DERIVATIVE INSTRUMENTS HEDGING AND NON-HEDGING ACTIVITIES

9 Months Ended

Sep. 30, 2019

Derivative Instrument Detail [Abstract]

DERIVATIVE INSTRUMENTS HEDGING AND NON-HEDGING ACTIVITIES

The Company previously entered into a variety of derivative instruments in connection with its risk management activities. The Company's primary objective for executing these derivatives was to mitigate the Company's economic exposure to future events that are outside its control. The Company's derivative financial instruments were utilized principally to manage market risk and cash flow volatility associated with interest rate risk (including associated prepayment risk) related to certain assets and liabilities. As part of its risk management activities, the Company entered into various forward contracts, including short securities, Agency to-be-announced securities, or TBAs, options, futures, swaps, swaptions and caps and may do so again in the future. In executing on the Company's former risk management strategy, the Company previously entered into interest rate swaps, swaption agreements, TBAs and futures contracts. Amounts receivable and payable under interest rate swap agreements are accounted for as unrealized gain (loss) on derivative contracts, net in the consolidated statement of operations. Premiums on swaptions are amortized on a straight line basis between trade date and expiration date and are recognized in the consolidated statement of operations as a realized loss on derivative contracts.

Income Statement Presentation

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. The Company did not hold any derivative instruments as of September 30, 2019:

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

	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