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Derivative Instruments and Hedging Activities (Tables) | 9 Months Ended
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Sep. 30, 2017
Derivative Instruments and Hedging Activities Disclosures [Line Items] |
Schedule of Activity of Derivative Instruments Not Designated as Hedges | The tables below summarize the activity of derivative instruments not designated as hedges for the nine months ended September 30, 2017 and 2016, respectively (dollar amounts in thousands):
|  | Notional Amount For the Nine Months Ended September 30, 2017
Derivatives Not Designated as Hedging Instruments |  | December 31, 2016 |  | Additions |  | Settlement, Expiration or Exercise |  | September 30, 2017
TBA securities |  | $ | 149,000 |  |  | $ | 1,466,000 |  |  | $ | (1,440,000 | ) |  | $ | 175,000 |
U.S. Treasury futures |  | 17,100 |  |  | 123,900 |  |  | (135,500 | ) |  | 5,500 |
Interest rate swap futures |  | (151,700 | ) |  | 413,800 |  |  | (349,000 | ) |  | (86,900 | )
Eurodollar futures |  | (2,575,000 | ) |  | 5,989,000 |  |  | (5,054,000 | ) |  | (1,640,000 | )
Options on U.S. Treasury futures |  | — |  |  | 5,000 |  |  | (5,000 | ) |  | — |
Swaptions |  | 154,000 |  |  | — |  |  | — |  |  | 154,000 |
Interest rate swaps |  | 15,000 |  |  | — |  |  | — |  |  | 15,000 |
|  | Notional Amount For the Nine Months Ended September 30, 2016
Derivatives Not Designated as Hedging Instruments |  | December 31, 2015 |  | Additions |  | Settlement, Expiration or Exercise |  | September 30, 2016
TBA securities |  | $ | 222,000 |  |  | $ | 2,925,000 |  |  | $ | (2,866,000 | ) |  | $ | 281,000 |
U.S. Treasury futures |  | — |  |  | 189,800 |  |  | (146,400 | ) |  | 43,400 |
Interest rate swap futures |  | (137,200 | ) |  | 718,700 |  |  | (700,300 | ) |  | (118,800 | )
Eurodollar futures |  | (2,769,000 | ) |  | 4,134,000 |  |  | (4,838,000 | ) |  | (3,473,000 | )
Options on U.S. Treasury futures |  | 28,000 |  |  | 91,000 |  |  | (114,000 | ) |  | 5,000 |
Swaptions |  | 159,000 |  |  | — |  |  | (5,000 | ) |  | 154,000 |
Interest rate swaps |  | 10,000 |  |  | 5,000 |  |  | — |  |  | 15,000 |
Schedule of Components of Realized and Unrealized Gains and Losses of Derivative Not Designated as Hedging Instruments | The following tables present the components of realized and unrealized gains and losses related to our derivative instruments that were not designated as hedging instruments included in other income category in our condensed consolidated statements of operations for the three and nine months ended September 30, 2017 and 2016 (dollar amounts in thousands):
| Three Months Ended September 30,
| 2017 |  | 2016
| Realized Gains (Losses) |  | Unrealized Gains (Losses) |  | Realized Gains (Losses) |  | Unrealized Gains (Losses)
TBA securities | $ | 1,470 |  |  | $ | (265 | ) |  | $ | 4,981 |  |  | $ | (2,547 | )
Eurodollar futures (1) | 62 |  |  | 39 |  |  | (1,674 | ) |  | 3,877 |
Interest rate swaps | — |  |  | 36 |  |  | — |  |  | 65 |
Swaptions | — |  |  | 171 |  |  | — |  |  | 190 |
U.S. Treasury and interest rate swap futures and options | (583 | ) |  | 505 |  |  | 462 |  |  | (790 | )
Total | $ | 949 |  |  | $ | 486 |  |  | $ | 3,769 |  |  | $ | 795 |
| Nine Months Ended September 30,
| 2017 |  | 2016
| Realized Gains (Losses) |  | Unrealized Gains (Losses) |  | Realized Gains (Losses) |  | Unrealized Gains (Losses)
TBA securities | $ | 3,285 |  |  | $ | (1,080 | ) |  | $ | 13,489 |  |  | $ | 883 |
Eurodollar futures (1) | 849 |  |  | (886 | ) |  | (3,180 | ) |  | 547 |
Interest rate swaps | — |  |  | 110 |  |  | — |  |  | 40 |
Swaptions | — |  |  | 239 |  |  | — |  |  | 212 |
U.S. Treasury and interest rate swap futures and options | (999 | ) |  | 699 |  |  | (2,534 | ) |  | (1,251 | )
Total | $ | 3,135 |  |  | $ | (918 | ) |  | $ | 7,775 |  |  | $ | 431 |
(1) | At September 30, 2017, the Eurodollar futures consist of 1,640 contracts with expiration dates ranging between December 2017 and June 2019.
Schedule of Derivative Instruments Designated as Hedging Instruments and Location in Condensed Consolidated Balance Sheet | The following table presents the fair value of derivative instruments designated as hedging instruments and their location in the Company’s condensed consolidated balance sheets at September 30, 2017 and December 31, 2016, respectively (dollar amounts in thousands):
Derivatives Designated as Hedging Instruments |  | Balance Sheet Location |  | Total Notional Amount |  | September 30, 2017 |  | December 31, 2016
Interest rate swaps |  | Derivative asset |  | $ | 80,000 |  |  | $ | 18 |  |  | $ | — |
Interest rate swaps |  | Derivative asset |  | 65,000 |  |  | — |  |  | 108 |
Interest rate swaps |  | Derivative liabilities |  | 150,000 |  |  | — |  |  | 6 |
Schedule of Derivative Instruments, Effect on Accumulated Other Comprehensive Income | The following table presents the impact of the Company’s derivative instruments on the Company’s accumulated other comprehensive income for the nine months ended September 30, 2017 and 2016, respectively (dollar amounts in thousands):
|  | Nine Months Ended September 30,
Derivatives Designated as Hedging Instruments |  | 2017 |  | 2016
Accumulated other comprehensive income for derivative instruments: |  |  |  |
Balance at beginning of the period |  | $ | 102 |  |  | $ | 304 |
Unrealized loss on interest rate swaps |  | (84 | ) |  | (607 | )
Balance at end of the period |  | $ | 18 |  |  | $ | (303 | )
Schedule of Interest Rate Swaps Designated as Hedging Instruments | The following table details the impact of the Company’s interest rate swaps designated as hedging instruments included in interest expense for the three and nine months ended September 30, 2017 and 2016, respectively (dollar amounts in thousands):
| Three Months Ended September 30, |  | Nine Months Ended September 30,
| 2017 |  | 2016 |  | 2017 |  | 2016
Interest income-investment securities | $ | 176 |  |  | $ | — |  |  | $ | 249 |  |  | $ | — |
Interest expense-investment securities | — |  |  | 177 |  |  | — |  |  | 604 |
Schedule of Interest Rate Swaps, Variable and Fixed Interest Rates | The following table presents information about our interest rate swaps (includes interest rate swaps in our Agency IO portfolio) whereby we receive floating rate payments in exchange for fixed rate payments as of September 30, 2017 and December 31, 2016, respectively (dollar amounts in thousands):
|  | September 30, 2017 |  | December 31, 2016
Swap Maturities |  | Notional Amount |  | Weighted Average Fixed Interest Rate |  | Weighted Average Variable Interest Rate |  | Notional Amount |  | Weighted Average Fixed Interest Rate |  | Weighted Average Variable Interest Rate
2017 |  | $ | 80,000 |  |  | 0.71 | % |  | 1.23 | % |  | $ | 215,000 |  |  | 0.83 | % |  | 0.74 | %
2019 |  | 10,000 |  |  | 2.25 | % |  | 1.32 | % |  | 10,000 |  |  | 2.25 | % |  | 0.97 | %
Total |  | $ | 90,000 |  |  | 0.88 | % |  | 1.24 | % |  | $ | 225,000 |  |  | 0.90 | % |  | 0.75 | %
The following table presents information about our interest rate swaps in our Agency IO portfolio whereby we receive fixed rate payments in exchange for floating rate payments as of September 30, 2017 and December 31, 2016, respectively (dollar amounts in thousands):
|  | September 30, 2017 |  | December 31, 2016
Swap Maturities |  | Notional Amount |  | Weighted Average Fixed Interest Rate |  | Weighted Average Variable Interest Rate |  | Notional Amount |  | Weighted Average Fixed Interest Rate |  | Weighted Average Variable Interest Rate
2026 |  | $ | 5,000 |  |  | 1.80 | % |  | 1.33 | % |  | $ | 5,000 |  |  | 1.80 | % |  | 1.00 | %
Total |  | $ | 5,000 |  |  | 1.80 | % |  | 1.33 | % |  | $ | 5,000 |  |  | 1.80 | % |  | 1.00 | %
Not Designated as Hedging Instrument |
Derivative Instruments and Hedging Activities Disclosures [Line Items] |
Schedule of Derivative Instruments | The following table presents the fair value of derivative instruments that were not designated as hedging instruments and their location in our condensed consolidated balance sheets at September 30, 2017 and December 31, 2016, respectively (dollar amounts in thousands):
Derivatives Not Designated as Hedging Instruments |  | Balance Sheet Location |  | September 30, 2017 |  | December 31, 2016
Eurodollar futures |  | Derivative assets |  | $ | 289 |  |  | $ | 1,175 |
TBA securities |  | Derivative assets |  | 180,562 |  |  | 148,139 |
Interest rate swap futures |  | Derivative assets |  | 1,228 |  |  | 444 |
Swaptions |  | Derivative assets |  | 18 |  |  | 431 |
U.S. Treasury futures |  | Derivative liabilities |  | 193 |  |  | 107 |
Interest rate swaps (1) |  | Derivative liabilities |  | 274 |  |  | 384 |
(1) | Includes interest rate swaps in our Agency IO portfolio. There was no netting of interest rate swaps at September 30, 2017 and December 31, 2016.

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- Definition Tabular disclosure of the effective portion of the gains and losses on derivative instruments designated (and non-derivative instruments) designated and qualifying in cash flow hedges and net investment hedges that was recognized in other comprehensive income (loss) during the current period. + References Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4C -Subparagraph (b) -URI http://asc.fasb.org/extlink&oid=84234895&loc=SL5624171-113959 + Details
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- Definition Tabular disclosure of pertinent information about a derivative or group of derivatives on a disaggregated basis, such as for individual instruments, or small groups of similar instruments. May include a combination of the type of instrument, risks being hedged, notional amount, hedge designation, related hedged item, inception date, maturity date, or other relevant item. + References Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 5 -URI http://asc.fasb.org/extlink&oid=84234895&loc=d3e41641-113959 Reference 2: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4B -URI http://asc.fasb.org/extlink&oid=84234895&loc=SL5624163-113959 Reference 3: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 8 -URI http://asc.fasb.org/extlink&oid=84234895&loc=d3e41678-113959 Reference 4: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4 -URI http://asc.fasb.org/extlink&oid=84234895&loc=d3e41638-113959 Reference 5: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 1B -URI http://asc.fasb.org/extlink&oid=84234895&loc=SL5580258-113959 Reference 6: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 1A -URI http://asc.fasb.org/extlink&oid=84234895&loc=SL5579245-113959 Reference 7: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4C -URI http://asc.fasb.org/extlink&oid=84234895&loc=SL5624171-113959 Reference 8: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 1 -URI http://asc.fasb.org/extlink&oid=84234895&loc=SL5579240-113959 Reference 9: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 2 -URI http://asc.fasb.org/extlink&oid=84234895&loc=d3e41620-113959 Reference 10: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 235 -SubTopic 10 -Section S99 -Paragraph 1 -Subparagraph (SX 210.4-08.(n)(2)) -URI http://asc.fasb.org/extlink&oid=26873400&loc=d3e23780-122690 + Details
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