DERIVATIVE INSTRUMENTS (Tables)

12 Months Ended

Dec. 31, 2021

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, 2021 and December 31, 2020 ($ in thousands):

December 31, 2021

			Fair Value				Remaining Maturity (years)
Contract Type	Notional		Asset(1)		Liability(1)
Caps
1 Month LIBOR	$	84,621	$	60	$	—	0.57
Futures
5-year Swap	6,500		76		—		0.25
10-year Swap	23,000		266		—		0.25
Total futures	29,500		342		—
Total derivatives	$	114,121	$	402	$	—

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

December 31, 2020

			Fair Value				Remaining Maturity (years)
Contract Type	Notional		Asset(1)		Liability(1)
Caps
1 Month LIBOR	$	69,571	$	—	$	—	0.35
Futures
5-year Swap	23,800		108		—		0.25
10-year Swap	41,800		191		—		0.25
Total futures	65,600		299		—
Total derivatives	$	135,171	$	299	$	—

(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, 2021, 2020, and 2019 ($ in thousands):

	Year Ended December 31, 2021
Contract Type	Unrealized Gain/(Loss)		Realized Gain/(Loss)		Net Result from Derivative Transactions
Caps	$	(8)	$	—	$	(8)
Futures	42		1,715		1,757
Total	$	34	$	1,715	$	1,749

	Year Ended December 31, 2020
Contract Type	Unrealized Gain/(Loss)		Realized Gain/(Loss)		Net Result from Derivative Transactions
Futures	$	(379)	$	(15,113)	$	(15,492)
Credit Derivatives	111		111		222
Total	$	(268)	$	(15,002)	$	(15,270)

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