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DERIVATIVE INSTRUMENTS (Tables)
 3 Months Ended
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