XML 90 R79.htm IDEA: XBRL DOCUMENT v3.20.2
Financial Derivatives (Schedule of Gains and Losses on Derivative Contracts) (Details) - USD ($)
$ in Thousands
3 Months Ended 6 Months Ended
Jun. 30, 2020
Jun. 30, 2019
Jun. 30, 2020
Jun. 30, 2019
Derivative [Line Items]        
Net Realized Gains (Losses) on Periodic Settlements of Interest Rate Swaps $ (892) $ 52 $ (750) $ 770
Net Realized Gains (Losses) Other Than Periodic Settlements of Interest Rate Swaps (10,771) (10,966) (23,306) (23,229)
Realized gains (losses) on financial derivatives, net (11,663) (10,914) (24,056) (22,459)
Change in Net Unrealized Gains (Losses) on Accrued Periodic Settlements of Interest Rate Swaps 136 45 25 (231)
Change in Net Unrealized Gains (Losses) Other Than on Accrued Periodic Settlements of Interest Rate Swaps 8,040 (4,995) (1,817) (10,387)
Unrealized gains (losses) on financial derivatives, net 8,176 (4,950) (1,792) (10,618)
Derivative [Member]        
Derivative [Line Items]        
Foreign currency transactions 13 6 26 31
Foreign currency translation 3 (29) 19 (8)
Interest rate swaps | Interest Rate Risk [Member]        
Derivative [Line Items]        
Net Realized Gains (Losses) on Periodic Settlements of Interest Rate Swaps (892) 52 (750) 770
Net Realized Gains (Losses) Other Than Periodic Settlements of Interest Rate Swaps (2,348) (2,609) (8,732) (1,151)
Realized gains (losses) on financial derivatives, net (3,240) (2,557) (9,482) (381)
Change in Net Unrealized Gains (Losses) on Accrued Periodic Settlements of Interest Rate Swaps 136 45 25 (231)
Change in Net Unrealized Gains (Losses) Other Than on Accrued Periodic Settlements of Interest Rate Swaps 2,543 (3,545) (17,477) (9,317)
Unrealized gains (losses) on financial derivatives, net 2,679 (3,500) (17,452) (9,548)
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 38 129 (956) 403
Realized gains (losses) on financial derivatives, net 38 129 (956) 403
Change in Net Unrealized Gains (Losses) Other Than on Accrued Periodic Settlements of Interest Rate Swaps (1) (143) 916 (382)
Unrealized gains (losses) on financial derivatives, net (1) (143) 916 (382)
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 4,455 (239) 3,899 (984)
Realized gains (losses) on financial derivatives, net 4,455 (239) 3,899 (984)
Change in Net Unrealized Gains (Losses) Other Than on Accrued Periodic Settlements of Interest Rate Swaps (5,384) (203) 7,139 (751)
Unrealized gains (losses) on financial derivatives, net (5,384) (203) 7,139 (751)
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 (62) (761) 517 (3,274)
Realized gains (losses) on financial derivatives, net (62) (761) 517 (3,274)
Change in Net Unrealized Gains (Losses) Other Than on Accrued Periodic Settlements of Interest Rate Swaps 24 471 4,140 (1,936)
Unrealized gains (losses) on financial derivatives, net 24 471 4,140 (1,936)
Credit default swaps on corporate bonds | Credit Risk [Member]        
Derivative [Line Items]        
Net Realized Gains (Losses) Other Than Periodic Settlements of Interest Rate Swaps 354 (80) 448 (505)
Realized gains (losses) on financial derivatives, net 354 (80) 448 (505)
Change in Net Unrealized Gains (Losses) Other Than on Accrued Periodic Settlements of Interest Rate Swaps (482) 77 1,044 842
Unrealized gains (losses) on financial derivatives, net (482) 77 1,044 842
Total return swaps | Equity Market/Credit Risk [Member]        
Derivative [Line Items]        
Net Realized Gains (Losses) Other Than Periodic Settlements of Interest Rate Swaps (484) 1 (2,055) (1,297)
Realized gains (losses) on financial derivatives, net (484) 1 (2,055) (1,297)
Change in Net Unrealized Gains (Losses) Other Than on Accrued Periodic Settlements of Interest Rate Swaps 1,168 (94) 955 35
Unrealized gains (losses) on financial derivatives, net 1,168 (94) 955 35
TBA securities | Interest Rate Risk [Member]        
Derivative [Line Items]        
Net Realized Gains (Losses) Other Than Periodic Settlements of Interest Rate Swaps (5,972) (5,681) (9,145) (12,115)
Realized gains (losses) on financial derivatives, net (5,972) (5,681) (9,145) (12,115)
Change in Net Unrealized Gains (Losses) Other Than on Accrued Periodic Settlements of Interest Rate Swaps 7,447 241 2,024 2,139
Unrealized gains (losses) on financial derivatives, net 7,447 241 2,024 2,139
Futures | Interest Rate/Currency Risk [Member]        
Derivative [Line Items]        
Net Realized Gains (Losses) Other Than Periodic Settlements of Interest Rate Swaps (6,342) (2,381) (7,464) (4,814)
Realized gains (losses) on financial derivatives, net (6,342) (2,381) (7,464) (4,814)
Change in Net Unrealized Gains (Losses) Other Than on Accrued Periodic Settlements of Interest Rate Swaps 5,629 (1,226) (485) (867)
Unrealized gains (losses) on financial derivatives, net 5,629 (1,226) (485) (867)
Forwards | Currency risk [Member]        
Derivative [Line Items]        
Net Realized Gains (Losses) Other Than Periodic Settlements of Interest Rate Swaps (310) 657 282 543
Realized gains (losses) on financial derivatives, net (310) 657 282 543
Change in Net Unrealized Gains (Losses) Other Than on Accrued Periodic Settlements of Interest Rate Swaps 56 (574) 309 (151)
Unrealized gains (losses) on financial derivatives, net 56 (574) 309 (151)
Warrants | Equity Market/Credit Risk [Member]        
Derivative [Line Items]        
Net Realized Gains (Losses) Other Than Periodic Settlements of Interest Rate Swaps 0   0  
Realized gains (losses) on financial derivatives, net 0   0  
Change in Net Unrealized Gains (Losses) Other Than on Accrued Periodic Settlements of Interest Rate Swaps (402)   (382)  
Unrealized gains (losses) on financial derivatives, net (402)   (382)  
Options | Interest Rate Risk [Member]        
Derivative [Line Items]        
Net Realized Gains (Losses) Other Than Periodic Settlements of Interest Rate Swaps   (2)   (35)
Realized gains (losses) on financial derivatives, net   (2)   (35)
Change in Net Unrealized Gains (Losses) Other Than on Accrued Periodic Settlements of Interest Rate Swaps   1   1
Unrealized gains (losses) on financial derivatives, net   $ 1   $ 1
Options | Credit [Member]        
Derivative [Line Items]        
Net Realized Gains (Losses) Other Than Periodic Settlements of Interest Rate Swaps (100)   (100)  
Realized gains (losses) on financial derivatives, net (100)   (100)  
Change in Net Unrealized Gains (Losses) Other Than on Accrued Periodic Settlements of Interest Rate Swaps (2,558)   0  
Unrealized gains (losses) on financial derivatives, net $ (2,558)   $ 0