DERIVATIVE INSTRUMENTS (Tables)

6 Months Ended

Jun. 30, 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 June 30, 2016 and December 31, 2015 ($ in thousands):

June 30, 2016

			Fair Value				Remaining Maturity (years)
Contract Type	Notional		Asset(1)		Liability(1)
Futures
5-year Swap	$	535,300	$	—	$	7,048	0.25
10-year Swap	565,900		12		14,033		0.25
5-year U.S. Treasury Note	700		—		15		0.25
10-year U.S. Treasury Note Ultra	1,100		—		52		0.25
Total futures	1,103,000		12		21,148
Swaps
3 Month LIBOR	50,000		—		4,937		4.22
Credit derivatives
CMBX	10,000		157		—		5.59
CDX	33,500		—		409		2.48
S&P 500 PUT OPTION 12/16/16	11		49		—		0.46
Total credit derivatives	43,511		206		409
Total derivatives	$	1,196,511	$	218	$	26,494

(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
3 Month 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 andsix months endedJune 30, 2016 and 2015 ($ in thousands):

	Three Months Ended June 30, 2016									Six Months Ended June 30, 2016
	Unrealized Gain/(Loss)			Realized Gain/(Loss)			Net Result from Derivative Transactions			Unrealized Gain/(Loss)			Realized Gain/(Loss)			Net Result from Derivative Transactions
Contract Type
Futures	$	(13,712	)	$	(10,221	)	$	(23,933	)	$	(22,276	)	$	(51,017	)	$	(73,293	)
Swaps	(187		)	(322		)	(509		)	(1,266		)	(660		)	(1,926		)
Credit Derivatives	(126		)	(74		)	(200		)	(114		)	(171		)	(285		)
Total	$	(14,025	)	$	(10,617	)	$	(24,642	)	$	(23,656	)	$	(51,848	)	$	(75,504	)

	Three Months Ended June 30, 2015							Six Months Ended June 30, 2015
	Unrealized Gain/(Loss)		Realized Gain/(Loss)			Net Result from Derivative Transactions		Unrealized Gain/(Loss)		Realized Gain/(Loss)			Net Result from Derivative Transactions
Contract Type
Futures	$	15,782	$	10,627		$	26,409	$	4,813	$	(16,410	)	$	(11,597	)
Swaps	834		(488		)	346		462		(1,099		)	(637		)
Credit Derivatives	129		(97		)	32		75		(193		)	(118		)
Total	$	16,745	$	10,042		$	26,787	$	5,350	$	(17,702	)	$	(12,352	)