Quarterly report pursuant to Section 13 or 15(d)

DERIVATIVES (Tables)

v3.7.0.1
DERIVATIVES (Tables)
 3 Months Ended
Mar. 31, 2017
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Schedule of (gains) recorded in relation to derivatives
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