Derivative Instruments and Hedging Activities (Tables)

6 Months Ended

Jun. 30, 2018

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Schedule of Fair Value of Derivative Instruments Not Designated

The following table presents the fair value of derivative instruments and their location in our condensed consolidated balance sheets at June 30, 2018 and December 31, 2017, respectively (dollar amounts in thousands):

Type of Derivative Instrument	Balance Sheet Location	June 30, 2018		December 31, 2017
Interest rate swaps (1)	Derivative assets	$	10,543	$	10,101

⁽¹⁾  Variation margin payable of $4.4 million and variation margin receivable of $9.3 million is included as an adjustment to the carrying value of the derivative assets at June 30, 2018 and December 31, 2017, respectively

Schedule Of Derivative Instruments Volume Activity

The tables below summarize the volume activity of derivative instruments for the six months ended June 30, 2018 and 2017, respectively (dollar amounts in thousands):

	Notional Amount For the Six Months Ended June 30, 2018
Type of Derivative Instrument	December 31, 2017		Additions		Settlement, Expiration or Exercise		June 30, 2018
Interest rate swaps	$	345,500	$	50,000	$	—	$	395,500

	Notional Amount For the Six Months Ended June 30, 2017
Type of Derivative Instrument	December 31, 2016			Additions		Settlement, Expiration or Exercise			June 30, 2017
TBA securities (1)	$	149,000		$	1,011,000	$	(994,000	)	$	166,000
U.S. Treasury futures	17,100			108,000		(111,800		)	13,300
Interest rate swap futures	(151,700		)	315,200		(259,400		)	(95,900		)
Eurodollar futures	(2,575,000		)	4,790,000		(4,001,000		)	(1,786,000		)
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

The following table presents the components of realized and unrealized gains and losses related to our derivative instruments included in other income category in our condensed consolidated statements of operations for the three and six months ended June 30, 2018 and 2017 (dollar amounts in thousands):

	Three Months Ended June 30,
	2018				2017
	Realized Gains (Losses)		Unrealized Gains (Losses)		Realized Gains (Losses)			Unrealized Gains (Losses)
TBA securities	$	—	$	—	$	2,030		$	(1,015	)
Eurodollar futures	—		—		232			(545		)
Interest rate swaps	—		5,135		—			48
Swaptions	—		—		—			154
U.S. Treasury and interest rate swap futures and options	—		—		(573		)	87
Total	$	—	$	5,135	$	1,689		$	(1,271	)
	Six Months Ended June 30,
	2018				2017
	Realized Gains (Losses)		Unrealized Gains (Losses)		Realized Gains (Losses)			Unrealized Gains (Losses)
TBA securities	$	—	$	—	$	1,815		$	(815	)
Eurodollar futures	—		—		787			(925		)
Interest rate swaps	—		14,103		—			74
Swaptions	—		—		—			68
U.S. Treasury and interest rate swap futures and options	—		—		(416		)	193
Total	$	—	$	14,103	$	2,186		$	(1,405	)

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 June 30, 2018 and December 31, 2017, respectively (dollar amounts in thousands):

	June 30, 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	%	2.35	%	$	98,000	2.18	%	1.36	%
2027	247,500		2.39	%	2.35	%	247,500		2.39	%	1.39	%
2028	50,000		3.13	%	2.32	%	—		—		—
Total	$	395,500	2.43	%	2.35	%	$	345,500	2.33	%	1.38	%