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Derivative Instruments and Hedging Activities - Components of Realized and Unrealized Gains and Losses (Details) $ in Thousands | 3 Months Ended | 9 Months Ended
--- | --- | ---
Sep. 30, 2017 USD ($) contract | Sep. 30, 2016 USD ($) | Sep. 30, 2017 USD ($) contract | Sep. 30, 2016 USD ($)
Derivative Instruments and Hedging Activities Disclosures [Line Items] |  |  |  |
Unrealized Gains (Losses) | $ 1,192 | $ 1,563 | $ 1,687 | $ (1,594)
Not Designated as Hedging Instrument |  |  |  |
Derivative Instruments and Hedging Activities Disclosures [Line Items] |  |  |  |
Realized Gains (Losses) | 949 | 3,769 | 3,135 | 7,775
Unrealized Gains (Losses) | 486 | 795 | (918) | 431
Not Designated as Hedging Instrument | TBA securities |  |  |  |
Derivative Instruments and Hedging Activities Disclosures [Line Items] |  |  |  |
Realized Gains (Losses) | 1,470 | 4,981 | 3,285 | 13,489
Unrealized Gains (Losses) | (265) | (2,547) | (1,080) | 883
Not Designated as Hedging Instrument | Eurodollar futures |  |  |  |
Derivative Instruments and Hedging Activities Disclosures [Line Items] |  |  |  |
Realized Gains (Losses) | 62 | (1,674) | 849 | (3,180)
Unrealized Gains (Losses) | $ 39 | 3,877 | $ (886) | 547
Number of contracts | contract | 1,640 |  | 1,640 |
Not Designated as Hedging Instrument | Interest rate swaps |  |  |  |
Derivative Instruments and Hedging Activities Disclosures [Line Items] |  |  |  |
Realized Gains (Losses) | $ 0 | 0 | $ 0 | 0
Unrealized Gains (Losses) | 36 | 65 | 110 | 40
Not Designated as Hedging Instrument | Swaptions |  |  |  |
Derivative Instruments and Hedging Activities Disclosures [Line Items] |  |  |  |
Realized Gains (Losses) | 0 | 0 | 0 | 0
Unrealized Gains (Losses) | 171 | 190 | 239 | 212
Not Designated as Hedging Instrument | U.S. Treasury and interest rate swap futures and options |  |  |  |
Derivative Instruments and Hedging Activities Disclosures [Line Items] |  |  |  |
Realized Gains (Losses) | (583) | 462 | (999) | (2,534)
Unrealized Gains (Losses) | $ 505 | $ (790) | $ 699 | $ (1,251)

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- Definition The number of derivative instruments of a particular group held by the entity. + References Reference 1: 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 2: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 1A -Subparagraph (d) -URI http://asc.fasb.org/extlink&oid=84234895&loc=SL5579245-113959 + Details
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- Definition The difference between the book value and the sale price of options, swaps, futures, forward contracts, and other derivative instruments. This element refers to the gain (loss) included in earnings. + References Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 942 -SubTopic 225 -Section S99 -Paragraph 1 -Subparagraph (SX 210.9-04.13(h)) -URI http://asc.fasb.org/extlink&oid=6879574&loc=d3e536633-122882 Reference 2: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 230 -SubTopic 10 -Section 45 -Paragraph 28 -Subparagraph (b) -URI http://asc.fasb.org/extlink&oid=98514028&loc=d3e3602-108585 + Details
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- Definition The net change in the difference between the fair value and the carrying value, or in the comparative fair values, of derivative instruments, including options, swaps, futures, and forward contracts, held at each balance sheet date, that was included in earnings for the period. + References Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 230 -SubTopic 10 -Section 45 -Paragraph 28 -Subparagraph (b) -URI http://asc.fasb.org/extlink&oid=98514028&loc=d3e3602-108585 + Details
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