DERIVATIVE INSTRUMENTS HEDGING AND NON-HEDGING ACTIVITIES (Tables)

12 Months Ended

Dec. 31, 2017

Derivative Instrument Detail [Abstract]

Gross Fair Value and Notional Amount of Derivative Financial Instruments

The following tables present the gross fair value and notional amounts of the Company’s derivative financial instruments as of December 31, 2017 and December 31, 2016.



	December 31, 2017
	Derivative Assets				Derivative Liabilities
	Contracts	Fair value		Notional	Contracts	Fair value		Notional
Eurodollar Futures	14,355	5,349,613		14,355,000,000	—	—		—
Total	14,355	$	5,349,613	14,355,000,000	—	$	—	—



	December 31, 2016
	Derivative Assets				Derivative Liabilities
	Contracts	Fair value		Notional	Contracts	Fair value		Notional
Eurodollar Futures	10,501	8,053,813		10,501,000,000	—	—		—
Total	10,501	$	8,053,813	10,501,000,000	—	$	—	—

Offsetting Assets

The below tables provide a reconciliation of these assets and liabilities that are subject to Master Agreements or similar agreements and can be potentially offset on the Company’s consolidated balance sheets as of December 31, 2017 and December 31, 2016:



	December 31, 2017
							Gross amounts not offset in the Balance Sheet
Description	Gross amounts of recognized assets		Gross amounts offset in the Balance Sheet		Net amounts of assets presented in the Balance Sheet		Financial instruments		Cash collateral (Received)/ Pledged		Net amount
Futures	$	5,349,613	$	—	$	5,349,613	$	—	$	—	$	5,349,613
Total	$	5,349,613	$	—	$	5,349,613	$	—	$	—	$	5,349,613



	December 31, 2016
							Gross amounts not offset in the Balance Sheet
Description	Gross amounts of recognized assets		Gross amounts offset in the Balance Sheet		Net amounts of assets presented in the Balance Sheet		Financial instruments		Cash collateral (Received)/ Pledged		Net amount
Futures	$	8,053,813	$	—	$	8,053,813	$	—	$	—	$	8,053,813
Total	$	8,053,813	$	—	$	8,053,813	$	—	$	—	$	8,053,813



	December 31, 2017
									Gross amounts not offset in the Balance Sheet
Description	Gross amounts of recognized liabilities			Gross amounts offset in the Balance Sheet		Net amounts of liabilities presented in the Balance Sheet			Financial instruments		Cash collateral (Received)/ Pledged		Net amount
Repurchase agreements	$	(1,234,522,000	)	$	—	$	(1,234,522,000	)	$	—	$	—	$	(1,234,522,000	)
Total	$	(1,234,522,000	)	$	—	$	(1,234,522,000	)	$	—	$	—	$	(1,234,522,000	)



	December 31, 2016
									Gross amounts not offset in the Balance Sheet
Description	Gross amounts of recognized liabilities			Gross amounts offset in the Balance Sheet		Net amounts of liabilities presented in the Balance Sheet			Financial instruments		Cash collateral (Received)/ Pledged		Net amount
Repurchase agreements	$	(804,811,000	)	$	—	$	(804,811,000	)	$	—	$	—	$	(804,811,000	)
Total	$	(804,811,000	)	$	—	$	(804,811,000	)	$	—	$	—	$	(804,811,000	)

Offsetting Liabilities



	December 31, 2017
							Gross amounts not offset in the Balance Sheet
Description	Gross amounts of recognized assets		Gross amounts offset in the Balance Sheet		Net amounts of assets presented in the Balance Sheet		Financial instruments		Cash collateral (Received)/ Pledged		Net amount
Futures	$	5,349,613	$	—	$	5,349,613	$	—	$	—	$	5,349,613
Total	$	5,349,613	$	—	$	5,349,613	$	—	$	—	$	5,349,613



	December 31, 2016
							Gross amounts not offset in the Balance Sheet
Description	Gross amounts of recognized assets		Gross amounts offset in the Balance Sheet		Net amounts of assets presented in the Balance Sheet		Financial instruments		Cash collateral (Received)/ Pledged		Net amount
Futures	$	8,053,813	$	—	$	8,053,813	$	—	$	—	$	8,053,813
Total	$	8,053,813	$	—	$	8,053,813	$	—	$	—	$	8,053,813



	December 31, 2017
									Gross amounts not offset in the Balance Sheet
Description	Gross amounts of recognized liabilities			Gross amounts offset in the Balance Sheet		Net amounts of liabilities presented in the Balance Sheet			Financial instruments		Cash collateral (Received)/ Pledged		Net amount
Repurchase agreements	$	(1,234,522,000	)	$	—	$	(1,234,522,000	)	$	—	$	—	$	(1,234,522,000	)
Total	$	(1,234,522,000	)	$	—	$	(1,234,522,000	)	$	—	$	—	$	(1,234,522,000	)



	December 31, 2016
									Gross amounts not offset in the Balance Sheet
Description	Gross amounts of recognized liabilities			Gross amounts offset in the Balance Sheet		Net amounts of liabilities presented in the Balance Sheet			Financial instruments		Cash collateral (Received)/ Pledged		Net amount
Repurchase agreements	$	(804,811,000	)	$	—	$	(804,811,000	)	$	—	$	—	$	(804,811,000	)
Total	$	(804,811,000	)	$	—	$	(804,811,000	)	$	—	$	—	$	(804,811,000	)

Schedule of Gains and Losses on Derivative Instruments

The following table summarizes the underlying hedged risks and the amount of gains and losses on derivative instruments reported net in the consolidated statement of operations as realized gain (loss) on derivative contracts, net and unrealized gain (loss) on derivative contracts, net for the years ended December 31, 2017, December 31, 2016, and December 31, 2015:



	Year Ended December 31, 2017
Primary underlying risk	Amount of realized gain (loss)		Amount of unrealized appreciation (depreciation)			Total
Interest rate:
Futures	2,219,719		(2,704,413		)	(484,694		)
Total	$	2,219,719	$	(2,704,413	)	$	(484,694	)



	Year Ended December 31, 2016
Primary underlying risk	Amount of realized gain (loss)			Amount of unrealized appreciation (depreciation)		Total
Interest rate:
Futures	(3,089,001		)	5,495,463		2,406,462
Total	$	(3,089,001	)	$	5,495,463	$	2,406,462



	Year Ended December 31, 2015
Primary underlying risk	Amount of realized gain (loss)			Amount of unrealized appreciation (depreciation)		Total
Interest rate:
Interest rate swaps⁽¹⁾	$	(7,047,875	)	$	1,755,108	$	(5,292,767	)
Swaptions	(84,000		)	62,450		(21,550		)
Futures	(4,892,855		)	3,092,300		(1,800,555		)
Total	$	(12,024,730	)	$	4,909,858	$	(7,114,872	)

(1) In the year ended December 31, 2015, net swap interest expense totaled $2,216,417 comprised of $2,719,563 in interest expense paid (included in realized gain (loss)) and $503,146 in accrued interest income (included in unrealized gain (loss)).