XML 89 R78.htm IDEA: XBRL DOCUMENT v3.21.2
Financial Derivatives (Schedule of Gains and Losses on Derivative Contracts) (Details) - USD ($)
$ in Thousands
3 Months Ended 9 Months Ended
Sep. 30, 2021
Sep. 30, 2020
Sep. 30, 2021
Sep. 30, 2020
Derivative [Line Items]        
Net Realized Gains (Losses) on Periodic Settlements of Interest Rate Swaps $ (1,069) $ (1,150) $ (1,808) $ (1,900)
Net Realized Gains (Losses) Other Than Periodic Settlements of Interest Rate Swaps (713) (485) 6,264 (23,790)
Realized gains (losses) on financial derivatives, net (1,782) (1,635) 4,456 (25,690)
Change in Net Unrealized Gains (Losses) on Accrued Periodic Settlements of Interest Rate Swaps 252 516 (47) 541
Change in Net Unrealized Gains (Losses) Other Than on Accrued Periodic Settlements of Interest Rate Swaps 896 (794) 6,192 (2,611)
Unrealized gains (losses) on financial derivatives, net 1,148 (278) 6,145 (2,070)
Derivative [Member]        
Derivative [Line Items]        
Foreign currency transactions   (15) 18 12
Foreign currency translation (7) 20 (38) 39
Interest rate swaps | Interest Rate Risk [Member]        
Derivative [Line Items]        
Net Realized Gains (Losses) on Periodic Settlements of Interest Rate Swaps (1,069) (1,150) (1,808) (1,900)
Net Realized Gains (Losses) Other Than Periodic Settlements of Interest Rate Swaps (243) (29) (96) (8,761)
Realized gains (losses) on financial derivatives, net (1,312) (1,179) (1,904) (10,661)
Change in Net Unrealized Gains (Losses) on Accrued Periodic Settlements of Interest Rate Swaps 252 516 (47) 541
Change in Net Unrealized Gains (Losses) Other Than on Accrued Periodic Settlements of Interest Rate Swaps 2,790 1,104 6,244 (16,373)
Unrealized gains (losses) on financial derivatives, net 3,042 1,620 6,197 (15,832)
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 (4) 1 39 (955)
Realized gains (losses) on financial derivatives, net (4) 1 39 (955)
Change in Net Unrealized Gains (Losses) Other Than on Accrued Periodic Settlements of Interest Rate Swaps 0 (1) (44) 915
Unrealized gains (losses) on financial derivatives, net 0 (1) (44) 915
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 (136) (239) 1,062 3,660
Realized gains (losses) on financial derivatives, net (136) (239) 1,062 3,660
Change in Net Unrealized Gains (Losses) Other Than on Accrued Periodic Settlements of Interest Rate Swaps 69 503 (1,109) 7,642
Unrealized gains (losses) on financial derivatives, net 69 503 (1,109) 7,642
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 (264) (1,067) (351) (550)
Realized gains (losses) on financial derivatives, net (264) (1,067) (351) (550)
Change in Net Unrealized Gains (Losses) Other Than on Accrued Periodic Settlements of Interest Rate Swaps 244 (1,059) (647) 3,080
Unrealized gains (losses) on financial derivatives, net 244 (1,059) (647) 3,080
Credit default swaps on corporate bonds | Credit Risk [Member]        
Derivative [Line Items]        
Net Realized Gains (Losses) Other Than Periodic Settlements of Interest Rate Swaps 184 (93) 265 356
Realized gains (losses) on financial derivatives, net 184 (93) 265 356
Change in Net Unrealized Gains (Losses) Other Than on Accrued Periodic Settlements of Interest Rate Swaps (192) (334) (346) 711
Unrealized gains (losses) on financial derivatives, net (192) (334) (346) 711
Total return swaps | Credit Risk [Member]        
Derivative [Line Items]        
Net Realized Gains (Losses) Other Than Periodic Settlements of Interest Rate Swaps (41) (125) (1,243) (2,180)
Realized gains (losses) on financial derivatives, net (41) (125) (1,243) (2,180)
Change in Net Unrealized Gains (Losses) Other Than on Accrued Periodic Settlements of Interest Rate Swaps (465) (348) 476 607
Unrealized gains (losses) on financial derivatives, net (465) (348) 476 607
TBA securities | Interest Rate Risk [Member]        
Derivative [Line Items]        
Net Realized Gains (Losses) Other Than Periodic Settlements of Interest Rate Swaps (425) 2,367 4,536 (6,778)
Realized gains (losses) on financial derivatives, net (425) 2,367 4,536 (6,778)
Change in Net Unrealized Gains (Losses) Other Than on Accrued Periodic Settlements of Interest Rate Swaps (2,381) (744) (720) 1,280
Unrealized gains (losses) on financial derivatives, net (2,381) (744) (720) 1,280
Futures | Interest Rate Risk [Member]        
Derivative [Line Items]        
Net Realized Gains (Losses) Other Than Periodic Settlements of Interest Rate Swaps (271) (402) 1,641 (7,866)
Realized gains (losses) on financial derivatives, net (271) (402) 1,641 (7,866)
Change in Net Unrealized Gains (Losses) Other Than on Accrued Periodic Settlements of Interest Rate Swaps 843 52 1,721 (434)
Unrealized gains (losses) on financial derivatives, net 843 52 1,721 (434)
Forwards | Currency risk [Member]        
Derivative [Line Items]        
Net Realized Gains (Losses) Other Than Periodic Settlements of Interest Rate Swaps 487 (898) 411 (616)
Realized gains (losses) on financial derivatives, net 487 (898) 411 (616)
Change in Net Unrealized Gains (Losses) Other Than on Accrued Periodic Settlements of Interest Rate Swaps (85) 33 640 343
Unrealized gains (losses) on financial derivatives, net (85) $ 33 640 343
Warrants | Equity Market/Credit Risk [Member]        
Derivative [Line Items]        
Net Realized Gains (Losses) Other Than Periodic Settlements of Interest Rate Swaps 0   0 0
Realized gains (losses) on financial derivatives, net 0   0 0
Change in Net Unrealized Gains (Losses) Other Than on Accrued Periodic Settlements of Interest Rate Swaps 221   187 (382)
Unrealized gains (losses) on financial derivatives, net 221   187 (382)
Options | Interest Rate Risk [Member]        
Derivative [Line Items]        
Net Realized Gains (Losses) Other Than Periodic Settlements of Interest Rate Swaps       (100)
Realized gains (losses) on financial derivatives, net       (100)
Change in Net Unrealized Gains (Losses) Other Than on Accrued Periodic Settlements of Interest Rate Swaps       0
Unrealized gains (losses) on financial derivatives, net       $ 0
Put Option [Member] | Interest Rate Risk [Member]        
Derivative [Line Items]        
Net Realized Gains (Losses) Other Than Periodic Settlements of Interest Rate Swaps 0      
Realized gains (losses) on financial derivatives, net 0      
Change in Net Unrealized Gains (Losses) Other Than on Accrued Periodic Settlements of Interest Rate Swaps (148)      
Unrealized gains (losses) on financial derivatives, net $ (148)      
Put Option [Member] | Credit Risk [Member]        
Derivative [Line Items]        
Net Realized Gains (Losses) Other Than Periodic Settlements of Interest Rate Swaps     0  
Realized gains (losses) on financial derivatives, net     0  
Change in Net Unrealized Gains (Losses) Other Than on Accrued Periodic Settlements of Interest Rate Swaps     (210)  
Unrealized gains (losses) on financial derivatives, net     $ (210)