DERIVATIVE INSTRUMENTS HEDGING AND NON-HEDGING ACTIVITIES (Tables)

9 Months Ended

Sep. 30, 2018

Derivative Instrument Detail [Abstract]

Gross Fair Value and Notional Amount of Derivative Financial Instruments

The following table presents the gross fair value and notional amounts of the Company’s derivative financial instruments as of December 31, 2017. The Company did not hold any derivative financial instruments at September 30, 2018:

	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 were subject to Master Agreements or similar agreements and can be potentially offset on the Company’s condensed consolidated balance sheets as of December 31, 2017. The Company did not hold any such assets or liabilities at September 30, 2018:

	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

	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 were subject to Master Agreements or similar agreements and can be potentially offset on the Company’s condensed consolidated balance sheets as of December 31, 2017. The Company did not hold any such assets or liabilities at September 30, 2018:

	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

	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

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 nine months ended September 30, 2018, and September 30, 2017:

	Three Months Ended September 30, 2018
Primary underlying risk	Amount of realized gain (loss)		Amount of unrealized appreciation (depreciation)		Total
Interest rate:
Futures	$	—	$	—	$	—
Total	$	—	$	—	$	—

	Three Months Ended September 30, 2017
Primary underlying risk	Amount of realized gain (loss)			Amount of unrealized appreciation (depreciation)		Total
Interest rate:
Futures	$	(1,636,725	)	$	307,263	$	(1,329,462	)
Total	$	(1,636,725	)	$	307,263	$	(1,329,462	)

	Nine Months Ended September 30, 2018
Primary underlying risk	Amount of realized gain (loss)		Amount of unrealized appreciation (depreciation)			Total
Interest rate:
Futures	25,984,870		(5,349,613		)	20,635,257
Total	$	25,984,870	$	(5,349,613	)	$	20,635,257

	Nine Months Ended September 30, 2017
Primary underlying risk	Amount of realized gain (loss)		Amount of unrealized appreciation (depreciation)			Total
Interest rate:
Futures	2,049,400		(8,583,100		)	(6,533,700		)
Total	$	2,049,400	$	(8,583,100	)	$	(6,533,700	)