Derivative Instruments

3 Months Ended

Mar. 31, 2020

Derivative Instruments and Hedging Activities Disclosure [Abstract]

The Company uses derivative instruments primarily to manage the fair value variability of fixed rate assets caused by interest rate fluctuations and overall portfolio market risk.

As of March 31, 2020, the net premiums received on derivative instrument assets were $0.7 million.

The following derivative instruments were outstanding as of March 31, 2020 and December 31, 2019 (dollars in thousands):



			Fair Value
Contract type	Notional		Assets		Liabilities
March 31, 2020
Credit default swaps	$	55,000	$	1,173	$	—
Interest rate swaps	67,489		—		4,016
Treasury note futures	30,000		—		1,512
Total	$	152,489	$	1,173	$	5,528

December 31, 2019
Credit default swaps	$	94,300	$	59	$	1,581
Interest rate swaps	42,546		325		—
Treasury note futures	74,000		735		—
Total	$	210,846	$	1,119	$	1,581

The following table indicates the net realized and unrealized losses on derivatives, by primary underlying risk exposure, as included in loss on derivative instruments in the consolidated statements of operations for the three months ended March 31, 2020 and March 31, 2019:



	Three Months Ended March 31, 2020					Three Months Ended March 31, 2019
Contract type	Unrealized (Gain)/Loss			Realized (Gain)/Loss		Unrealized (Gain)/Loss			Realized (Gain)/Loss
Credit default swaps	$	(1,752	)	$	61	$	112		$	1,378
Interest rate swaps	4,340			2,946		1,197			(415		)
Treasury note futures	2,248			3,627		(243		)	350
Options	—			35					145
Total	$	4,836		$	6,669	$	1,066		$	1,458