Annual report pursuant to Section 13 and 15(d)

DERIVATIVES

v3.8.0.1
DERIVATIVES
 12 Months Ended
Dec. 31, 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 $0.3 million as of December 31, 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 December 31, 2017 and 2016.

The following table summarizes (gains) losses recorded in relation to derivatives:

 
Income Statement Location
 
Year Ended December 31,
Cash flow hedges
 
 
2017
 
2016
 
2015
Loss recognized on termination of derivative instruments
Realized and unrealized (gain) loss on investments
 
$
—

 
$
—

 
$
612

Deferred hedge gain reclassified from AOCI into earnings
Interest expense, net
 
—

 
(20
)
 
(78
)
Amount of loss reclassified from AOCI into income (effective portion)
Interest expense, net
 
—

 
—

 
1,363

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

 
—

 
60

 
 
 
 
 
 
 
 
Non-hedge derivatives
 
 
 
 
 
 
 
Unrealized loss (gain) on interest rate derivatives
Realized and unrealized (gain) loss on investments
 
$
199

 
$
(294
)
 
$
(284
)
Unrealized loss (gain) recognized related to TBAs
Realized and unrealized (gain) loss on investments
 
371

 
(928
)
 
(1,474
)
Realized loss (gain) on settlement of TBAs
Realized and unrealized (gain) loss on investments
 
4,669

 
(18,318
)
 
12,907



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