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DERIVATIVE INSTRUMENTS (Tables)
 3 Months Ended
Mar. 31, 2020
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, 2020 and December 31, 2019 ($ in thousands):
 
March 31, 2020
 
 
 
 
 
Fair Value
 
Remaining
Maturity
(years)
Contract Type
 
Notional
 
Asset(1)
 
Liability(1)
 
 
 
 
 
 
 
 
 
 
Caps
 
 

 
 

 
 

 
 
1 Month LIBOR
 
$
69,571

 
$
—

 
$
—

 
0.11
Futures
 
 

 
 

 
 

 
 
5-year Swap
 
24,400

 
191

 
—

 
0.25
10-year Swap
 
76,700

 
600

 
—

 
0.25
5-year U.S. Treasury Note
 
20,300

 
159

 
—

 
0.25
Total futures
 
121,400

 
950

 
—

 
 
Total derivatives
 
$
190,971

 
$
950

 
$
—

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

December 31, 2019
 
 
 
 
 
Fair Value
 
Remaining
Maturity
(years)
Contract Type
 
Notional
 
Asset(1)
 
Liability(1)
 
 
 
 
 
 
 
 
 
 
Caps
 
 

 
 

 
 

 
 
1MO LIBOR
 
$
69,571

 
$
—

 
$
—

 
0.36
Futures
 
 

 
 

 
 

 
 
5-year Swap
 
46,000

 
158

 
—

 
0.25
10-year Swap
 
149,800

 
516

 
—

 
0.25
5-year U.S. Treasury Note
 
1,100

 
4

 
—

 
0.25
Total futures
 
196,900

 
678

 
—

 
 
Credit Derivatives
 
 

 
 

 
 

 
 
S&P 500 Put Options
 
143,300

 
15

 
—

 
0.05
Total credit derivatives
 
143,300

 
15

 
—

 
 
Total derivatives
 
$
409,771

 
$
693

 
$
—

 
 
 
(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, 2020 and 2019 ($ in thousands):
 
 
Three Months Ended March 31, 2020
 
Unrealized
Gain/(Loss)
 
Realized
Gain/(Loss)
 
Net Result
from
Derivative
Transactions
 
 

 
 

 
 

Contract Type
 
 
 
 
 
Futures
$
272

 
$
(15,946
)
 
$
(15,674
)
Credit Derivatives
111

 
128

 
239

Total
$
383

 
$
(15,818
)
 
$
(15,435
)
 
 
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
)