DERIVATIVE INSTRUMENTS (Tables)

12 Months Ended

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

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
Variation Margin	—		—		911
Total futures	563,800		836		1,064
Swaps
3 Month LIBOR(2)	50,000		—		1,542		2.68
Credit derivatives
VIX	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.

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 years endedDecember 31, 2017, 2016 and 2015 ($ in thousands):

	Year Ended December 31, 2017
	Unrealized Gain/(Loss)			Realized Gain/(Loss)			Net Result from Derivative Transactions
Contract Type
Futures	$	(4,975	)	$	(7,655	)	$	(12,630	)
Swaps	1,126			(1,008		)	118
Credit Derivatives	417			(546		)	(129		)
Total	$	(3,432	)	$	(9,209	)	$	(12,641	)

	Year Ended December 31, 2016
	Unrealized Gain/(Loss)			Realized Gain/(Loss)			Net Result from Derivative Transactions
Contract Type
Futures	$	3,608		$	(3,954	)	$	(346	)
Swaps	956			(1,264		)	(308		)
Credit Derivatives	(340		)	(415		)	(755		)
Total	$	4,224		$	(5,633	)	$	(1,409	)

	Year Ended December 31, 2015
	Unrealized Gain/(Loss)		Realized Gain/(Loss)			Net Result from Derivative Transactions
Contract Type
Futures	$	9,214	$	(46,816	)	$	(37,602	)
Swaps	661		(1,992		)	(1,331		)
Credit Derivatives	307		(311		)	(4		)
Total	$	10,182	$	(49,119	)	$	(38,937	)