DERIVATIVE INSTRUMENTS (Tables)

12 Months Ended

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

December 31, 2019

			Fair Value				Remaining Maturity (years)
Contract Type	Notional		Asset(1)		Liability(1)
Caps
1 Month LIBOR	$	69,571	$	—	$	—	0.36
Futures
5-year Swap	46,000		158		—		0.25
10-year Swap	149,800		516		—		0.25
5-year U.S. Treasury Note	1,100		4		—		0.25
Total futures	196,900		678		—
Credit derivatives
S&P 500 Put Options	143,300		15		—		0.05
Total credit derivatives	143,300		15		—
Total derivatives	$	409,771	$	693	$	—

(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 years ended December 31, 2019, 2018 and 2017 ($ in thousands):

	Year Ended December 31, 2019
	Unrealized Gain/(Loss)			Realized Gain/(Loss)			Net Result from Derivative Transactions
Contract Type
Futures	$	1,653		$	(31,469	)	$	(29,816	)
Credit Derivatives	(111		)	(84		)	(195		)
Total	$	1,542		$	(31,553	)	$	(30,011	)

	Year Ended December 31, 2018
	Unrealized Gain/(Loss)			Realized Gain/(Loss)			Net Result from Derivative Transactions
Contract Type
Futures	$	(747	)	$	16,176		$	15,429
Swaps	1,403			(848		)	555
Credit Derivatives	49			(107		)	(58		)
Total	$	705		$	15,221		$	15,926

	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	)