DERIVATIVE INSTRUMENTS (Tables)

9 Months Ended

Sep. 30, 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 September 30, 2017 and December 31, 2016 ($ in thousands):

September 30, 2017

			Fair Value						Remaining Maturity (years)
Contract Type	Notional		Asset(1)			Liability(1)
Futures
5-year Swap	$	260,700	$	2,715		$	—		0.25
10-year Swap	338,000		6,799			2			0.25
5-year U.S. Treasury Note	12,000		86			—			0.25
10-year U.S. Treasury Note Ultra	700		9			—			0.25
Variation Margin	—		(9,110		)	(2		)
Total futures	611,400		499			—
Swaps
3 Month LIBOR(2)	50,000		—			2,343			3.00
Credit derivatives
CMBX	10,000		69			—			4.42
CDX	33,500		—			368			1.23
Total credit derivatives	43,500		69			368
Total derivatives	$	704,900	$	568		$	2,711

(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 nine months ended September 30, 2017 and 2016 ($ in thousands):

	Three Months Ended September 30, 2017									Nine Months Ended September 30, 2017
	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	$	(2,587	)	$	2,192		$	(395	)	$	(4,249	)	$	(13,571	)	$	(17,820	)
Swaps	277			(242		)	35			561			(780		)	(219		)
Credit Derivatives	110			(98		)	12			178			(491		)	(313		)
Total	$	(2,200	)	$	1,852		$	(348	)	$	(3,510	)	$	(14,842	)	$	(18,352	)

	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	)