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DERIVATIVE INSTRUMENTS (Tables) | 3 Months Ended
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Mar. 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 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.
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 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 |

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- Definition Tabular disclosure of net realized gains/(losses) and unrealized appreciation/(depreciation) on derivatives. + References No definition available. + Details
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- Definition 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. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4B -URI http://asc.fasb.org/extlink&oid=109980867&loc=SL5624163-113959 Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 1B -URI http://asc.fasb.org/extlink&oid=109980867&loc=SL5580258-113959 Reference 3: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 2 -URI http://asc.fasb.org/extlink&oid=109980867&loc=d3e41620-113959 Reference 4: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 1A -URI http://asc.fasb.org/extlink&oid=109980867&loc=SL5579245-113959 Reference 5: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4 -URI http://asc.fasb.org/extlink&oid=109980867&loc=d3e41638-113959 Reference 6: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 8 -URI http://asc.fasb.org/extlink&oid=109980867&loc=d3e41678-113959 Reference 7: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 5 -URI http://asc.fasb.org/extlink&oid=109980867&loc=d3e41641-113959 Reference 8: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4C -URI http://asc.fasb.org/extlink&oid=109980867&loc=SL5624171-113959 Reference 9: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 235 -SubTopic 10 -Section S99 -Paragraph 1 -Subparagraph (SX 210.4-08.(n)(2)) -URI http://asc.fasb.org/extlink&oid=26873400&loc=d3e23780-122690 Reference 10: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 1 -URI http://asc.fasb.org/extlink&oid=109980867&loc=SL5579240-113959 + Details
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