DERIVATIVE INSTRUMENTS (Tables)

3 Months Ended

Mar. 31, 2017

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, 2017 and December 31, 2016 ($ in thousands):

March 31, 2017

			Fair Value					Remaining Maturity (years)
Contract Type	Notional		Asset(1)		Liability(1)
Futures
5-year Swap	$	482,600	$	1	$	3,051		0.25
10-year Swap	419,500		15		3,106			0.25
5-year U.S. Treasury Note	21,500		—		34			0.25
10-year U.S. Treasury Note Ultra	3,200		—		25			0.25
Variation Margin	—		—		(5,104		)
Total futures	926,800		16		1,112
Swaps
3 Month LIBOR(2)	50,000		—		2,618			3.47
Credit derivatives
CMBX	10,000		5		—			4.85
CDX	33,500		—		477			1.72
S&P 500 Put Options	78,000		87		—			0.21
Total credit derivatives	121,500		92		477
Total derivatives	$	1,098,300	$	108	$	4,207

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

(2) The Company is paying fixed interest rates on these swaps.

December 31, 2016

			Fair Value				Remaining Maturity (years)
Contract Type	Notional		Asset(1)		Liability(1)
Futures
5-year Swap	602,200		3,210		2		0.25
10-year Swap	226,700		1,674		266		0.25
5-year U.S. Treasury Note	21,800		93		—		0.25
10-year U.S. Treasury Note	3,200		38		—		0.25
Total futures	853,900		5,015		268
Swaps
3 Month LIBOR(2)	50,000		—		2,697		3.72
Credit Derivatives
CMBX	10,000		3		—		5.08
CDX	33,500		—		481		1.97
Total credit derivatives	43,500		3		481
Total derivatives	$	947,400	$	5,018	$	3,446

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

(2) The Company is paying fixed interest rates on these swaps.

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 consolidated statements of operations for the three months ended March 31, 2017 and 2016($ in thousands):

	Three Months Ended March 31, 2017
	Unrealized Gain/(Loss)			Realized Gain/(Loss)			Net Result from Derivative Transactions
Contract Type
Futures	$	(5,844	)	$	4,043		$	(1,801	)
Swaps	301			(279		)	22
Credit Derivatives	(106		)	(96		)	(202		)
Total	$	(5,649	)	$	3,668		$	(1,981	)

	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	)