Quarterly report pursuant to Section 13 or 15(d)

DERIVATIVES (Tables)

v3.8.0.1
DERIVATIVES (Tables)
 9 Months Ended
Sep. 30, 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 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