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Derivative Instruments and Hedging Activities - Fair Value of Derivative Instruments Not Designated as Hedging Instruments (Details) - USD ($) $ in Thousands | Sep. 30, 2017 | Dec. 31, 2016
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Eurodollar futures |  |
Derivative [Line Items] |  |
Derivative assets | $ 289 | $ 1,175
TBA securities |  |
Derivative [Line Items] |  |
Derivative assets | 180,562 | 148,139
Interest rate swap futures |  |
Derivative [Line Items] |  |
Derivative assets | 1,228 | 444
Swaptions |  |
Derivative [Line Items] |  |
Derivative assets | 18 | 431
U.S. Treasury futures |  |
Derivative [Line Items] |  |
Derivative liabilities | 193 | 107
Interest rate swaps |  |
Derivative [Line Items] |  |
Derivative liabilities | $ 274 | $ 384

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- Definition Fair value as of the balance sheet date of derivative instrument not designated as hedging instrument and classified as an asset. + References Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4B -Subparagraph (c)(2) -URI http://asc.fasb.org/extlink&oid=84234895&loc=SL5624163-113959 + Details
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- Definition Fair value as of the balance sheet date of derivative instrument not designated as hedging instrument and classified as a liability. + References Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4B -Subparagraph (c)(2) -URI http://asc.fasb.org/extlink&oid=84234895&loc=SL5624163-113959 + Details
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