DERIVATIVE INSTRUMENTS (Tables)

9 Months Ended

Sep. 30, 2019

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, 2019 and December 31, 2018 ($ in thousands):

September 30, 2019

			Fair Value				Remaining Maturity (years)
Contract Type	Notional		Asset(1)		Liability(1)
Caps
1 Month LIBOR	$	69,571	$	—	$	—	0.61
Futures
5-year Swap	49,200		—		20		0.25
10-year Swap	149,500		—		61		0.25
5-year U.S. Treasury Note	2,200		—		1		0.25
Total futures	200,900		—		82
Credit derivatives
S&P 500 Put Options	6,000		22		—		0.30
Total credit derivatives	6,000		22		—
Total derivatives	$	276,471	$	22	$	82

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

December 31, 2018

			Fair Value				Remaining Maturity (years)
Contract Type	Notional		Asset(1)		Liability(1)
Caps
1MO LIBOR	$	69,571	$	—	$	—	1.35
Futures
5-year Swap	$	274,900	$	—	$	526	0.25
10-year Swap	227,700		—		436		0.25
5-year U.S. Treasury Note	6,800		—		13		0.25
Total futures	509,400		—		975
Total derivatives	$	578,971	$	—	$	975

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

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 nine months ended September 30, 2019 and 2018 ($ in thousands):

	Three Months Ended September 30, 2019									Nine Months Ended September 30, 2019
	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	$	(618	)	$	(8,868	)	$	(9,486	)	$	892		$	(36,761	)	$	(35,869	)
Credit Derivatives	(3		)	24			21			(3		)	(84		)	(87		)
Total	$	(621	)	$	(8,844	)	$	(9,465	)	$	889		$	(36,845	)	$	(35,956	)

	Three Months Ended September 30, 2018								Nine Months Ended September 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
Futures	$	(940	)	$	8,099	$	7,159		$	(52	)	$	28,985		$	28,933
Swaps	—			—		—			1,403			(848		)	555
Credit Derivatives	(44		)	—		(44		)	5			(337		)	(332		)
Total	$	(984	)	$	8,099	$	7,115		$	1,356		$	27,800		$	29,156