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DERIVATIVE INSTRUMENTS | 3 Months Ended
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Mar. 31, 2019
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 March 31, 2019 and December 31, 2018 ($ in thousands): March 31, 2019
|  |  |  | Fair Value |  | Remaining Maturity (years)
Contract Type |  | Notional |  | Asset(1) |  | Liability(1) |
Caps |  |  |  |  |  |  |  |  |  |  |
1 Month LIBOR |  | $ | 69,571 |  |  | $ | — |  |  | $ | — |  |  | 1.11
Futures |  |  |  |  |  |  |  |  |  |  |
5-year Swap |  | 188,400 |  |  | 774 |  |  | — |  |  | 0.25
10-year Swap |  | 189,800 |  |  | 780 |  |  | — |  |  | 0.25
5-year U.S. Treasury Note |  | 6,800 |  |  | 28 |  |  | — |  |  | 0.25
Total futures |  | 385,000 |  |  | 1,582 |  |  | — |  |  |
Credit derivatives |  |  |  |  |  |  |  |  |  |  |
S&P 500 Put Options |  | — |  |  | 50 |  |  | — |  |  | 0.13
Total credit derivatives |  | — |  |  | 50 |  |  | — |  |  |
Total derivatives |  | $ | 454,571 |  |  | $ | 1,632 |  |  | $ | — |  |  |
(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. 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 three months ended March 31, 2019 and 2018 ($ in thousands):
| Three Months Ended March 31, 2019
| Unrealized Gain/(Loss) |  | Realized Gain/(Loss) |  | Net Result from Derivative Transactions
Contract Type |  |  |  |  |
Futures | $ | 2,557 |  |  | $ | (13,533 | ) |  | $ | (10,976 | )
Credit Derivatives | (66 | ) |  | 8 |  |  | (58 | )
Total | $ | 2,491 |  |  | $ | (13,525 | ) |  | $ | (11,034 | )
| Three Months Ended March 31, 2018
| Unrealized Gain/(Loss) |  | Realized Gain/(Loss) |  | Net Result from Derivative Transactions
Contract Type |  |  |  |  |
Futures | $ | 320 |  |  | $ | 14,372 |  |  | $ | 14,692 |
Swaps | 1,403 |  |  | (848 | ) |  | 555 |
Credit Derivatives | 49 |  |  | (337 | ) |  | (288 | )
Total | $ | 1,772 |  |  | $ | 13,187 |  |  | $ | 14,959 |
The Company’s counterparties held $4.2 million and $5.0 million of cash margin as collateral for derivatives as of March 31, 2019 and December 31, 2018, respectively, which is included in restricted cash in the consolidated balance sheets. Futures Collateral posted with our futures counterparties is segregated in the Company’s books and records. Interest rate futures are centrally cleared by the Chicago Mercantile Exchange (“CME”) through a Futures Commission Merchant. Interest rate futures that are governed by an ISDA agreement provide for bilateral collateral pledging based on the counterparties’ market value. The counterparties have the right to re-pledge the collateral posted but have the obligation to return the pledged collateral, or substantially the same collateral, if agreed to by us, as the market value of the interest rate futures change. The Company is required to post initial margin and daily variation margin for our interest rate futures that are centrally cleared by CME. CME determines the fair value of our centrally cleared futures, including daily variation margin. Effective January 3, 2017, CME amended their rulebooks to legally characterize daily variation margin payments for centrally cleared interest rate futures as settlement rather than collateral. As a result of this rule change, variation margin pledged on the Company’s centrally cleared interest rate futures is settled against the realized results of these futures. 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 March 31, 2019 and December 31, 2018, the Company was in compliance with these requirements and not in default on its indebtedness. As of March 31, 2019 and December 31, 2018, there was no cash collateral held by the derivative counterparties for these derivatives, included in restricted cash in the 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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- Definition The entire disclosure for derivative instruments and hedging activities including, but not limited to, risk management strategies, non-hedging derivative instruments, assets, liabilities, revenue and expenses, and methodologies and assumptions used in determining the amounts. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -URI http://asc.fasb.org/topic&trid=2229140 + Details
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