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Derivative Instruments and Hedging Activities (Tables)
 12 Months Ended
Dec. 31, 2018
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, 2018 and 2017, respectively (dollar amounts in thousands).

 
Notional Amount For the Year Ended December 31, 2018
 
December 31, 2017
 
Additions
 
Settlement, Expiration
or Exercise
 
December 31, 2018
Interest rate swaps
$
345,500

 
$
150,000

 
$
—

 
$
495,500



 
Notional Amount For the Year Ended December 31, 2017
 
December 31, 2016
 
Additions
 
Settlement, Expiration
or Exercise
 
December 31, 2017
TBA securities (1)
$
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



(1) 
Open TBA purchases and sales involving the same counterparty, same underlying deliverable and the same settlement date are reflected in our consolidated financial statements on a net basis.
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, 2018, 2017 and 2016:
 
Years Ended December 31,
 
2018
 
2017
 
2016
 
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

Eurodollar futures
—

 
—

 
1,379

 
(1,175
)
 
(3,202
)
 
2,417

Interest rate swaps
—

 
909

 
(218
)
 
1,231

 
—

 
(126
)
Swaptions
—

 
—

 
—

 
274

 
—

 
568

U.S. Treasury and interest rate swap futures and options
—

 
—

 
267

 
(337
)
 
(2,040
)
 
(336
)
Total
$
—

 
$
909

 
$
3,939

 
$
(148
)
 
$
(1,244
)
 
$
3,057
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 and December 31, 2016 (dollar amounts in thousands):
 
 
Years Ended December 31,
 
 
2017
 
2016
Accumulated other comprehensive income (loss) for derivative instruments:
 
 
 
 
Balance at beginning of the period
 
$
102

 
$
304

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

 
$
102
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 and December 31, 2016, respectively (dollar amounts in thousands):
 
 
Years Ended December 31,
 
 
2017
 
2016
Interest Rate Swaps:
 
 
 
 
Interest income-investment securities
 
$
267

 
$
—

Interest expense-investment securities
 
—

 
743
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, 2018 and December 31, 2017, respectively (dollar amounts in thousands):
 
 
December 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
%
 
2.45
%
 
$
98,000

 
2.18
%
 
1.36
%
2027
 
247,500

 
2.39
%
 
2.53
%
 
247,500

 
2.39
%
 
1.39
%
2028
 
150,000

 
3.23
%
 
2.53
%
 
—

 
—

 
—

Total
 
$
495,500

 
2.60
%
 
2.52
%
 
$
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, Balance Sheet Location
The following table presents the fair value of derivative instruments and their location in our consolidated balance sheets at December 31, 2018 and December 31, 2017, respectively (dollar amounts in thousands):
Type of Derivative Instrument
 
Balance Sheet Location
 
December 31, 2018
 
December 31, 2017
Interest rate swaps(1)
 
Derivative assets
 
$
10,263

 
$
10,101


(1) 
Variation margin receivable of $8.5 million and $9.3 million is included as an adjustment to the carrying value of the derivative assets at December 31, 2018 and December 31, 2017, respectively.