DERIVATIVE INSTRUMENTS HEDGING AND NON-HEDGING ACTIVITIES (Tables)

6 Months Ended

Jun. 30, 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 June 30, 2017 and December 31, 2016:

	June 30, 2017
	Derivative Assets					Derivative Liabilities
	Contracts	Fair value		Notional		Contracts	Fair value			Notional
Eurodollar Futures	—	$	—	$	—	11,400	$	(836,338	)	$	11,400,000,000
Total	—	$	—	$	—	11,400	$	(836,338	)	$	11,400,000,000

	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 condensed consolidated balance sheets as of June 30, 2017 and December 31, 2016:

As of June 30, 2017 the Company did not have any assets subject to Master Agreements or similar agreements.

	December 31, 2016
							Gross amounts not offset in the Balance Sheet (1)
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

	June 30, 2017
									Gross amounts not offset in the Balance Sheet (1)
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
Futures	$	(836,338	)	$	—	$	(836,338	)	$	—	$	836,338	$	—
Repurchase agreements	$	(1,146,628,000	)	$	—	$	(1,146,628,000	)	$	—	$	—	$	(1,146,628,000	)
Total	$	(1,147,464,338	)	$	—	$	(1,147,464,338	)	$	—	$	836,338	$	(1,146,628,000	)

	December 31, 2016
									Gross amounts not offset in the Balance Sheet (1)
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	)

(1) Amounts presented are limited in total to the net amount of assets or liabilities presented in the condensed consolidated balance sheets by instrument. Excess cash collateral or financial assets that are pledged to counterparties may exceed the financial liabilities subject to Master Agreements or similar agreements, or counterparties may have pledged excess cash collateral to the Company that exceed the corresponding financial assets. These excess amounts are excluded from the tables above.

Offsetting Liabilities

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 condensed consolidated balance sheets as of June 30, 2017 and December 31, 2016:

As of June 30, 2017 the Company did not have any assets subject to Master Agreements or similar agreements.

	December 31, 2016
							Gross amounts not offset in the Balance Sheet (1)
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

	June 30, 2017
									Gross amounts not offset in the Balance Sheet (1)
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
Futures	$	(836,338	)	$	—	$	(836,338	)	$	—	$	836,338	$	—
Repurchase agreements	$	(1,146,628,000	)	$	—	$	(1,146,628,000	)	$	—	$	—	$	(1,146,628,000	)
Total	$	(1,147,464,338	)	$	—	$	(1,147,464,338	)	$	—	$	836,338	$	(1,146,628,000	)

	December 31, 2016
									Gross amounts not offset in the Balance Sheet (1)
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	)

(1) Amounts presented are limited in total to the net amount of assets or liabilities presented in the condensed consolidated balance sheets by instrument. Excess cash collateral or financial assets that are pledged to counterparties may exceed the financial liabilities subject to Master Agreements or similar agreements, or counterparties may have pledged excess cash collateral to the Company that exceed the corresponding financial assets. These excess amounts are excluded from the tables above.

Hedged Risks and 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 condensed consolidated statement of operations as realized gain (loss) on derivative contracts, net and unrealized gain (loss) on derivative contracts, net for the three and six months ended June 30, 2017 and June 30, 2016:

	Three Months Ended June 30, 2017
Primary underlying risk	Amount of realized gain (loss)		Amount of unrealized appreciation (depreciation)			Total
Interest rate:
Futures	$	1,453,074	$	(5,813,275	)	$	(4,360,201	)
Total	$	1,453,074	$	(5,813,275	)	$	(4,360,201	)

	Three Months Ended June 30, 2016
Primary underlying risk	Amount of realized gain (loss)			Amount of unrealized appreciation (depreciation)			Total
Interest rate:
Futures	$	(761,362	)	$	(2,050,538	)	$	(2,811,900	)
Total	$	(761,362	)	$	(2,050,538	)	$	(2,811,900	)

	Six Months Ended June 30, 2017
Primary underlying risk	Amount of realized gain (loss)		Amount of unrealized appreciation (depreciation)			Total
Interest rate:
Futures	$	3,686,125	$	(8,890,363	)	$	(5,204,238	)
Total	$	3,686,125	$	(8,890,363	)	$	(5,204,238	)

	Six Months Ended June 30, 2016
Primary underlying risk	Amount of realized gain (loss)			Amount of unrealized appreciation (depreciation)			Total
Interest rate:
Futures	$	(2,346,903	)	$	(10,512,938	)	$	(12,859,841	)
Total	$	(2,346,903	)	$	(10,512,938	)	$	(12,859,841	)