DERIVATIVE INSTRUMENTS (Tables)

6 Months Ended

Jun. 30, 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 June 30, 2018 and December 31, 2017 ($ in thousands):

June 30, 2018

			Fair Value				Remaining Maturity (years)
Contract Type	Notional		Asset(1)		Liability(1)
Caps
1MO LIB	$	96,471	$	—	$	—	1.85
Futures
5-year Swap	$	299,600	$	341	$	—	0.25
10-year Swap	271,800		310		—		0.25
5-year U.S. Treasury Note	8,400		9		—		0.25
Total futures	579,800		660		—
Total derivatives	$	676,271	$	660	$	—

(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 and six months endedJune 30, 2018 and 2017 ($ in thousands):

	Three Months Ended June 30, 2018						Six Months Ended June 30, 2018
	Unrealized Gain/(Loss)		Realized Gain/(Loss)		Net Result from Derivative Transactions		Unrealized Gain/(Loss)		Realized Gain/(Loss)			Net Result from Derivative Transactions
Contract Type
Caps	$	—	$	—	$	—	$	—	$	—		$	—
Futures	568		6,513		7,081		888		20,885			21,773
Swaps	—		—		—		1,403		(848		)	555
Credit Derivatives	—		—		—		49		(337		)	(288		)
Total	$	568	$	6,513	$	7,081	$	2,340	$	19,700		$	22,040

	Three Months Ended June 30, 2017									Six Months Ended June 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	$	4,182		$	(19,805	)	$	(15,623	)	$	(1,661	)	$	(15,762	)	$	(17,423	)
Swaps	(16		)	(260		)	(276		)	285			(539		)	(254		)
Credit Derivatives	174			(297		)	(123		)	67			(393		)	(326		)
Total	$	4,340		$	(20,362	)	$	(16,022	)	$	(1,309	)	$	(16,694	)	$	(18,003	)