DERIVATIVE INSTRUMENTS (Tables)

3 Months Ended

Mar. 31, 2016

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 March 31, 2016 and December 31, 2015 ($ in thousands):

March 31, 2016

			Fair Value				Remaining Maturity (years)
Contract Type	Notional		Asset(1)		Liability(1)
Futures
5-year Swap	$	542,900	$	9	$	4,416	0.25
10-year Swap	399,700		—		3,018		0.25
5-year U.S. Treasury Note	700		—		1		0.25
10-year U.S. Treasury Note Ultra	1,100		3		—		0.25
Total futures	944,400		12		7,435
Swaps
3MO LIBOR	50,000		—		4,980		4.47
Credit Derivatives
CMBX	10,000		203		—		5.45
CDX	33,500		—		328		2.70
Total credit derivatives	43,500		203		328
Total derivatives	$	1,037,900	$	215	$	12,743

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

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.

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 three months endedMarch 31, 2016 and 2015 ($ in thousands):

	Three Months Ended March 31, 2016
	Unrealized Gain/(Loss)			Realized Gain/(Loss)			Net Result from Derivative Transactions
Contract Type
Futures	$	(8,564	)	$	(40,797	)	$	(49,361	)
Swaps	(1,078		)	(338		)	(1,416		)
Credit Derivatives	12			(97		)	(85		)
Total	$	(9,630	)	$	(41,232	)	$	(50,862	)

	Three Months Ended March 31, 2015
	Unrealized Gain/(Loss)			Realized Gain/(Loss)			Net Result from Derivative Transactions
Contract Type
Caps	$	—		$	—		$	—
Futures	$	(10,969	)	$	(27,038	)	$	(38,007	)
Swaps	(372		)	(610		)	(982		)
Credit Derivatives	(54		)	(96		)	(150		)
Total	$	(11,395	)	$	(27,744	)	$	(39,139	)