and periodic principal prepayments of such underlying securities. The estimated weighted average life of the debt of our consolidated VIEs as of September 30, 2015 and December 31, 2014 was 4.6 and 5.8 years, respectively.
TBA Dollar Roll Financing Transactions
As of September 30, 2015 and December 31, 2014, we had outstanding forward commitments to purchase and sell agency securities through the TBA market at a cost of $7.3 billion and $14.6 billion, respectively (see Notes 3 and 6). These transactions, also referred to as "TBA dollar roll transactions," represent a form of "off-balance sheet" financing and serve to either increase, in the case of forward purchases, or decrease, in the case of forward sales, our total "at risk" leverage. We account for such transactions as one or more series of derivative transactions and report our outstanding TBA commitments at their net carrying value of $120 million and $192 million as of September 30, 2015 and December 31, 2014, respectively, in derivative assets/(liabilities) on our accompanying consolidated balance sheets.
Note 6. Derivative and Other Hedging Instruments
In connection with our risk management strategy, we hedge a portion of our interest rate risk by entering into derivative and other hedging instrument contracts. We typically enter into agreements for interest rate swaps and interest rate swaptions and purchase or short TBA and U.S. Treasury securities. We may also purchase or write put or call options on TBA securities or invest in mortgage and other types of derivative instruments, such as interest and principal-only securities. Our risk management strategy attempts to manage the overall risk of the portfolio, reduce fluctuations in our net book value and generate additional income distributable to stockholders. For additional information regarding our derivative instruments and our overall risk management strategy, please refer to the discussion of derivative and other hedging instruments in Note 3.
Prior to September 30, 2011, our interest rate swaps were typically designated as cash flow hedges under ASC 815; however, as of September 30, 2011, we elected to discontinue hedge accounting for our interest rate swaps in order to increase our funding flexibility. For the three and nine months ended September 30, 2015, we reclassified $24 million and $79 million, respectively, and for the three and nine months ended September 30, 2014, we reclassified, $38 million and $121 million, respectively, of net deferred losses from accumulated OCI into interest expense related to our de-designated interest rate swaps and recognized an equal, but offsetting, amount in other comprehensive income. Our total net periodic interest costs on our swap portfolio was $131 million and $369 million for the three and nine months ended September 30, 2015, respectively, and $120 million and $373 million for the three and nine months ended September 30, 2014, respectively. The difference between our total net periodic interest costs on our swap portfolio and the amount recorded in interest expense related to our de-designated hedges is reported in our accompanying consolidated statements of comprehensive income in gain (loss) on derivative instruments and other securities, net (totaling $107 million and $290 million for the three and nine months ended September 30, 2015, respectively, and $82 million and $252 million for the three and nine months ended September 30, 2014, respectively). As of September 30, 2015, the remaining net deferred loss in accumulated OCI related to de-designated interest rate swaps was $61 million and will be reclassified from OCI into interest expense over a remaining weighted average period of 0.8 years. As of September 30, 2015, the net deferred loss expected to be reclassified from OCI into interest expense over the next twelve months was $58 million.