DERIVATIVE INSTRUMENTS (Tables)

3 Months Ended

Mar. 31, 2018

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, 2018 and December 31, 2017 ($ in thousands):

March 31, 2018

			Fair Value				Remaining Maturity (years)
Contract Type	Notional		Asset(1)		Liability(1)
Futures
5-year Swap	$	340,900	$	44	$	—	0.25
10-year Swap	364,600		47		—		0.25
5-year U.S. Treasury Note	8,400		1		—		0.25
Total derivatives	$	713,900	$	92	$	—

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

December 31, 2017

			Fair Value				Remaining Maturity (years)
Contract Type	Notional		Asset(1)		Liability(1)
Futures
5-year Swap	304,300		656		—		0.25
10-year Swap	248,100		133		153		0.25
5-year U.S. Treasury Note	11,400		47		—		0.25
10-year U.S. Treasury Note	—		—		911
Total futures	563,800		836		1,064
Swaps
3 Month LIBOR(2)	50,000		—		1,542		2.68
Credit Derivatives
CDX	34,500		52		—		0.12
Total credit derivatives	34,500		52		—
Total derivatives	$	648,300	$	888	$	2,606

(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 endedMarch 31, 2018 and 2017 ($ in thousands):

	Three Months Ended March 31, 2018
	Unrealized Gain/(Loss)		Realized Gain/(Loss)			Net Result from Derivative Transactions
Contract Type
Futures	$	320	$	14,372		$	14,692
Swaps	1,403		(848		)	555
Credit Derivatives	49		(337		)	(288		)
Total	$	1,772	$	13,187		$	14,959

	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	)