XML 105 R88.htm IDEA: XBRL DOCUMENT v3.19.3
Financial Derivatives (Schedule of Gains and Losses on Derivative Contracts) (Details) - USD ($)
$ in Thousands
3 Months Ended 9 Months Ended
Sep. 30, 2019
Sep. 30, 2018
Sep. 30, 2019
Sep. 30, 2018
Derivative [Line Items]        
Net Realized Gains (Losses) on Periodic Settlements of Interest Rate Swaps $ 82   $ 852  
Net Realized Gains (Losses) Other Than Periodic Settlements of Interest Rate Swaps (9,425)   (32,655)  
Realized gains (losses) on financial derivatives, net (9,343) $ 781 (31,803) $ (544)
Change in Net Unrealized Gains (Losses) on Accrued Periodic Settlements of Interest Rate Swaps 171   (60)  
Change in Net Unrealized Gains (Losses) Other Than on Accrued Periodic Settlements of Interest Rate Swaps 1,318   (9,068)  
Unrealized gains (losses) on financial derivatives, net 1,489 733 (9,128) 11,630
Foreign currency transactions   775   1,433
Foreign currency translation   (1,277)   (3,139)
Derivative [Member]        
Derivative [Line Items]        
Foreign currency transactions 17 0 47 (200)
Foreign currency translation 16 32 8 300
Interest rate swaps | Interest Rate Risk [Member]        
Derivative [Line Items]        
Net Realized Gains (Losses) on Periodic Settlements of Interest Rate Swaps 82   852  
Net Realized Gains (Losses) Other Than Periodic Settlements of Interest Rate Swaps 34   (1,117)  
Realized gains (losses) on financial derivatives, net 116 1,000 (265) (500)
Change in Net Unrealized Gains (Losses) on Accrued Periodic Settlements of Interest Rate Swaps 171   (60)  
Change in Net Unrealized Gains (Losses) Other Than on Accrued Periodic Settlements of Interest Rate Swaps (2,598)   (11,915)  
Unrealized gains (losses) on financial derivatives, net (2,427) 1,171 (11,975) 8,301
Credit default swaps on asset-backed securities | Credit Risk [Member]        
Derivative [Line Items]        
Net Realized Gains (Losses) Other Than Periodic Settlements of Interest Rate Swaps 16   419  
Realized gains (losses) on financial derivatives, net 16 (986) 419 (739)
Change in Net Unrealized Gains (Losses) Other Than on Accrued Periodic Settlements of Interest Rate Swaps (12)   (394)  
Unrealized gains (losses) on financial derivatives, net (12) 1,307 (394) 759
Credit default swaps on asset-backed indices | Credit Risk [Member]        
Derivative [Line Items]        
Realized gains (losses) on financial derivatives, net   (153)   (2,199)
Unrealized gains (losses) on financial derivatives, net   (291)   1,161
Credit default swaps on corporate bond indices | Credit Risk [Member]        
Derivative [Line Items]        
Net Realized Gains (Losses) Other Than Periodic Settlements of Interest Rate Swaps (261)   (1,245)  
Realized gains (losses) on financial derivatives, net (261)   (1,245)  
Change in Net Unrealized Gains (Losses) Other Than on Accrued Periodic Settlements of Interest Rate Swaps (81)   (832)  
Unrealized gains (losses) on financial derivatives, net (81)   (832)  
Credit default swaps on corporate bond indices | Credit Risk [Member]        
Derivative [Line Items]        
Net Realized Gains (Losses) Other Than Periodic Settlements of Interest Rate Swaps (1,113)      
Realized gains (losses) on financial derivatives, net (1,113) (1,085)   (3,322)
Change in Net Unrealized Gains (Losses) Other Than on Accrued Periodic Settlements of Interest Rate Swaps 909      
Unrealized gains (losses) on financial derivatives, net 909 (247)   2,181
Credit default swaps on corporate bond indices | Credit Risk [Member]        
Derivative [Line Items]        
Net Realized Gains (Losses) Other Than Periodic Settlements of Interest Rate Swaps     (4,387)  
Realized gains (losses) on financial derivatives, net     (4,387)  
Change in Net Unrealized Gains (Losses) Other Than on Accrued Periodic Settlements of Interest Rate Swaps     (1,026)  
Unrealized gains (losses) on financial derivatives, net     (1,026)  
Credit default swaps on corporate bonds | Credit Risk [Member]        
Derivative [Line Items]        
Net Realized Gains (Losses) Other Than Periodic Settlements of Interest Rate Swaps (259)   (764)  
Realized gains (losses) on financial derivatives, net (259) 1,234 (764) 4,230
Change in Net Unrealized Gains (Losses) Other Than on Accrued Periodic Settlements of Interest Rate Swaps 268   1,110  
Unrealized gains (losses) on financial derivatives, net 268 (1,031) 1,110 (1,823)
Total return swaps | Equity Market/Credit Risk [Member]        
Derivative [Line Items]        
Net Realized Gains (Losses) Other Than Periodic Settlements of Interest Rate Swaps 251   (1,046)  
Realized gains (losses) on financial derivatives, net 251 32 (1,046) 455
Change in Net Unrealized Gains (Losses) Other Than on Accrued Periodic Settlements of Interest Rate Swaps (716)   (681)  
Unrealized gains (losses) on financial derivatives, net (716) (1,425) (681) (1,739)
TBA securities | Interest Rate Risk [Member]        
Derivative [Line Items]        
Net Realized Gains (Losses) Other Than Periodic Settlements of Interest Rate Swaps (5,067)   (17,183)  
Realized gains (losses) on financial derivatives, net (5,067)   (17,183)  
Change in Net Unrealized Gains (Losses) Other Than on Accrued Periodic Settlements of Interest Rate Swaps 1,542   3,680  
Unrealized gains (losses) on financial derivatives, net 1,542   3,680  
Futures | Interest Rate/Currency Risk [Member]        
Derivative [Line Items]        
Net Realized Gains (Losses) Other Than Periodic Settlements of Interest Rate Swaps (3,551)   (8,365)  
Realized gains (losses) on financial derivatives, net (3,551) 729 (8,365) 1,652
Change in Net Unrealized Gains (Losses) Other Than on Accrued Periodic Settlements of Interest Rate Swaps 1,627   761  
Unrealized gains (losses) on financial derivatives, net 1,627 1,021 761 2,002
Forwards | Currency risk [Member]        
Derivative [Line Items]        
Net Realized Gains (Losses) Other Than Periodic Settlements of Interest Rate Swaps 525   1,068  
Realized gains (losses) on financial derivatives, net 525 10 1,068 (59)
Change in Net Unrealized Gains (Losses) Other Than on Accrued Periodic Settlements of Interest Rate Swaps 379   228  
Unrealized gains (losses) on financial derivatives, net $ 379 228 228 712
Options | Interest Rate Risk [Member]        
Derivative [Line Items]        
Net Realized Gains (Losses) Other Than Periodic Settlements of Interest Rate Swaps     (35)  
Realized gains (losses) on financial derivatives, net     (35)  
Change in Net Unrealized Gains (Losses) Other Than on Accrued Periodic Settlements of Interest Rate Swaps     1  
Unrealized gains (losses) on financial derivatives, net     $ 1  
Options | Interest Rates/Equity Market Risk [Member]        
Derivative [Line Items]        
Realized gains (losses) on financial derivatives, net   0   (62)
Unrealized gains (losses) on financial derivatives, net   $ 0   $ 76