DERIVATIVE INSTRUMENTS HEDGING AND NON-HEDGING ACTIVITIES (Tables)

3 Months Ended

Mar. 31, 2018

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 March 31, 2018 and December 31, 2017:

	March 31, 2018
	Derivative Assets					Derivative Liabilities
	Contracts	Fair value		Notional		Contracts	Fair value		Notional
Eurodollar Futures (Short positions)	13,505	$	18,132,700	$	13,505,000,000	—	$	—	$	—
Total	13,505	$	18,132,700	$	13,505,000,000	—	$	—	$	—

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

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 March 31, 2018 and December 31, 2017:

	March 31, 2018
							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 (Short positions)	$	18,132,700	$	—	$	18,132,700	$	—	$	(13,741,125	)	$	4,391,575
Total	$	18,132,700	$	—	$	18,132,700	$	—	$	(13,741,125	)	$	4,391,575

	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 (Short positions)	$	5,349,613	$	—	$	5,349,613	$	—	$	(1,123,463	)	$	4,226,150
Total	$	5,349,613	$	—	$	5,349,613	$	—	$	(1,123,463	)	$	4,226,150

	March 31, 2018
									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	$	(1,177,060,000	)	$	—	$	(1,177,060,000	)	$	1,177,060,000	$	—	$	—
Total	$	(1,177,060,000	)	$	—	$	(1,177,060,000	)	$	1,177,060,000	$	—	$	—

	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	$	—	$	—

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 March 31, 2018 and December 31, 2017:

	March 31, 2018
							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 (Short positions)	$	18,132,700	$	—	$	18,132,700	$	—	$	(13,741,125	)	$	4,391,575
Total	$	18,132,700	$	—	$	18,132,700	$	—	$	(13,741,125	)	$	4,391,575

	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 (Short positions)	$	5,349,613	$	—	$	5,349,613	$	—	$	(1,123,463	)	$	4,226,150
Total	$	5,349,613	$	—	$	5,349,613	$	—	$	(1,123,463	)	$	4,226,150

	March 31, 2018
									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	$	(1,177,060,000	)	$	—	$	(1,177,060,000	)	$	1,177,060,000	$	—	$	—
Total	$	(1,177,060,000	)	$	—	$	(1,177,060,000	)	$	1,177,060,000	$	—	$	—

	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	$	—	$	—

Hedged Risks and Gains and Losses on Derivative Instruments

he 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 months ended March 31, 2018 and March 31, 2017:

	Three Months Ended March 31, 2018
Primary underlying risk	Amount of realized gain (loss)		Amount of unrealized appreciation (depreciation)		Total
Interest rate:
Futures	$	2,792,794	$	12,783,088	$	15,575,882
Total	$	2,792,794	$	12,783,088	$	15,575,882

	Three Months Ended March 31, 2017
Primary underlying risk	Amount of realized gain (loss)		Amount of unrealized appreciation (depreciation)			Total
Interest rate:
Futures	$	2,233,051	$	(3,077,088	)	$	(844,037	)
Total	$	2,233,051	$	(3,077,088	)	$	(844,037	)