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Derivative Instruments and Hedging Activities (Tables)
 12 Months Ended
Dec. 31, 2017
Derivative Instruments and Hedging Activities Disclosures [Line Items]  
Schedule of Other Derivatives Not Designated as Hedging Instruments, Statements of Financial Performance and Financial Position, Location
The tables below summarize the activity of derivative instruments not designated as hedges for the years ended December 31, 2017 and 2016, respectively (dollar amounts in thousands).

 
Notional Amount For the Year Ended December 31, 2017
 
December 31, 2016
 
Additions
 
Settlement, Expiration
or Exercise
 
December 31, 2017
TBA securities
$
149,000

 
$
1,881,000

 
$
(2,030,000
)
 
$
—

U.S. Treasury futures
17,100

 
129,100

 
(146,200
)
 
—

Interest rate swap futures
(151,700
)
 
500,700

 
(349,000
)
 
—

Eurodollar futures
(2,575,000
)
 
7,819,000

 
(5,244,000
)
 
—

Options on U.S. Treasury futures
—

 
5,000

 
(5,000
)
 
—

Swaptions
154,000

 
—

 
(154,000
)
 
—

Interest rate swaps
15,000

 
345,500

 
(15,000
)
 
345,500


 
Notional Amount For the Year Ended December 31, 2016
 
December 31, 2015
 
Additions
 
Settlement, Expiration
or Exercise
 
December 31, 2016
TBA securities
$
222,000

 
$
4,070,000

 
$
(4,143,000
)
 
$
149,000

U.S. Treasury futures
—

 
201,900

 
(184,800
)
 
17,100

Interest rate swap futures
(137,200
)
 
868,800

 
(883,300
)
 
(151,700
)
Eurodollar futures
(2,769,000
)
 
6,323,000

 
(6,129,000
)
 
(2,575,000
)
Options on U.S. Treasury futures
28,000

 
111,000

 
(139,000
)
 
—

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 To Derivative Not Designated as Hedging Instruments
The following table presents 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 consolidated statements of operations for the years ended December 31, 2017, 2016 and 2015:
 
Years Ended December 31,
 
2017
 
2016
 
2015
 
Realized Gains (Losses)
 
Unrealized Gains (Losses)
 
Realized Gains (Losses)
 
Unrealized Gains (Losses)
 
Realized Gains (Losses)
 
Unrealized Gains (Losses) 
TBA
$
2,511

 
$
(141
)
 
$
3,998

 
$
534

 
$
5,244

 
$
(2,253
)
Eurodollar futures
1,379

 
(1,175
)
 
(3,202
)
 
2,417

 
(2,321
)
 
(342
)
Interest rate swaps
(218
)
 
1,231

 
—

 
(126
)
 
—

 
(26
)
Swaptions
—

 
274

 
—

 
568

 
—

 
(658
)
U.S. Treasury and interest rate swap futures and options
267

 
(337
)
 
(2,040
)
 
(336
)
 
(9,631
)
 
579

Total
$
3,939

 
$
(148
)
 
$
(1,244
)
 
$
3,057

 
$
(6,708
)
 
$
(2,700
)
Schedule of Derivative Instruments in Statement of Financial Position, Fair Value
The following table presents the fair value of derivative instruments designated as hedging instruments and their location in the Company’s consolidated balance sheets at December 31, 2017 and December 31, 2016, respectively (dollar amounts in thousands):
 
 
Balance Sheet Location
 
December 31, 2017
 
December 31, 2016
Interest rate swaps
 
Derivative assets
 
$
—

 
$
108

Interest rate swaps
 
Derivative liabilities
 
—

 
6
Schedule of Interest Rate Swaps Designated as Hedging Instruments, Effect on Other Comprehensive Income (Loss)
The following table presents the impact of the Company’s interest rate swaps designated as hedging instruments on the Company’s accumulated other comprehensive income (loss) for the years ended December 31, 2017, 2016 and 2015 (dollar amounts in thousands):
 
 
Years Ended December 31,
 
 
2017
 
2016
 
2015
Accumulated other comprehensive income (loss) for derivative instruments:
 
 
 
 
 
 
Balance at beginning of the period
 
$
102

 
$
304

 
$
1,135

Unrealized loss on interest rate swaps
 
(102
)
 
(202
)
 
(831
)
Balance at end of the period
 
$
—

 
$
102

 
$
304
Schedule of Interest Rate Swaps Designated as Hedging Instruments Included in Interest Expense
The following table details the impact of the Company’s interest rate swaps designated as hedging instruments included in interest income or expense for the years ended December 31, 2017, 2016 and 2015, respectively (dollar amounts in thousands):
 
 
Years Ended December 31,
 
 
2017
 
2016
 
2015
Interest Rate Swaps:
 
 
 
 
 
 
Interest income-investment securities
 
$
267

 
$
—

 
$
—

Interest expense-investment securities
 
—

 
743

 
1,619
Schedule of Interest Rate Swaps, Including Those in Agency IO Portfolio
The following table presents information about our interest rate swaps whereby we receive floating rate payments in exchange for fixed rate payments as of December 31, 2017 and December 31, 2016, respectively (dollar amounts in thousands):
 
 
December 31, 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
 
$
—

 
—

 
—

 
$
215,000

 
0.83
%
 
0.74
%
2019
 
—

 
—

 
—

 
10,000

 
2.25
%
 
0.97
%
2024
 
98,000

 
2.18
%
 
1.36
%
 
—

 
—

 
—

2027
 
247,500

 
2.39
%
 
1.39
%
 
—

 
—

 
—

Total
 
$
345,500

 
2.33
%
 
1.38
%
 
$
225,000

 
0.90
%
 
0.75
%

The following table presents information about our interest rate swaps whereby we receive fixed rate payments in exchange for floating rate payments as of December 31, 2017 and December 31, 2016, respectively (dollar amounts in thousands):
 
 
December 31, 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
%
 
1.00
%
Total
 
$
—

 
—
 
—
 
$
5,000

 
1.80
%
 
1.00
%
Not Designated as Hedging Instrument  
Derivative Instruments and Hedging Activities Disclosures [Line Items]  
Schedule of Fair Value of Derivative Instruments Not Designated as Hedging Instruments, Balance Sheet Location
The following table presents the fair value of derivative instruments that were not designated as hedging instruments and their location in our consolidated balance sheets at December 31, 2017 and December 31, 2016, respectively (dollar amounts in thousands):
 
 
Balance Sheet Location
 
December 31, 2017
 
December 31, 2016
TBA Securities
 
Derivative assets
 
$
—

 
$
148,139

Eurodollar futures
 
Derivative assets
 
—

 
1,175

Interest rate swap futures
 
Derivative assets
 
—

 
444

Interest rate swaps
 
Derivative assets
 
846

 
—

Swaptions
 
Derivative assets
 
—

 
431

U.S. Treasury futures
 
Derivative liabilities
 
—

 
107

Interest rate swaps(1)
 
Derivative liabilities
 
—

 
384


(1) 
There was no netting of interest rate swaps at December 31, 2016.