Annual report pursuant to Section 13 and 15(d)

DERIVATIVES (Tables)

v3.8.0.1
DERIVATIVES (Tables)
 12 Months Ended
Dec. 31, 2017
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Schedule of (gains) losses on derivatives
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