Quarterly report pursuant to Section 13 or 15(d)

DERIVATIVES

v3.7.0.1
DERIVATIVES
 3 Months Ended
Mar. 31, 2017
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
DERIVATIVES
DERIVATIVES

The Company’s derivative instruments are comprised of an interest rate cap and TBAs. Derivative assets with a fair value of $0.4 million and $0.9 million as of March 31, 2017 and December 31, 2016, respectively, were recorded within receivables and other assets on the Consolidated Balance Sheets. Derivative liabilities with a fair value of $2.0 million and zero as of March 31, 2017 and December 31, 2016, respectively, were recorded within accounts payable, accrued expenses and other liabilities on the Consolidated Balance Sheets.

The following table summarizes (gains) losses recorded in relation to derivatives:
 
 
 
Three Months Ended March 31,
 
Income Statement Location
 
2017
 
2016
Cash flow hedges
 
 
 
 
 
Deferred hedge gain reclassified from Accumulated Other Comprehensive Income (“AOCI”) into earnings
Interest expense
 
—

 
(20
)
 
 
 
 
 
 
Non-hedge derivatives
 
 
 
 
 
Unrealized loss on interest rate derivatives
Realized/unrealized (gain) loss on investments
 
$
120

 
$
—

Unrealized loss recognized related to TBAs
Realized/unrealized (gain) loss on investments
 
2,382

 
341

Realized (gain) loss on settlement of TBAs
Realized/unrealized (gain) loss on investments
 
(2,474
)
 
7,536


As of both March 31, 2017 and December 31, 2016, the Company had zero expected reclassification of deferred hedges from AOCI into earnings over the next 12 months.