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Derivative Instruments and Hedging Activities (Tables)
 9 Months Ended
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.