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Derivative Instruments and Hedging Activities (Tables)
 3 Months Ended
Mar. 31, 2018
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 three months ended March 31, 2018 and 2017, respectively (dollar amounts in thousands):
 
 
Notional Amount For the Three Months Ended March 31, 2018
Derivatives Not Designated
as Hedging Instruments 
 
December 31, 2017
 
Additions
 
Settlement,
Expiration
or Exercise 
 
March 31, 2018
Interest rate swaps
 
$
345,500

 
$
—

 
$
—

 
$
345,500


 
 
Notional Amount For the Three Months Ended March 31, 2017
Derivatives Not Designated
as Hedging Instruments 
 
December 31, 2016
 
Additions
 
Settlement,
Expiration
or Exercise 
 
March 31, 2017
TBA securities (1)
 
$
149,000

 
$
548,000

 
$
(588,000
)
 
$
109,000

U.S. Treasury futures
 
17,100

 
70,300

 
(58,700
)
 
28,700

Interest rate swap futures
 
(151,700
)
 
182,200

 
(146,000
)
 
(115,500
)
Eurodollar futures
 
(2,575,000
)
 
2,627,000

 
(1,890,000
)
 
(1,838,000
)
Swaptions
 
154,000

 
—

 
—

 
154,000

Interest rate swaps
 
15,000

 
—

 
—

 
15,000



(1) 
Open TBA purchases and sales involving the same counterparty, same underlying deliverable and the same settlement date are reflected in our condensed consolidated financial statements on a net basis.

Schedule of Components of Realized and Unrealized Gains and Losses of 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 condensed consolidated statements of operations for the three months ended March 31, 2018 and 2017 (dollar amounts in thousands):

 
Three Months Ended March 31,
 
2018
 
2017
 
Realized Gains (Losses)
 
Unrealized Gains (Losses)
 
Realized Gains (Losses)
 
Unrealized Gains (Losses)
TBA securities
$
—

 
$
—

 
$
(215
)
 
$
200

Eurodollar futures
—

 
—

 
555

 
(380
)
Interest rate swaps
—

 
8,969

 
—

 
26

Swaptions
—

 
—

 
—

 
(87
)
U.S. Treasury and interest rate swap futures and options
—

 
—

 
158

 
107

Total
$
—

 
$
8,969

 
$
498

 
$
(134
)


    
Schedule of Derivative Instruments, Effect on Accumulated Other Comprehensive Income
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 three months ended March 31, 2018 and 2017, respectively (dollar amounts in thousands):
 
 
Three Months Ended March 31,
Derivatives Designated as Hedging Instruments
 
2018
 
2017
Accumulated other comprehensive income for derivative instruments:
 
 
 
 
Balance at beginning of the period
 
$
—

 
$
102

Unrealized loss on interest rate swaps
 
—

 
164

Balance at end of the period
 
$
—

 
$
266
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 months ended March 31, 2018 and 2017, respectively (dollar amounts in thousands):

 
Three Months Ended March 31,
 
2018
 
2017
Net Interest Expense
$
—

 
$
(27
)
Schedule of Interest Rate Swaps, Variable and Fixed Interest Rates
The following table presents information about our interest rate swaps whereby we receive floating rate payments in exchange for fixed rate payments as of March 31, 2018 and December 31, 2017, respectively (dollar amounts in thousands):

 
 
March 31, 2018
 
December 31, 2017
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
2024
 
$
98,000

 
2.18
%
 
1.73
%
 
$
98,000

 
2.18
%
 
1.36
%
2027
 
247,500

 
2.39
%
 
1.79
%
 
247,500

 
2.39
%
 
1.39
%
Total
 
$
345,500

 
2.33
%
 
1.77
%
 
$
345,500

 
2.33
%
 
1.38
%
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
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 March 31, 2018 and December 31, 2017, respectively (dollar amounts in thousands):

Derivatives Not Designated
as Hedging Instruments
 
Balance Sheet Location
 
March 31, 2018
 
December 31, 2017
Interest rate swaps (1)
 
Derivative assets
 
$
9,815

 
$
846


(1) 
There was no netting of interest rate swaps at March 31, 2018 and December 31, 2017.