DERIVATIVE INSTRUMENTS HEDGING AND NON-HEDGING ACTIVITIES

12 Months Ended

Dec. 31, 2019

Derivative Instrument Detail [Abstract]

DERIVATIVE INSTRUMENTS HEDGING AND NON-HEDGING ACTIVITIES

As of December 31, 2019 and December 31, 2018, the Company no longer held any derivative instruments.

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, TBA’s and futures contracts. Amounts receivable and payable under interest rate swap agreements were accounted for as unrealized gain (loss) on derivative contracts, net

in the consolidated statement of operations. Premiums on swaptions were amortized on a straight-line basis between trade date and expiration date and were 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 consolidated statement of operations as realized gain on derivative contracts, net and change in unrealized (loss) on derivative contracts, net for the year ended December 31, 2018:

	Year Ended December 31, 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