XML 56 R43.htm IDEA: XBRL DOCUMENT v3.4.0.3
Derivative Financial Instruments - Summary of Eurodollar Futures Positions (Details) - USD ($)
Mar. 31, 2016
Dec. 31, 2015
Eurodollar Future [Member]    
Derivatives, Fair Value [Line Items]    
Notional Amount $ 200,000,000 $ 900,000,000
Derivative Entry Rate 2.16% 2.23%
Locked-In LIBOR Rate 1.02% 1.57%
Open Equity $ (6,866,000) $ (19,193,000)
Treasury Note Futures [Member]    
Derivatives, Fair Value [Line Items]    
Notional Amount $ 185,000,000 $ 185,000,000
Derivative Entry Rate 1.52% 1.99%
Locked-In LIBOR Rate 1.51% 1.95%
Open Equity $ 1,286,000 $ 1,091,000
Dollar Price 130.39 125.91
Nominal Value 241,200,000 232,900,000
Year 2016 Expiration [Member] | Eurodollar Future [Member]    
Derivatives, Fair Value [Line Items]    
Notional Amount $ 200,000,000 $ 900,000,000
Derivative Entry Rate 1.57% 1.51%
Locked-In LIBOR Rate 0.76% 0.98%
Open Equity $ (1,211,000) $ (4,718,000)
Year 2017 Expiration [Member] | Eurodollar Future [Member]    
Derivatives, Fair Value [Line Items]    
Notional Amount $ 200,000,000 $ 900,000,000
Derivative Entry Rate 2.14% 2.31%
Locked-In LIBOR Rate 0.95% 1.59%
Open Equity $ (2,389,000) $ (6,550,000)
Year 2018 Expiration [Member] | Eurodollar Future [Member]    
Derivatives, Fair Value [Line Items]    
Notional Amount $ 200,000,000 $ 900,000,000
Derivative Entry Rate 2.53% 2.77%
Locked-In LIBOR Rate 1.19% 1.99%
Open Equity $ (2,671,000) $ (7,060,000)
Year 2019 Expiration [Member] | Eurodollar Future [Member]    
Derivatives, Fair Value [Line Items]    
Notional Amount $ 200,000,000 $ 900,000,000
Derivative Entry Rate 2.55% 2.56%
Locked-In LIBOR Rate 1.36% 2.17%
Open Equity $ (6,866,000) $ (865,000)