Quarterly report pursuant to Section 13 or 15(d)

DERIVATIVES

v3.7.0.1
DERIVATIVES
 6 Months Ended
Jun. 30, 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 $2.0 million and $0.9 million as of June 30, 2017 and December 31, 2016, respectively, were recorded within receivables and other assets on the Consolidated Balance Sheets. The Company had no derivative liabilities as of both June 30, 2017 and December 31, 2016.

The following table summarizes (gains) losses recorded in relation to derivatives:
 
 
 
Three Months Ended June 30,
 
Six Months Ended June 30,
 
Income Statement Location
 
2017
 
2016
 
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 and unrealized (gain) loss on investments
 
$
165

 
$
19

 
$
285

 
$
19

Unrealized (gain) loss recognized related to TBAs
Realized and unrealized (gain) loss on investments
 
(3,781
)
 
1,597

 
(1,399
)
 
1,938

Realized loss on settlement of TBAs
Realized and unrealized (gain) loss on investments
 
6,915

 
2,409

 
4,441

 
9,945


As of both June 30, 2017 and December 31, 2016, the Company had zero expected reclassification of deferred hedges from AOCI into earnings over the next 12 months.