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DERIVATIVE INSTRUMENTS | 9 Months Ended
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Sep. 30, 2015
Derivative Instruments and Hedging Activities Disclosure [Abstract] |
DERIVATIVE INSTRUMENTS | 10. DERIVATIVE INSTRUMENTS The Company uses derivative instruments primarily to economically manage the fair value variability of fixed rate assets caused by interest rate fluctuations and overall portfolio market risk. The following is a breakdown of the derivatives outstanding as of September 30, 2015 and December 31, 2014 ($ in thousands): September 30, 2015
|  |  |  | Fair Value |  | Remaining Maturity (years)
Contract Type |  | Notional |  | Asset(1) |  | Liability(1) |
Futures |  |  |  |  |  |  |  |  |  |  |
5-year Swap |  | $ | 591,800 |  |  | $ | 8 |  |  | $ | 6,575 |  |  | 0.25
10-year Swap |  | 513,400 |  |  | 2 |  |  | 9,976 |  |  | 0.25
Total futures |  | 1,105,200 |  |  | 10 |  |  | 16,551 |  |  |
Swaps |  |  |  |  |  |  |  |  |  |  |
3MO LIBOR |  | 80,000 |  |  | — |  |  | 5,026 |  |  | 3.24
Credit Derivatives |  |  |  |  |  |  |  |  |  |  |
CMBX |  | 33,500 |  |  | — |  |  | 365 |  |  | 3.31
CDX |  | 10,000 |  |  | 289 |  |  | — |  |  | 5.76
Total credit derivatives |  | 43,500 |  |  | 289 |  |  | 365 |  |  |
Total derivatives |  | $ | 1,228,700 |  |  | $ | 299 |  |  | $ | 21,942 |  |  |
December 31, 2014
|  |  |  | Fair Value |  | Remaining Maturity (years)
Contract Type |  | Notional |  | Asset(1) |  | Liability(1) |
Caps |  |  |  |  |  |  |  |  |  |  |
1MO LIBOR |  | $ | 71,250 |  |  | $ | — |  |  | $ | — |  |  | 0.66
Futures |  |  |  |  |  |  |  |  |  |  |
5-year Swap |  | 496,200 |  |  | 108 |  |  | 28 |  |  | 0.25
10-year Swap |  | 842,800 |  |  | 104 |  |  | 8,258 |  |  | 0.25
Total futures |  | 1,339,000 |  |  | 212 |  |  | 8,286 |  |  |
Swaps |  |  |  |  |  |  |  |  |  |  |
3MO LIBOR |  | 100,000 |  |  | — |  |  | 4,505 |  |  | 3.18
Credit Derivatives |  |  |  |  |  |  |  |  |  |  |
CMBX |  | 10,000 |  |  | 211 |  |  | — |  |  | 6.80
CDX |  | 33,500 |  |  | — |  |  | 654 |  |  | 3.97
Total credit derivatives |  | 43,500 |  |  | 211 |  |  | 654 |  |  |
Total derivatives |  | $ | 1,553,750 |  |  | $ | 423 |  |  | $ | 13,445 |  |  |
(1) Shown as derivative instruments, at fair value, in the accompanying combined consolidated balance sheets. 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 combined consolidated statements of operations for the three and nine months ended September 30, 2015 and 2014 ($ in thousands):
| Three Months Ended September 30, 2015 |  | Nine Months Ended September 30, 2015
| 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 | $ | (13,281 | ) |  | $ | (27,990 | ) |  | $ | (41,271 | ) |  | $ | (8,468 | ) |  | $ | (44,400 | ) |  | $ | (52,868 | )
Swaps | (768 | ) |  | (476 | ) |  | (1,244 | ) |  | (306 | ) |  | (1,574 | ) |  | (1,880 | )
Credit Derivatives | 291 |  |  | (18 | ) |  | 273 |  |  | 367 |  |  | (213 | ) |  | 154 |
Total | $ | (13,758 | ) |  | $ | (28,484 | ) |  | $ | (42,242 | ) |  | $ | (8,407 | ) |  | $ | (46,187 | ) |  | $ | (54,594 | )
| Three Months Ended September 30, 2014 |  | Nine Months Ended September 30, 2014
| Unrealized Gain/(Loss) |  | Realized Gain/(Loss) |  | Net Result from Derivative Transactions |  | Unrealized Gain/(Loss) |  | Realized Gain/(Loss) |  | Net Result from Derivative Transactions
Contract Type |  |  |  |  |  |  |  |  |  |  |
Caps | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | (7 | ) |  | $ | (7 | )
Futures | 12,668 |  |  | (11,938 | ) |  | 730 |  |  | $ | (3,166 | ) |  | $ | (44,809 | ) |  | $ | (47,975 | )
Swaps | 1,103 |  |  | (801 | ) |  | 302 |  |  | 363 |  |  | (2,403 | ) |  | (2,040 | )
Credit Derivatives | 191 |  |  | (98 | ) |  | 93 |  |  | (20 | ) |  | (393 | ) |  | (413 | )
Total | $ | 13,962 |  |  | $ | (12,837 | ) |  | $ | 1,125 |  |  | $ | (2,823 | ) |  | $ | (47,612 | ) |  | $ | (50,435 | )
The Company’s counterparties held $40.7 million and $35.8 million of cash margin as collateral for derivatives as of September 30, 2015 and December 31, 2014, respectively, which is included in cash collateral held by broker in the combined consolidated balance sheets. Credit Risk-Related Contingent Features The Company has agreements with certain of its derivative counterparties that contain a provision whereby if the Company defaults on certain of its indebtedness, the Company could also be declared in default on its derivatives, resulting in an acceleration of payment under the derivatives. As of September 30, 2015 and December 31, 2014, the Company was in compliance with these requirements and not in default on its indebtedness. As of September 30, 2015 and December 31, 2014, there was $6.6 million and $11.7 million of cash collateral held by the derivative counterparties for these derivatives, respectively, included in cash collateral held by brokers in the combined consolidated statements of financial condition. No additional cash would be required to be posted if the acceleration of payment under the derivatives was triggered.

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