DERIVATIVE INSTRUMENTS (Tables)

12 Months Ended

Dec. 31, 2015

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Schedule of breakdown of the derivatives outstanding

The following is a breakdown of the derivatives outstanding as of December 31, 2015 and December 31, 2014 ($ in thousands):

December 31, 2015

			Fair Value				Remaining Maturity (years)
Contract Type	Notional		Asset(1)		Liability(1)
Futures
5-year Swap	$	670,100	$	2,122	$	—	0.25
10-year Swap	477,900		463		1,451		0.25
5-year U.S. Treasury Note	800		3		—		0.25
10-year U.S. Treasury Note	600		3		—		0.25
Total futures	1,149,400		2,591		1,451
Swaps
3MO LIBOR	50,000		—		3,686		4.72
Credit Derivatives
CMBX	10,000		230		—		5.59
CDX	33,500		—		367		2.92
Total credit derivatives	43,500		230		367
Total derivatives	$	1,242,900	$	2,821	$	5,504

(1)  Shown as derivative instruments, at fair value, in the accompanying combined consolidated balance sheets.

December 31, 2014

			Fair Value				Remaining Maturity (years)
Contract Type	Notional		Asset(1)		Liability(1)
Caps
1MO LIBOR	$	71,250	$	—	$	—	0.66
Futures
5-year Swap	496,200		108		28		0.25
10-year Swap	842,800		104		8,258		0.25
Total futures	1,339,000		212		8,286
Swaps
3MO LIBOR	100,000		—		4,505		3.18
Credit Derivatives
CMBX	10,000		211		—		6.80
CDX	33,500		—		654		3.97
Total credit derivatives	43,500		211		654
Total derivatives	$	1,553,750	$	423	$	13,445

(1)  Shown as derivative instruments, at fair value, in the accompanying combined consolidated balance sheets.

Schedule of net realized gains/(losses) and unrealized appreciation/(depreciation) on derivatives

The following table indicates the net realized gains/(losses) and unrealized appreciation/(depreciation) on derivatives, by primary underlying risk exposure, as included in net result from derivatives transactions in the combined consolidated statements of operations for the years endedDecember 31, 2015, 2014 and 2013 ($ in thousands):

	Year Ended December 31, 2015
	Unrealized Gain/(Loss)		Realized Gain/(Loss)			Net Result from Derivative Transactions
Contract Type
Futures	$	9,214	$	(46,816	)	$	(37,602	)
Swaps	661		(1,992		)	(1,331		)
Credit Derivatives	307		(311		)	(4		)
Total	$	10,182	$	(49,119	)	$	(38,937	)

	Year Ended December 31, 2014
	Unrealized Gain/(Loss)			Realized Gain/(Loss)			Net Result from Derivative Transactions
Contract Type
Caps	$	—		$	(7	)	$	(7	)
Futures	$	(16,065	)	$	(74,946	)	$	(91,011	)
Swaps	1,780			(5,161		)	(3,381		)
Credit Derivatives	(86		)	(313		)	(399		)
Total	$	(14,371	)	$	(80,427	)	$	(94,798	)

	Year Ended December 31, 2013
	Unrealized Gain/(Loss)			Realized Gain/(Loss)			Net Result from Derivative Transactions
Contract Type
Caps	$	—		$	—		$	—
Futures	$	4,420		$	19,998		$	24,418
Swaps	11,288			(4,834		)	6,454
Credit Derivatives	(1,680		)	(1,117		)	(2,797		)
Total	$	14,028		$	14,047		$	28,075