Annual report pursuant to Section 13 and 15(d)

DERIVATIVES (Tables)

v3.6.0.2
DERIVATIVES (Tables)
 12 Months Ended
Dec. 31, 2016
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Schedule of (gains) losses on derivatives
The following table summarizes (gains) losses recorded in relation to derivatives:

 
Income Statement Location
 
Year Ended December 31,
Cash flow hedges
 
 
2016
 
2015
 
2014
Loss immediately recognized at de-designation
Realized/unrealized (gain) loss on investments
 
$
—

 
$
—

 
$
34

Loss recognized on termination of derivative instruments
Realized/unrealized (gain) loss on investments
 
—

 
612

 
—

Deferred hedge gain reclassified from AOCI into earnings
Interest expense
 
(20
)
 
(78
)
 
(61
)
Amount of loss reclassified from AOCI into income (effective portion)
Interest expense
 
—

 
1,363

 
4,379

Amount of unrealized loss recognized in Other Comprehensive Income on derivatives (effective portion)
N/A
 
—

 
60

 
177

 
 
 
 
 
 
 
 
Non-hedge derivatives
 
 
 
 
 
 
 
Unrealized gain on interest rate derivatives
Realized/unrealized (gain) loss on investments
 
$
(294
)
 
$
(284
)
 
$
(7,131
)
Gain recognized related to linked transactions
Realized/unrealized (gain) loss on investments
 
—

 
—

 
(12,498
)
Loss recognized related to linked transactions
Interest expense
 
—

 
—

 
211

Unrealized (gain) loss recognized related to TBAs
Realized/unrealized (gain) loss on investments
 
(928
)
 
(1,474
)
 
2,030

Realized (gain) loss on settlement of TBAs
Realized/unrealized (gain) loss on investments
 
(18,318
)
 
12,907

 
4,151