Quarterly report pursuant to Section 13 or 15(d)

DERIVATIVES

v3.8.0.1
DERIVATIVES
 9 Months Ended
Sep. 30, 2017
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
DERIVATIVES
DERIVATIVES

The Company’s derivative instrument is an interest rate cap with a fair value of $0.2 million as of September 30, 2017 and is recorded within other assets on the Consolidated Balance Sheets. As of December 31, 2016, derivative assets with a fair value of $0.4 million and $0.5 million were recorded within other current assets and other assets, respectively, on the Consolidated Balance Sheets. The Company had no derivative liabilities as of both September 30, 2017 and December 31, 2016.

The following table summarizes (gains) losses recorded in relation to derivatives:
 
 
 
Three Months Ended September 30,
 
Nine Months Ended September 30,
 
Income Statement Location
 
2017
 
2016
 
2017
 
2016
Cash flow hedges
 
 
 
 
 
 
 
 
 
Deferred hedge gain reclassified from AOCI into earnings
Interest expense, net
 
—

 
—

 
—

 
(20
)
Non-hedge derivatives
 
 
 
 
 
 
 
 
 
Unrealized loss on interest rate derivatives
Realized and unrealized (gain) loss on investments
 
$
32

 
$
15

 
$
317

 
$
34

Unrealized (gain) loss recognized related to TBAs
Realized and unrealized (gain) loss on investments
 
1,770

 
(270
)
 
371

 
1,668

Realized loss on settlement of TBAs
Realized and unrealized (gain) loss on investments
 
228

 
3,730

 
4,669

 
13,675


As of both September 30, 2017 and December 31, 2016, the Company had no expected reclassification of deferred hedges from AOCI into earnings over the next 12 months.