DERIVATIVE INSTRUMENTS

9 Months Ended

Sep. 30, 2016

Derivative Instruments and Hedging Activities Disclosure [Abstract]

DERIVATIVE INSTRUMENTS

9. DERIVATIVE INSTRUMENTS

The Company uses derivative instruments primarily to economically manage the fair value variability of fixed rate assets caused by interest rate fluctuations and overall portfolio market risk.  The following is a breakdown of the derivatives outstanding as of September 30, 2016 and December 31, 2015 ($ in thousands):

September 30, 2016

			Fair Value				Remaining Maturity (years)
Contract Type	Notional		Asset(1)		Liability(1)
Futures
5-year Swap	$	643,200	$	99	$	1,607	0.25
10-year Swap	517,500		58		2,816		0.25
5-year U.S. Treasury Note	21,200		5		2		0.25
10-year U.S. Treasury Note Ultra	1,100		2		—		0.25
Total futures	1,183,000		164		4,425
Swaps
3 Month LIBOR	50,000		—		4,474		3.97
Credit derivatives
CMBX	10,000		79		—		5.32
CDX	33,500		—		469		2.18
S&P 500 PUT OPTION 12/16/16	11		11		—		0.21
Total credit derivatives	43,511		90		469
Total derivatives	$	1,276,511	$	254	$	9,368

(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.

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 andnine months endedSeptember 30, 2016 and 2015 ($ in thousands):

	Three Months Ended September 30, 2016									Nine Months Ended September 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	$	16,876		$	(7,617	)	$	9,259		$	(5,401	)	$	(58,634	)	$	(64,035	)
Swaps	683			(311		)	372			(582		)	(972		)	(1,554		)
Credit Derivatives	(176		)	(99		)	(275		)	(290		)	(269		)	(559		)
Total	$	17,383		$	(8,027	)	$	9,356		$	(6,273	)	$	(59,875	)	$	(66,148	)

	Three Months Ended September 30, 2015									Nine Months Ended September 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	$	(13,281	)	$	(27,990	)	$	(41,271	)	$	(8,468	)	$	(44,400	)	$	(52,868	)
Swaps	(768		)	(476		)	(1,244		)	(306		)	(1,574		)	(1,880		)
Credit Derivatives	291			(18		)	273			367			(213		)	154
Total	$	(13,758	)	$	(28,484	)	$	(42,242	)	$	(8,407	)	$	(46,187	)	$	(54,594	)

The Company’s counterparties held $30.7 million and $18.9 million of cash margin as collateral for derivatives as of September 30, 2016 and December 31, 2015, respectively, which is included in cash collateral held by broker in the combined consolidated balance sheets.

Credit Risk-Related Contingent Features

The Company has agreements with certain of its derivative counterparties that contain a provision whereby, if the Company defaults on certain of its indebtedness, the Company could also be declared in default on its derivatives, resulting in an acceleration of payment under the derivatives.  As of September 30, 2016 and December 31, 2015, the Company was in compliance with these requirements and not in default on its indebtedness.  As of September 30, 2016 and December 31, 2015, there was $6.2 million and $5.9 million of cash collateral held by the derivative counterparties for these derivatives, respectively, included in cash collateral held by brokers in the combined consolidated statements of financial condition.  No additional cash would be required to be posted if the acceleration of payment under the derivatives was triggered.