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DERIVATIVE INSTRUMENTS (Tables)

3 Months Ended

Mar. 31, 2014

DERIVATIVE INSTRUMENTS

Schedule of breakdown of the derivatives outstanding

March 31, 2014

											Remaining
					Fair Value						Maturity
Contract Type		Notional			Asset(1)			Liability(1)			(years)
Futures
5-years U.S. T-Note		$	79,600,000		$	245,242		$	891		0.25
10-year U.S. T-Note		569,600,000			298,592			2,921,813			0.25
Total futures		649,200,000			543,834			2,922,704
Swaps
3MO LIB		121,000,000			—			6,878,440			4.27
Credit Derivatives
CMBX		10,000,000			211,170			—			8.38
CDX		33,500,000			—			610,815			4.73
S&P 500 PUT OPTION 3/4/14		1,900			83,918			—			0.47
Total credit derivatives		43,501,900			295,088			610,815
Total derivatives		$	813,701,900		$	838,922		$	10,411,959

December 31, 2013

											Remaining
					Fair Value						Maturity
Contract Type		Notional			Asset(1)			Liability(1)			(years)
Caps
1MO LIB		$	71,250,000		$	—		$	—		0.14
Futures
5-years U.S. T-Note		$	45,000,000		$	402,719		$	—		0.25
10-year U.S. T-Note		753,700,000			7,589,466			—			0.25
Total futures		798,700,000			7,992,185			—
Swaps
3MO LIB		121,000,000			—			6,420,495			4.51
Credit Derivatives
CMBX		10,000,000			252,170			—			8.38
CDX		33,500,000			—			610,538			4.97
Total credit derivatives		43,500,000			252,170			610,538
Total derivatives		$	1,034,450,000		$	8,244,355		$	7,031,033

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

Schedule of net realized gains/(losses) and unrealized appreciation/(depreciation) on derivatives

		Three Months Ended March 31, 2014
		Unrealized Gain/(Loss)			Realized Gain/(Loss)			Net Result from Derivative Transactions
Contract Type
Futures		(10,371,054		)	(14,781,407		)	(25,152,461		)
Swaps		(179,320		)	(800,138		)	(979,458		)
Credit Derivatives		42,640			(197,387		)	(154,747		)
Total		$	(10,507,734	)	$	(15,778,932	)	$	(26,286,666	)

		Three Months Ended March 31, 2013
		Unrealized Gain/(Loss)			Realized Gain/(Loss)			Net Result from Derivative Transactions
Contract Type
Caps		$	819		$	—		$	819
Futures		(7,019,081		)	8,774,316			1,755,235
Swaps		3,423,323			(1,346,948		)	2,076,375
Credit Derivatives		(231,017		)	(1,331,703		)	(1,562,720		)
Total		$	(3,825,956	)	$	6,095,665		$	2,269,709

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Tabular disclosure of net realized gains/(losses) and unrealized appreciation/(depreciation) on derivatives.

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Tabular disclosure of pertinent information about a derivative or group of derivatives on a disaggregated basis, such as for individual instruments, or small groups of similar instruments. May include a combination of the type of instrument, risks being hedged, notional amount, hedge designation, related hedged item, inception date, maturity date, or other relevant item.

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