x | QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 |
¨ | TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 |
Delaware | 26-0489289 | |
(State or Other Jurisdiction of Incorporation or Organization) | (I.R.S. Employer Identification No.) | |
53 Forest Avenue, Old Greenwich, Connecticut 06870 | ||
(Address of Principal Executive Office) (Zip Code) |
Large Accelerated Filer | ¨ | Accelerated Filer | x |
Non-Accelerated Filer (Do not check if a smaller reporting company) | ¨ | Smaller Reporting Company | ¨ |
Emerging Growth Company | ¨ |
Class | Outstanding at August 4, 2017 | |
Common Shares Representing Limited Liability Company Interests, no par value | 32,112,697 |
Part I. Financial Information | ||
Item 1. Consolidated Financial Statements (unaudited) | ||
Item 2. Management's Discussion and Analysis of Financial Condition and Results of Operations | ||
Item 3. Quantitative and Qualitative Disclosures about Market Risk | ||
Item 4. Controls and Procedures | ||
Item 5. Other Information | ||
Part II. Other Information | ||
Item 1. Legal Proceedings | ||
Item 1A. Risk Factors | ||
Item 2. Unregistered Sales of Equity Securities and Use of Proceeds | ||
Item 6. Exhibits |
June 30, 2017 | December 31, 2016 | ||||||
(In thousands except share amounts) | Expressed in U.S. Dollars | ||||||
ASSETS | |||||||
Cash and cash equivalents | $ | 134,515 | $ | 123,274 | |||
Restricted cash | 425 | 655 | |||||
Investments, financial derivatives, and repurchase agreements: | |||||||
Investments, at fair value (Cost – $1,799,464 and $1,525,710) | 1,794,129 | 1,505,026 | |||||
Financial derivatives–assets, at fair value (Net cost – $36,162 and $40,724) | 26,602 | 35,595 | |||||
Repurchase agreements, at fair value (Cost – $265,403 and $185,205) | 266,659 | 184,819 | |||||
Total investments, financial derivatives, and repurchase agreements | 2,087,390 | 1,725,440 | |||||
Due from brokers | 62,934 | 93,651 | |||||
Receivable for securities sold and financial derivatives | 484,124 | 445,112 | |||||
Interest and principal receivable | 21,157 | 21,704 | |||||
Other assets | 6,881 | 3,359 | |||||
Total Assets | $ | 2,797,426 | $ | 2,413,195 | |||
LIABILITIES | |||||||
Investments and financial derivatives: | |||||||
Investments sold short, at fair value (Proceeds – $687,979 and $589,429) | $ | 687,234 | $ | 584,896 | |||
Financial derivatives–liabilities, at fair value (Net proceeds – $19,994 and $12,012) | 27,003 | 18,687 | |||||
Total investments and financial derivatives | 714,237 | 603,583 | |||||
Reverse repurchase agreements | 1,119,238 | 1,033,581 | |||||
Due to brokers | 3,898 | 12,780 | |||||
Payable for securities purchased and financial derivatives | 224,529 | 85,168 | |||||
Other secured borrowings (Proceeds – $88,100 and $24,086) | 88,100 | 24,086 | |||||
Accounts payable and accrued expenses | 3,996 | 3,327 | |||||
Base management fee payable | 2,371 | 2,416 | |||||
Interest and dividends payable | 3,977 | 3,460 | |||||
Other liabilities | 119 | 17 | |||||
Total Liabilities | 2,160,465 | 1,768,418 | |||||
EQUITY | 636,961 | 644,777 | |||||
TOTAL LIABILITIES AND EQUITY | $ | 2,797,426 | $ | 2,413,195 | |||
Commitments and contingencies (Note 15) | |||||||
ANALYSIS OF EQUITY: | |||||||
Common shares, no par value, 100,000,000 shares authorized; | |||||||
(32,112,697 and 32,294,703 shares issued and outstanding) | $ | 615,702 | $ | 627,620 | |||
Additional paid-in capital – LTIP Units | 10,229 | 10,041 | |||||
Total Shareholders' Equity | 625,931 | 637,661 | |||||
Non-controlling interests | 11,030 | 7,116 | |||||
Total Equity | $ | 636,961 | $ | 644,777 | |||
PER SHARE INFORMATION: | |||||||
Common shares | $ | 19.49 | $ | 19.75 |
Current Principal/Number of Shares | Description | Rate | Maturity | Fair Value | ||||||||
(In thousands) | Expressed in U.S. Dollars | |||||||||||
Cash Equivalents—Money Market Funds (3.14%) (a) (b) | ||||||||||||
North America | ||||||||||||
Funds | ||||||||||||
$ | 20,000 | Various Money Market Funds | 0.86% | $ | 20,000 | |||||||
Total Cash Equivalents—Money Market Funds (Cost $20,000) | $ | 20,000 |
Long Investments (281.67%) (a) (b) (ab) | ||||||||||||
Mortgage-Backed Securities (185.61%) | ||||||||||||
Agency Securities (159.17%) (c) | ||||||||||||
Fixed-rate Agency Securities (146.27%) | ||||||||||||
Principal and Interest–Fixed-Rate Agency Securities (116.16%) | ||||||||||||
North America | ||||||||||||
Mortgage-related—Residential | ||||||||||||
$ | 166,436 | Federal National Mortgage Association Pools (30 Year) | 4.00% | 9/39 - 7/47 | $ | 176,498 | ||||||
112,317 | Federal Home Loan Mortgage Corporation Pools (30 Year) | 4.00% | 11/41 - 7/47 | 119,004 | ||||||||
71,402 | Federal National Mortgage Association Pools (30 Year) | 3.50% | 9/42 - 5/47 | 73,762 | ||||||||
64,503 | Federal National Mortgage Association Pools (30 Year) | 4.50% | 10/41 - 6/47 | 69,793 | ||||||||
56,342 | Federal National Mortgage Association Pools (15 Year) | 3.50% | 3/28 - 3/32 | 59,031 | ||||||||
44,150 | Federal Home Loan Mortgage Corporation Pools (30 Year) | 4.50% | 9/43 - 6/47 | 47,718 | ||||||||
41,300 | Federal National Mortgage Association Pools (30 Year) | 5.00% | 10/35 - 12/44 | 45,234 | ||||||||
22,154 | Federal Home Loan Mortgage Corporation Pools (30 Year) | 3.50% | 1/42 - 2/47 | 22,909 | ||||||||
20,973 | Federal National Mortgage Association Pools (15 Year) | 3.00% | 4/30 - 1/32 | 21,584 | ||||||||
14,044 | Government National Mortgage Association Pools (30 Year) | 4.50% | 9/46 - 7/47 | 15,113 | ||||||||
11,342 | Government National Mortgage Association Pools (30 Year) | 4.00% | 6/45 - 5/47 | 11,975 | ||||||||
9,771 | Federal Home Loan Mortgage Corporation Pools (15 Year) | 3.50% | 9/28 - 3/32 | 10,249 | ||||||||
9,425 | Federal Home Loan Mortgage Corporation Pools (Other) | 3.50% | 2/30 - 9/46 | 9,694 | ||||||||
9,033 | Federal National Mortgage Association Pools (15 Year) | 4.00% | 6/26 - 5/31 | 9,538 | ||||||||
6,174 | Federal National Mortgage Association Pools (Other) | 5.00% | 9/43 - 1/44 | 6,826 | ||||||||
5,265 | Government National Mortgage Association Pools (30 Year) | 3.50% | 11/46 - 3/47 | 5,475 | ||||||||
3,614 | Federal National Mortgage Association Pools (Other) | 4.50% | 5/41 | 3,824 | ||||||||
3,800 | Federal Home Loan Mortgage Corporation Pools (30 Year) | 3.00% | 7/43 - 10/45 | 3,820 | ||||||||
3,282 | Federal National Mortgage Association Pools (15 Year) | 4.50% | 4/26 | 3,528 | ||||||||
2,933 | Federal Home Loan Mortgage Corporation Pools (15 Year) | 3.00% | 4/30 | 3,019 | ||||||||
2,699 | Federal Home Loan Mortgage Corporation Pools (Other) | 4.50% | 5/44 | 2,934 | ||||||||
2,363 | Federal National Mortgage Association Pools (30 Year) | 5.50% | 10/39 | 2,628 | ||||||||
2,179 | Government National Mortgage Association Pools (30 Year) | 2.50% | 10/46 | 2,132 | ||||||||
1,978 | Federal National Mortgage Association Pools (30 Year) | 3.00% | 1/42 - 6/45 | 1,997 | ||||||||
1,851 | Federal National Mortgage Association Pools (20 Year) | 4.00% | 12/33 | 1,972 | ||||||||
1,672 | Federal National Mortgage Association Pools (30 Year) | 6.00% | 9/39 - 2/40 | 1,897 | ||||||||
1,513 | Federal Home Loan Mortgage Corporation Pools (15 Year) | 4.00% | 2/29 | 1,598 | ||||||||
1,283 | Federal Home Loan Mortgage Corporation Pools (Other) | 3.00% | 6/28 - 3/30 | 1,313 | ||||||||
1,132 | Federal Home Loan Mortgage Corporation Pools (20 Year) | 4.50% | 12/33 | 1,227 | ||||||||
990 | Federal Home Loan Mortgage Corporation Pools (30 Year) | 6.00% | 4/39 - 5/40 | 1,115 | ||||||||
661 | Government National Mortgage Association Pools (Other) | 3.50% | 10/30 - 2/32 | 671 |
Current Principal/Notional Value | Description | Rate | Maturity | Fair Value | ||||||||
(In thousands) | Expressed in U.S. Dollars | |||||||||||
(continued) | ||||||||||||
$ | 563 | Federal National Mortgage Association Pools (Other) | 3.50% | 4/26 | $ | 581 | ||||||
493 | Federal Home Loan Mortgage Corporation Pools (30 Year) | 5.00% | 7/44 | 536 | ||||||||
455 | Federal Home Loan Mortgage Corporation Pools (30 Year) | 5.50% | 8/33 | 504 | ||||||||
156 | Government National Mortgage Association Pools (Other) | 3.00% | 6/30 | 156 | ||||||||
51 | Federal National Mortgage Association Pools (Other) | 4.00% | 6/37 | 53 | ||||||||
739,908 | ||||||||||||
Interest Only–Fixed-Rate Agency Securities (1.87%) | ||||||||||||
North America | ||||||||||||
Mortgage-related—Residential | ||||||||||||
24,723 | Government National Mortgage Association | 4.00% | 2/45 - 6/45 | 4,126 | ||||||||
7,872 | Federal National Mortgage Association | 4.50% | 12/20 - 6/44 | 1,155 | ||||||||
6,121 | Government National Mortgage Association | 4.50% | 2/41 - 7/44 | 1,060 | ||||||||
4,534 | Federal National Mortgage Association | 5.50% | 10/39 | 1,024 | ||||||||
5,374 | Government National Mortgage Association | 5.50% | 11/43 | 951 | ||||||||
4,752 | Federal Home Loan Mortgage Corporation | 3.50% | 12/32 | 715 | ||||||||
5,339 | Federal National Mortgage Association | 5.00% | 1/38 - 5/40 | 627 | ||||||||
4,839 | Federal National Mortgage Association | 4.00% | 5/39 - 11/43 | 560 | ||||||||
2,283 | Federal National Mortgage Association | 6.00% | 1/40 | 431 | ||||||||
78,408 | Government National Mortgage Association | 0.26% | 6/40 | 394 | ||||||||
2,924 | Federal National Mortgage Association | 3.00% | 9/41 | 283 | ||||||||
997 | Government National Mortgage Association | 6.00% | 6/38 | 232 | ||||||||
1,174 | Government National Mortgage Association | 4.75% | 7/40 | 210 | ||||||||
1,714 | Government National Mortgage Association | 5.00% | 5/37 | 91 | ||||||||
612 | Federal Home Loan Mortgage Corporation | 5.50% | 1/39 | 57 | ||||||||
11,916 | ||||||||||||
TBA–Fixed-Rate Agency Securities (28.24%) | ||||||||||||
North America | ||||||||||||
Mortgage-related—Residential | ||||||||||||
74,250 | Federal National Mortgage Association (15 Year) | 3.50% | 7/17 | 77,252 | ||||||||
37,940 | Government National Mortgage Association (30 Year) | 4.00% | 7/17 | 39,920 | ||||||||
29,270 | Federal Home Loan Mortgage Corporation (30 Year) | 3.50% | 7/17 | 30,075 | ||||||||
19,580 | Federal National Mortgage Association (15 Year) | 3.00% | 7/17 | 20,093 | ||||||||
7,850 | Government National Mortgage Association (30 Year) | 4.50% | 7/17 | 8,381 | ||||||||
1,670 | Federal Home Loan Mortgage Corporation (15 Year) | 3.00% | 7/17 | 1,715 | ||||||||
1,500 | Government National Mortgage Association (30 Year) | 3.00% | 7/17 | 1,516 | ||||||||
890 | Government National Mortgage Association (30 Year) | 3.50% | 7/17 | 922 | ||||||||
179,874 | ||||||||||||
Total Fixed-Rate Agency Securities (Cost $935,003) | 931,698 | |||||||||||
Current Principal /Notional Value | Description | Rate | Maturity | Fair Value | ||||||||
(In thousands) | Expressed in U.S. Dollars | |||||||||||
Floating Rate Agency Securities (12.90%) | ||||||||||||
Principal and Interest–Floating Rate Agency Securities (10.25%) | ||||||||||||
North America | ||||||||||||
Mortgage-related—Residential | ||||||||||||
$ | 50,986 | Government National Mortgage Association Pools | 3.35% - 4.68% | 7/61 - 11/66 | $ | 55,315 | ||||||
5,453 | Federal National Mortgage Association Pools | 2.77% - 3.61% | 9/35 - 5/45 | 5,699 | ||||||||
4,157 | Federal Home Loan Mortgage Corporation Pools | 3.12% - 4.90% | 6/37 - 5/44 | 4,292 | ||||||||
65,306 | ||||||||||||
Interest Only–Floating Rate Agency Securities (2.65%) | ||||||||||||
North America | ||||||||||||
Mortgage-related—Residential | ||||||||||||
253,621 | Other Government National Mortgage Association | 0.33% - 5.63% | 5/37 - 4/65 | 13,981 | ||||||||
11,076 | Other Federal National Mortgage Association | 4.93% - 6.33% | 6/33 - 12/41 | 1,514 | ||||||||
4,757 | Other Federal Home Loan Mortgage Corporation | 4.84% - 5.47% | 3/36 - 8/39 | 784 | ||||||||
13,491 | Resecuritization of Government National Mortgage Association (d) | 3.50% | 8/60 | 588 | ||||||||
16,867 | ||||||||||||
Total Floating Rate Agency Securities (Cost $82,648) | 82,173 | |||||||||||
Total Agency Securities (Cost $1,017,651) | 1,013,871 | |||||||||||
Private Label Securities (26.44%) | ||||||||||||
Principal and Interest–Private Label Securities (24.94%) | ||||||||||||
North America (14.25%) | ||||||||||||
Mortgage-related—Residential | ||||||||||||
140,657 | Various | 0.48% - 32.30% | 5/19 - 9/46 | 67,273 | ||||||||
Mortgage-related—Commercial | ||||||||||||
94,750 | Various | 2.45% - 4.41% | 7/45 - 12/49 | 23,458 | ||||||||
Total North America (Cost $81,462) | 90,731 | |||||||||||
Europe (10.69%) | ||||||||||||
Mortgage-related—Residential | ||||||||||||
85,679 | Various | 0.00% - 4.20% | 6/25 - 6/46 | 61,978 | ||||||||
Mortgage-related—Commercial | ||||||||||||
15,967 | Various | 0.37% - 4.82% | 10/20 - 2/41 | 6,129 | ||||||||
Total Europe (Cost $68,389) | 68,107 | |||||||||||
Total Principal and Interest–Private Label Securities (Cost $149,851) | 158,838 | |||||||||||
Interest Only–Private Label Securities (1.50%) | ||||||||||||
North America | ||||||||||||
Mortgage-related—Residential | ||||||||||||
39,576 | Various | 0.00% - 2.00% | 12/30 - 9/47 | 5,299 | ||||||||
Mortgage-related—Commercial | ||||||||||||
72,535 | Various | 1.25% - 2.00% | 10/47 - 12/49 | 4,258 | ||||||||
Total Interest Only–Private Label Securities (Cost $7,605) | 9,557 | |||||||||||
Current Principal /Notional Value | Description | Rate | Maturity | Fair Value | ||||||||
(In thousands) | Expressed in U.S. Dollars | |||||||||||
Other Private Label Securities (0.00%) | ||||||||||||
North America | ||||||||||||
Mortgage-related—Residential | ||||||||||||
$ | 82,238 | Various | —% | 6/37 | $ | — | ||||||
Mortgage-related—Commercial | ||||||||||||
— | Various | —% | 7/45 - 12/49 | — | ||||||||
Total Other Private Label Securities (Cost $223) | — | |||||||||||
Total Private Label Securities (Cost $157,679) | 168,395 | |||||||||||
Total Mortgage-Backed Securities (Cost $1,175,330) | 1,182,266 | |||||||||||
Collateralized Loan Obligations (19.18%) | ||||||||||||
North America (15.07%) | ||||||||||||
170,914 | Various | 0.00% - 10.04% | 11/17 - 11/57 | 60,158 | ||||||||
20,937 | Ellington CLO I LTD Unsecured Subordinated Notes (e) | —% | 7/27 | 20,937 | ||||||||
12,323 | Ellington CLO I LTD Class C (e) | 7.28% | 7/27 | 11,635 | ||||||||
3,346 | Ellington CLO I LTD Class B (e) | 5.28% | 7/27 | 3,278 | ||||||||
Total North America (Cost $98,075) | 96,008 | |||||||||||
Europe (4.11%) | ||||||||||||
26,844 | Various | 0.00% - 6.25% | 11/21 - 10/25 | 26,142 | ||||||||
Total Europe (Cost $24,354) | 26,142 | |||||||||||
Total Collateralized Loan Obligations (Cost $122,429) | 122,150 | |||||||||||
Consumer Loans and Asset-backed Securities backed by Consumer Loans (17.06%) (f) | ||||||||||||
North America (16.61%) | ||||||||||||
Consumer (g) (h) | ||||||||||||
105,124 | Various | 5.31% - 60.28% | 7/17 - 5/22 | 105,817 | ||||||||
Total North America (Cost $111,078) | 105,817 | |||||||||||
Europe (0.45%) | ||||||||||||
Consumer | ||||||||||||
3,524 | Various | —% | 8/24 - 12/30 | 2,854 | ||||||||
Total Europe (Cost $1,270) | 2,854 | |||||||||||
Total Consumer Loans and Asset-backed Securities backed by Consumer Loans (Cost $112,348) | 108,671 | |||||||||||
Corporate Debt (14.85%) | ||||||||||||
North America (14.49%) | ||||||||||||
Basic Materials | ||||||||||||
7,830 | Various | 3.10% - 7.00% | 3/20 - 3/27 | 7,838 | ||||||||
Communications | ||||||||||||
12,659 | Various | 3.40% - 11.50% | 4/20 - 9/25 | 12,658 | ||||||||
Consumer | ||||||||||||
22,400 | Various | 2.60% - 9.73% | 4/18 - 12/34 | 22,692 | ||||||||
Energy | ||||||||||||
27,944 | Various | 7.75% - 9.88% | 3/19 - 2/24 | 29,403 | ||||||||
Current Principal/Number of Properties/Number of Shares | Description | Rate | Maturity | Fair Value | ||||||||
(In thousands) | Expressed in U.S. Dollars | |||||||||||
(continued) | ||||||||||||
Industrial | ||||||||||||
$ | 4,961 | Various | 3.75% - 4.25% | 4/19 - 12/21 | $ | 4,923 | ||||||
Mortgage-related—Residential (m) | ||||||||||||
11,170 | Various | 6.00% - 15.00% | 7/17 - 10/19 | 11,170 | ||||||||
Technology | ||||||||||||
3,240 | Various | 7.50% | 8/22 | 3,616 | ||||||||
Total North America (Cost $92,842) | 92,300 | |||||||||||
Europe (0.36%) | ||||||||||||
Consumer | ||||||||||||
18,929 | Various | —% | 3/18 | 260 | ||||||||
Industrial | ||||||||||||
2,160 | Various | 0.00% - 9.00% | 9/20 - 3/21 | 2,024 | ||||||||
Total Europe (Cost $2,974) | 2,284 | |||||||||||
Total Corporate Debt (Cost $95,816) | 94,584 | |||||||||||
Mortgage Loans (31.71%) (f) | ||||||||||||
North America | ||||||||||||
Mortgage-related—Commercial (j) | ||||||||||||
67,535 | Various | 3.01% - 12.56% | 8/17 - 10/37 | 65,896 | ||||||||
Mortgage-related—Residential (l) | ||||||||||||
139,333 | Various | 2.00% - 12.63% | 4/22 - 7/57 | 136,097 | ||||||||
Total Mortgage Loans (Cost $203,674) | 201,993 | |||||||||||
Real Estate Owned (3.92%) (f) (k) | ||||||||||||
North America | ||||||||||||
Real estate-related | ||||||||||||
3 | Single-Family Houses | 632 | ||||||||||
9 | Commercial Properties | 24,345 | ||||||||||
Total Real Estate Owned (Cost $25,462) | 24,977 | |||||||||||
Corporate Equity Investments (5.86%) | ||||||||||||
North America (5.86%) | ||||||||||||
Asset-Backed Securities | ||||||||||||
n/a | Non-Controlling Equity Interest in Limited Liability Company (m) | 5,591 | ||||||||||
Communications | ||||||||||||
7 | Non-Exchange Traded Corporate Equity | 645 | ||||||||||
Consumer | ||||||||||||
n/a | Non-Controlling Equity Interest in Limited Liability Company (i) | 5,966 | ||||||||||
1,540 | Non-Exchange Traded Corporate Equity | 4 | ||||||||||
Diversified | ||||||||||||
174 | Non-Exchange Traded Corporate Equity | 3,492 | ||||||||||
Energy | ||||||||||||
51 | Exchange Traded Equity | 1,625 |
Current Principal/Number of Shares | Description | Rate | Maturity | Fair Value | ||||||||
(In thousands) | Expressed in U.S. Dollars | |||||||||||
(continued) | ||||||||||||
Mortgage-related—Residential (m) | ||||||||||||
$ | 1,843 | Non-Exchange Traded Preferred Equity Investment in Mortgage Originators | $ | 19,325 | ||||||||
6,750 | Non-Exchange Traded Common Equity Investment in Mortgage Originators | 675 | ||||||||||
Total North America (Cost $42,345) | 37,323 | |||||||||||
Europe (0.00%) | ||||||||||||
Consumer | ||||||||||||
125 | Non-Exchange Traded Corporate Equity | — | ||||||||||
Total Europe (Cost $0) | — | |||||||||||
Total Corporate Equity Investments (Cost $42,345) | 37,323 | |||||||||||
U.S. Treasury Securities (3.48%) | ||||||||||||
North America | ||||||||||||
Government | ||||||||||||
21,978 | U.S. Treasury Note | 1.63% - 2.00% | 12/21 - 5/26 | 22,017 | ||||||||
144 | U.S. Treasury Bond | 3.00% | 2/47 | 148 | ||||||||
Total U.S. Treasury Securities (Cost $22,060) | 22,165 | |||||||||||
Total Long Investments (Cost $1,799,464) | $ | 1,794,129 |
Current Principal | Description | Rate | Maturity | Fair Value | ||||||||
(In thousands) | Expressed in U.S. Dollars | |||||||||||
Repurchase Agreements (41.86%) (a) (b) (n) | ||||||||||||
$ | 35,354 | JP Morgan Securities LLC | 1.35% | 7/17 | $ | 35,354 | ||||||
Collateralized by Par Value $35,310 | ||||||||||||
U.S. Treasury Note, Coupon 2.00%, | ||||||||||||
Maturity Date 6/24 | ||||||||||||
34,846 | Bank of America Securities | 1.30% | 7/17 | 34,846 | ||||||||
Collateralized by Par Value $34,247 | ||||||||||||
U.S. Treasury Note, Coupon 2.25%, | ||||||||||||
Maturity Date 2/27 | ||||||||||||
16,274 | Bank of America Securities | 1.30% | 7/17 | 16,274 | ||||||||
Collateralized by Par Value $16,543 | ||||||||||||
U.S. Treasury Note, Coupon 2.00%, | ||||||||||||
Maturity Date 11/26 | ||||||||||||
16,096 | JP Morgan Securities LLC | (0.70)% | 7/17 | 16,096 | ||||||||
Collateralized by Par Value $14,711 | ||||||||||||
Sovereign Government Bond, Coupon 0.25%, | ||||||||||||
Maturity Date 4/18 | ||||||||||||
15,078 | Bank of America Securities | 0.90% | 7/17 | 15,078 | ||||||||
Collateralized by Par Value $15,135 | ||||||||||||
U.S. Treasury Note, Coupon 1.75%, | ||||||||||||
Maturity Date 5/22 | ||||||||||||
14,000 | JP Morgan Securities LLC | (0.80)% | 7/17 | 14,000 | ||||||||
Collateralized by Par Value $12,673 | ||||||||||||
Sovereign Government Bond, Coupon 0.25%, | ||||||||||||
Maturity Date 11/20 | ||||||||||||
10,512 | JP Morgan Securities LLC | (0.90)% | 7/17 | 10,512 | ||||||||
Collateralized by Par Value $9,305 | ||||||||||||
Sovereign Government Bond, Coupon 0.75%, | ||||||||||||
Maturity Date 7/21 | ||||||||||||
9,741 | JP Morgan Securities LLC | (0.72)% | 7/17 | 9,741 | ||||||||
Collateralized by Par Value $8,439 | ||||||||||||
Sovereign Government Bond, Coupon 2.75%, | ||||||||||||
Maturity Date 4/19 | ||||||||||||
9,578 | JP Morgan Securities LLC | (0.75)% | 7/17 | 9,578 | ||||||||
Collateralized by Par Value $8,372 | ||||||||||||
Sovereign Government Bond, Coupon 1.15%, | ||||||||||||
Maturity Date 7/20 | ||||||||||||
9,255 | JP Morgan Securities LLC | (0.72)% | 7/17 | 9,255 | ||||||||
Collateralized by Par Value $8,372 | ||||||||||||
Sovereign Government Bond, Coupon 0.65%, | ||||||||||||
Maturity Date 11/20 | ||||||||||||
Current Principal | Description | Rate | Maturity | Fair Value | ||||||||
(In thousands) | Expressed in U.S. Dollars | |||||||||||
(continued) | ||||||||||||
$ | 6,633 | Bank of America Securities | 1.20% | 7/17 | $ | 6,633 | ||||||
Collateralized by Par Value $6,600 | ||||||||||||
U.S. Treasury Note, Coupon 1.88%, | ||||||||||||
Maturity Date 4/22 | ||||||||||||
6,214 | RBC Capital Markets LLC | (2.00)% | 7/17 | 6,214 | ||||||||
Collateralized by Par Value $6,810 | ||||||||||||
Exchange-Traded Corporate Debt, Coupon 6.25%, | ||||||||||||
Maturity Date 9/21 | ||||||||||||
6,166 | CILO 2016-LD1 Holdings LLC (o) | 2.95% | 7/17 | 6,166 | ||||||||
Collateralized by Par Value $9,512 | ||||||||||||
Exchange-Traded Debt, Coupon 5.50%, | ||||||||||||
Maturity Date 7/22 | ||||||||||||
3,682 | Barclays Capital Inc | (2.25)% | 7/17 | 3,682 | ||||||||
Collateralized by Par Value $3,830 | ||||||||||||
Exchange-Traded Corporate Debt, Coupon 6.25%, | ||||||||||||
Maturity Date 9/21 | ||||||||||||
3,445 | JP Morgan Securities LLC | (2.75)% | 7/17 | 3,445 | ||||||||
Collateralized by Par Value $3,516 | ||||||||||||
Exchange-Traded Corporate Debt, Coupon 4.88%, | ||||||||||||
Maturity Date 4/22 | ||||||||||||
3,388 | RBC Capital Markets LLC | 0.80% | 7/17 | 3,388 | ||||||||
Collateralized by Par Value $3,250 | ||||||||||||
Exchange-Traded Corporate Debt, Coupon 2.90%, | ||||||||||||
Maturity Date 1/22 | ||||||||||||
3,130 | RBC Capital Markets LLC | (4.25)% | 7/17 | 3,130 | ||||||||
Collateralized by Par Value $3,046 | ||||||||||||
Exchange-Traded Corporate Debt, Coupon 8.00%, | ||||||||||||
Maturity Date 1/25 | ||||||||||||
3,028 | RBC Capital Markets LLC | 0.80% | 7/17 | 3,028 | ||||||||
Collateralized by Par Value $3,230 | ||||||||||||
Exchange-Traded Corporate Debt, Coupon 3.88%, | ||||||||||||
Maturity Date 3/23 | ||||||||||||
2,942 | Societe Generale | 0.05% | 7/17 | 2,942 | ||||||||
Collateralized by Par Value $2,840 | ||||||||||||
Exchange-Traded Corporate Debt, Coupon 9.25%, | ||||||||||||
Maturity Date 7/21 | ||||||||||||
2,905 | Barclays Capital Inc | (2.00)% | 7/17 | 2,905 | ||||||||
Collateralized by Par Value $3,050 | ||||||||||||
Exchange-Traded Corporate Debt, Coupon 5.88%, | ||||||||||||
Maturity Date 10/20 | ||||||||||||
Current Principal | Description | Rate | Maturity | Fair Value | ||||||||
(In thousands) | Expressed in U.S. Dollars | |||||||||||
(continued) | ||||||||||||
$ | 2,901 | Societe Generale | 0.85% | 7/17 | $ | 2,901 | ||||||
Collateralized by Par Value $2,630 | ||||||||||||
Exchange-Traded Corporate Debt, Coupon 6.00%, | ||||||||||||
Maturity Date 3/23 | ||||||||||||
2,817 | Barclays Capital Inc | 0.75% | 7/17 | 2,817 | ||||||||
Collateralized by Par Value $2,680 | ||||||||||||
Exchange-Traded Corporate Debt, Coupon 3.45%, | ||||||||||||
Maturity Date 7/24 | ||||||||||||
2,778 | Bank of America Securities | 1.30% | 7/17 | 2,778 | ||||||||
Collateralized by Par Value $2,750 | ||||||||||||
U.S. Treasury Note, Coupon 1.88%, | ||||||||||||
Maturity Date 3/22 | ||||||||||||
2,753 | JP Morgan Securities LLC | 0.00% | 7/17 | 2,753 | ||||||||
Collateralized by Par Value $2,668 | ||||||||||||
Exchange-Traded Corporate Debt, Coupon 4.00%, | ||||||||||||
Maturity Date 11/21 | ||||||||||||
2,723 | RBC Capital Markets LLC | 0.75% | 7/17 | 2,723 | ||||||||
Collateralized by Par Value $2,650 | ||||||||||||
Exchange-Traded Corporate Debt, Coupon 3.88%, | ||||||||||||
Maturity Date 1/22 | ||||||||||||
2,583 | Societe Generale | 0.85% | 7/17 | 2,583 | ||||||||
Collateralized by Par Value $2,532 | ||||||||||||
Exchange-Traded Corporate Debt, Coupon 4.00%, | ||||||||||||
Maturity Date 11/21 | ||||||||||||
2,349 | JP Morgan Securities LLC | (4.25)% | 7/17 | 2,349 | ||||||||
Collateralized by Par Value $2,290 | ||||||||||||
Exchange-Traded Corporate Debt, Coupon 5.13%, | ||||||||||||
Maturity Date 6/22 | ||||||||||||
1,886 | Mitsubishi UFJ Securities USA Inc. | 0.00% | 8/17 | 1,886 | ||||||||
Collateralized by Par Value $2,750 | ||||||||||||
Collateralized Loan Obligation, Coupon 5.54%, | ||||||||||||
Maturity Date 5/20 | ||||||||||||
1,785 | RBC Capital Markets LLC | (1.90)% | 7/17 | 1,785 | ||||||||
Collateralized by Par Value $1,835 | ||||||||||||
Exchange-Traded Corporate Debt, Coupon 8.00%, | ||||||||||||
Maturity Date 6/27 | ||||||||||||
1,761 | Barclays Capital Inc | (3.50)% | 7/17 | 1,761 | ||||||||
Collateralized by Par Value $1,844 | ||||||||||||
Exchange-Traded Corporate Debt, Coupon 4.88%, | ||||||||||||
Maturity Date 4/22 |
Current Principal | Description | Rate | Maturity | Fair Value | ||||||||
(In thousands) | Expressed in U.S. Dollars | |||||||||||
(continued) | ||||||||||||
$ | 1,664 | Societe Generale | 0.85% | 7/17 | $ | 1,664 | ||||||
Collateralized by Par Value $1,490 | ||||||||||||
Exchange-Traded Corporate Debt, Coupon 6.38%, | ||||||||||||
Maturity Date 12/23 | ||||||||||||
1,612 | RBC Capital Markets LLC | 0.80% | 7/17 | 1,612 | ||||||||
Collateralized by Par Value $1,550 | ||||||||||||
Exchange-Traded Corporate Debt, Coupon 9.25%, | ||||||||||||
Maturity Date 7/21 | ||||||||||||
1,559 | Societe Generale | 0.45% | 7/17 | 1,559 | ||||||||
Collateralized by Par Value $1,440 | ||||||||||||
Exchange-Traded Corporate Debt, Coupon 6.38%, | ||||||||||||
Maturity Date 10/23 | ||||||||||||
1,453 | Barclays Capital Inc | (1.50)% | 7/17 | 1,453 | ||||||||
Collateralized by Par Value $1,525 | ||||||||||||
Exchange-Traded Corporate Debt, Coupon 5.88%, | ||||||||||||
Maturity Date 10/20 | ||||||||||||
1,380 | Barclays Capital Inc | (2.50)% | 7/17 | 1,380 | ||||||||
Collateralized by Par Value $1,365 | ||||||||||||
Exchange-Traded Corporate Debt, Coupon 8.00%, | ||||||||||||
Maturity Date 6/27 | ||||||||||||
1,299 | RBC Capital Markets LLC | 0.80% | 7/17 | 1,299 | ||||||||
Collateralized by Par Value $1,220 | ||||||||||||
Exchange-Traded Corporate Debt, Coupon 5.75%, | ||||||||||||
Maturity Date 11/24 | ||||||||||||
1,290 | Bank of America Securities | 1.30% | 7/17 | 1,290 | ||||||||
Collateralized by Par Value $1,360 | ||||||||||||
U.S. Treasury Note, Coupon 1.50%, | ||||||||||||
Maturity Date 8/26 | ||||||||||||
1,183 | Mitsubishi UFJ Securities USA Inc. | 0.00% | 8/17 | 1,183 | ||||||||
Collateralized by Par Value $2,500 | ||||||||||||
Collateralized Loan Obligation, Coupon 5.03%, | ||||||||||||
Maturity Date 11/21 | ||||||||||||
1,145 | RBC Capital Markets LLC | 0.50% | 7/17 | 1,145 | ||||||||
Collateralized by Par Value $1,070 | ||||||||||||
Exchange-Traded Corporate Debt, Coupon 5.13%, | ||||||||||||
Maturity Date 9/24 | ||||||||||||
1,112 | RBC Capital Markets LLC | 0.80% | 7/17 | 1,112 | ||||||||
Collateralized by Par Value $1,140 | ||||||||||||
Exchange-Traded Corporate Debt, Coupon 4.50%, | ||||||||||||
Maturity Date 4/23 | ||||||||||||
Current Principal | Description | Rate | Maturity | Fair Value | ||||||||
(In thousands) | Expressed in U.S. Dollars | |||||||||||
(continued) | ||||||||||||
$ | 1,094 | RBC Capital Markets LLC | (2.25)% | 7/17 | $ | 1,094 | ||||||
Collateralized by Par Value $1,170 | ||||||||||||
Exchange-Traded Corporate Debt, Coupon 5.80%, | ||||||||||||
Maturity Date 10/22 | ||||||||||||
1,049 | RBC Capital Markets LLC | 0.75% | 7/17 | 1,049 | ||||||||
Collateralized by Par Value $980 | ||||||||||||
Exchange-Traded Corporate Debt, Coupon 3.50%, | ||||||||||||
Maturity Date 7/24 | ||||||||||||
996 | Bank of America Securities | 1.25% | 7/17 | 996 | ||||||||
Collateralized by Par Value $990 | ||||||||||||
U.S. Treasury Note, Coupon 2.25%, | ||||||||||||
Maturity Date 2/27 | ||||||||||||
978 | Deutsche Bank Securities | (4.50)% | 7/17 | 978 | ||||||||
Collateralized by Par Value $1,020 | ||||||||||||
Exchange-Traded Corporate Debt, Coupon 7.38%, | ||||||||||||
Maturity Date 1/21 | ||||||||||||
879 | RBC Capital Markets LLC | 0.80% | 7/17 | 879 | ||||||||
Collateralized by Par Value $812 | ||||||||||||
Exchange-Traded Corporate Debt, Coupon 6.88%, | ||||||||||||
Maturity Date 5/23 | ||||||||||||
869 | Societe Generale | 0.85% | 7/17 | 869 | ||||||||
Collateralized by Par Value $850 | ||||||||||||
Exchange-Traded Corporate Debt, Coupon 3.88%, | ||||||||||||
Maturity Date 1/22 | ||||||||||||
837 | Bank of America Securities | 1.30% | 7/17 | 837 | ||||||||
Collateralized by Par Value $930 | ||||||||||||
U.S. Treasury Bond, Coupon 2.25%, | ||||||||||||
Maturity Date 8/46 | ||||||||||||
818 | RBC Capital Markets LLC | (6.38)% | 7/17 | 818 | ||||||||
Collateralized by Par Value $960 | ||||||||||||
Exchange-Traded Corporate Debt, Coupon 6.25%, | ||||||||||||
Maturity Date 10/22 | ||||||||||||
733 | RBC Capital Markets LLC | 0.70% | 7/17 | 733 | ||||||||
Collateralized by Par Value $700 | ||||||||||||
Exchange-Traded Corporate Debt, Coupon 5.25%, | ||||||||||||
Maturity Date 3/22 | ||||||||||||
693 | RBC Capital Markets LLC | 0.00% | 7/17 | 693 | ||||||||
Collateralized by Par Value $700 | ||||||||||||
Exchange-Traded Corporate Debt, Coupon 5.25%, | ||||||||||||
Maturity Date 12/23 | ||||||||||||
Current Principal | Description | Rate | Maturity | Fair Value | ||||||||
(In thousands) | Expressed in U.S. Dollars | |||||||||||
(continued) | ||||||||||||
$ | 669 | RBC Capital Markets LLC | 0.80% | 7/17 | $ | 669 | ||||||
Collateralized by Par Value $600 | ||||||||||||
Exchange-Traded Corporate Debt, Coupon 5.88%, | ||||||||||||
Maturity Date 7/22 | ||||||||||||
622 | JP Morgan Securities LLC | (8.25)% | 7/17 | 622 | ||||||||
Collateralized by Par Value $700 | ||||||||||||
Exchange-Traded Corporate Debt, Coupon 6.25%, | ||||||||||||
Maturity Date 10/22 | ||||||||||||
572 | RBC Capital Markets LLC | 0.80% | 7/17 | 572 | ||||||||
Collateralized by Par Value $530 | ||||||||||||
Exchange-Traded Corporate Debt, Coupon 5.88%, | ||||||||||||
Maturity Date 11/24 | ||||||||||||
542 | JP Morgan Securities LLC | (1.50)% | 7/17 | 542 | ||||||||
Collateralized by Par Value $560 | ||||||||||||
Exchange-Traded Corporate Debt, Coupon 6.25%, | ||||||||||||
Maturity Date 9/21 | ||||||||||||
538 | RBC Capital Markets LLC | (6.50)% | 7/17 | 538 | ||||||||
Collateralized by Par Value $660 | ||||||||||||
Exchange-Traded Corporate Debt, Coupon 5.50%, | ||||||||||||
Maturity Date 10/24 | ||||||||||||
534 | Barclays Capital Inc | (1.75)% | 7/17 | 534 | ||||||||
Collateralized by Par Value $550 | ||||||||||||
Exchange-Traded Corporate Debt, Coupon 8.00%, | ||||||||||||
Maturity Date 6/27 | ||||||||||||
523 | RBC Capital Markets LLC | 0.80% | 7/17 | 523 | ||||||||
Collateralized by Par Value $500 | ||||||||||||
Exchange-Traded Corporate Debt, Coupon 5.75%, | ||||||||||||
Maturity Date 10/22 | ||||||||||||
504 | JP Morgan Securities LLC | (5.25)% | 7/17 | 504 | ||||||||
Collateralized by Par Value $620 | ||||||||||||
Exchange-Traded Corporate Debt, Coupon 5.50%, | ||||||||||||
Maturity Date 10/24 | ||||||||||||
502 | RBC Capital Markets LLC | (2.50)% | 7/17 | 502 | ||||||||
Collateralized by Par Value $530 | ||||||||||||
Exchange-Traded Corporate Debt, Coupon 5.88%, | ||||||||||||
Maturity Date 10/20 | ||||||||||||
493 | RBC Capital Markets LLC | (0.38)% | 7/17 | 493 | ||||||||
Collateralized by Par Value $500 | ||||||||||||
Exchange-Traded Corporate Debt, Coupon 4.00%, | ||||||||||||
Maturity Date 11/21 | ||||||||||||
Current Principal | Description | Rate | Maturity | Fair Value | ||||||||
(In thousands) | Expressed in U.S. Dollars | |||||||||||
(continued) | ||||||||||||
$ | 474 | CS First Boston | (4.75)% | 7/17 | $ | 474 | ||||||
Collateralized by Par Value $464 | ||||||||||||
Exchange-Traded Corporate Debt, Coupon 8.00%, | ||||||||||||
Maturity Date 1/25 | ||||||||||||
444 | RBC Capital Markets LLC | (1.75)% | 7/17 | 444 | ||||||||
Collateralized by Par Value $450 | ||||||||||||
Exchange-Traded Corporate Debt, Coupon 5.75%, | ||||||||||||
Maturity Date 3/21 | ||||||||||||
381 | RBC Capital Markets LLC | 0.80% | 7/17 | 381 | ||||||||
Collateralized by Par Value $360 | ||||||||||||
Exchange-Traded Corporate Debt, Coupon 5.13%, | ||||||||||||
Maturity Date 11/23 | ||||||||||||
237 | Barclays Capital Inc | (8.00)% | 7/17 | 237 | ||||||||
Collateralized by Par Value $270 | ||||||||||||
Exchange-Traded Corporate Debt, Coupon 6.25%, | ||||||||||||
Maturity Date 10/22 | ||||||||||||
132 | Societe Generale | 0.85% | 7/17 | 132 | ||||||||
Collateralized by Par Value $120 | ||||||||||||
Exchange-Traded Corporate Debt, Coupon 5.38%, | ||||||||||||
Maturity Date 4/23 | ||||||||||||
121 | Barclays Capital Inc | (4.50)% | 7/17 | 121 | ||||||||
Collateralized by Par Value $120 | ||||||||||||
Exchange-Traded Corporate Debt, Coupon 7.38%, | ||||||||||||
Maturity Date 1/21 | ||||||||||||
81 | Bank of America Securities | 1.30% | 7/17 | 81 | ||||||||
Collateralized by Par Value $80 | ||||||||||||
U.S. Treasury Note, Coupon 1.88%, | ||||||||||||
Maturity Date 4/22 | ||||||||||||
44 | Societe Generale | 0.85% | 7/17 | 44 | ||||||||
Collateralized by Par Value $40 | ||||||||||||
Exchange-Traded Corporate Debt, Coupon 5.75%, | ||||||||||||
Maturity Date 3/23 | ||||||||||||
Total Repurchase Agreements (Cost $265,403) | $ | 266,659 |
Current Principal | Description | Rate | Maturity | Fair Value | ||||||||
(In thousands) | Expressed in U.S. Dollars | |||||||||||
Investments Sold Short (-107.89%) (a) (b) | ||||||||||||
TBA–Fixed Rate Agency Securities Sold Short (-70.65%) (p) | ||||||||||||
North America | ||||||||||||
Government | ||||||||||||
$ | (45,000 | ) | Federal Home Loan Mortgage Corporation (30 year) | 4.00% | 8/17 | $ | (47,236 | ) | ||||
(43,500 | ) | Federal National Mortgage Association (30 year) | 4.50% | 8/17 | (46,604 | ) | ||||||
(42,347 | ) | Federal National Mortgage Association (30 year) | 4.00% | 7/17 | (44,514 | ) | ||||||
(41,260 | ) | Federal National Mortgage Association (15 year) | 3.50% | 8/17 | (42,897 | ) | ||||||
(39,587 | ) | Federal Home Loan Mortgage Corporation (30 year) | 4.00% | 7/17 | (41,628 | ) | ||||||
(34,000 | ) | Federal National Mortgage Association (30 year) | 3.50% | 8/17 | (34,861 | ) | ||||||
(33,000 | ) | Federal National Mortgage Association (30 year) | 4.00% | 8/17 | (34,631 | ) | ||||||
(29,680 | ) | Federal National Mortgage Association (30 year) | 5.00% | 7/17 | (32,422 | ) | ||||||
(25,410 | ) | Federal National Mortgage Association (15 year) | 2.50% | 7/17 | (25,538 | ) | ||||||
(22,200 | ) | Federal Home Loan Mortgage Corporation (30 year) | 4.50% | 8/17 | (23,761 | ) | ||||||
(16,740 | ) | Federal National Mortgage Association (30 year) | 4.50% | 7/17 | (17,957 | ) | ||||||
(16,358 | ) | Federal National Mortgage Association (30 year) | 3.50% | 7/17 | (16,800 | ) | ||||||
(6,860 | ) | Federal National Mortgage Association (30 year) | 5.50% | 7/17 | (7,600 | ) | ||||||
(7,112 | ) | Federal National Mortgage Association (30 year) | 3.00% | 7/17 | (7,103 | ) | ||||||
(6,551 | ) | Federal Home Loan Mortgage Corporation (30 year) | 4.50% | 7/17 | (7,021 | ) | ||||||
(5,500 | ) | Government National Mortgage Association (30 year) | 4.50% | 8/17 | (5,840 | ) | ||||||
(5,515 | ) | Federal Home Loan Mortgage Corporation (30 year) | 3.00% | 7/17 | (5,505 | ) | ||||||
(2,780 | ) | Federal Home Loan Mortgage Corporation (15 year) | 3.50% | 7/17 | (2,896 | ) | ||||||
(2,780 | ) | Government National Mortgage Association (30 year) | 3.50% | 7/17 | (2,880 | ) | ||||||
(2,244 | ) | Government National Mortgage Association (30 year) | 4.00% | 7/17 | (2,361 | ) | ||||||
Total TBA–Fixed Rate Agency Securities Sold Short (Proceeds -$451,073) | (450,055 | ) | ||||||||||
Government Debt Sold Short (-27.08%) | ||||||||||||
North America (-16.47%) | ||||||||||||
Government | ||||||||||||
(37,620 | ) | U.S. Treasury Note | 2.00% | 6/24 | (37,289 | ) | ||||||
(31,654 | ) | U.S. Treasury Note | 2.25% | 2/27 | (31,513 | ) | ||||||
(16,543 | ) | U.S. Treasury Note | 2.00% | 11/26 | (16,138 | ) | ||||||
(8,492 | ) | U.S. Treasury Note | 1.75% | 5/22 | (8,443 | ) | ||||||
(6,680 | ) | U.S. Treasury Note | 1.88% | 4/22 | (6,680 | ) | ||||||
(2,750 | ) | U.S. Treasury Note | 1.88% | 3/22 | (2,752 | ) | ||||||
(1,360 | ) | U.S. Treasury Note | 1.50% | 8/26 | (1,273 | ) | ||||||
(930 | ) | U.S. Treasury Bond | 2.25% | 8/46 | (820 | ) | ||||||
(16 | ) | U.S. Treasury Note | 2.38% | 5/27 | (16 | ) | ||||||
Total North America (Proceeds -$104,922) | (104,924 | ) | ||||||||||
Current Principal/Number of Shares | Description | Rate | Maturity | Fair Value | ||||||||
(In thousands) | Expressed in U.S. Dollars | |||||||||||
Europe (-10.61%) | ||||||||||||
Government | ||||||||||||
$ | (22,443 | ) | European Sovereign Bond | 0.25% - 0.65% | 11/20 | $ | (22,808 | ) | ||||
(15,687 | ) | Spanish Sovereign Bond | 0.25% | 4/18 | (15,768 | ) | ||||||
(9,923 | ) | Spanish Sovereign Bond | 0.75% | 7/21 | (10,204 | ) | ||||||
(8,999 | ) | Spanish Sovereign Bond | 2.75% | 4/19 | (9,497 | ) | ||||||
(8,928 | ) | Spanish Sovereign Bond | 1.15% | 7/20 | (9,279 | ) | ||||||
Total Europe (Proceeds -$66,666) | (67,556 | ) | ||||||||||
Total Government Debt Sold Short (Proceeds -$171,588) | (172,480 | ) | ||||||||||
Corporate Debt Sold Short (-9.62%) | ||||||||||||
North America | ||||||||||||
Basic Materials | ||||||||||||
(8,300 | ) | Various | 3.88% - 4.00% | 11/21 - 3/23 | (8,004 | ) | ||||||
Communications | ||||||||||||
(15,250 | ) | Various | 5.88% - 9.25% | 7/21 - 11/24 | (14,476 | ) | ||||||
Consumer | ||||||||||||
(21,032 | ) | Various | 2.90% - 7.38% | 10/20 - 11/24 | (20,649 | ) | ||||||
Energy | ||||||||||||
(14,680 | ) | Various | 4.50% - 8.00% | 4/22 - 6/27 | (14,068 | ) | ||||||
Financial | ||||||||||||
(2,390 | ) | Various | 5.13% -5.38% | 3/22 - 9/24 | (2,468 | ) | ||||||
Technology | ||||||||||||
(1,490 | ) | Various | 6.38% | 12/23 | (1,602 | ) | ||||||
Total Corporate Debt Sold Short (Proceeds -$61,755) | (61,267 | ) | ||||||||||
Common Stock Sold Short (-0.54%) | ||||||||||||
North America | ||||||||||||
Energy | ||||||||||||
(12 | ) | Exchange-Traded Equity | (225 | ) | ||||||||
Financial | ||||||||||||
(94 | ) | Exchange-Traded Equity | (3,207 | ) | ||||||||
Total Common Stock Sold Short (Proceeds -$3,563) | (3,432 | ) | ||||||||||
Total Investments Sold Short (Proceeds -$687,979) | $ | (687,234 | ) |
Primary Risk Exposure | Notional Value | Range of Expiration Dates | Fair Value | ||||||||
(In thousands) | Expressed in U.S. Dollars | ||||||||||
Financial Derivatives–Assets (4.18%) (a) (b) | |||||||||||
Swaps (4.17%) | |||||||||||
Long Swaps: | |||||||||||
Credit Default Swaps on Corporate Bond Indices (q) | Credit | $ | 13,973 | 12/18 - 6/22 | $ | 880 | |||||
Interest Rate Swaps (r) | Interest Rates | 215,026 | 12/17 - 1/45 | 2,217 | |||||||
Credit Default Swaps on Asset-Backed Indices (q) | Credit | 1,041 | 12/37 | 10 | |||||||
North America | |||||||||||
Credit Default Swaps on Corporate Bonds (q) | |||||||||||
Communications | Credit | 4,210 | 9/19 - 6/22 | 477 | |||||||
Consumer | Credit | 18,370 | 3/19 - 6/22 | 1,272 | |||||||
Energy | Credit | 2,590 | 6/20 - 6/22 | 108 | |||||||
Financial | Credit | 1,180 | 12/21 | 153 | |||||||
Total Credit Default Swaps on Corporate Bonds | 2,010 | ||||||||||
Short Swaps: | |||||||||||
Credit Default Swaps on Asset-Backed Indices (s) | Credit | (48,350 | ) | 5/46 - 11/59 | 7,416 | ||||||
Interest Rate Swaps (t) | Interest Rates | (627,203 | ) | 12/17 - 1/45 | 4,359 | ||||||
Interest Rate Swaps (z) | Interest Rates | (26,600 | ) | 4/18 - 6/19 | 35 | ||||||
North America | |||||||||||
Credit Default Swaps on Asset-Backed Securities (s) | |||||||||||
Mortgage-related—residential | Credit | (6,641 | ) | 5/35 - 12/35 | 5,107 | ||||||
Credit Default Swaps on Corporate Bonds (s) | |||||||||||
Basic Materials | Credit | (4,800 | ) | 3/20 | 66 | ||||||
Communications | Credit | (13,910 | ) | 6/20 - 6/22 | 1,421 | ||||||
Consumer | Credit | (350 | ) | 6/22 | 27 | ||||||
Energy | Credit | (51,340 | ) | 3/18 - 6/22 | 2,983 | ||||||
Total Credit Default Swaps on Corporate Bonds | 4,497 | ||||||||||
Total Swaps (Net cost $36,061) | 26,531 | ||||||||||
Options (0.00%) | |||||||||||
Purchased Options: | |||||||||||
Interest Rate Caps (w) | Interest Rates | 113,453 | 3/18 - 5/19 | 2 | |||||||
North America | |||||||||||
Equity Call Options (y) | |||||||||||
Consumer | Equity Market | 16 | 10/17 | 23 | |||||||
Equity Put Options (y) | |||||||||||
Consumer | Equity Market | 5 | 7/17 | 2 | |||||||
Total Options (Cost $101) | 27 | ||||||||||
Futures (0.01%) | |||||||||||
Short Futures | |||||||||||
U.S. Treasury Note Futures (x) | Interest Rates | $ | (6,800 | ) | 9/17 | $ | 44 | ||||
Total Futures | 44 | ||||||||||
Total Financial Derivatives–Assets (Net cost $36,162) | $ | 26,602 | |||||||||
Primary Risk Exposure | Notional Value | Range of Expiration Dates | Fair Value | ||||||||
(In thousands) | Expressed in U.S. Dollars | ||||||||||
Financial Derivatives–Liabilities (-4.24%) (a) (b) | |||||||||||
Swaps (-4.02%) | |||||||||||
Long Swaps: | |||||||||||
Credit Default Swaps on Asset-Backed Indices (q) | Credit | $ | 10,157 | 3/49 - 11/59 | $ | (1,770 | ) | ||||
Interest Rate Swaps (r) | Interest Rates | 149,817 | 2/19 - 1/45 | (3,423 | ) | ||||||
North America | |||||||||||
Credit Default Swaps on Corporate Bonds (q) | |||||||||||
Basic Materials | Credit | 9,460 | 6/20 - 6/22 | (824 | ) | ||||||
Communications | Credit | 15,715 | 12/21 | (2,039 | ) | ||||||
Consumer | Credit | 13,156 | 12/20 - 6/22 | (1,660 | ) | ||||||
Energy | Credit | 29,927 | 6/19 - 6/22 | (2,595 | ) | ||||||
Total Credit Default Swaps on Corporate Bonds | (7,118 | ) | |||||||||
Europe | |||||||||||
Credit Default Swaps on Corporate Bonds (q) | |||||||||||
Basic Materials | Credit | 12 | 12/19 | (11 | ) | ||||||
Total Credit Default Swaps on Corporate Bonds | (11 | ) | |||||||||
Short Swaps: | |||||||||||
Interest Rate Swaps (t) | Interest Rates | (185,485 | ) | 8/17 - 12/45 | (990 | ) | |||||
Credit Default Swaps on Corporate Bond Indices (s) | Credit | (223,178 | ) | 12/18 - 6/22 | (7,361 | ) | |||||
North America | |||||||||||
Credit Default Swaps on Asset-Backed Securities (s) | |||||||||||
Mortgage-related—residential | Credit | (3,000 | ) | 3/35 | (207 | ) | |||||
Credit Default Swaps on Corporate Bonds (s) | |||||||||||
Basic Materials | Credit | (4,490 | ) | 12/21 - 6/22 | (266 | ) | |||||
Communications | Credit | (17,360 | ) | 12/17 - 6/22 | (1,047 | ) | |||||
Consumer | Credit | (45,102 | ) | 12/17 - 6/22 | (2,701 | ) | |||||
Energy | Credit | (9,020 | ) | 12/17 - 6/22 | (282 | ) | |||||
Industrial | Credit | (5,050 | ) | 6/21 - 12/21 | (69 | ) | |||||
Technology | Credit | (2,810 | ) | 6/22 | (391 | ) | |||||
Total Credit Default Swaps on Corporate Bonds | (4,756 | ) | |||||||||
Total Return Swaps | |||||||||||
Financial (u) | Equity Market | (24,986 | ) | 8/18 - 4/19 | (1 | ) | |||||
Total Total Return Swaps | (1 | ) | |||||||||
Total Swaps (Net proceeds -$19,994) | (25,637 | ) | |||||||||
Futures (-0.01%) | |||||||||||
Short Futures: | |||||||||||
Eurodollar Futures (v) | Interest Rates | (42,000 | ) | 9/17 | (47 | ) | |||||
Total Futures | (47 | ) | |||||||||
Forwards (-0.21%) | |||||||||||
Short Forwards: | |||||||||||
Currency Forwards (aa) | Currency | (73,747 | ) | 9/17 | (1,319 | ) | |||||
Total Forwards | (1,319 | ) | |||||||||
Total Financial Derivatives–Liabilities (Net proceeds -$19,994) | $ | (27,003 | ) |
(a) | See Note 2 and Note 3 in Notes to Consolidated Financial Statements. |
(b) | Classification percentages are based on Total Equity. |
(c) | At June 30, 2017, the Company's long investments guaranteed by the Federal National Mortgage Association, the Federal Home Loan Mortgage Corporation, and the Government National Mortgage Association, represented 92.22%, 41.33%, and 25.62% of Total Equity, respectively. |
(d) | Private trust 100% backed by interest in Government National Mortgage Association collateralized mortgage obligation certificates. |
(e) | Investment in collateralized loan obligation notes that were issued and are managed by related parties of the Company. See Note 7 to the Notes to the Consolidated Financial Statements. |
(f) | Loans and real estate owned are beneficially owned by the Company through participation certificates in the various trusts that hold such investments. See Note 7 to the Notes to the Consolidated Financial Statements. |
(g) | Includes investments in participation certificates related to loans titled in the name of a related party of Ellington Financial Management LLC. Through its participation certificates, the Company has beneficial interests in the loan cash flows, net of servicing-related fees and expenses. At June 30, 2017 loans for which the Company has beneficial interests in the net cash flows, totaled $9.1 million. See Note 7 to the Notes to the Consolidated Financial Statements. |
(h) | Includes investments in participation certificates related to loans held in a trust owned by a related party of Ellington Management Group, L.L.C. Through its participation certificates, the Company participates in the cash flows of the underlying loans held by the trust. At June 30, 2017 loans held in the related party trust for which the Company has participating interests in the cash flows, totaled $87.4 million. See Note 7 to the Notes to Consolidated Financial Statements. |
(i) | Includes the Company's beneficial interest in an entity, which is co-owned by an affiliate of Ellington Management Group, L.L.C., in the amount of $6.0 million as of June 30, 2017. The entity owns subordinated notes issued by, as well as trust certificates representing ownership of, a securitization trust. See Note 7 to the Notes to Consolidated Financial Statements. |
(j) | Includes non-performing commercial loans in the amount of $6.6 million whereby principal and/or interest is past due and a maturity date is not applicable. |
(k) | Number of properties not shown in thousands, represents actual number of properties owned. |
(l) | As of June 30, 2017, the Company had residential mortgage loans that were in the process of foreclosure with a fair value of $4.7 million. |
(m) | Represents the Company's investment in a related party. See Note 7 to the Notes to the Consolidated Financial Statements. |
(n) | In general, securities received pursuant to repurchase agreements were delivered to counterparties in short sale transactions. |
(o) | Repurchase agreement is between the Company and CILO 2016-LD1 Holdings LLC, an entity in which the Company has a beneficial interest and is co-owned by an affiliate of Ellington Management Group, L.L.C. CILO 2016-LD1 Holdings LLC owns subordinated notes issued by, as well as trust certificates representing ownership of, a securitization trust. See Note 7 to the Notes to Consolidated Financial Statements. |
(p) | At June 30, 2017, the Company's short investments guaranteed by the Federal National Mortgage Association, the Federal Home Loan Mortgage Corporation, and the Government National Mortgage Association, represented 48.81%, 20.10%, and 1.74% of Total Equity, respectively. |
(q) | For long credit default swaps, the Company sold protection. |
(r) | For long interest rate swap contracts, the Company pays a floating rate and receives a fixed rate. |
(s) | For short credit default swaps, the Company purchased protection. |
(t) | For short interest rate swap contracts, the Company pays a fixed rate and receives a floating rate. |
(u) | Notional value represents number of underlying shares times the closing price of the underlying security. |
(v) | Every $1,000,000 in notional value represents one contract. |
(w) | Notional value represents the amount on which interest payments are calculated to the extent the market interest rate exceeds the rate cap on the contract. |
(x) | Notional value represents the total face amount of U.S. Treasury Notes underlying all contracts held; as of June 30, 2017, 68 contracts were held. |
(y) | Notional value represents the number of common shares we have the option to purchase multiplied by the strike price. |
(z) | The Company pays a floating rate and receives a floating rate. |
(aa) | Notional value represents U.S. Dollars to be received by the Company at the maturity of the forward contract. |
(ab) | The table below shows the ratings on the Company's long investments from Moody's, Standard and Poor's, or Fitch, as well as the Company's long investments that were unrated but guaranteed by the Federal National Mortgage Association, the Federal Home Loan Mortgage Corporation, or the Government National Mortgage Association. Ratings tend to be a lagging credit indicator; as a result, the credit quality of the Company's long investment holdings may be lower than the credit quality implied based on the ratings listed below. In situations where an investment has a split rating, the lowest provided rating is used. The ratings descriptions include ratings qualified with a "+," "-," "1," "2," or "3." |
Rating Description | Percent of Equity | ||
Unrated but Agency-Guaranteed | 159.17 | % | |
A/A/A | 0.05 | % | |
Aaa/AAA/AAA | 3.48 | % | |
Baa/BBB/BBB | 3.92 | % | |
Ba/BB/BB or below | 38.17 | % | |
Unrated | 76.88 | % |
Current Principal/Number of Shares | Description | Rate | Maturity | Fair Value | |||||||
(In thousands) | Expressed in U.S. Dollars | ||||||||||
Cash Equivalents—Money Market Funds (13.96%) (a) (b) | |||||||||||
North America | |||||||||||
Funds | |||||||||||
50,000 | BlackRock Liquidity Funds FedFund Portfolio, Institutional Class Shares | 0.42% | $ | 50,000 | |||||||
40,000 | Various Money Market Funds | 0.44% - 0.45% | 40,000 | ||||||||
Total Cash Equivalents—Money Market Funds (Cost $90,000) | $ | 90,000 |
Long Investments (233.42%) (a) (b) (ad) | ||||||||||||
Mortgage-Backed Securities (168.25%) | ||||||||||||
Agency Securities (139.27%) (c) | ||||||||||||
Fixed Rate Agency Securities (134.44%) | ||||||||||||
Principal and Interest - Fixed Rate Agency Securities (121.61%) | ||||||||||||
North America | ||||||||||||
Mortgage-related—Residential | ||||||||||||
$ | 147,479 | Federal National Mortgage Association Pools (30 Year) | 4.00% | 2/42 - 1/47 | $ | 156,144 | ||||||
121,756 | Federal Home Loan Mortgage Corporation Pools (30 Year) | 4.00% | 8/43 - 1/47 | 128,798 | ||||||||
67,681 | Federal National Mortgage Association Pools (30 Year) | 4.50% | 10/41 - 3/46 | 73,305 | ||||||||
58,682 | Federal National Mortgage Association Pools (30 Year) | 3.50% | 3/43 - 1/47 | 60,451 | ||||||||
51,402 | Federal National Mortgage Association Pools (15 Year) | 3.50% | 3/28 - 11/31 | 54,019 | ||||||||
44,796 | Federal National Mortgage Association Pools (30 Year) | 5.00% | 10/35 - 12/44 | 49,062 | ||||||||
40,722 | Federal Home Loan Mortgage Corporation Pools (30 Year) | 4.50% | 9/43 - 9/46 | 44,010 | ||||||||
25,244 | Federal Home Loan Mortgage Corporation Pools (30 Year) | 3.50% | 1/42 - 1/47 | 25,993 | ||||||||
21,855 | Government National Mortgage Association Pools (30 Year) | 4.00% | 6/45 - 12/46 | 23,346 | ||||||||
22,073 | Federal National Mortgage Association Pools (15 Year) | 3.00% | 4/30 - 1/32 | 22,730 | ||||||||
10,504 | Government National Mortgage Association Pools (Other) | 4.60% | 12/63 - 11/64 | 11,351 | ||||||||
9,968 | Federal National Mortgage Association Pools (15 Year) | 4.00% | 6/26 - 5/31 | 10,596 | ||||||||
10,120 | Federal Home Loan Mortgage Corporation Pools (Other) | 3.50% | 2/30 - 9/46 | 10,379 | ||||||||
9,219 | Federal Home Loan Mortgage Corporation Pools (15 Year) | 3.50% | 9/28 - 9/30 | 9,686 | ||||||||
6,714 | Federal National Mortgage Association Pools (Other) | 5.00% | 9/43 - 1/44 | 7,408 | ||||||||
6,568 | Government National Mortgage Association Pools (30 Year) | 4.50% | 8/45 - 9/46 | 7,099 | ||||||||
6,200 | Government National Mortgage Association Pools (Other) | 4.68% | 11/63 - 9/64 | 6,703 | ||||||||
6,231 | Government National Mortgage Association Pools (30 Year) | 3.50% | 2/46 - 12/46 | 6,513 | ||||||||
5,219 | Government National Mortgage Association Pools (Other) | 4.55% | 1/65 | 5,648 | ||||||||
4,942 | Government National Mortgage Association Pools (Other) | 4.44% | 11/66 | 5,383 | ||||||||
3,892 | Government National Mortgage Association Pools (Other) | 4.61% | 11/64 | 4,216 | ||||||||
3,619 | Federal National Mortgage Association Pools (15 Year) | 4.50% | 4/26 | 3,905 | ||||||||
3,518 | Government National Mortgage Association Pools (Other) | 4.42% | 7/61 | 3,741 | ||||||||
3,513 | Government National Mortgage Association Pools (30 Year) | 2.50% | 10/46 | 3,414 | ||||||||
3,123 | Government National Mortgage Association Pools (Other) | 4.48% | 11/64 | 3,361 | ||||||||
3,043 | Government National Mortgage Association Pools (Other) | 4.62% | 10/64 | 3,303 | ||||||||
2,896 | Federal National Mortgage Association Pools (30 Year) | 5.50% | 10/39 | 3,216 | ||||||||
2,945 | Government National Mortgage Association Pools (Other) | 4.57% | 1/65 | 3,186 | ||||||||
3,030 | Federal Home Loan Mortgage Corporation Pools (15 Year) | 3.00% | 4/30 | 3,119 |
Current Principal/Notional Value | Description | Rate | Maturity | Fair Value | ||||||||
(In thousands) | Expressed in U.S. Dollars | |||||||||||
(continued) | ||||||||||||
$ | 3,030 | Federal Home Loan Mortgage Corporation Pools (Other) | 3.00% | 6/28 - 3/30 | $ | 3,109 | ||||||
2,726 | Federal Home Loan Mortgage Corporation Pools (Other) | 4.50% | 5/44 | 2,968 | ||||||||
2,459 | Government National Mortgage Association Pools (Other) | 4.64% | 3/65 | 2,672 | ||||||||
2,433 | Government National Mortgage Association Pools (Other) | 5.49% | 4/60 | 2,551 | ||||||||
2,195 | Federal National Mortgage Association Pools (30 Year) | 3.00% | 1/42 - 6/45 | 2,193 | ||||||||
2,043 | Federal National Mortgage Association Pools (20 Year) | 4.00% | 12/33 | 2,172 | ||||||||
1,943 | Government National Mortgage Association Pools (Other) | 4.63% | 6/64 | 2,103 | ||||||||
1,793 | Federal National Mortgage Association Pools (30 Year) | 6.00% | 9/39 - 2/40 | 2,049 | ||||||||
1,916 | Government National Mortgage Association Pools (Other) | 5.51% | 2/60 | 2,016 | ||||||||
1,734 | Federal Home Loan Mortgage Corporation Pools (15 Year) | 4.00% | 2/29 | 1,842 | ||||||||
1,675 | Government National Mortgage Association Pools (Other) | 5.57% | 2/60 | 1,756 | ||||||||
1,689 | Government National Mortgage Association Pools (Other) | 3.00% | 5/30 - 6/30 | 1,694 | ||||||||
1,369 | Federal Home Loan Mortgage Corporation Pools (30 Year) | 6.00% | 4/39 - 5/40 | 1,553 | ||||||||
1,523 | Federal Home Loan Mortgage Corporation Pools (30 Year) | 3.00% | 7/43 - 10/45 | 1,518 | ||||||||
1,275 | Federal National Mortgage Association Pools (Other) | 3.00% | 6/43 | 1,258 | ||||||||
1,156 | Federal Home Loan Mortgage Corporation Pools (20 Year) | 4.50% | 12/33 | 1,254 | ||||||||
496 | Federal Home Loan Mortgage Corporation Pools (30 Year) | 5.50% | 8/33 | 551 | ||||||||
498 | Federal Home Loan Mortgage Corporation Pools (30 Year) | 5.00% | 7/44 | 543 | ||||||||
165 | Government National Mortgage Association Pools (Other) | 3.50% | 10/30 | 168 | ||||||||
75 | Federal National Mortgage Association Pools (Other) | 4.00% | 6/37 | 77 | ||||||||
784,132 | ||||||||||||
Interest Only - Fixed Rate Agency Securities (1.89%) | ||||||||||||
North America | ||||||||||||
Mortgage-related—Residential | ||||||||||||
26,883 | Government National Mortgage Association | 4.00% | 2/45 - 6/45 | 4,547 | ||||||||
9,820 | Federal National Mortgage Association | 4.50% | 12/20 - 6/44 | 1,414 | ||||||||
6,303 | Government National Mortgage Association | 5.50% | 11/43 | 1,137 | ||||||||
5,099 | Federal Home Loan Mortgage Corporation | 3.50% | 12/32 | 808 | ||||||||
6,695 | Federal National Mortgage Association | 5.00% | 1/38 - 5/40 | 806 | ||||||||
5,354 | Federal National Mortgage Association | 4.00% | 5/39 - 11/43 | 648 | ||||||||
3,844 | Government National Mortgage Association | 4.50% | 2/41 | 615 | ||||||||
2,661 | Federal National Mortgage Association | 6.00% | 1/40 | 512 | ||||||||
81,664 | Government National Mortgage Association | 0.26% | 6/40 | 472 | ||||||||
3,167 | Federal National Mortgage Association | 3.00% | 9/41 | 321 | ||||||||
1,123 | Government National Mortgage Association | 6.00% | 6/38 | 263 | ||||||||
1,396 | Government National Mortgage Association | 4.75% | 7/40 | 253 | ||||||||
1,201 | Federal National Mortgage Association | 5.50% | 10/40 | 163 | ||||||||
2,289 | Government National Mortgage Association | 5.00% | 5/37 | 151 | ||||||||
763 | Federal Home Loan Mortgage Corporation | 5.50% | 1/39 | 79 | ||||||||
12,189 | ||||||||||||
Current Principal/Notional Value | Description | Rate | Maturity | Fair Value | ||||||||
(In thousands) | Expressed in U.S. Dollars | |||||||||||
TBA - Fixed Rate Agency Securities (10.94%) | ||||||||||||
North America | ||||||||||||
Mortgage-related—Residential | ||||||||||||
$ | 28,560 | Federal Home Loan Mortgage Corporation (30 Year) | 3.50% | 1/17 | $ | 29,247 | ||||||
24,540 | Government National Mortgage Association (30 Year) | 4.00% | 1/17 | 26,047 | ||||||||
14,620 | Federal National Mortgage Association (15 Year) | 3.50% | 1/17 | 15,231 | ||||||||
70,525 | ||||||||||||
Total Fixed Rate Agency Securities (Cost $869,071) | 866,846 | |||||||||||
Floating Rate Agency Securities (4.83%) | ||||||||||||
Principal and Interest - Floating Rate Agency Securities (2.12%) | ||||||||||||
North America | ||||||||||||
Mortgage-related—Residential | ||||||||||||
5,876 | Federal National Mortgage Association Pools | 2.55% - 5.94% | 9/35 - 5/45 | 6,129 | ||||||||
5,122 | Federal Home Loan Mortgage Corporation Pools | 3.12% - 5.97% | 6/37 - 5/44 | 5,328 | ||||||||
2,097 | Government National Mortgage Association Pools | 2.89% | 11/64 | 2,231 | ||||||||
13,688 | ||||||||||||
Interest Only - Floating Rate Agency Securities (2.71%) | ||||||||||||
North America | ||||||||||||
Mortgage-related—Residential | ||||||||||||
228,955 | Other Government National Mortgage Association | 0.40% - 6.09% | 5/37 - 11/64 | 13,831 | ||||||||
12,928 | Other Federal National Mortgage Association | 5.39% - 6.79% | 6/33 - 12/41 | 1,867 | ||||||||
15,902 | Resecuritization of Government National Mortgage Association (d) | 3.95% | 8/60 | 870 | ||||||||
5,182 | Other Federal Home Loan Mortgage Corporation | 5.30% - 5.93% | 3/36 - 8/39 | 865 | ||||||||
17,433 | ||||||||||||
Total Floating Rate Agency Securities (Cost $31,069) | 31,121 | |||||||||||
Total Agency Securities (Cost $900,140) | 897,967 | |||||||||||
Private Label Securities (28.98%) | ||||||||||||
Principal and Interest - Private Label Securities (28.17%) | ||||||||||||
North America (20.48%) | ||||||||||||
Mortgage-related—Residential | ||||||||||||
233,890 | Various | 0.00% - 9.35% | 5/19 - 9/46 | 101,737 | ||||||||
Mortgage-related—Commercial | ||||||||||||
119,636 | Various | 2.31% - 4.41% | 7/45 - 12/49 | 30,334 | ||||||||
Total North America (Cost $125,106) | 132,071 | |||||||||||
Europe (7.69%) | ||||||||||||
Mortgage-related—Residential | ||||||||||||
63,244 | Various | 0.00% - 5.15% | 6/25 - 3/40 | 40,898 | ||||||||
Mortgage-related—Commercial | ||||||||||||
9,361 | Various | 0.00% - 11.00% | 6/17 - 2/39 | 8,680 | ||||||||
Total Europe (Cost $59,311) | 49,578 | |||||||||||
Total Principal and Interest - Private Label Securities (Cost $184,417) | 181,649 | |||||||||||
Current Principal/Notional Value | Description | Rate | Maturity | Fair Value | ||||||||
(In thousands) | Expressed in U.S. Dollars | |||||||||||
Interest Only - Private Label Securities (0.81%) | ||||||||||||
North America | ||||||||||||
Mortgage-related—Residential | ||||||||||||
$ | 36,498 | Various | 0.50% - 2.00% | 6/44 - 9/47 | $ | 973 | ||||||
Mortgage-related—Commercial | ||||||||||||
72,535 | Various | 1.25% - 2.71% | 10/47 - 12/49 | 4,254 | ||||||||
Total Interest Only - Private Label Securities (Cost $4,963) | 5,227 | |||||||||||
Other Private Label Securities (0.00%) | ||||||||||||
North America | ||||||||||||
Mortgage-related—Residential | ||||||||||||
90,639 | Various | —% | 6/37 | — | ||||||||
Mortgage-related—Commercial | ||||||||||||
— | Various | —% | 7/45 - 12/49 | — | ||||||||
Total Other Private Label Securities (Cost $245) | — | |||||||||||
Total Private Label Securities (Cost $189,625) | 186,876 | |||||||||||
Total Mortgage-Backed Securities (Cost $1,089,765) | 1,084,843 | |||||||||||
Collateralized Loan Obligations (6.97%) | ||||||||||||
North America (3.49%) | ||||||||||||
69,917 | Various | 0.00% - 7.88% | 11/17 - 6/24 | 22,519 | ||||||||
Total North America (Cost $25,860) | 22,519 | |||||||||||
Europe (3.48%) | ||||||||||||
28,053 | Various | 0.00% - 3.84% | 1/22 - 3/25 | 22,437 | ||||||||
Total Europe (Cost $23,227) | 22,437 | |||||||||||
Total Collateralized Loan Obligations (Cost $49,087) | 44,956 | |||||||||||
Consumer Loans and Asset-backed Securities backed by Consumer Loans (16.62%) (e) (af) | ||||||||||||
North America (16.15%) | ||||||||||||
Consumer (f) (g) | ||||||||||||
103,026 | Various | 5.31% - 60.28% | 1/17 - 12/21 | 104,108 | ||||||||
Total North America (Cost $108,982) | 104,108 | |||||||||||
Europe (0.47%) | ||||||||||||
Consumer | ||||||||||||
3,449 | Various | —% | 8/24 - 3/26 | 3,049 | ||||||||
Total Europe (Cost $2,133) | 3,049 | |||||||||||
Total Consumer Loans and Asset-backed Securities backed by Consumer Loans (Cost $111,115) | 107,157 | |||||||||||
Current Principal/Number of Properties | Rate | Maturity | Fair Value | |||||||||
(In thousands) | Expressed in U.S. Dollars | |||||||||||
Corporate Debt (12.42%) | ||||||||||||
North America (12.13%) | ||||||||||||
Communications | ||||||||||||
$ | 9,381 | Various | 6.75% - 9.07% | 4/18 - 12/22 | $ | 9,489 | ||||||
Consumer | ||||||||||||
22,991 | Various | 3.85% - 11.00% | 5/17 - 5/25 | 24,187 | ||||||||
Energy | ||||||||||||
16,170 | Various | 6.38% - 9.63% | 3/19 - 2/23 | 16,951 | ||||||||
Industrial | ||||||||||||
12,470 | Various | 3.75% - 7.75% | 5/19 - 12/22 | 12,709 | ||||||||
Mortgage-related—Residential | ||||||||||||
10,500 | Various | 15.00% | 10/19 | 9,975 | ||||||||
Technology | ||||||||||||
3,827 | Various | 6.13% - 7.50% | 3/20 - 8/22 | 3,937 | ||||||||
Utilities | ||||||||||||
840 | Various | 7.38% | 7/21 | 939 | ||||||||
Total North America (Cost $78,482) | 78,187 | |||||||||||
Europe (0.29%) | ||||||||||||
Consumer | ||||||||||||
17,618 | Various | —% | 12/17 - 12/18 | 380 | ||||||||
Industrial | ||||||||||||
1,867 | Various | 6.50% | 3/21 | 1,528 | ||||||||
Total Europe (Cost $2,554) | 1,908 | |||||||||||
Total Corporate Debt (Cost $81,036) | 80,095 | |||||||||||
Mortgage Loans (22.55%) (e) | ||||||||||||
North America | ||||||||||||
Mortgage-related—Commercial (i) | ||||||||||||
71,020 | Various | 2.73% - 12.12% | 6/17 - 10/37 | 61,129 | ||||||||
Mortgage-related—Residential (k) | ||||||||||||
89,658 | Various | 2.00% - 12.63% | 4/22 - 7/57 | 84,290 | ||||||||
Total Mortgage Loans (Cost $148,173) | 145,419 | |||||||||||
Real Estate Owned (0.52%) (e) (j) | ||||||||||||
North America | ||||||||||||
Real estate-related | ||||||||||||
9 | Single-Family Houses | 1,699 | ||||||||||
1 | Commercial Property | 1,650 | ||||||||||
Total Real Estate Owned (Cost $3,539) | 3,349 | |||||||||||
Current Principal/Number of Shares | Rate | Maturity | Fair Value | |||||||||
(In thousands) | Expressed in U.S. Dollars | |||||||||||
Corporate Equity Investments (5.25%) (af) | ||||||||||||
North America (5.25%) | ||||||||||||
Consumer | ||||||||||||
n/a | Non-Controlling Equity Interest in Limited Liability Company (h) | $ | 7,315 | |||||||||
1,557 | Non-Exchange Traded Corporate Equity | 825 | ||||||||||
Diversified | ||||||||||||
191 | Non-Exchange Traded Corporate Equity | 3,162 | ||||||||||
Financial | ||||||||||||
51 | Exchange Traded Equity | 4,396 | ||||||||||
Mortgage-related—Commercial | ||||||||||||
n/a | Non-Controlling Interest in Mortgage-Related Private Partnership | 3,090 | ||||||||||
Mortgage-related—Residential (ae) | ||||||||||||
1,838 | Non-Exchange Traded Preferred Equity Investment in Mortgage Originators | 14,325 | ||||||||||
6,750 | Non-Exchange Traded Common Equity Investment in Mortgage Originators | 675 | ||||||||||
Total North America (Cost $37,360) | 33,788 | |||||||||||
Europe (0.00%) | ||||||||||||
Consumer | ||||||||||||
125 | Non-Exchange Traded Corporate Equity | — | ||||||||||
Total Europe (Cost $0) | — | |||||||||||
Total Corporate Equity Investments (Cost $37,360) | 33,788 | |||||||||||
U.S. Treasury Securities (0.84%) | ||||||||||||
North America | ||||||||||||
Government | ||||||||||||
$ | 5,620 | U.S. Treasury Note | 1.13% - 1.63% | 5/21 - 5/26 | 5,419 | |||||||
Total U.S. Treasury Securities (Cost $5,635) | 5,419 | |||||||||||
Total Long Investments (Cost $1,525,710) | $ | 1,505,026 |
Current Principal | Description | Rate | Maturity | Fair Value | ||||||||
(In thousands) | Expressed in U.S. Dollars | |||||||||||
Repurchase Agreements (28.66%) (a) (b) (l) | ||||||||||||
$ | 46,749 | JP Morgan Securities LLC | (1.15)% | 1/17 | $ | 46,749 | ||||||
Collateralized by Par Value $48,133 | ||||||||||||
U.S. Treasury Note, Coupon 2.00%, | ||||||||||||
Maturity Date 11/26 | ||||||||||||
14,900 | JP Morgan Securities LLC | (0.89)% | 1/17 | 14,900 | ||||||||
Collateralized by Par Value $14,507 | ||||||||||||
Sovereign Government Bond, Coupon 0.25%, | ||||||||||||
Maturity Date 4/18 | ||||||||||||
12,912 | JP Morgan Securities LLC | (1.10)% | 1/17 | 12,912 | ||||||||
Collateralized by Par Value $12,498 | ||||||||||||
Sovereign Government Bond, Coupon 0.25%, | ||||||||||||
Maturity Date 11/20 | ||||||||||||
11,324 | JP Morgan Securities LLC | (0.30)% | 1/17 | 11,324 | ||||||||
Collateralized by Par Value $12,160 | ||||||||||||
U.S. Treasury Note, Coupon 1.50%, | ||||||||||||
Maturity Date 8/26 | ||||||||||||
9,494 | JP Morgan Securities LLC | (0.89)% | 1/17 | 9,494 | ||||||||
Collateralized by Par Value $9,176 | ||||||||||||
Sovereign Government Bond, Coupon 0.75%, | ||||||||||||
Maturity Date 7/21 | ||||||||||||
9,165 | JP Morgan Securities LLC | (0.80)% | 1/17 | 9,165 | ||||||||
Collateralized by Par Value $8,322 | ||||||||||||
Sovereign Government Bond, Coupon 2.75%, | ||||||||||||
Maturity Date 4/19 | ||||||||||||
8,725 | JP Morgan Securities LLC | (0.81)% | 1/17 | 8,725 | ||||||||
Collateralized by Par Value $8,257 | ||||||||||||
Sovereign Government Bond, Coupon 1.15%, | ||||||||||||
Maturity Date 7/20 | ||||||||||||
8,447 | JP Morgan Securities LLC | (0.95)% | 1/17 | 8,447 | ||||||||
Collateralized by Par Value $8,257 | ||||||||||||
Sovereign Government Bond, Coupon 0.65%, | ||||||||||||
Maturity Date 11/20 | ||||||||||||
6,166 | CILO 2016-LD1 Holdings LLC (m) | 2.90% | 2/17 | 6,166 | ||||||||
Collateralized by Par Value $9,512 | ||||||||||||
Exchange-Traded Debt, Coupon 5.50%, | ||||||||||||
Maturity Date 7/22 | ||||||||||||
5,827 | RBC Capital Markets LLC | (0.35)% | 1/17 | 5,827 | ||||||||
Collateralized by Par Value $6,300 | ||||||||||||
Exchange-Traded Corporate Debt, Coupon 6.25%, | ||||||||||||
Maturity Date 9/21 | ||||||||||||
4,691 | Bank of America Securities | (3.00)% | 1/17 | 4,691 | ||||||||
Collateralized by Par Value $4,726 | ||||||||||||
U.S. Treasury Note, Coupon 1.75%, | ||||||||||||
Maturity Date 11/21 |
Current Principal | Description | Rate | Maturity | Fair Value | ||||||||
(In thousands) | Expressed in U.S. Dollars | |||||||||||
(continued) | ||||||||||||
$ | 3,274 | RBC Capital Markets LLC | 0.30% | 1/17 | $ | 3,274 | ||||||
Collateralized by Par Value $3,274 | ||||||||||||
Exchange-Traded Corporate Debt, Coupon 6.25%, | ||||||||||||
Maturity Date 7/22 | ||||||||||||
3,147 | RBC Capital Markets LLC | (1.00)% | 1/17 | 3,147 | ||||||||
Collateralized by Par Value $3,100 | ||||||||||||
Exchange-Traded Corporate Debt, Coupon 8.00%, | ||||||||||||
Maturity Date 1/25 | ||||||||||||
3,125 | Bank of America Securities | 0.10% | 1/17 | 3,125 | ||||||||
Collateralized by Par Value $3,230 | ||||||||||||
U.S. Treasury Note, Coupon 1.13%, | ||||||||||||
Maturity Date 8/21 | ||||||||||||
3,006 | Barclays Capital Inc | (0.50)% | 1/17 | 3,006 | ||||||||
Collateralized by Par Value $3,050 | ||||||||||||
Exchange-Traded Corporate Debt, Coupon 4.00%, | ||||||||||||
Maturity Date 11/21 | ||||||||||||
2,774 | RBC Capital Markets LLC | (4.50)% | 1/17 | 2,774 | ||||||||
Collateralized by Par Value $3,032 | ||||||||||||
Exchange-Traded Corporate Debt, Coupon 4.50%, | ||||||||||||
Maturity Date 4/22 | ||||||||||||
2,534 | Societe Generale | (0.50)% | 1/17 | 2,534 | ||||||||
Collateralized by Par Value $2,532 | ||||||||||||
Exchange-Traded Corporate Debt, Coupon 4.00%, | ||||||||||||
Maturity Date 11/21 | ||||||||||||
2,232 | JP Morgan Securities LLC | (2.50)% | 1/17 | 2,232 | ||||||||
Collateralized by Par Value $2,090 | ||||||||||||
Exchange-Traded Corporate Debt, Coupon 6.25%, | ||||||||||||
Maturity Date 10/22 | ||||||||||||
1,899 | Bank of America Securities | 0.10% | 1/17 | 1,899 | ||||||||
Collateralized by Par Value $1,968 | ||||||||||||
U.S. Treasury Note, Coupon 1.13%, | ||||||||||||
Maturity Date 9/21 | ||||||||||||
1,777 | Barclays Capital Inc | (2.25)% | 1/17 | 1,777 | ||||||||
Collateralized by Par Value $1,864 | ||||||||||||
Exchange-Traded Corporate Debt, Coupon 4.88%, | ||||||||||||
Maturity Date 4/22 | ||||||||||||
1,573 | RBC Capital Markets LLC | (1.50)% | 1/17 | 1,573 | ||||||||
Collateralized by Par Value $1,550 | ||||||||||||
Exchange-Traded Corporate Debt, Coupon 8.00%, | ||||||||||||
Maturity Date 1/25 | ||||||||||||
1,503 | JP Morgan Securities LLC | (2.50)% | 1/17 | 1,503 | ||||||||
Collateralized by Par Value $1,556 | ||||||||||||
Exchange-Traded Corporate Debt, Coupon 4.88%, | ||||||||||||
Maturity Date 4/22 |
Current Principal | Description | Rate | Maturity | Fair Value | ||||||||
(In thousands) | Expressed in U.S. Dollars | |||||||||||
(continued) | ||||||||||||
$ | 1,435 | RBC Capital Markets LLC | 0.30% | 1/17 | $ | 1,435 | ||||||
Collateralized by Par Value $1,560 | ||||||||||||
Exchange-Traded Corporate Debt, Coupon 3.88%, | ||||||||||||
Maturity Date 3/23 | ||||||||||||
1,369 | Societe Generale | 0.35% | 1/17 | 1,369 | ||||||||
Collateralized by Par Value $1,240 | ||||||||||||
Exchange-Traded Corporate Debt, Coupon 9.25%, | ||||||||||||
Maturity Date 7/21 | ||||||||||||
1,281 | Bank of America Securities | 0.25% | 1/17 | 1,281 | ||||||||
Collateralized by Par Value $1,305 | ||||||||||||
U.S. Treasury Note, Coupon 1.38%, | ||||||||||||
Maturity Date 4/21 | ||||||||||||
1,214 | RBC Capital Markets LLC | 0.25% | 1/17 | 1,214 | ||||||||
Collateralized by Par Value $1,190 | ||||||||||||
Exchange-Traded Corporate Debt, Coupon 3.88%, | ||||||||||||
Maturity Date 1/22 | ||||||||||||
1,147 | RBC Capital Markets LLC | (1.75)% | 1/17 | 1,147 | ||||||||
Collateralized by Par Value $1,300 | ||||||||||||
Exchange-Traded Corporate Debt, Coupon 5.50%, | ||||||||||||
Maturity Date 10/24 | ||||||||||||
1,119 | RBC Capital Markets LLC | 0.30% | 1/17 | 1,119 | ||||||||
Collateralized by Par Value $1,130 | ||||||||||||
Exchange-Traded Corporate Debt, Coupon 4.13%, | ||||||||||||
Maturity Date 2/22 | ||||||||||||
975 | JP Morgan Securities LLC | (0.65)% | 1/17 | 975 | ||||||||
Collateralized by Par Value $1,008 | ||||||||||||
Exchange-Traded Corporate Debt, Coupon 4.00%, | ||||||||||||
Maturity Date 11/21 | ||||||||||||
909 | Societe Generale | 0.35% | 1/17 | 909 | ||||||||
Collateralized by Par Value $850 | ||||||||||||
Exchange-Traded Corporate Debt, Coupon 3.88%, | ||||||||||||
Maturity Date 1/22 | ||||||||||||
817 | JP Morgan Securities LLC | (0.50)% | 1/17 | 817 | ||||||||
Collateralized by Par Value $840 | ||||||||||||
Exchange-Traded Corporate Debt, Coupon 4.00%, | ||||||||||||
Maturity Date 11/21 | ||||||||||||
795 | RBC Capital Markets LLC | (2.50)% | 1/17 | 795 | ||||||||
Collateralized by Par Value $780 | ||||||||||||
Exchange-Traded Corporate Debt, Coupon 6.25%, | ||||||||||||
Maturity Date 10/22 | ||||||||||||
780 | JP Morgan Securities LLC | (2.80)% | 1/17 | 780 | ||||||||
Collateralized by Par Value $800 | ||||||||||||
U.S. Treasury Note, Coupon 1.25%, | ||||||||||||
Maturity Date 10/21 |
Current Principal | Description | Rate | Maturity | Fair Value | ||||||||
(In thousands) | Expressed in U.S. Dollars | |||||||||||
(continued) | ||||||||||||
$ | 760 | Barclays Capital Inc | (4.75)% | 1/17 | $ | 760 | ||||||
Collateralized by Par Value $819 | ||||||||||||
Exchange-Traded Corporate Debt, Coupon 4.50%, | ||||||||||||
Maturity Date 4/22 | ||||||||||||
674 | RBC Capital Markets LLC | 0.30% | 1/17 | 674 | ||||||||
Collateralized by Par Value $650 | ||||||||||||
Exchange-Traded Corporate Debt, Coupon 5.25%, | ||||||||||||
Maturity Date 9/22 | ||||||||||||
673 | RBC Capital Markets LLC | 0.30% | 1/17 | 673 | ||||||||
Collateralized by Par Value $620 | ||||||||||||
Exchange-Traded Corporate Debt, Coupon 6.38%, | ||||||||||||
Maturity Date 4/26 | ||||||||||||
671 | RBC Capital Markets LLC | 0.30% | 1/17 | 671 | ||||||||
Collateralized by Par Value $620 | ||||||||||||
Exchange-Traded Corporate Debt, Coupon 6.88%, | ||||||||||||
Maturity Date 5/23 | ||||||||||||
587 | JP Morgan Securities LLC | (1.50)% | 1/17 | 587 | ||||||||
Collateralized by Par Value $620 | ||||||||||||
Exchange-Traded Corporate Debt, Coupon 5.50%, | ||||||||||||
Maturity Date 10/24 | ||||||||||||
566 | JP Morgan Securities LLC | (0.35)% | 1/17 | 566 | ||||||||
Collateralized by Par Value $570 | ||||||||||||
Exchange-Traded Corporate Debt, Coupon 4.00%, | ||||||||||||
Maturity Date 11/21 | ||||||||||||
562 | Barclays Capital Inc | (0.10)% | 1/17 | 562 | ||||||||
Collateralized by Par Value $550 | ||||||||||||
Exchange-Traded Corporate Debt, Coupon 2.40%, | ||||||||||||
Maturity Date 12/22 | ||||||||||||
545 | RBC Capital Markets LLC | (0.38)% | 1/17 | 545 | ||||||||
Collateralized by Par Value $560 | ||||||||||||
Exchange-Traded Corporate Debt, Coupon 4.00%, | ||||||||||||
Maturity Date 11/21 | ||||||||||||
543 | JP Morgan Securities LLC | (0.35)% | 1/17 | 543 | ||||||||
Collateralized by Par Value $560 | ||||||||||||
Exchange-Traded Corporate Debt, Coupon 6.25%, | ||||||||||||
Maturity Date 9/21 | ||||||||||||
533 | Bank of America Securities | 0.60% | 1/17 | 533 | ||||||||
Collateralized by Par Value $549 | ||||||||||||
U.S. Treasury Note, Coupon 1.13%, | ||||||||||||
Maturity Date 7/21 | ||||||||||||
520 | RBC Capital Markets LLC | 0.30% | 1/17 | 520 | ||||||||
Collateralized by Par Value $500 | ||||||||||||
Exchange-Traded Corporate Debt, Coupon 5.75%, | ||||||||||||
Maturity Date 10/22 |
Current Principal | Description | Rate | Maturity | Fair Value | ||||||||
(In thousands) | Expressed in U.S. Dollars | |||||||||||
(continued) | ||||||||||||
$ | 449 | RBC Capital Markets LLC | 0.30% | 1/17 | $ | 449 | ||||||
Collateralized by Par Value $430 | ||||||||||||
Exchange-Traded Corporate Debt, Coupon 5.13%, | ||||||||||||
Maturity Date 10/21 | ||||||||||||
373 | RBC Capital Markets LLC | 0.30% | 1/17 | 373 | ||||||||
Collateralized by Par Value $360 | ||||||||||||
Exchange-Traded Corporate Debt, Coupon 5.13%, | ||||||||||||
Maturity Date 11/23 | ||||||||||||
278 | RBC Capital Markets LLC | (7.00)% | 1/17 | 278 | ||||||||
Collateralized by Par Value $270 | ||||||||||||
Exchange-Traded Corporate Debt, Coupon 7.75%, | ||||||||||||
Maturity Date 6/21 | ||||||||||||
Total Repurchase Agreements (Cost $185,205) | $ | 184,819 |
Investments Sold Short (-90.71%) (a) (b) | ||||||||||||
TBA - Fixed Rate Agency Securities Sold Short (-62.77%) (n) | ||||||||||||
North America | ||||||||||||
Mortgage-related—Residential | ||||||||||||
$ | (87,767 | ) | Federal Home Loan Mortgage Corporation (30 year) | 4.00% | 1/17 | $ | (92,210 | ) | ||||
(50,930 | ) | Federal National Mortgage Association (30 year) | 4.50% | 1/17 | (54,748 | ) | ||||||
(31,620 | ) | Federal National Mortgage Association (30 year) | 5.00% | 1/17 | (34,426 | ) | ||||||
(26,000 | ) | Federal National Mortgage Association (30 year) | 4.00% | 2/17 | (27,295 | ) | ||||||
(24,352 | ) | Federal National Mortgage Association (30 year) | 3.50% | 1/17 | (24,960 | ) | ||||||
(23,151 | ) | Federal Home Loan Mortgage Corporation (30 year) | 4.50% | 1/17 | (24,840 | ) | ||||||
(21,940 | ) | Government National Mortgage Association (30 year) | 3.50% | 1/17 | (22,819 | ) | ||||||
(20,558 | ) | Federal National Mortgage Association (30 year) | 4.00% | 1/17 | (21,611 | ) | ||||||
(20,740 | ) | Federal National Mortgage Association (15 year) | 3.00% | 1/17 | (21,285 | ) | ||||||
(15,770 | ) | Government National Mortgage Association (30 year) | 4.50% | 1/17 | (17,058 | ) | ||||||
(13,510 | ) | Federal Home Loan Mortgage Corporation (15 year) | 3.00% | 1/17 | (13,869 | ) | ||||||
(11,170 | ) | Federal National Mortgage Association (15 year) | 4.00% | 1/17 | (11,494 | ) | ||||||
(8,790 | ) | Federal Home Loan Mortgage Corporation (15 year) | 3.50% | 1/17 | (9,169 | ) | ||||||
(6,860 | ) | Federal National Mortgage Association (30 year) | 5.50% | 1/17 | (7,622 | ) | ||||||
(6,500 | ) | Government National Mortgage Association (30 year) | 3.00% | 1/17 | (6,568 | ) | ||||||
(4,612 | ) | Federal National Mortgage Association (30 year) | 3.00% | 1/17 | (4,584 | ) | ||||||
(3,155 | ) | Federal Home Loan Mortgage Corporation (30 year) | 3.00% | 1/17 | (3,134 | ) | ||||||
(2,530 | ) | Federal National Mortgage Association (15 year) | 3.50% | 2/17 | (2,633 | ) | ||||||
(2,500 | ) | Government National Mortgage Association (30 year) | 3.50% | 2/17 | (2,597 | ) | ||||||
(1,700 | ) | Government National Mortgage Association (30 year) | 4.00% | 1/17 | (1,806 | ) | ||||||
Total TBA - Fixed Rate Agency Securities Sold Short (Proceeds -$404,967) | (404,728 | ) | ||||||||||
Current Principal/Number of Shares | Description | Rate | Maturity | Fair Value | ||||||||
(In thousands) | Expressed in U.S. Dollars | |||||||||||
Government Debt Sold Short (-20.54%) | ||||||||||||
North America (-10.82%) | ||||||||||||
Government | ||||||||||||
$ | (48,133 | ) | U.S. Treasury Note | 2.00% | 11/26 | $ | (46,287 | ) | ||||
(12,160 | ) | U.S. Treasury Note | 1.50% | 8/26 | (11,179 | ) | ||||||
(4,726 | ) | U.S. Treasury Note | 1.75% | 11/21 | (4,690 | ) | ||||||
(3,230 | ) | U.S. Treasury Note | 1.13% | 8/21 | (3,121 | ) | ||||||
(1,968 | ) | U.S. Treasury Note | 1.13% | 9/21 | (1,898 | ) | ||||||
(1,305 | ) | U.S. Treasury Note | 1.38% | 4/21 | (1,280 | ) | ||||||
(800 | ) | U.S. Treasury Note | 1.25% | 10/21 | (776 | ) | ||||||
(549 | ) | U.S. Treasury Note | 1.13% | 7/21 | (531 | ) | ||||||
Total North America (Proceeds -$69,946) | (69,762 | ) | ||||||||||
Europe (-9.72%) | ||||||||||||
Government | ||||||||||||
(20,754 | ) | European Sovereign Bond | 0.25% - 0.65% | 11/20 | (21,219 | ) | ||||||
(14,507 | ) | Spanish Sovereign Bond | 0.25% | 4/18 | (14,614 | ) | ||||||
(9,176 | ) | Spanish Sovereign Bond | 0.75% | 7/21 | (9,379 | ) | ||||||
(8,322 | ) | Spanish Sovereign Bond | 2.75% | 4/19 | (8,888 | ) | ||||||
(8,257 | ) | Spanish Sovereign Bond | 1.15% | 7/20 | (8,580 | ) | ||||||
Total Europe (Proceeds -$66,800) | (62,680 | ) | ||||||||||
Total Government Debt Sold Short (Proceeds -$136,746) | (132,442 | ) | ||||||||||
Common Stock Sold Short (-1.26%) | ||||||||||||
North America | ||||||||||||
Financial | ||||||||||||
(207 | ) | Exchange Traded Equity | (8,154 | ) | ||||||||
Total Common Stock Sold Short (Proceeds -$8,052) | (8,154 | ) | ||||||||||
Corporate Debt Sold Short (-6.14%) | ||||||||||||
North America | ||||||||||||
Basic Materials | ||||||||||||
(8,970 | ) | Various | 3.88% - 5.13% | 10/21 - 3/23 | (8,717 | ) | ||||||
Communications | ||||||||||||
(8,750 | ) | Various | 5.25% - 9.25% | 7/21 - 9/22 | (8,551 | ) | ||||||
Consumer | ||||||||||||
(8,930 | ) | Various | 3.88% - 6.88% | 1/22 - 4/26 | (8,695 | ) | ||||||
Energy | ||||||||||||
(10,597 | ) | Various | 2.40% - 8.00% | 6/21 - 1/25 | (10,041 | ) | ||||||
Financial | ||||||||||||
(1,130 | ) | Various | 4.13% | 2/22 | (1,121 | ) | ||||||
Utilities | ||||||||||||
(2,430 | ) | Various | 6.25% | 7/22 | (2,447 | ) | ||||||
Total Corporate Debt Sold Short (Proceeds -$39,664) | (39,572 | ) | ||||||||||
Total Investments Sold Short (Proceeds -$589,429) | $ | (584,896 | ) |
Primary Risk Exposure | Notional Value | Range of Expiration Dates | Fair Value | ||||||||
(In thousands) | Expressed in U.S.Dollars | ||||||||||
Financial Derivatives–Assets (5.52%) (a) (b) | |||||||||||
Swaps (5.49%) | |||||||||||
Long Swaps: | |||||||||||
Credit Default Swaps on Corporate Bond Indices (o) | Credit | $ | 40,611 | 12/18 - 12/21 | $ | 2,744 | |||||
Credit Default Swaps on Asset-Backed Indices (o) | Credit | 1,202 | 12/37 | 12 | |||||||
Interest Rate Swaps (p) | Interest Rates | 215,826 | 12/17 - 1/45 | 2,274 | |||||||
North America | |||||||||||
Total Return Swaps (t) | |||||||||||
Consumer | Credit | 3,130 | 7/19 | 87 | |||||||
Utilities | Credit | 685 | 2/20 | 68 | |||||||
Total Total Return Swaps | 155 | ||||||||||
Credit Default Swaps on Corporate Bonds (o) | |||||||||||
Basic Materials | Credit | 760 | 3/21 | 90 | |||||||
Consumer | Credit | 8,043 | 3/19 - 12/21 | 973 | |||||||
Energy | Credit | 4,120 | 3/19 - 12/21 | 7 | |||||||
Financial | Credit | 1,120 | 12/21 | 140 | |||||||
Utilities | Credit | 2,060 | 6/21 | 151 | |||||||
Total Credit Default Swaps on Corporate Bonds | 1,361 | ||||||||||
Short Swaps: | |||||||||||
Credit Default Swaps on Asset-Backed Indices (q) | Credit | (112,999 | ) | 5/46 - 9/58 | 16,701 | ||||||
Interest Rate Swaps (r) | Interest Rates | (607,499 | ) | 4/17 - 12/45 | 5,828 | ||||||
North America | |||||||||||
Credit Default Swaps on Asset-Backed Securities (q) | |||||||||||
Mortgage-related—Residential | Credit | (7,077 | ) | 5/35 - 12/35 | 5,326 | ||||||
Credit Default Swaps on Corporate Bonds (q) | |||||||||||
Consumer | Credit | (2,880 | ) | 12/21 | 102 | ||||||
Communications | Credit | (1,930 | ) | 6/21 | 30 | ||||||
Energy | Credit | (20,507 | ) | 6/17 - 6/21 | 867 | ||||||
Total Credit Default Swaps on Corporate Bonds | 999 | ||||||||||
Total Swaps (Net cost $40,491) | 35,400 | ||||||||||
Futures (0.00%) | |||||||||||
Short Futures: | |||||||||||
U.S. Treasury Note Futures (ac) | Interest Rates | (7,000 | ) | 3/17 | 19 | ||||||
Eurodollar Futures (u) | Interest Rates | (13,000 | ) | 9/17 | 10 | ||||||
Total Futures | 29 | ||||||||||
Primary Risk Exposure | Notional Value | Range of Expiration Dates | Fair Value | ||||||||
(In thousands) | Expressed in U.S.Dollars | ||||||||||
Options (0.01%) | |||||||||||
Purchased Options: | |||||||||||
Put Options on Credit Default Swaps on Corporate Bond Indices (x) | Credit | $ | 10,000 | 1/17 | $ | — | |||||
Interest Rate Caps (w) | Interest Rates | 61,908 | 3/18 - 10/18 | 2 | |||||||
North America | |||||||||||
Equity Call Options (y) | |||||||||||
Consumer | Equity Market | 16 | 4/17 | 42 | |||||||
Total Options (Cost $133) | 44 | ||||||||||
Forwards (0.00%) | |||||||||||
Short Forwards: | |||||||||||
Currency Forwards (aa) | Currency | (6,529 | ) | 3/17 | 16 | ||||||
Total Forwards | 16 | ||||||||||
Warrants (0.02%) | |||||||||||
North America | |||||||||||
Warrants (v) | |||||||||||
Mortgage-related—Residential | Equity Market | 1,639 | 106 | ||||||||
Total Warrants (Cost $100) | 106 | ||||||||||
Total Financial Derivatives–Assets (Net cost $40,724) | $ | 35,595 | |||||||||
Financial Derivatives–Liabilities (-2.90%) (a) (b) | |||||||||||
Swaps (-2.81%) | |||||||||||
Long Swaps: | |||||||||||
Credit Default Swaps on Asset-Backed Indices (o) | Credit | $ | 16,026 | 1/47 - 5/63 | $ | (2,899 | ) | ||||
Interest Rate Swaps (p) | Interest Rates | 160,248 | 2/19 - 1/45 | (4,396 | ) | ||||||
North America | |||||||||||
Credit Default Swaps on Corporate Bonds (o) | |||||||||||
Basic Materials | Credit | 9,480 | 6/21 - 12/21 | (1,107 | ) | ||||||
Communications | Credit | 9,990 | 6/21 - 12/21 | (430 | ) | ||||||
Consumer | Credit | 9,736 | 6/21 - 12/21 | (298 | ) | ||||||
Energy | Credit | 14,317 | 3/18 - 12/21 | (928 | ) | ||||||
Total Credit Default Swaps on Corporate Bonds | (2,763 | ) | |||||||||
Total Return Swaps (t) | |||||||||||
Communications | Credit | 1,623 | 7/19 | (249 | ) | ||||||
Total Total Return Swaps | (249 | ) | |||||||||
Europe | |||||||||||
Credit Default Swaps on Corporate Bonds (o) | |||||||||||
Basic Materials | Credit | 11 | 12/19 | (6 | ) |
Primary Risk Exposure | Notional Value | Range of Expiration Dates | Fair Value | ||||||||
(In thousands) | Expressed in U.S.Dollars | ||||||||||
Short Swaps: | |||||||||||
Interest Rate Swaps (r) | Interest Rates | $ | (154,836 | ) | 8/17 - 11/45 | $ | (742 | ) | |||
Interest Rate Swaps (z) | Interest Rates | (100,200 | ) | 6/17 - 6/19 | (24 | ) | |||||
Credit Default Swaps on Corporate Bond Indices (q) | Credit | (49,306 | ) | 12/18 - 12/21 | (2,840 | ) | |||||
North America | |||||||||||
Credit Default Swaps on Asset-Backed Securities (q) | |||||||||||
Mortgage-related—Residential | Credit | (3,057 | ) | 10/34 - 3/35 | (256 | ) | |||||
Credit Default Swaps on Corporate Bonds (q) | |||||||||||
Basic Materials | Credit | (2,260 | ) | 6/17 - 3/21 | (93 | ) | |||||
Communications | Credit | (3,140 | ) | 6/20 | (44 | ) | |||||
Consumer | Credit | (30,901 | ) | 3/19 - 12/21 | (3,097 | ) | |||||
Energy | Credit | (5,150 | ) | 12/17 - 12/21 | (80 | ) | |||||
Industrial | Credit | (12,460 | ) | 3/20 - 12/21 | (119 | ) | |||||
Technology | Credit | (3,020 | ) | 3/20 | (345 | ) | |||||
Utilities | Credit | (860 | ) | 6/21 | (107 | ) | |||||
Total Credit Default Swaps on Corporate Bonds | (3,885 | ) | |||||||||
Total Return Swaps (s) | |||||||||||
Financial | Equity | (42,093 | ) | 5/17 - 8/17 | (55 | ) | |||||
Total Swaps (Net proceeds -$12,012) | (18,115 | ) | |||||||||
Futures (-0.01%) | |||||||||||
Long Futures: | |||||||||||
Eurodollar Futures (u) | Interest Rates | 11,000 | 6/17 | (8 | ) | ||||||
Short Futures: | |||||||||||
Eurodollar Futures (u) | Interest Rates | (49,000 | ) | 3/17 - 9/17 | (61 | ) | |||||
Total Futures | (69 | ) | |||||||||
Forwards (-0.07%) | |||||||||||
Short Forwards: | |||||||||||
Currency Forwards (aa) | Currency | (48,258 | ) | 3/17 | (472 | ) | |||||
Total Forwards | (472 | ) | |||||||||
Mortgage Loan Purchase Commitments (-0.01%) | |||||||||||
North America | |||||||||||
Mortgage Loan Purchase Commitments (ab) | |||||||||||
Mortgage-related—residential | Interest rate | 20,601 | 2/17 | (31 | ) | ||||||
Total Mortgage Loan Purchase Commitments | (31 | ) | |||||||||
Total Financial Derivatives–Liabilities (Net proceeds -$12,012) | $ | (18,687 | ) |
(a) | See Note 2 and Note 3 in Notes to Consolidated Financial Statements. |
(b) | Classification percentages are based on Total Equity. |
(c) | At December 31, 2016, the Company's long investments guaranteed by the Federal National Mortgage Association, the Federal Home Loan Mortgage Corporation, and the Government National Mortgage Association, represented 73.78%, 42.13%, and 23.36% of Total Equity, respectively. |
(d) | Private trust 100% backed by interest in Government National Mortgage Association collateralized mortgage obligation certificates. |
(e) | Loans and real estate owned are beneficially owned by the Company through participation certificates in the various trusts that hold such investments. See Note 7 to the Notes to Consolidated Financial Statements. |
(f) | Includes investments in participation certificates related to loans titled in the name of a related party of Ellington Management Group L.L.C. Through its participation certificates, the Company has beneficial interests in the loan cash flows, net of servicing-related fees and expenses. At December 31, 2016 loans for which the Company has beneficial interests in the net cash flows, totaled $7.6 million. See Note 7 to the Notes to Consolidated Financial Statements. |
(g) | Includes investments in participation certificates related to loans held in a trust owned by a related party of Ellington Management Group, L.L.C. Through its participation certificates, the Company participates in the cash flows of the underlying loans held by the trust. At December 31, 2016 loans held in the related party trust for which the Company has participating interests in the cash flows, totaled $43.2 million. See Note 7 to the Notes to Consolidated Financial Statements. |
(h) | Includes the Company's beneficial interest in an entity, which is co-owned by an affiliate of Ellington Management Group, L.L.C., in the amount of $7.3 million as of December 31, 2016. The entity owns subordinated notes issued by, as well as trust certificates representing ownership of, a securitization trust. See Note 7 to the Notes to Consolidated Financial Statements. |
(i) | Includes non-performing commercial loans in the amount of $28.6 million whereby principal and/or interest is past due and a maturity date is not applicable. |
(j) | Number of properties not shown in thousands, represents actual number of properties owned. |
(k) | As of December 31, 2016, the Company had residential mortgage loans that were in the process of foreclosure with a fair value of $3.2 million. |
(l) | In general, securities received pursuant to repurchase agreements were delivered to counterparties in short sale transactions. |
(m) | Repurchase agreement is between the Company and CILO 2016-LD1 Holdings LLC, an entity in which the Company has a beneficial interest and is co-owned by an affiliate of Ellington Management Group, L.L.C. CILO 2016-LD1 Holdings LLC owns subordinated notes issued by, as well as trust certificates representing ownership of, a securitization trust. See Note 7 to the Notes to Consolidated Financial Statements. |
(n) | At December 31, 2016, the Company's short investments guaranteed by the Federal National Mortgage Association, the Federal Home Loan Mortgage Corporation, and the Government National Mortgage Association, represented 32.67%, 22.21%, and 7.89% of Total Equity, respectively. |
(o) | For long credit default swaps, the Company sold protection. |
(p) | For long interest rate swap contracts, the Company pays a floating rate and receives a fixed rate. |
(q) | For short credit default swaps, the Company purchased protection. |
(r) | For short interest rate swap contracts, the Company pays a fixed rate and receives a floating rate. |
(s) | Notional value represents number of underlying shares times the closing price of the underlying security. |
(t) | Notional value represents outstanding principal balance on underlying corporate debt. |
(u) | Every $1,000,000 in notional value represents one contract. |
(v) | Notional value represents number of shares that warrants are convertible into. |
(w) | Notional value represents the amount on which interest payments are calculated to the extent the market interest rate exceeds the rate cap on the contract. |
(x) | Represents the option on the part of a counterparty to enter into a credit default swap on a corporate bond index whereby the Company would receive a fixed rate and pay credit protection payments. |
(y) | Notional value represents the number of common shares we have the option to purchase multiplied by the strike price. |
(z) | The Company pays a floating rate and receives a floating rate. |
(aa) | Notional value represents U.S. Dollars to be received by the Company at the maturity of the forward contract. |
(ab) | Notional value represents principal balance of mortgage loan purchase commitments. Actual loan purchases are contingent upon successful loan closings in accordance with agreed-upon parameters. |
(ac) | Notional value represents the total face amount of U.S. Treasury securities underlying all contracts held. As of December 31, 2016, a total of 70 contracts were held. |
(ad) | The table below shows the Company's long investment ratings from Moody's, Standard and Poor's, or Fitch, as well as the Company's long investments that were unrated but guaranteed by the Federal National Mortgage Association, the Federal Home Loan Mortgage Corporation, or the Government National Mortgage Association. Ratings tend to be a lagging credit indicator; as a result, the credit quality of the Company's long investment holdings may be lower than the credit quality implied based on the ratings listed below. In situations where an investment has a split rating, the lowest provided rating is used. The ratings descriptions include ratings qualified with a "+," "-," "1," "2," or "3." |
Rating Description | Percent of Equity | ||
Unrated but Agency-Guaranteed | 139.27 | % | |
Aaa/AAA/AAA | 0.84 | % | |
Aa/AA/AA | 0.03 | % | |
A/A/A | 0.05 | % | |
Baa/BBB/BBB | 2.60 | % | |
Ba/BB/BB or below | 30.24 | % | |
Unrated | 60.39 | % |
(ae) | Represents the Company's investment in a related party. See Note 7 to the Notes to the Consolidated Financial Statements. |
(af) | Conformed to current period presentation. |
Three Month Period Ended | Six Month Period Ended | |||||||||||||||
June 30, 2017 | June 30, 2016 | June 30, 2017 | June 30, 2016 | |||||||||||||
(In thousands except per share amounts) | Expressed in U.S. Dollars | |||||||||||||||
INVESTMENT INCOME | ||||||||||||||||
Interest income | $ | 21,788 | $ | 18,990 | $ | 44,674 | $ | 39,417 | ||||||||
Other income | 872 | 1,024 | 1,811 | 2,692 | ||||||||||||
Total investment income | 22,660 | 20,014 | 46,485 | 42,109 | ||||||||||||
EXPENSES | ||||||||||||||||
Base management fee | 2,372 | 2,553 | 4,782 | 5,164 | ||||||||||||
Interest expense | 7,625 | 4,234 | 13,628 | 7,702 | ||||||||||||
Other investment related expenses | 2,058 | 2,191 | 3,579 | 3,938 | ||||||||||||
Professional fees | 697 | 834 | 1,379 | 1,690 | ||||||||||||
Administration fees | 180 | 312 | 362 | 653 | ||||||||||||
Compensation expense | 567 | 612 | 1,030 | 1,132 | ||||||||||||
Insurance expense | 120 | 150 | 256 | 307 | ||||||||||||
Directors' fees and expenses | 70 | 73 | 141 | 138 | ||||||||||||
Share-based LTIP expense | 95 | 99 | 189 | 199 | ||||||||||||
Other expenses | 444 | 435 | 932 | 843 | ||||||||||||
Total expenses | 14,228 | 11,493 | 26,278 | 21,766 | ||||||||||||
NET INVESTMENT INCOME | 8,432 | 8,521 | 20,207 | 20,343 | ||||||||||||
NET REALIZED AND CHANGE IN NET UNREALIZED GAIN (LOSS) ON INVESTMENTS, FINANCIAL DERIVATIVES, AND FOREIGN CURRENCY TRANSACTIONS/TRANSLATION | ||||||||||||||||
Net realized gain (loss) on: | ||||||||||||||||
Investments | 691 | 1,226 | 1,285 | (748 | ) | |||||||||||
Financial derivatives, excluding currency forwards | (4,046 | ) | (2,231 | ) | (5,627 | ) | (12,285 | ) | ||||||||
Financial derivatives—currency forwards | (2,523 | ) | (972 | ) | (3,345 | ) | (1,305 | ) | ||||||||
Foreign currency transactions | 531 | (354 | ) | 1,509 | 66 | |||||||||||
(5,347 | ) | (2,331 | ) | (6,178 | ) | (14,272 | ) | |||||||||
Change in net unrealized gain (loss) on: | ||||||||||||||||
Investments | 2,829 | 3,386 | 8,587 | (1,016 | ) | |||||||||||
Financial derivatives, excluding currency forwards | (2,619 | ) | (5,773 | ) | (3,776 | ) | (24,611 | ) | ||||||||
Financial derivatives—currency forwards | (1,194 | ) | 3,500 | (864 | ) | 454 | ||||||||||
Foreign currency translation | 3,340 | (2,301 | ) | 3,195 | 918 | |||||||||||
2,356 | (1,188 | ) | 7,142 | (24,255 | ) | |||||||||||
NET REALIZED AND CHANGE IN NET UNREALIZED GAIN (LOSS) ON INVESTMENTS, FINANCIAL DERIVATIVES, AND FOREIGN CURRENCY TRANSACTIONS/TRANSLATION | (2,991 | ) | (3,519 | ) | 964 | (38,527 | ) | |||||||||
NET INCREASE (DECREASE) IN EQUITY RESULTING FROM OPERATIONS | 5,441 | 5,002 | 21,171 | (18,184 | ) | |||||||||||
LESS: NET INCREASE IN EQUITY RESULTING FROM OPERATIONS ATTRIBUTABLE TO NON-CONTROLLING INTERESTS | 377 | 17 | 829 | 31 | ||||||||||||
NET INCREASE (DECREASE) IN SHAREHOLDERS' EQUITY RESULTING FROM OPERATIONS | $ | 5,064 | $ | 4,985 | $ | 20,342 | $ | (18,215 | ) | |||||||
NET INCREASE (DECREASE) IN SHAREHOLDERS' EQUITY RESULTING FROM OPERATIONS PER SHARE: | ||||||||||||||||
Basic and Diluted | $ | 0.16 | $ | 0.15 | $ | 0.62 | $ | (0.54 | ) | |||||||
CASH DIVIDENDS PER SHARE: | ||||||||||||||||
Dividends declared | $ | 0.45 | $ | 0.50 | $ | 0.90 | $ | 1.00 |
Six Month Period Ended June 30, 2017 | Six Month Period Ended June 30, 2016 | |||||||||||||||||||||||
Shareholders' Equity | Non-controlling Interest | Total Equity | Shareholders' Equity | Non-controlling Interest | Total Equity | |||||||||||||||||||
(In thousands) | Expressed in U.S. Dollars | |||||||||||||||||||||||
BEGINNING EQUITY (12/31/2016 and 12/31/2015, respectively) | $ | 637,661 | $ | 7,116 | $ | 644,777 | $ | 732,049 | $ | 6,903 | $ | 738,952 | ||||||||||||
CHANGE IN EQUITY RESULTING FROM OPERATIONS | ||||||||||||||||||||||||
Net investment income | 20,207 | 20,343 | ||||||||||||||||||||||
Net realized gain (loss) on investments, financial derivatives, and foreign currency transactions | (6,178 | ) | (14,272 | ) | ||||||||||||||||||||
Change in net unrealized gain (loss) on investments, financial derivatives, and foreign currency translation | 7,142 | (24,255 | ) | |||||||||||||||||||||
Net increase (decrease) in equity resulting from operations | 20,342 | 829 | 21,171 | (18,215 | ) | 31 | (18,184 | ) | ||||||||||||||||
CHANGE IN EQUITY RESULTING FROM TRANSACTIONS | ||||||||||||||||||||||||
Contributions from non-controlling interests | 11,321 | 11,321 | 684 | 684 | ||||||||||||||||||||
Dividends(1) | (29,388 | ) | (191 | ) | (29,579 | ) | (33,404 | ) | (212 | ) | (33,616 | ) | ||||||||||||
Distributions to non-controlling interests | (8,050 | ) | (8,050 | ) | (2,228 | ) | (2,228 | ) | ||||||||||||||||
Adjustment to non-controlling interest | (4 | ) | 4 | — | (9 | ) | 9 | — | ||||||||||||||||
Shares repurchased | (2,868 | ) | (2,868 | ) | (6,624 | ) | (6,624 | ) | ||||||||||||||||
Share-based LTIP awards | 188 | 1 | 189 | 198 | 1 | 199 | ||||||||||||||||||
Net increase (decrease) in equity from transactions | (32,072 | ) | 3,085 | (28,987 | ) | (39,839 | ) | (1,746 | ) | (41,585 | ) | |||||||||||||
Net increase (decrease) in equity | (11,730 | ) | 3,914 | (7,816 | ) | (58,054 | ) | (1,715 | ) | (59,769 | ) | |||||||||||||
ENDING EQUITY (6/30/2017 and 6/30/2016, respectively) | $ | 625,931 | $ | 11,030 | $ | 636,961 | $ | 673,995 | $ | 5,188 | $ | 679,183 |
(1) | For the six month periods ended June 30, 2017 and 2016, dividends totaling $0.90 and $1.00 respectively, per common share and convertible unit outstanding, were declared and paid. |
Six Month Period Ended June 30, | |||||||
2017 | 2016 | ||||||
(In thousands) | Expressed in U.S. Dollars | ||||||
INCREASE (DECREASE) IN CASH AND CASH EQUIVALENTS: | |||||||
NET INCREASE (DECREASE) IN EQUITY RESULTING FROM OPERATIONS | $ | 21,171 | $ | (18,184 | ) | ||
Cash flows provided by (used in) operating activities: | |||||||
Reconciliation of the net increase (decrease) in equity resulting from operations to net cash provided by (used in) operating activities: | |||||||
Net realized (gain) loss on investments, financial derivatives, and foreign currency transactions | 9,370 | 14,322 | |||||
Change in net unrealized (gain) loss on investments and financial derivatives, and foreign currency translation | (6,796 | ) | 24,894 | ||||
Amortization of premiums and accretion of discounts (net) | 15,618 | 10,333 | |||||
Purchase of investments | (1,445,940 | ) | (1,299,234 | ) | |||
Proceeds from disposition of investments | 1,022,560 | 1,264,889 | |||||
Proceeds from principal payments of investments | 134,770 | 120,017 | |||||
Proceeds from investments sold short | 1,207,603 | 773,556 | |||||
Repurchase of investments sold short | (1,116,008 | ) | (905,408 | ) | |||
Payments on financial derivatives (1) | (44,958 | ) | (168,054 | ) | |||
Proceeds from financial derivatives (1) | 48,528 | 155,132 | |||||
Share-based LTIP expense | 189 | 199 | |||||
Repurchase agreements | (81,840 | ) | (10,303 | ) | |||
(Increase) decrease in assets: | |||||||
Receivable for securities sold and financial derivatives | (39,012 | ) | 168,812 | ||||
Due from brokers | 30,717 | (57,520 | ) | ||||
Interest and principal receivable | 547 | 1,359 | |||||
Restricted cash | 230 | 952 | |||||
Other assets | (3,522 | ) | 2,383 | ||||
Increase (decrease) in liabilities: | |||||||
Due to brokers | (8,882 | ) | (20,082 | ) | |||
Payable for securities purchased and financial derivatives | 139,361 | 31,799 | |||||
Accounts payable and accrued expenses | 669 | (571 | ) | ||||
Other liabilities | 102 | (504 | ) | ||||
Interest and dividends payable | 517 | 717 | |||||
Base management fee payable | (45 | ) | (220 | ) | |||
Net cash provided by (used in) operating activities | (115,051 | ) | 89,284 | ||||
ELLINGTON FINANCIAL LLC | |||||||
CONSOLIDATED STATEMENT OF CASH FLOWS (CONTINUED) | |||||||
(UNAUDITED) | |||||||
Six Month Period Ended June 30, | |||||||
2017 | 2016 | ||||||
(In thousands) | Expressed in U.S. Dollars | ||||||
Cash flows provided by (used in) financing activities: | |||||||
Contributions from non-controlling interests | $ | 11,321 | $ | 684 | |||
Shares repurchased | (2,868 | ) | (6,624 | ) | |||
Dividends paid | (29,579 | ) | (33,616 | ) | |||
Distributions to non-controlling interests | (8,050 | ) | (2,228 | ) | |||
Proceeds from issuance of other secured borrowings | 81,648 | 23,238 | |||||
Principal payments on other secured borrowings | (11,837 | ) | (10,205 | ) | |||
Borrowings under reverse repurchase agreements | 7,089,080 | 3,220,229 | |||||
Repayments of reverse repurchase agreements | (7,003,423 | ) | (3,324,313 | ) | |||
Net cash provided by (used in) financing activities | 126,292 | (132,835 | ) | ||||
NET INCREASE (DECREASE) IN CASH AND CASH EQUIVALENTS | 11,241 | (43,551 | ) | ||||
CASH AND CASH EQUIVALENTS, BEGINNING OF PERIOD | 123,274 | 183,909 | |||||
CASH AND CASH EQUIVALENTS, END OF PERIOD | $ | 134,515 | $ | 140,358 | |||
Supplemental disclosure of cash flow information: | |||||||
Interest paid | $ | 12,554 | $ | 7,442 | |||
Share-based LTIP awards (non-cash) | 189 | 199 | |||||
Aggregate TBA trade activity (buys + sells) (non-cash) | 11,157,765 | 11,246,156 | |||||
Purchase of investments (non-cash) | (24,211 | ) | — | ||||
Proceeds from principal payments of investments (non-cash) | 4,315 | — | |||||
Proceeds from the disposition of investments (non-cash) | 25,693 | — | |||||
Proceeds from issuance of securitized debt (non-cash) | 17,175 | — | |||||
Principal payments on other secured borrowings (non-cash) | (22,972 | ) | — |
(1) | Conformed to current period presentation. |
• | Level 1—inputs to the valuation methodology are observable and reflect quoted prices (unadjusted) for identical assets or liabilities in active markets. Currently, the types of financial instruments the Company generally includes in this category are listed equities, exchange-traded derivatives, and cash equivalents; |
• | Level 2—inputs to the valuation methodology other than quoted prices included in Level 1 are observable for the asset or liability, either directly or indirectly. Currently, the types of financial instruments that the Company generally includes in this category are Agency RMBS, U.S. Treasury securities and sovereign debt, certain non-Agency RMBS and CMBS, CLOs, and corporate debt, and actively traded derivatives, such as interest rate swaps and foreign currency forwards, and certain other over-the-counter derivatives; and |
• | Level 3—inputs to the valuation methodology are unobservable and significant to the fair value measurement. The types of financial instruments that the Company generally includes in this category are certain RMBS, CMBS, and CLOs; ABS, credit default swaps, or "CDS," on individual ABS, distressed corporate debt, and total return swaps on distressed corporate debt, in each case where there is less price transparency. Also included in this category are residential and commercial mortgage loans, consumer loans, non-listed equities, and private corporate debt and equity investments. |
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Assets: | (In thousands) | |||||||||||||||
Cash equivalents | $ | 20,000 | $ | — | $ | — | $ | 20,000 | ||||||||
Investments, at fair value- | ||||||||||||||||
Agency residential mortgage-backed securities | $ | — | $ | 1,008,975 | $ | 4,896 | $ | 1,013,871 | ||||||||
U.S. Treasury securities | — | 22,165 | — | 22,165 | ||||||||||||
Private label residential mortgage-backed securities | — | 55,427 | 79,123 | 134,550 | ||||||||||||
Private label commercial mortgage-backed securities | — | 20,036 | 13,809 | 33,845 | ||||||||||||
Commercial mortgage loans | — | — | 65,896 | 65,896 | ||||||||||||
Residential mortgage loans | — | — | 136,097 | 136,097 | ||||||||||||
Collateralized loan obligations | — | 79,614 | 42,536 | 122,150 | ||||||||||||
Consumer loans and asset-backed securities backed by consumer loans | — | — | 108,671 | 108,671 | ||||||||||||
Corporate debt | — | 74,049 | 20,535 | 94,584 | ||||||||||||
Real estate owned | — | — | 24,977 | 24,977 | ||||||||||||
Corporate equity investments | 1,625 | — | 35,698 | 37,323 | ||||||||||||
Total investments, at fair value | 1,625 | 1,260,266 | 532,238 | 1,794,129 | ||||||||||||
Financial derivatives–assets, at fair value- | ||||||||||||||||
Credit default swaps on asset-backed securities | — | — | 5,107 | 5,107 | ||||||||||||
Credit default swaps on corporate bond indices | — | 880 | — | 880 | ||||||||||||
Credit default swaps on corporate bonds | — | 6,507 | — | 6,507 | ||||||||||||
Credit default swaps on asset-backed indices | — | 7,426 | — | 7,426 | ||||||||||||
Interest rate swaps | — | 6,611 | — | 6,611 | ||||||||||||
Options | 25 | 2 | — | 27 | ||||||||||||
Futures | 44 | — | — | 44 | ||||||||||||
Total financial derivatives–assets, at fair value | 69 | 21,426 | 5,107 | 26,602 | ||||||||||||
Repurchase agreements | — | 266,659 | — | 266,659 | ||||||||||||
Total investments and financial derivatives–assets, at fair value and repurchase agreements | $ | 1,694 | $ | 1,548,351 | $ | 537,345 | $ | 2,087,390 | ||||||||
Liabilities: | ||||||||||||||||
Investments sold short, at fair value- | ||||||||||||||||
Agency residential mortgage-backed securities | $ | — | $ | (450,055 | ) | $ | — | $ | (450,055 | ) | ||||||
Government debt | — | (172,480 | ) | — | (172,480 | ) | ||||||||||
Corporate debt | — | (61,267 | ) | — | (61,267 | ) | ||||||||||
Common stock | (3,432 | ) | — | — | (3,432 | ) | ||||||||||
Total investments sold short, at fair value | (3,432 | ) | (683,802 | ) | — | (687,234 | ) | |||||||||
Financial derivatives–liabilities, at fair value- | ||||||||||||||||
Credit default swaps on corporate bond indices | — | (7,361 | ) | — | (7,361 | ) | ||||||||||
Credit default swaps on corporate bonds | — | (11,885 | ) | — | (11,885 | ) | ||||||||||
Credit default swaps on asset-backed indices | — | (1,770 | ) | — | (1,770 | ) | ||||||||||
Credit default swaps on asset-backed securities | — | — | (207 | ) | (207 | ) | ||||||||||
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
(continued) | (In thousands) | |||||||||||||||
Interest rate swaps | $ | — | $ | (4,413 | ) | $ | — | $ | (4,413 | ) | ||||||
Total return swaps | — | (1 | ) | — | (1 | ) | ||||||||||
Futures | (47 | ) | — | — | (47 | ) | ||||||||||
Forwards | — | (1,319 | ) | — | (1,319 | ) | ||||||||||
Total financial derivatives–liabilities, at fair value | (47 | ) | (26,749 | ) | (207 | ) | (27,003 | ) | ||||||||
Total investments sold short and financial derivatives–liabilities, at fair value | $ | (3,479 | ) | $ | (710,551 | ) | $ | (207 | ) | $ | (714,237 | ) |
Fair Value | Valuation Technique | Unobservable Input | Range | Weighted Average | ||||||||||||||||
Description | Min | Max | ||||||||||||||||||
(In thousands) | ||||||||||||||||||||
Private label residential mortgage-backed securities | $ | 28,050 | Market Quotes | Non Binding Third-Party Valuation | $ | 45.12 | $ | 188.00 | $ | 86.92 | ||||||||||
Collateralized loan obligations | 39,195 | Market Quotes | Non Binding Third-Party Valuation | 37.54 | 438.51 | 112.64 | ||||||||||||||
Corporate debt and non-exchange traded corporate equity | 13,506 | Market Quotes | Non Binding Third-Party Valuation | 1.38 | 99.50 | 82.85 | ||||||||||||||
Private label commercial mortgage-backed securities | 7,992 | Market Quotes | Non Binding Third-Party Valuation | 5.38 | 41.43 | 23.46 | ||||||||||||||
Agency interest only residential mortgage-backed securities | 1,644 | Market Quotes | Non Binding Third-Party Valuation | 16.52 | 19.74 | 18.12 | ||||||||||||||
Private label residential mortgage-backed securities | 51,073 | Discounted Cash Flows | Yield | 2.8 | % | 39.3 | % | 10.0 | % | |||||||||||
Projected Collateral Prepayments | 0.0 | % | 83.3 | % | 11.0 | % | ||||||||||||||
Projected Collateral Losses | 0.5 | % | 54.6 | % | 43.5 | % | ||||||||||||||
Projected Collateral Recoveries | 1.4 | % | 49.0 | % | 38.9 | % | ||||||||||||||
Projected Collateral Scheduled Amortization | 0.0 | % | 58.1 | % | 6.6 | % | ||||||||||||||
100.0 | % | |||||||||||||||||||
Private label commercial mortgage-backed securities | 5,817 | Discounted Cash Flows | Yield | 3.4 | % | 52.7 | % | 18.0 | % | |||||||||||
Projected Collateral Losses | 1.2 | % | 8.2 | % | 3.8 | % | ||||||||||||||
Projected Collateral Recoveries | 6.6 | % | 19.1 | % | 12.4 | % | ||||||||||||||
Projected Collateral Scheduled Amortization | 72.8 | % | 92.1 | % | 83.8 | % | ||||||||||||||
100.0 | % | |||||||||||||||||||
Corporate debt | 6,170 | Discounted Cash Flows | Yield | 16.1 | % | 16.1 | % | 16.1 | % | |||||||||||
Collateralized loan obligations | 3,341 | Discounted Cash Flows | Yield | 12.2 | % | 54.6 | % | 31.6 | % | |||||||||||
Projected Collateral Prepayments | 66.8 | % | 74.7 | % | 68.9 | % | ||||||||||||||
Projected Collateral Losses | 18.1 | % | 22.9 | % | 20.2 | % | ||||||||||||||
Projected Collateral Recoveries | 1.2 | % | 11.8 | % | 9.2 | % | ||||||||||||||
Projected Collateral Scheduled Amortization | 0.1 | % | 5.0 | % | 1.7 | % | ||||||||||||||
100.0 | % | |||||||||||||||||||
(continued) | Fair Value | Valuation Technique | Unobservable Input | Range | Weighted Average | |||||||||||||||
Description | Min | Max | ||||||||||||||||||
(In thousands) | ||||||||||||||||||||
Consumer loans and asset-backed securities backed by consumer loans | $ | 108,671 | Discounted Cash Flows | Yield | 9.0 | % | 16.0 | % | 10.3 | % | ||||||||||
Projected Collateral Prepayments | 0.0 | % | 50.3 | % | 36.1 | % | ||||||||||||||
Projected Collateral Losses | 0.0 | % | 97.7 | % | 8.1 | % | ||||||||||||||
Projected Collateral Scheduled Amortization | 0.0 | % | 90.9 | % | 55.8 | % | ||||||||||||||
100.0 | % | |||||||||||||||||||
Performing commercial mortgage loans | 59,289 | Discounted Cash Flows | Yield | 8.0 | % | 15.4 | % | 10.9 | % | |||||||||||
Non-performing commercial mortgage loans and commercial real estate owned | 30,952 | Discounted Cash Flows | Yield | 10.2 | % | 25.7 | % | 12.6 | % | |||||||||||
Months to Resolution | 6.0 | 15.0 | 10.0 | |||||||||||||||||
Performing residential mortgage loans | 129,468 | Discounted Cash Flows | Yield | 0.4 | % | 42.0 | % | 5.8 | % | |||||||||||
Non-performing residential mortgage loans and residential real estate owned | 7,261 | Discounted Cash Flows | Yield | 2.6 | % | 40.7 | % | 11.2 | % | |||||||||||
Months to Resolution | 4.1 | 134.5 | 32.8 | |||||||||||||||||
Credit default swaps on asset-backed securities | 4,900 | Net Discounted Cash Flows | Projected Collateral Prepayments | 19.9 | % | 27.0 | % | 22.6 | % | |||||||||||
Projected Collateral Losses | 13.0 | % | 25.7 | % | 22.0 | % | ||||||||||||||
Projected Collateral Recoveries | 5.3 | % | 14.4 | % | 9.2 | % | ||||||||||||||
Projected Collateral Scheduled Amortization | 44.8 | % | 54.3 | % | 46.2 | % | ||||||||||||||
100.0 | % | |||||||||||||||||||
Agency interest only residential mortgage-backed securities | 3,252 | Option Adjusted Spread ("OAS") | LIBOR OAS(1) | 417 | 1,950 | 839 | ||||||||||||||
Projected Collateral Prepayments | 9.2 | % | 100.0 | % | 68.1 | % | ||||||||||||||
Projected Collateral Losses | 0.0 | % | 7.7 | % | 0.4 | % | ||||||||||||||
Projected Collateral Scheduled Amortization | 0.0 | % | 90.8 | % | 31.5 | % | ||||||||||||||
100.0 | % | |||||||||||||||||||
Non-exchange traded preferred and common equity investment in mortgage-related entity | 2,500 | Enterprise Value | Equity Multiple(2) | 1.3x | 1.3x | 1.3x | ||||||||||||||
Non-exchange traded preferred equity and debt investment in mortgage-related entity | 22,500 | Recent Transactions | Transaction Price | N/A | N/A | N/A | ||||||||||||||
Non-controlling equity interest in limited liability company | 5,591 | Recent Transactions | Transaction Price | N/A | N/A | N/A | ||||||||||||||
Non-controlling equity interest in limited liability company | 5,966 | Net Discounted Cash Flows | Yield | 9.1 | % | 9.1 | % | 9.1 | % |
(1) | Shown in basis points. |
(2) | Represent an estimation of where market participants might value an enterprise. |
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Assets: | (In thousands) | |||||||||||||||
Cash equivalents | $ | 90,000 | $ | — | $ | — | $ | 90,000 | ||||||||
Investments, at fair value- | ||||||||||||||||
Agency residential mortgage-backed securities | $ | — | $ | 868,345 | $ | 29,622 | $ | 897,967 | ||||||||
U.S. Treasury securities | — | 5,419 | — | 5,419 | ||||||||||||
Private label residential mortgage-backed securities | — | 53,525 | 90,083 | 143,608 | ||||||||||||
Private label commercial mortgage-backed securities | — | — | 43,268 | 43,268 | ||||||||||||
Commercial mortgage loans | — | — | 61,129 | 61,129 | ||||||||||||
Residential mortgage loans | — | — | 84,290 | 84,290 | ||||||||||||
Collateralized loan obligations | — | — | 44,956 | 44,956 | ||||||||||||
Consumer loans and asset-backed securities backed by consumer loans(1) | — | — | 107,157 | 107,157 | ||||||||||||
Corporate debt | — | 55,091 | 25,004 | 80,095 | ||||||||||||
Real estate owned | — | — | 3,349 | 3,349 | ||||||||||||
Corporate equity investments(1) | 4,396 | — | 29,392 | 33,788 | ||||||||||||
Total investments, at fair value | 4,396 | 982,380 | 518,250 | 1,505,026 | ||||||||||||
Financial derivatives–assets, at fair value- | ||||||||||||||||
Credit default swaps on asset-backed securities | — | — | 5,326 | 5,326 | ||||||||||||
Credit default swaps on corporate bond indices | — | 2,744 | — | 2,744 | ||||||||||||
Credit default swaps on corporate bonds | — | 2,360 | — | 2,360 | ||||||||||||
Credit default swaps on asset-backed indices | — | 16,713 | — | 16,713 | ||||||||||||
Interest rate swaps | — | 8,102 | — | 8,102 | ||||||||||||
Total return swaps | — | — | 155 | 155 | ||||||||||||
Options | 42 | 2 | — | 44 | ||||||||||||
Futures | 29 | — | — | 29 |
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
(continued) | (In thousands) | |||||||||||||||
Forwards | $ | — | $ | 16 | $ | — | $ | 16 | ||||||||
Warrants | — | — | 106 | 106 | ||||||||||||
Total financial derivatives–assets, at fair value | 71 | 29,937 | 5,587 | 35,595 | ||||||||||||
Repurchase agreements | — | 184,819 | — | 184,819 | ||||||||||||
Total investments and financial derivatives–assets, at fair value and repurchase agreements | $ | 4,467 | $ | 1,197,136 | $ | 523,837 | $ | 1,725,440 | ||||||||
Liabilities: | ||||||||||||||||
Investments sold short, at fair value- | ||||||||||||||||
Agency residential mortgage-backed securities | $ | — | $ | (404,728 | ) | $ | — | $ | (404,728 | ) | ||||||
Government debt | — | (132,442 | ) | — | (132,442 | ) | ||||||||||
Corporate debt | — | (39,572 | ) | — | (39,572 | ) | ||||||||||
Common stock | (8,154 | ) | — | — | (8,154 | ) | ||||||||||
Total investments sold short, at fair value | (8,154 | ) | (576,742 | ) | — | (584,896 | ) | |||||||||
Financial derivatives–liabilities, at fair value- | ||||||||||||||||
Credit default swaps on corporate bond indices | — | (2,840 | ) | — | (2,840 | ) | ||||||||||
Credit default swaps on corporate bonds | — | (6,654 | ) | — | (6,654 | ) | ||||||||||
Credit default swaps on asset-backed indices | — | (2,899 | ) | — | (2,899 | ) | ||||||||||
Credit default swaps on asset-backed securities | — | — | (256 | ) | (256 | ) | ||||||||||
Interest rate swaps | — | (5,162 | ) | — | (5,162 | ) | ||||||||||
Total return swaps | — | (55 | ) | (249 | ) | (304 | ) | |||||||||
Futures | (69 | ) | — | — | (69 | ) | ||||||||||
Forwards | — | (472 | ) | — | (472 | ) | ||||||||||
Mortgage loan purchase commitments | — | (31 | ) | — | (31 | ) | ||||||||||
Total financial derivatives–liabilities, at fair value | (69 | ) | (18,113 | ) | (505 | ) | (18,687 | ) | ||||||||
Total investments sold short, and financial derivatives–liabilities, at fair value | $ | (8,223 | ) | $ | (594,855 | ) | $ | (505 | ) | $ | (603,583 | ) |
(1) | Conformed to current period presentation. |
Fair Value | Valuation Technique | Unobservable Input | Range | Weighted Average | ||||||||||||||||
Description | Min | Max | ||||||||||||||||||
(In thousands) | ||||||||||||||||||||
Private label residential mortgage-backed securities | $ | 47,024 | Market Quotes | Non Binding Third-Party Valuation | $ | 2.00 | $ | 101.02 | $ | 67.51 | ||||||||||
Collateralized loan obligations | 37,517 | Market Quotes | Non Binding Third-Party Valuation | 9.42 | 100.25 | 83.36 | ||||||||||||||
Corporate debt and non-exchange traded corporate equity | 19,017 | Market Quotes | Non Binding Third-Party Valuation | 1.88 | 102.25 | 87.14 | ||||||||||||||
Private label commercial mortgage-backed securities | 27,283 | Market Quotes | Non Binding Third-Party Valuation | 5.17 | 77.75 | 40.88 | ||||||||||||||
Agency interest only residential mortgage-backed securities | 23,322 | Market Quotes | Non Binding Third-Party Valuation | 2.47 | 20.17 | 11.65 | ||||||||||||||
Total return swaps | (94 | ) | Market Quotes | Non Binding Third-Party Valuation (1) | 98.25 | 99.50 | 98.77 | |||||||||||||
Private label residential mortgage-backed securities | 43,059 | Discounted Cash Flows | Yield | 0.6 | % | 20.5 | % | 11.0 | % | |||||||||||
Projected Collateral Prepayments | 0.0 | % | 81.0 | % | 10.0 | % | ||||||||||||||
Projected Collateral Losses | 1.4 | % | 51.2 | % | 41.4 | % | ||||||||||||||
Projected Collateral Recoveries | 0.4 | % | 53.6 | % | 41.2 | % | ||||||||||||||
Projected Collateral Scheduled Amortization | 0.0 | % | 90.7 | % | 7.4 | % | ||||||||||||||
100.0 | % | |||||||||||||||||||
Private label commercial mortgage-backed securities | 15,985 | Discounted Cash Flows | Yield | 8.8 | % | 57.0 | % | 23.6 | % | |||||||||||
Projected Collateral Losses | 0.1 | % | 5.3 | % | 2.2 | % | ||||||||||||||
Projected Collateral Recoveries | 0.9 | % | 20.5 | % | 10.7 | % | ||||||||||||||
Projected Collateral Scheduled Amortization | 77.8 | % | 99.0 | % | 87.1 | % | ||||||||||||||
100.0 | % | |||||||||||||||||||
Corporate debt and warrants | 10,080 | Discounted Cash Flows | Yield | 19.7 | % | 19.7 | % | 19.7 | % | |||||||||||
Collateralized loan obligations | 7,439 | Discounted Cash Flows | Yield | 11.2 | % | 50.3 | % | 20.5 | % | |||||||||||
Projected Collateral Prepayments | 11.4 | % | 55.2 | % | 45.5 | % | ||||||||||||||
Projected Collateral Losses | 4.5 | % | 28.3 | % | 10.7 | % | ||||||||||||||
Projected Collateral Recoveries | 1.5 | % | 27.2 | % | 8.6 | % | ||||||||||||||
Projected Collateral Scheduled Amortization | 29.8 | % | 51.5 | % | 35.2 | % | ||||||||||||||
100.0 | % | |||||||||||||||||||
Consumer loans and asset-backed securities backed by consumer loans(2) | 107,157 | Discounted Cash Flows | Yield | 9.0 | % | 25.0 | % | 11.0 | % | |||||||||||
Projected Collateral Prepayments | 0.0 | % | 45.4 | % | 25.6 | % | ||||||||||||||
Projected Collateral Losses | 3.3 | % | 97.4 | % | 9.4 | % | ||||||||||||||
Projected Collateral Scheduled Amortization | 0.0 | % | 87.7 | % | 65.0 | % | ||||||||||||||
100.0 | % | |||||||||||||||||||
Performing commercial mortgage loans | 32,557 | Discounted Cash Flows | Yield | 8.0 | % | 17.2 | % | 11.6 | % | |||||||||||
(continued) | Fair Value | Valuation Technique | Unobservable Input | Range | Weighted Average | |||||||||||||||
Description | Min | Max | ||||||||||||||||||
(In thousands) | ||||||||||||||||||||
Non-performing commercial mortgage loans and commercial real estate owned | $ | 30,222 | Discounted Cash Flows | Yield | 10.2 | % | 27.8 | % | 16.3 | % | ||||||||||
Months to Resolution | 3.0 | 39.1 | 19.5 | |||||||||||||||||
Performing residential mortgage loans | 78,576 | Discounted Cash Flows | Yield | 5.0 | % | 13.5 | % | 6.6 | % | |||||||||||
Non-performing residential mortgage loans and residential real estate owned | 7,413 | Discounted Cash Flows | Yield | 5.8 | % | 39.9 | % | 9.7 | % | |||||||||||
Months to Resolution | 1.8 | 162.9 | 41.9 | |||||||||||||||||
Credit default swaps on asset-backed securities | 5,070 | Net Discounted Cash Flows | Projected Collateral Prepayments | 19.3 | % | 29.8 | % | 22.7 | % | |||||||||||
Projected Collateral Losses | 15.3 | % | 27.6 | % | 22.2 | % | ||||||||||||||
Projected Collateral Recoveries | 4.7 | % | 15.3 | % | 8.7 | % | ||||||||||||||
Projected Collateral Scheduled Amortization | 43.2 | % | 50.2 | % | 46.4 | % | ||||||||||||||
100.0 | % | |||||||||||||||||||
Non-exchange traded equity investments in commercial mortgage-related private partnerships | 3,090 | Discounted Cash Flows | Yield | 16.5 | % | 16.5 | % | 16.5 | % | |||||||||||
Expected Holding Period (Months) | 2.9 | 2.9 | 2.9 | |||||||||||||||||
Agency interest only residential mortgage-backed securities | 6,300 | Option Adjusted Spread ("OAS") | LIBOR OAS(3) | 142 | 2,831 | 568 | ||||||||||||||
Projected Collateral Prepayments | 0.0 | % | 100.0 | % | 62.6 | % | ||||||||||||||
Projected Collateral Losses | 0.0 | % | 15.7 | % | 1.0 | % | ||||||||||||||
Projected Collateral Scheduled Amortization | 0.0 | % | 88.1 | % | 36.4 | % | ||||||||||||||
100.0 | % | |||||||||||||||||||
Non-exchange traded preferred and common equity investment in mortgage-related entity | 2,500 | Enterprise Value | Equity Multiple(4) | 1.3x | 1.3x | 1.3x | ||||||||||||||
Non-controlling equity interest in limited liability company(2) | 7,315 | Net Discounted Cash Flows | Yield | 8.5 | % | 8.5 | % | 8.5 | % | |||||||||||
Non-exchange traded preferred equity investment in mortgage-related entity | 12,500 | Recent Transactions | Transaction Price | N/A | N/A | N/A |
(1) | Represents valuations on underlying assets. |
(2) | Conformed to current period presentation. |
(3) | Shown in basis points. |
(4) | Represent an estimation of where market participants might value an enterprise. |
(In thousands) | Ending Balance as of March 31, 2017 | Accreted Discounts / (Amortized Premiums) | Net Realized Gain/ (Loss) | Change in Net Unrealized Gain/(Loss) | Purchases/ Payments | Sales/ Issuances | Transfers Into Level 3 | Transfers Out of Level 3 | Ending Balance as of June 30, 2017 | ||||||||||||||||||||||||||
Assets: | |||||||||||||||||||||||||||||||||||
Investments, at fair value- | |||||||||||||||||||||||||||||||||||
Agency residential mortgage-backed securities | $ | 29,425 | $ | (2,320 | ) | $ | (402 | ) | $ | (163 | ) | $ | (417 | ) | $ | (126 | ) | $ | — | $ | (21,101 | ) | $ | 4,896 | |||||||||||
Private label residential mortgage-backed securities | 80,332 | (476 | ) | 1,137 | 3,327 | 27,972 | (9,733 | ) | 16,089 | (39,525 | ) | 79,123 | |||||||||||||||||||||||
Private label commercial mortgage-backed securities | 41,300 | 276 | (3,338 | ) | 4,991 | 20 | (16,734 | ) | — | (12,706 | ) | 13,809 | |||||||||||||||||||||||
Commercial mortgage loans | 62,508 | 101 | 79 | (56 | ) | 4,500 | (1,236 | ) | — | — | 65,896 | ||||||||||||||||||||||||
Residential mortgage loans | 112,650 | 537 | 1,133 | (481 | ) | 37,048 | (14,790 | ) | — | — | 136,097 | ||||||||||||||||||||||||
Collateralized loan obligations | 70,561 | (4,849 | ) | 532 | 479 | 18,157 | (23,233 | ) | — | (19,111 | ) | 42,536 | |||||||||||||||||||||||
Consumer loans and asset-backed securities backed by consumer loans(1) | 107,842 | (3,208 | ) | 478 | (555 | ) | 25,594 | (21,480 | ) | — | — | 108,671 | |||||||||||||||||||||||
Corporate debt | 59,609 | 154 | 216 | 29 | 36,397 | (75,870 | ) | — | — | 20,535 | |||||||||||||||||||||||||
Real estate owned | 25,390 | — | 365 | (401 | ) | 54 | (431 | ) | — | — | 24,977 | ||||||||||||||||||||||||
Corporate equity investments(1) | 33,917 | — | 1,519 | (994 | ) | 6,775 | (5,519 | ) | — | — | 35,698 | ||||||||||||||||||||||||
Total investments, at fair value | 623,534 | (9,785 | ) | 1,719 | 6,176 | 156,100 | (169,152 | ) | 16,089 | (92,443 | ) | 532,238 | |||||||||||||||||||||||
Financial derivatives–assets, at fair value- | |||||||||||||||||||||||||||||||||||
Credit default swaps on asset-backed securities | 5,828 | — | 331 | (721 | ) | 10 | (341 | ) | — | — | 5,107 | ||||||||||||||||||||||||
Total return swaps | — | — | 65 | — | — | (65 | ) | — | — | — | |||||||||||||||||||||||||
Total financial derivatives– assets, at fair value | 5,828 | — | 396 | (721 | ) | 10 | (406 | ) | — | — | 5,107 | ||||||||||||||||||||||||
Total investments and financial derivatives–assets, at fair value | $ | 629,362 | $ | (9,785 | ) | $ | 2,115 | $ | 5,455 | $ | 156,110 | $ | (169,558 | ) | $ | 16,089 | $ | (92,443 | ) | $ | 537,345 | ||||||||||||||
(In thousands) | Ending Balance as of March 31, 2017 | Accreted Discounts / (Amortized Premiums) | Net Realized Gain/ (Loss) | Change in Net Unrealized Gain/(Loss) | Purchases/ Payments | Sales/ Issuances | Transfers Into Level 3 | Transfers Out of Level 3 | Ending Balance as of June 30, 2017 | ||||||||||||||||||||||||||
Liabilities: | |||||||||||||||||||||||||||||||||||
Financial derivatives–liabilities, at fair value- | |||||||||||||||||||||||||||||||||||
Credit default swaps on asset-backed securities | $ | (218 | ) | $ | — | $ | (19 | ) | $ | 12 | $ | 446 | $ | (428 | ) | $ | — | $ | — | $ | (207 | ) | |||||||||||||
Total return swaps | — | — | (85 | ) | — | 21 | 64 | — | — | — | |||||||||||||||||||||||||
Total financial derivatives– liabilities, at fair value | (218 | ) | — | (104 | ) | 12 | 467 | (364 | ) | — | — | (207 | ) |
(1) | Conformed to current period presentation. |
(In thousands) | Ending Balance as of March 31, 2016 | Accreted Discounts / (Amortized Premiums) | Net Realized Gain/ (Loss) | Change in Net Unrealized Gain/(Loss) | Purchases/ Payments | Sales/ Issuances | Transfers Into Level 3 | Transfers Out of Level 3 | Ending Balance as of June 30, 2016 | ||||||||||||||||||||||||||
Assets: | |||||||||||||||||||||||||||||||||||
Investments, at fair value- | |||||||||||||||||||||||||||||||||||
Agency residential mortgage-backed securities | $ | 22,306 | $ | (1,888 | ) | $ | (82 | ) | $ | (133 | ) | $ | 303 | $ | — | $ | — | $ | — | $ | 20,506 | ||||||||||||||
Private label residential mortgage-backed securities | 113,382 | 1,109 | (290 | ) | (1,310 | ) | 1,687 | (6,100 | ) | 12,823 | (8,790 | ) | 112,511 | ||||||||||||||||||||||
Private label commercial mortgage-backed securities | 35,350 | 431 | — | (839 | ) | — | — | — | — | 34,942 | |||||||||||||||||||||||||
Commercial mortgage loans | 56,365 | 727 | (1 | ) | (671 | ) | — | (6,954 | ) | — | — | 49,466 | |||||||||||||||||||||||
Residential mortgage loans | 35,580 | 141 | 757 | (147 | ) | 17,101 | (6,783 | ) | — | — | 46,649 | ||||||||||||||||||||||||
Collateralized loan obligations | 34,415 | (1,942 | ) | (279 | ) | 145 | 1,178 | (408 | ) | — | — | 33,109 | |||||||||||||||||||||||
Consumer loans and asset-backed securities backed by consumer loans | 143,854 | (2,713 | ) | 6 | (655 | ) | 37,046 | (23,143 | ) | — | — | 154,395 | |||||||||||||||||||||||
Corporate debt | 24,552 | (160 | ) | 275 | 1,874 | 49,353 | (38,920 | ) | — | — | 36,974 | ||||||||||||||||||||||||
Real estate owned | 21,843 | — | 1,978 | (1,750 | ) | 884 | (18,793 | ) | — | — | 4,162 | ||||||||||||||||||||||||
Private corporate equity investments | 24,599 | — | 101 | 697 | 2,590 | (8,569 | ) | — | — | 19,418 | |||||||||||||||||||||||||
Total investments, at fair value | 512,246 | (4,295 | ) | 2,465 | (2,789 | ) | 110,142 | (109,670 | ) | 12,823 | (8,790 | ) | 512,132 | ||||||||||||||||||||||
(In thousands) | Ending Balance as of March 31, 2016 | Accreted Discounts / (Amortized Premiums) | Net Realized Gain/ (Loss) | Change in Net Unrealized Gain/(Loss) | Purchases/ Payments | Sales/ Issuances | Transfers Into Level 3 | Transfers Out of Level 3 | Ending Balance as of June 30, 2016 | ||||||||||||||||||||||||||
Financial derivatives–assets, at fair value- | |||||||||||||||||||||||||||||||||||
Credit default swaps on asset-backed securities | 6,227 | — | 373 | (149 | ) | (24 | ) | (359 | ) | — | — | 6,068 | |||||||||||||||||||||||
Total return swaps | 1,074 | — | 3,412 | (250 | ) | (3,146 | ) | (266 | ) | — | — | 824 | |||||||||||||||||||||||
Warrants | 100 | — | — | — | — | — | — | — | 100 | ||||||||||||||||||||||||||
Total financial derivatives– assets, at fair value | 7,401 | — | 3,785 | (399 | ) | (3,170 | ) | (625 | ) | — | — | 6,992 | |||||||||||||||||||||||
Total investments and financial derivatives–assets, at fair value | $ | 519,647 | $ | (4,295 | ) | $ | 6,250 | $ | (3,188 | ) | $ | 106,972 | $ | (110,295 | ) | $ | 12,823 | $ | (8,790 | ) | $ | 519,124 | |||||||||||||
Liabilities: | |||||||||||||||||||||||||||||||||||
Investments sold short, at fair value | |||||||||||||||||||||||||||||||||||
Corporate debt | $ | (3,029 | ) | $ | (9 | ) | $ | 171 | $ | (309 | ) | $ | 10,368 | $ | (17,139 | ) | $ | — | $ | — | $ | (9,947 | ) | ||||||||||||
Total investments sold short, at fair value | (3,029 | ) | (9 | ) | 171 | (309 | ) | 10,368 | (17,139 | ) | — | — | (9,947 | ) | |||||||||||||||||||||
Financial derivatives–liabilities, at fair value- | |||||||||||||||||||||||||||||||||||
Credit default swaps on asset-backed securities | $ | (220 | ) | $ | — | $ | (63 | ) | $ | 24 | $ | — | $ | 25 | $ | — | $ | — | $ | (234 | ) | ||||||||||||||
Total return swaps | (675 | ) | — | (2,115 | ) | (342 | ) | 2,348 | (232 | ) | — | — | (1,016 | ) | |||||||||||||||||||||
Total financial derivatives– liabilities, at fair value | (895 | ) | — | (2,178 | ) | (318 | ) | 2,348 | (207 | ) | — | — | (1,250 | ) | |||||||||||||||||||||
Guarantees: | |||||||||||||||||||||||||||||||||||
Guarantees | (616 | ) | — | — | 304 | — | — | — | — | (312 | ) | ||||||||||||||||||||||||
Total guarantees | (616 | ) | — | — | 304 | — | — | — | — | (312 | ) | ||||||||||||||||||||||||
Total investments sold short, financial derivatives– liabilities, and guarantees, at fair value | $ | (4,540 | ) | $ | (9 | ) | $ | (2,007 | ) | $ | (323 | ) | $ | 12,716 | $ | (17,346 | ) | $ | — | $ | — | $ | (11,509 | ) |
(In thousands) | Ending Balance as of December 31, 2016 | Accreted Discounts / (Amortized Premiums) | Net Realized Gain/ (Loss) | Change in Net Unrealized Gain/(Loss) | Purchases/ Payments | Sales/ Issuances | Transfers Into Level 3 | Transfers Out of Level 3 | Ending Balance as of June 30, 2017 | ||||||||||||||||||||||||||
Assets: | |||||||||||||||||||||||||||||||||||
Investments, at fair value- | |||||||||||||||||||||||||||||||||||
Agency residential mortgage-backed securities | $ | 29,622 | $ | (4,913 | ) | $ | (437 | ) | $ | 65 | $ | 1,785 | $ | (125 | ) | $ | — | $ | (21,101 | ) | $ | 4,896 | |||||||||||||
Private label residential mortgage-backed securities | 90,083 | 1,036 | 434 | 6,034 | 26,800 | (29,349 | ) | 11,348 | (27,263 | ) | 79,123 | ||||||||||||||||||||||||
Private label commercial mortgage-backed securities | 43,268 | 632 | (2,996 | ) | 6,402 | 20 | (20,811 | ) | — | (12,706 | ) | 13,809 | |||||||||||||||||||||||
Commercial mortgage loans | 61,129 | 631 | 416 | 1,150 | 27,545 | (24,975 | ) | — | — | 65,896 | |||||||||||||||||||||||||
Residential mortgage loans | 84,290 | 678 | 1,081 | (77 | ) | 71,186 | (21,061 | ) | — | — | 136,097 | ||||||||||||||||||||||||
Collateralized loan obligations | 44,956 | (6,032 | ) | 1,453 | 3,011 | 56,869 | (38,609 | ) | — | (19,112 | ) | 42,536 | |||||||||||||||||||||||
Consumer loans and asset-backed securities backed by consumer loans(1) | 107,157 | (6,264 | ) | (74 | ) | 281 | 50,012 | (42,441 | ) | — | — | 108,671 | |||||||||||||||||||||||
Corporate debt | 25,004 | 253 | 548 | 187 | 83,492 | (88,949 | ) | — | — | 20,535 | |||||||||||||||||||||||||
Real estate owned | 3,349 | — | 424 | (295 | ) | 24,211 | (2,712 | ) | — | — | 24,977 | ||||||||||||||||||||||||
Corporate equity investments(1) | 29,392 | — | 1,519 | (723 | ) | 11,775 | (6,265 | ) | — | — | 35,698 | ||||||||||||||||||||||||
Total investments, at fair value | 518,250 | (13,979 | ) | 2,368 | 16,035 | 353,695 | (275,297 | ) | 11,348 | (80,182 | ) | 532,238 | |||||||||||||||||||||||
Financial derivatives–assets, at fair value- | |||||||||||||||||||||||||||||||||||
Credit default swaps on asset-backed securities | 5,326 | — | 368 | (218 | ) | 68 | (437 | ) | — | — | 5,107 | ||||||||||||||||||||||||
Total return swaps | 155 | — | 222 | (155 | ) | — | (222 | ) | — | — | — | ||||||||||||||||||||||||
Warrants | 106 | — | (100 | ) | (6 | ) | — | — | — | — | — | ||||||||||||||||||||||||
Total financial derivatives– assets, at fair value | 5,587 | — | 490 | (379 | ) | 68 | (659 | ) | — | — | 5,107 | ||||||||||||||||||||||||
Total investments and financial derivatives–assets, at fair value | $ | 523,837 | $ | (13,979 | ) | $ | 2,858 | $ | 15,656 | $ | 353,763 | $ | (275,956 | ) | $ | 11,348 | $ | (80,182 | ) | $ | 537,345 | ||||||||||||||
Liabilities: | |||||||||||||||||||||||||||||||||||
Financial derivatives–liabilities, at fair value- | |||||||||||||||||||||||||||||||||||
Credit default swaps on asset-backed securities | $ | (256 | ) | $ | — | $ | (465 | ) | $ | 477 | $ | 465 | $ | (428 | ) | $ | — | $ | — | $ | (207 | ) | |||||||||||||
Total return swaps | (249 | ) | — | (292 | ) | 250 | 304 | (13 | ) | — | — | — | |||||||||||||||||||||||
Total financial derivatives– liabilities, at fair value | (505 | ) | — | (757 | ) | 727 | 769 | (441 | ) | — | — | (207 | ) |
(1) | Conformed to current period presentation. |
(In thousands) | Ending Balance as of December 31, 2015 | Accreted Discounts / (Amortized Premiums) | Net Realized Gain/ (Loss) | Change in Net Unrealized Gain/(Loss) | Purchases/ Payments | Sales/ Issuances | Transfers Into Level 3 | Transfers Out of Level 3 | Ending Balance as of June 30, 2016 | ||||||||||||||||||||||||||
Assets: | |||||||||||||||||||||||||||||||||||
Investments, at fair value- | |||||||||||||||||||||||||||||||||||
Agency residential mortgage-backed securities | $ | 24,918 | $ | (3,945 | ) | $ | (90 | ) | $ | (679 | ) | $ | 302 | $ | — | $ | — | $ | — | $ | 20,506 | ||||||||||||||
Private label residential mortgage-backed securities | 116,435 | 1,517 | (283 | ) | (2,370 | ) | 7,419 | (12,461 | ) | 11,261 | (9,007 | ) | 112,511 | ||||||||||||||||||||||
Private label commercial mortgage-backed securities | 34,145 | 886 | 322 | (3,840 | ) | 7,844 | (4,415 | ) | — | — | 34,942 | ||||||||||||||||||||||||
Commercial mortgage loans | 66,399 | 1,272 | 182 | 223 | 13,424 | (32,034 | ) | — | — | 49,466 | |||||||||||||||||||||||||
Residential mortgage loans | 22,089 | 248 | 865 | 127 | 32,066 | (8,746 | ) | — | — | 46,649 | |||||||||||||||||||||||||
Collateralized loan obligations | 45,974 | (2,869 | ) | 801 | 417 | 1,178 | (12,392 | ) | — | — | 33,109 | ||||||||||||||||||||||||
Consumer loans and asset-backed securities backed by consumer loans | 115,376 | (5,596 | ) | 6 | (549 | ) | 88,956 | (43,798 | ) | — | — | 154,395 | |||||||||||||||||||||||
Corporate debt | 27,028 | (46 | ) | 255 | (2,102 | ) | 52,320 | (40,481 | ) | — | — | 36,974 | |||||||||||||||||||||||
Real estate owned | 12,522 | — | 2,238 | (331 | ) | 10,672 | (20,939 | ) | — | — | 4,162 | ||||||||||||||||||||||||
Private corporate equity investments | 22,088 | — | (29 | ) | (531 | ) | 6,517 | (8,627 | ) | — | — | 19,418 | |||||||||||||||||||||||
Total investments, at fair value | 486,974 | (8,533 | ) | 4,267 | (9,635 | ) | 220,698 | (183,893 | ) | 11,261 | (9,007 | ) | 512,132 | ||||||||||||||||||||||
Financial derivatives–assets, at fair value- | |||||||||||||||||||||||||||||||||||
Credit default swaps on asset-backed securities | $ | 6,332 | $ | — | $ | 464 | $ | (255 | ) | $ | 12 | $ | (485 | ) | $ | — | $ | — | $ | 6,068 | |||||||||||||||
Total return swaps | 85 | — | (103 | ) | 739 | 423 | (320 | ) | — | — | 824 | ||||||||||||||||||||||||
Warrants | 150 | — | (50 | ) | — | — | — | — | — | 100 | |||||||||||||||||||||||||
Total financial derivatives– assets, at fair value | 6,567 | — | 311 | 484 | 435 | (805 | ) | — | — | 6,992 | |||||||||||||||||||||||||
Total investments and financial derivatives–assets, at fair value | $ | 493,541 | $ | (8,533 | ) | $ | 4,578 | $ | (9,151 | ) | $ | 221,133 | $ | (184,698 | ) | $ | 11,261 | $ | (9,007 | ) | $ | 519,124 | |||||||||||||
Liabilities: | |||||||||||||||||||||||||||||||||||
Investments sold short, at fair value | |||||||||||||||||||||||||||||||||||
Corporate debt | $ | (448 | ) | $ | (8 | ) | $ | 531 | $ | (558 | ) | $ | 11,255 | $ | (20,719 | ) | $ | — | $ | — | $ | (9,947 | ) | ||||||||||||
Total investments sold short, at fair value | (448 | ) | (8 | ) | 531 | (558 | ) | 11,255 | (20,719 | ) | — | — | (9,947 | ) | |||||||||||||||||||||
Financial derivatives– liabilities, at fair value- | |||||||||||||||||||||||||||||||||||
Credit default swaps on asset-backed securities | $ | (221 | ) | $ | — | $ | (79 | ) | $ | 24 | $ | — | $ | 42 | $ | — | $ | — | $ | (234 | ) | ||||||||||||||
Total return swaps | (4,662 | ) | — | (4,365 | ) | 3,646 | 4,686 | (321 | ) | — | — | (1,016 | ) | ||||||||||||||||||||||
Total financial derivatives– liabilities, at fair value | (4,883 | ) | — | (4,444 | ) | 3,670 | 4,686 | (279 | ) | — | — | (1,250 | ) | ||||||||||||||||||||||
Guarantees: | |||||||||||||||||||||||||||||||||||
Guarantees | (828 | ) | — | — | 516 | — | — | — | — | (312 | ) | ||||||||||||||||||||||||
Total guarantees | (828 | ) | — | — | 516 | — | — | — | — | (312 | ) | ||||||||||||||||||||||||
Total financial derivatives– liabilities and guarantees, at fair value | $ | (6,159 | ) | $ | (8 | ) | $ | (3,913 | ) | $ | 3,628 | $ | 15,941 | $ | (20,998 | ) | $ | — | $ | — | $ | (11,509 | ) |
As of | ||||||||
June 30, 2017 | December 31, 2016 | |||||||
Assets: | (In thousands) | |||||||
TBA securities, at fair value (Current principal: $172,950 and $67,720, respectively) | $ | 179,874 | $ | 70,525 | ||||
Receivable for securities sold relating to unsettled TBA sales | 451,667 | 406,708 | ||||||
Liabilities: | ||||||||
TBA securities sold short, at fair value (Current principal: -$428,424 and -$384,155, respectively) | $ | (450,055 | ) | $ | (404,728 | ) | ||
Payable for securities purchased relating to unsettled TBA purchases | (180,362 | ) | (70,347 | ) | ||||
Net short TBA securities, at fair value | (270,181 | ) | (334,203 | ) |
Three Month Period Ended June 30, 2017 | Six Month Period Ended June 30, 2017 | |||||||||||||||||
Derivative Type | Primary Risk Exposure | Net Realized Gain/(Loss)(1) | Change in Net Unrealized Gain/(Loss)(2) | Net Realized Gain/(Loss)(1) | Change in Net Unrealized Gain/(Loss)(2) | |||||||||||||
(In thousands) | ||||||||||||||||||
Credit default swaps on asset-backed securities | Credit | $ | 312 | $ | (709 | ) | $ | (97 | ) | $ | 259 | |||||||
Credit default swaps on asset-backed indices | Credit | (1,283 | ) | (488 | ) | (2,456 | ) | (2,610 | ) | |||||||||
Credit default swaps on corporate bond indices | Credit | (886 | ) | 45 | (1,172 | ) | 18 | |||||||||||
Credit default swaps on corporate bonds | Credit | (548 | ) | (666 | ) | 458 | (995 | ) | ||||||||||
Total return swaps | Equity Market/Credit | (603 | ) | 10 | (1,356 | ) | 148 | |||||||||||
Interest rate swaps | Interest Rates | (834 | ) | (960 | ) | (580 | ) | (801 | ) | |||||||||
Futures | Interest Rates | (145 | ) | 53 | (178 | ) | 37 | |||||||||||
Forwards | Currency | (2,523 | ) | (1,194 | ) | (3,345 | ) | (864 | ) | |||||||||
Warrants | Equity Market | — | — | (100 | ) | (6 | ) | |||||||||||
Mortgage loan purchase commitments | Interest Rates | — | — | — | 31 | |||||||||||||
Options | Credit/ Equity Market | (78 | ) | 6 | (149 | ) | 17 | |||||||||||
Total | $ | (6,588 | ) | $ | (3,903 | ) | $ | (8,975 | ) | $ | (4,766 | ) |
(1) | Includes gain/(loss) on foreign currency transactions on derivatives in the amount of $(19) thousand and $(3) thousand, for the three and six month periods ended June 30, 2017, which is included on the Consolidated Statement of Operations in Realized gain (loss) on foreign currency transactions. |
(2) | Includes foreign currency translation on derivatives in the amount of $(90) thousand and $(126) thousand, for the three and six month periods ended June 30, 2017, which is included on the Consolidated Statement of Operations in Change in net unrealized gain (loss) on foreign currency translation. |
Three Month Period Ended June 30, 2016 | Six Month Period Ended June 30, 2016 | |||||||||||||||||
Derivative Type | Primary Risk Exposure | Net Realized Gain/(Loss)(1) | Change in Net Unrealized Gain/(Loss)(2) | Net Realized Gain/(Loss)(1) | Change in Net Unrealized Gain/(Loss)(2) | |||||||||||||
(In thousands) | ||||||||||||||||||
Credit default swaps on asset-backed securities | Credit | $ | 310 | $ | (125 | ) | $ | 385 | $ | (231 | ) | |||||||
Credit default swaps on asset-backed indices | Credit | 222 | 2,685 | 2,808 | 1,755 | |||||||||||||
Credit default swaps on corporate bond indices | Credit | (5,911 | ) | (7,434 | ) | (13,010 | ) | (17,831 | ) | |||||||||
Credit default swaps on corporate bonds | Credit | 154 | (62 | ) | 126 | 61 | ||||||||||||
Total return swaps | Equity Market/Credit | (1,248 | ) | (465 | ) | (6,914 | ) | 4,382 | ||||||||||
Interest rate swaps | Interest Rates | 2,434 | (6,273 | ) | (1,349 | ) | (12,217 | ) | ||||||||||
Futures | Interest Rates/Equity Market | (201 | ) | 20 | (736 | ) | 146 | |||||||||||
Forwards | Currency | (972 | ) | 3,500 | (1,305 | ) | 454 | |||||||||||
Warrants | Credit | — | — | (50 | ) | — | ||||||||||||
Mortgage loan purchase commitments | Interest Rates | — | (35 | ) | — | 8 | ||||||||||||
Options | Credit/ Interest Rates | 1,857 | 5,384 | 6,331 | 360 | |||||||||||||
Total | $ | (3,355 | ) | $ | (2,805 | ) | $ | (13,714 | ) | $ | (23,113 | ) |
(1) | Includes gain/(loss) on foreign currency transactions on derivatives in the amount of $(150) thousand and $(532) thousand, for the three and six month periods ended June 30, 2016, which is included on the Consolidated Statement of Operations in Realized gain (loss) on foreign currency transactions. |
(2) | Includes foreign currency translation on derivatives in the amount of $(122) thousand and $1.0 million, for the three and six month periods ended June 30, 2016, which is included on the Consolidated Statement of Operations in Change in net unrealized gain (loss) on foreign currency translation. |
Derivative Type | Six Month Period Ended June 30, 2017 | Year Ended December 31, 2016 | ||||||
(In thousands) | ||||||||
Interest rate swaps | $ | 1,245,343 | $ | 1,731,368 | ||||
Credit default swaps | 427,602 | 1,586,923 | ||||||
Total return swaps | 27,501 | 113,628 | ||||||
Futures | 66,857 | 371,900 | ||||||
Options | 78,081 | 357,260 | ||||||
Forwards | 70,579 | 80,513 | ||||||
Warrants | 702 | 1,640 | ||||||
Mortgage loan purchase commitments | 2,943 | 6,143 |
Credit Derivatives | June 30, 2017 | December 31, 2016 | ||||||
(In thousands) | ||||||||
Fair Value of Written Credit Derivatives, Net | $ | (5,999 | ) | $ | (1,551 | ) | ||
Fair Value of Purchased Credit Derivatives Offsetting Written Credit Derivatives with Third Parties (1) | $ | 2,732 | $ | 4,552 | ||||
Notional Value of Written Credit Derivatives (2) | $ | 119,791 | $ | 117,476 | ||||
Notional Value of Purchased Credit Derivatives Offsetting Written Credit Derivatives with Third Parties (1) | $ | 62,434 | $ | 68,357 |
(1) | Offsetting transactions with third parties include purchased credit derivatives which have the same reference obligation. |
(2) | The notional value is the maximum amount that a seller of credit protection would be obligated to pay, and a buyer of credit protection would receive upon occurrence of a "credit event." Movements in the value of credit default swap transactions may require the Company or the counterparty to post or receive collateral. Amounts due or owed under credit derivative contracts with an International Swaps and Derivatives Association, or "ISDA," counterparty may be offset against amounts due or owed on other credit derivative contracts with the same ISDA counterparty. As a result, the notional value of written credit derivatives involving a particular underlying reference asset or index has been reduced (but not below zero) by the notional value of any contracts where the Company has purchased credit protection on the same reference asset or index with the same ISDA counterparty. |
(In thousands) | June 30, 2017 | December 31, 2016 | ||||||||||||||||
Weighted Average | Weighted Average | |||||||||||||||||
Remaining Maturity | Outstanding Borrowings | Interest Rate | Remaining Days to Maturity | Outstanding Borrowings | Interest Rate | Remaining Days to Maturity | ||||||||||||
Agency RMBS: | ||||||||||||||||||
30 Days or Less | $ | 218,251 | 1.15 | % | 15 | $ | 405,725 | 0.83 | % | 18 | ||||||||
31-60 Days | 296,200 | 1.18 | % | 46 | 195,288 | 0.94 | % | 45 | ||||||||||
61-90 Days | 160,959 | 1.33 | % | 76 | 149,965 | 0.97 | % | 74 | ||||||||||
91-120 Days | 114,972 | 1.17 | % | 104 | 8,240 | 0.83 | % | 102 | ||||||||||
121-150 Days | — | — | % | 0 | 11,798 | 0.96 | % | 131 | ||||||||||
151-180 Days | 701 | 2.27 | % | 160 | 19,296 | 1.05 | % | 164 | ||||||||||
Total Agency RMBS | 791,083 | 1.20 | % | 52 | 790,312 | 0.89 | % | 41 | ||||||||||
Credit: | ||||||||||||||||||
30 Days or Less | 66,501 | 1.70 | % | 4 | 94,849 | 2.55 | % | 16 | ||||||||||
31-60 Days | 35,808 | 2.29 | % | 46 | 26,974 | 2.36 | % | 47 | ||||||||||
61-90 Days | 71,938 | 2.60 | % | 79 | 41,522 | 2.43 | % | 77 | ||||||||||
91-120 Days | 7,099 | 2.94 | % | 97 | 10,084 | 2.91 | % | 97 | ||||||||||
121-150 Days | 6,709 | 3.60 | % | 139 | 1,239 | 2.73 | % | 124 | ||||||||||
151-180 Days | 9,664 | 3.56 | % | 166 | 12,616 | 3.17 | % | 165 | ||||||||||
181-360 Days | 103,342 | 3.87 | % | 222 | 50,557 | 3.46 | % | 316 | ||||||||||
Total Credit Assets | 301,061 | 2.86 | % | 112 | 237,841 | 2.75 | % | 105 | ||||||||||
U.S. Treasury Securities: | ||||||||||||||||||
30 Days or Less | 27,094 | 1.23 | % | 3 | 5,428 | 0.91 | % | 4 | ||||||||||
Total U.S. Treasury Securities | 27,094 | 1.23 | % | 3 | 5,428 | 0.91 | % | 4 | ||||||||||
Total | $ | 1,119,238 | 1.65 | % | 67 | $ | 1,033,581 | 1.32 | % | 56 |
Grant Recipient | Number of LTIP Units Granted | Grant Date | Vesting Date(1) | ||||
Independent directors: | |||||||
8,403 | September 13, 2016 | September 12, 2017 | |||||
Partially dedicated employees: | |||||||
8,090 | December 13, 2016 | December 13, 2017 | |||||
5,583 | December 13, 2016 | December 13, 2018 | |||||
5,949 | December 15, 2015 | December 15, 2017 | |||||
686 | December 15, 2015 | December 31, 2017 | |||||
Total unvested LTIP Units at June 30, 2017 | 28,711 |
(1) | Date at which such LTIP Units will vest and become non-forfeitable. |
Three Month Period Ended June 30, 2017 | Three Month Period Ended June 30, 2016 | ||||||||||||||||
Manager | Director/ Employee | Total | Manager | Director/ Employee | Total | ||||||||||||
LTIP Units Outstanding (3/31/2017 and 3/31/2016, respectively) | 375,000 | 94,539 | 469,539 | 375,000 | 74,938 | 449,938 | |||||||||||
Granted | — | — | — | — | — | — | |||||||||||
Exercised | — | — | — | — | — | — | |||||||||||
LTIP Units Outstanding (6/30/2017 and 6/30/2016, respectively) | 375,000 | 94,539 | 469,539 | 375,000 | 74,938 | 449,938 | |||||||||||
LTIP Units Vested and Outstanding (6/30/2017 and 6/30/2016, respectively) | 375,000 | 65,828 | 440,828 | 375,000 | 46,120 | 421,120 |
Six Month Period Ended June 30, 2017 | Six Month Period Ended June 30, 2016 | ||||||||||||||||
Manager | Director/ Employee | Total | Manager | Director/ Employee | Total | ||||||||||||
LTIP Units Outstanding (12/31/2016 and 12/31/2015, respectively) | 375,000 | 94,539 | 469,539 | 375,000 | 74,938 | 449,938 | |||||||||||
Granted | — | — | — | — | — | — | |||||||||||
Exercised | — | — | — | — | — | — | |||||||||||
LTIP Units Outstanding (6/30/2017 and 6/30/2016, respectively) | 375,000 | 94,539 | 469,539 | 375,000 | 74,938 | 449,938 | |||||||||||
LTIP Units Vested and Outstanding (6/30/2017 and 6/30/2016, respectively) | 375,000 | 65,828 | 440,828 | 375,000 | 46,120 | 421,120 |
Three Month Period Ended June 30, 2017 | Three Month Period Ended June 30, 2016 | Six Month Period Ended June 30, 2017 | Six Month Period Ended June 30, 2016 | |||||||||
Common Shares Outstanding (3/31/2017, 3/31/2016, 12/31/2016, and 12/31/2015, respectively) | 32,164,215 | 32,962,979 | 32,294,703 | 33,126,012 | ||||||||
Share Activity: | ||||||||||||
Shares repurchased | (51,518 | ) | (219,623 | ) | (182,006 | ) | (382,656 | ) | ||||
Common Shares Outstanding (6/30/2017, 6/30/2016, 6/30/2017, and 6/30/2016, respectively) | 32,112,697 | 32,743,356 | 32,112,697 | 32,743,356 |
Three Month Period Ended June 30, | Six Month Period Ended June 30, | |||||||||||||||
2017 | 2016 | 2017 | 2016 | |||||||||||||
(In thousands except share amounts) | ||||||||||||||||
Net increase (decrease) in shareholders' equity resulting from operations | $ | 5,064 | $ | 4,985 | $ | 20,342 | $ | (18,215 | ) | |||||||
Add: Net increase (decrease) in equity resulting from operations attributable to the participating non-controlling interest(1) | 33 | 32 | 132 | (115 | ) | |||||||||||
Net increase (decrease) in equity resulting from operations related to common shares, LTIP unit holders, and participating non-controlling interest | 5,097 | 5,017 | 20,474 | (18,330 | ) | |||||||||||
Net increase (decrease) in shareholders' equity resulting from operations available to common share and LTIP unit holders: | ||||||||||||||||
Net increase (decrease) in shareholders' equity resulting from operations– common shares | 4,991 | 4,918 | 20,049 | (17,970 | ) | |||||||||||
Net increase (decrease) in shareholders' equity resulting from operations– LTIP Units | 73 | 67 | 293 | (245 | ) | |||||||||||
Dividends Paid(2): | ||||||||||||||||
Common shareholders | (14,451 | ) | (16,413 | ) | (28,965 | ) | (32,954 | ) | ||||||||
LTIP unit holders | (211 | ) | (225 | ) | (423 | ) | (450 | ) | ||||||||
Non-controlling interest | (95 | ) | (106 | ) | (191 | ) | (212 | ) | ||||||||
Total dividends paid to common shareholders, LTIP unit holders, and non-controlling interest | (14,757 | ) | (16,744 | ) | (29,579 | ) | (33,616 | ) | ||||||||
Undistributed (Distributed in excess of) earnings: | ||||||||||||||||
Common shareholders | (9,460 | ) | (11,495 | ) | (8,916 | ) | (50,924 | ) | ||||||||
LTIP unit holders | (138 | ) | (158 | ) | (130 | ) | (695 | ) | ||||||||
Non-controlling interest | (62 | ) | (74 | ) | (59 | ) | (327 | ) | ||||||||
Total undistributed (distributed in excess of) earnings attributable to common shareholders, LTIP unit holders, and non-controlling interest | $ | (9,660 | ) | $ | (11,727 | ) | $ | (9,105 | ) | $ | (51,946 | ) | ||||
Weighted average shares outstanding (basic and diluted): | ||||||||||||||||
Weighted average common shares outstanding | 32,117,492 | 32,840,429 | 32,182,690 | 32,962,056 | ||||||||||||
Weighted average participating LTIP Units | 469,539 | 449,938 | 469,539 | 449,938 | ||||||||||||
Weighted average non-controlling interest units | 212,000 | 212,000 | 212,000 | 212,000 | ||||||||||||
Basic earnings per common share: | ||||||||||||||||
Distributed | $ | 0.45 | $ | 0.50 | $ | 0.90 | $ | 1.00 | ||||||||
Undistributed (Distributed in excess of) | (0.29 | ) | (0.35 | ) | (0.28 | ) | (1.54 | ) | ||||||||
$ | 0.16 | $ | 0.15 | $ | 0.62 | $ | (0.54 | ) | ||||||||
Diluted earnings per common share: | ||||||||||||||||
Distributed | $ | 0.45 | $ | 0.50 | $ | 0.90 | $ | 1.00 | ||||||||
Undistributed (Distributed in excess of) | (0.29 | ) | (0.35 | ) | (0.28 | ) | (1.54 | ) | ||||||||
$ | 0.16 | $ | 0.15 | $ | 0.62 | $ | (0.54 | ) |
(1) | For the three month periods ended June 30, 2017 and 2016, excludes net increase in equity resulting from operations of $0.3 million and $(0.1) million, respectively, attributable to joint venture partners, which have non-participating interests as described in Note 9. For the six month periods ended June 30, 2017 and 2016, excludes net increase in equity resulting from operations of $0.7 million and $0.1 million, respectively attributable to joint venture partners, which have non-participating interests as described in Note 9. |
(2) | The Company pays quarterly dividends in arrears, so a portion of the dividends paid in each calendar year relate to the prior year's earnings. |
Dealer | % of Total Due from Brokers | |
J. P. Morgan Securities LLC | 32% |
Dealer | % of Total Receivable for Securities Sold | |
Bank of America Securities | 49% | |
Barclays Capital Inc. | 28% |
As of | ||||
Counterparty | June 30, 2017 | December 31, 2016 | ||
Bank of New York Mellon Corporation | 85% | 27% | ||
Goldman Sachs Financial Square Funds—Government Fund | 15% | 16% | ||
Morgan Stanley Institutional Liquidity Fund—Government Portfolio | —% | 16% | ||
BlackRock Liquidity Funds FedFund Portfolio | —% | 41% |
June 30, 2017 | December 31, 2016 | |||||||
(In thousands) | ||||||||
Restricted cash balance related to: | ||||||||
Minimum account balance required for regulatory purposes | $ | 250 | $ | 250 | ||||
Letter of credit | — | 230 | ||||||
Flow consumer loan purchase and sale agreement | 175 | 175 | ||||||
Total | $ | 425 | $ | 655 |
Description | Amount of Assets (Liabilities) Presented in the Consolidated Statements of Assets, Liabilities, and Equity(1) | Financial Instruments Available for Offset | Financial Instruments Transferred or Pledged as Collateral(2)(3) | Cash Collateral (Received) Pledged(2)(3) | Net Amount | |||||||||||||||
(In thousands) | ||||||||||||||||||||
Assets | ||||||||||||||||||||
Financial derivatives–assets | $ | 26,602 | $ | (16,748 | ) | $ | — | $ | (3,898 | ) | $ | 5,956 | ||||||||
Repurchase agreements | 266,659 | (266,659 | ) | — | — | — | ||||||||||||||
Liabilities | ||||||||||||||||||||
Financial derivatives–liabilities | (27,003 | ) | 16,748 | — | 10,255 | — | ||||||||||||||
Reverse repurchase agreements | (1,119,238 | ) | 266,659 | 835,078 | 17,501 | — |
Description | Amount of Assets (Liabilities) Presented in the Consolidated Statements of Assets, Liabilities, and Equity(1) | Financial Instruments Available for Offset | Financial Instruments Transferred or Pledged as Collateral(2)(3) | Cash Collateral (Received) Pledged(2)(3) | Net Amount | |||||||||||||||
(In thousands) | ||||||||||||||||||||
Assets | ||||||||||||||||||||
Financial derivatives–assets | $ | 35,595 | $ | (15,082 | ) | $ | — | $ | (7,933 | ) | $ | 12,580 | ||||||||
Repurchase agreements | 184,819 | (184,819 | ) | — | — | — | ||||||||||||||
Liabilities | ||||||||||||||||||||
Financial derivatives–liabilities | (18,687 | ) | 15,082 | — | 3,574 | (31 | ) | |||||||||||||
Reverse repurchase agreements | (1,033,581 | ) | 184,819 | 809,573 | 39,189 | — |
(1) | In the Company's Consolidated Statement of Assets, Liabilities, and Equity, all balances associated with repurchase agreements, reverse repurchase agreements, and financial derivatives are presented on a gross basis. |
(2) | For the purpose of this presentation, for each row the total amount of financial instruments transferred or pledged and cash collateral (received) or pledged may not exceed the applicable gross amount of assets or (liabilities) as presented here. Therefore, the Company has reduced the amount of financial instruments transferred or pledged as collateral related to the Company's reverse repurchase agreements and cash collateral pledged on the Company's financial derivative liabilities. Total financial instruments transferred or pledged as collateral on the Company's reverse repurchase agreements as of June 30, 2017 and December 31, 2016 were $1.27 billion and $1.16 billion, respectively. As of June 30, 2017 and December 31, 2016, total cash collateral on financial derivative assets excludes excess net cash collateral pledged of $7.2 million and $14.9 million, respectively. As of June 30, 2017 and December 31, 2016, total cash collateral on financial derivative liabilities excludes excess cash collateral pledged of $17.2 million and $14.8 million, respectively. |
(3) | When collateral is pledged to or pledged by a counterparty, it is often pledged or posted with respect to all positions with such counterparty, and in such cases such collateral cannot be specifically identified as relating to a specific asset or liability. As a result, in preparing the above tables, the Company has made assumptions in allocating pledged or posted collateral among the various rows. |
Three Month Period Ended June 30, 2017 | Three Month Period Ended June 30, 2016 | Six Month Period Ended June 30, 2017 | Six Month Period Ended June 30, 2016 | |||||||||||||
Beginning Shareholders' Equity Per Share (3/31/2017, 3/31/2016, 12/31/2016, and 12/31/2015, respectively) | $ | 19.78 | $ | 20.91 | $ | 19.75 | $ | 22.10 | ||||||||
Net Investment Income | 0.26 | 0.26 | 0.63 | 0.62 | ||||||||||||
Net Realized/Unrealized Gains (Losses) | (0.09 | ) | (0.11 | ) | 0.03 | (1.17 | ) | |||||||||
Results of Operations Attributable to Equity | 0.17 | 0.15 | 0.66 | (0.55 | ) | |||||||||||
Less: Results of Operations Attributable to Non-controlling Interests | (0.01 | ) | — | (0.03 | ) | — | ||||||||||
Results of Operations Attributable to Shareholders' Equity(1) | 0.16 | 0.15 | 0.63 | (0.55 | ) | |||||||||||
Dividends Paid to Common Shareholders | (0.45 | ) | (0.50 | ) | (0.90 | ) | (1.00 | ) | ||||||||
Weighted Average Share Impact on Dividends Paid (2) | (0.01 | ) | (0.01 | ) | (0.02 | ) | (0.02 | ) | ||||||||
Accretive (Dilutive) Effect of Share Issuances (Net of Offering Costs), Share Repurchases, and Adjustments to Non-controlling Interest | 0.01 | 0.03 | 0.03 | 0.05 | ||||||||||||
Ending Shareholders' Equity Per Share (6/30/2017, 6/30/2016, 6/30/2017, and 6/30/2016, respectively)(3) | $ | 19.49 | $ | 20.58 | $ | 19.49 | $ | 20.58 | ||||||||
Shares Outstanding, end of period | 32,112,697 | 32,743,356 | 32,112,697 | 32,743,356 |
(1) | Calculated based on average common shares outstanding and can differ from the calculation for EPS (See Note 11). |
(2) | Per share impact on dividends paid relating to share issuances/repurchases during the period as well as dividends paid to LTIP and OP Unit holders. |
(3) | If all LTIP Units and OP Units previously issued were vested and exchanged for common shares as of June 30, 2017 and 2016, shareholders' equity per share would be $19.21 and $20.31, respectively. |
Three Month Period Ended June 30, 2017 | Three Month Period Ended June 30, 2016 | Six Month Period Ended June 30, 2017 | Six Month Period Ended June 30, 2016 | |||||
Total Return | 0.82% | 0.82% | 3.32% | (2.38)% |
(1) | Total return is calculated assuming reinvestment of distributions at shareholders' equity per share during the period. |
Three Month Period Ended June 30, 2017 | Three Month Period Ended June 30, 2016 | Six Month Period Ended June 30, 2017 | Six Month Period Ended June 30, 2016 | |||||
Net Investment Income | 5.24% | 4.98% | 6.31% | 5.79% |
(1) | Average equity is calculated using month end values. |
(2) | Includes all items of income and expense on an annualized basis. |
Three Month Period Ended June 30, 2017 | Three Month Period Ended June 30, 2016 | Six Month Period Ended June 30, 2017 | Six Month Period Ended June 30, 2016 | |||||
Operating expenses, before interest expense and other investment related expenses | (2.83)% | (2.96)% | (2.83)% | (2.88)% | ||||
Interest expense and other investment related expenses | (6.02)% | (3.76)% | (5.37)% | (3.31)% | ||||
Total Expenses | (8.85)% | (6.72)% | (8.20)% | (6.19)% |
(1) | Average equity is calculated using month end values. |
(2) | Includes all items of income and expense on an annualized basis. |
• | U.S. Federal Reserve and U.S. Monetary Policy—In June 2017, the U.S. Federal Reserve, or "Federal Reserve," raised its target range for the federal funds rate by 0.25% and provided a balance sheet normalization plan. In July 2017, the Federal Reserve indicated that it may begin to taper its bond holdings relatively soon, provided that the economy continues to improve; |
• | Housing and Mortgage Market Statistics—Data released by S&P Dow Jones Indices for its S&P CoreLogic Case-Shiller Indices for May showed a continuation of mid-single-digit home price appreciation nationally; meanwhile, mortgage rates declined over the course of the second quarter, with the Freddie Mac survey 30-year mortgage rate falling 26 basis points to end the quarter at 3.88%; |
• | Household and Consumer Statistics—Data from the Federal Reserve Bank of New York's Quarterly Report on Household Debt and Credit indicated that aggregate household debt balances increased 1.2% to $12.73 trillion in the first quarter of 2017, finally surpassing the peak of $12.68 trillion reached in the third quarter of 2008. Additionally, in June the University of Michigan Surveys of Consumers Index of Consumer Sentiment fell 2.1% from a one-year high reached in May, but was still 1.7% higher year-over-year; |
• | Portfolio Overview and Outlook—Non-Agency RMBS yield spreads continued to grind tighter, as did those for many other credit products such as CMBS, while demand remained strong for floating-rate debt instruments, including CLOs and leveraged loans. The energy-related sectors of the corporate bond market were notable exceptions to this trend, as yield spreads in these sectors widened in response to sharp declines in oil prices. Meanwhile, Agency RMBS remained one of the few fixed-income asset classes trading at the wider end of their trailing two-year range, with their option-adjusted spreads relatively unchanged quarter over quarter. Our total long Credit portfolio (excluding corporate credit relative value trading positions, hedges, and other derivatives) increased 6.9% to $684.7 million as of June 30, 2017, from $640.3 million as of March 31, 2017; and as of June 30, 2017, our long Agency RMBS portfolio was $834.0 million, as compared to $841.3 million as of March 31, 2017. |
Three Month Period Ended | |||||||||||||||
June 30, 2017 | March 31, 2017 | December 31, 2016 | September 30, 2016 | June 30, 2016 | |||||||||||
Three Month Constant Prepayment Rates(1) | 11.9 | % | 10.5 | % | 15.1 | % | 12.2 | % | 10.3 | % |
(1) | Excludes Agency fixed-rate RMBS without any prepayment history. |
June 30, 2017 | March 31, 2017 | ||||||||||||||||||||||||
Coupon | Current Principal | Fair Value | Weighted Average Loan Age (Months) | Current Principal | Fair Value | Weighted Average Loan Age (Months) | |||||||||||||||||||
(In thousands) | (In thousands) | ||||||||||||||||||||||||
Fixed-rate Agency RMBS: | |||||||||||||||||||||||||
15-year fixed-rate mortgages: | |||||||||||||||||||||||||
3.00 | $ | 25,345 | $ | 26,072 | 19 | $ | 25,194 | $ | 25,862 | 19 | |||||||||||||||
3.50 | 68,333 | 71,574 | 25 | 70,777 | 74,251 | 22 | |||||||||||||||||||
4.00 | 10,546 | 11,136 | 47 | 11,264 | 11,940 | 44 | |||||||||||||||||||
4.50 | 3,282 | 3,528 | 75 | 3,482 | 3,752 | 71 | |||||||||||||||||||
Total 15-year fixed-rate mortgages | 107,506 | 112,310 | 27 | 110,717 | 115,805 | 25 | |||||||||||||||||||
20-year fixed-rate mortgages: | |||||||||||||||||||||||||
4.00 | 1,851 | 1,972 | 44 | 1,871 | 1,986 | 40 | |||||||||||||||||||
4.50 | 1,132 | 1,227 | 43 | 1,144 | 1,241 | 40 | |||||||||||||||||||
Total 20-year fixed-rate mortgages | 2,983 | 3,199 | 44 | 3,015 | 3,227 | 40 | |||||||||||||||||||
30-year fixed-rate mortgages: | |||||||||||||||||||||||||
2.50 | 2,179 | 2,132 | 8 | 3,490 | 3,383 | 5 | |||||||||||||||||||
3.00 | 5,778 | 5,817 | 32 | 4,682 | 4,665 | 38 | |||||||||||||||||||
3.50 | 107,250 | 110,798 | 18 | 105,833 | 108,826 | 16 | |||||||||||||||||||
4.00 | 290,146 | 307,530 | 22 | 295,094 | 311,677 | 22 | |||||||||||||||||||
4.50 | 129,010 | 139,382 | 30 | 121,762 | 131,516 | 32 | |||||||||||||||||||
5.00 | 47,967 | 52,596 | 56 | 52,001 | 57,024 | 53 | |||||||||||||||||||
5.50 | 2,818 | 3,132 | 104 | 2,837 | 3,147 | 101 | |||||||||||||||||||
6.00 | 2,662 | 3,012 | 89 | 2,892 | 3,293 | 87 | |||||||||||||||||||
Total 30-year fixed-rate mortgages | 587,810 | 624,399 | 27 | 588,591 | 623,531 | 27 | |||||||||||||||||||
Total fixed-rate Agency RMBS | $ | 698,299 | $ | 739,908 | 27 | $ | 702,323 | $ | 742,563 | 26 |
June 30, 2017 | December 31, 2016 | ||||||||||||||||||||||||||||||||||||||
(In thousands) | Current Principal | Fair Value | Average Price (2) | Cost | Average Cost (2) | Current Principal | Fair Value | Average Price (2) | Cost | Average Cost (2) | |||||||||||||||||||||||||||||
Non-Agency RMBS and Residential Mortgage Loans | $ | 331,501 | $ | 262,767 | $ | 79.27 | $ | 252,519 | $ | 76.17 | $ | 354,219 | $ | 226,543 | $ | 63.96 | $ | 220,321 | $ | 62.20 | |||||||||||||||||||
Non-Agency CMBS and Commercial Mortgage Loans | 178,252 | 95,483 | 53.57 | 99,808 | 55.99 | 200,017 | 100,143 | 50.07 | 111,995 | 55.99 | |||||||||||||||||||||||||||||
ABS and Consumer Loans | 223,277 | 219,830 | 98.46 | 223,785 | 100.23 | 140,569 | 138,011 | 98.18 | 143,936 | 102.40 | |||||||||||||||||||||||||||||
Total Non-Agency MBS, Mortgage loans, and ABS and Consumer Loans(3) | 733,030 | 578,080 | 78.86 | 576,112 | 78.59 | 694,805 | 464,697 | 66.88 | 476,252 | 68.54 | |||||||||||||||||||||||||||||
Agency RMBS: | |||||||||||||||||||||||||||||||||||||||
Floating | 9,610 | 9,991 | 103.97 | 10,108 | 105.19 | 10,998 | 11,457 | 104.18 | 11,468 | 104.27 | |||||||||||||||||||||||||||||
Fixed | 698,299 | 739,908 | 105.96 | 742,175 | 106.28 | 685,334 | 726,142 | 105.95 | 727,068 | 106.09 | |||||||||||||||||||||||||||||
Reverse Mortgages | 50,986 | 55,315 | 108.49 | 55,941 | 109.72 | 55,910 | 60,221 | 107.71 | 61,174 | 109.41 | |||||||||||||||||||||||||||||
Total Agency RMBS(4) | 758,895 | 805,214 | 106.10 | 808,224 | 106.50 | 752,242 | 797,820 | 106.06 | 799,710 | 106.31 | |||||||||||||||||||||||||||||
Total Non-Agency and Agency MBS, Mortgage loans, and ABS and Consumer Loans(3)(4) | 1,491,925 | 1,383,294 | 92.72 | 1,384,336 | 92.79 | 1,447,047 | 1,262,517 | 87.25 | 1,275,962 | 88.18 | |||||||||||||||||||||||||||||
Agency Interest Only RMBS | n/a | 28,783 | n/a | 29,184 | n/a | n/a | 29,622 | n/a | 30,096 | n/a | |||||||||||||||||||||||||||||
Non-Agency Interest Only and Principal Only MBS and Other(5)(6) | n/a | 23,129 | n/a | 20,018 | n/a | n/a | 19,711 | n/a | 21,748 | n/a | |||||||||||||||||||||||||||||
TBAs: | |||||||||||||||||||||||||||||||||||||||
Long | 172,950 | 179,874 | 104.00 | 180,243 | 104.22 | 67,720 | 70,525 | 104.14 | 70,334 | 103.86 | |||||||||||||||||||||||||||||
Short | (428,424 | ) | (450,055 | ) | 105.05 | (451,073 | ) | 105.29 | (384,155 | ) | (404,728 | ) | 105.36 | (404,967 | ) | 105.42 | |||||||||||||||||||||||
Net Short TBAs | (255,474 | ) | (270,181 | ) | 105.76 | (270,830 | ) | 106.01 | (316,435 | ) | (334,203 | ) | 105.62 | (334,633 | ) | 105.75 | |||||||||||||||||||||||
Long U.S. Treasury Securities | 22,122 | 22,165 | 100.20 | 22,060 | 99.72 | 5,620 | 5,419 | 96.43 | 5,635 | 100.27 | |||||||||||||||||||||||||||||
Short U.S. Treasury Securities | (106,045 | ) | (104,924 | ) | 98.94 | (104,922 | ) | 98.94 | (72,871 | ) | (69,762 | ) | 95.73 | (69,946 | ) | 95.99 | |||||||||||||||||||||||
Short European Sovereign Bonds | (65,980 | ) | (67,556 | ) | 102.39 | (66,666 | ) | 101.04 | (61,016 | ) | (62,680 | ) | 102.73 | (66,800 | ) | 109.48 | |||||||||||||||||||||||
Repurchase Agreements | 266,659 | 266,659 | 100.00 | 265,403 | 99.53 | 184,819 | 184,819 | 100.00 | 185,205 | 100.21 | |||||||||||||||||||||||||||||
Long Corporate Debt | 111,293 | 94,584 | 84.99 | 95,816 | 86.09 | 95,664 | 80,095 | 83.73 | 81,036 | 84.71 | |||||||||||||||||||||||||||||
Short Corporate Debt | (63,142 | ) | (61,267 | ) | 97.03 | (61,755 | ) | 97.80 | (40,807 | ) | (39,572 | ) | 96.97 | (39,664 | ) | 97.20 | |||||||||||||||||||||||
Non-Exchange Traded Preferred and Common Equity Investment in Mortgage-Related Entities | n/a | 20,000 | n/a | 20,000 | n/a | n/a | 18,090 | n/a | 17,243 | n/a | |||||||||||||||||||||||||||||
Non-controlling equity interest in limited liability companies(6) | n/a | 11,557 | n/a | 15,937 | n/a | n/a | 7,315 | n/a | 11,423 | n/a | |||||||||||||||||||||||||||||
Non-Exchange Traded Corporate Equity | n/a | 4,141 | n/a | 4,069 | n/a | n/a | 3,987 | n/a | 4,313 | n/a | |||||||||||||||||||||||||||||
Long Common Stock | n/a | 1,625 | n/a | 2,339 | n/a | n/a | 4,396 | n/a | 4,381 | n/a | |||||||||||||||||||||||||||||
Short Common Stock | n/a | (3,432 | ) | n/a | (3,563 | ) | n/a | n/a | (8,154 | ) | n/a | (8,052 | ) | n/a | |||||||||||||||||||||||||
Real Estate Owned | n/a | 24,977 | n/a | 25,462 | n/a | n/a | 3,349 | n/a | 3,539 | n/a | |||||||||||||||||||||||||||||
Total | $ | 1,373,554 | $ | 1,376,888 | $ | 1,104,949 | $ | 1,121,486 |
(1) | For more detailed information about the investments in our portfolio, please refer to the Consolidated Condensed Schedule of Investments as of these dates contained in our consolidated financial statements. |
(2) | Represents the dollar amount (not shown in thousands) per $100 of current principal of the price or cost for the security. |
(3) | Excludes non-Agency Interest Only and Principal Only MBS and Other (see footnote 5 below). |
(4) | Excludes Agency Interest Only RMBS. |
(5) | Other includes equity tranches of CLOs, Other private label securities, and residual-like non-Agency RMBS and ABS backed by consumer loans. |
(6) | Conformed to current period presentation. |
June 30, 2017 | December 31, 2016 | ||||||||||||||
(In thousands) | Notional Value | Fair Value | Notional Value | Fair Value | |||||||||||
Mortgage-Related Derivatives: | |||||||||||||||
Long CDS on RMBS and CMBS Indices | $ | 11,198 | $ | (1,760 | ) | $ | 17,228 | $ | (2,887 | ) | |||||
Short CDS on RMBS and CMBS Indices | (48,350 | ) | 7,416 | (112,999 | ) | 16,701 | |||||||||
Short CDS on Individual RMBS | (9,641 | ) | 4,900 | (10,134 | ) | 5,070 | |||||||||
Net Mortgage-Related Derivatives | (46,793 | ) | 10,556 | (105,905 | ) | 18,884 | |||||||||
Credit Derivatives: | |||||||||||||||
Long CDS referencing Corporate Bond Indices | 13,973 | 880 | 40,611 | 2,744 | |||||||||||
Short CDS referencing Corporate Bond Indices | (223,178 | ) | (7,361 | ) | (49,306 | ) | (2,840 | ) | |||||||
Long CDS on Corporate Bonds | 94,620 | (5,119 | ) | 59,637 | (1,408 | ) | |||||||||
Short CDS on Corporate Bonds | (154,232 | ) | (259 | ) | (83,108 | ) | (2,886 | ) | |||||||
Purchased Put Options on CDS on Corporate Bond Indices(2) | — | — | 10,000 | — | |||||||||||
Short Total Return Swaps on Corporate Equities (3) | (24,986 | ) | (1 | ) | (42,093 | ) | (55 | ) | |||||||
Long Total Return Swaps on Corporate Debt (4) | — | — | 5,438 | (94 | ) | ||||||||||
Interest Rate Derivatives: | |||||||||||||||
Long Interest Rate Swaps | 364,843 | (1,206 | ) | 376,074 | (2,122 | ) | |||||||||
Short Interest Rate Swaps | (839,288 | ) | 3,404 | (862,535 | ) | 5,062 | |||||||||
Long Eurodollar Futures (6) | — | — | 11,000 | (8 | ) | ||||||||||
Short U.S. Treasury Note Futures (5) | (6,800 | ) | 44 | (7,000 | ) | 19 | |||||||||
Short Eurodollar Futures (6) | (42,000 | ) | (47 | ) | (62,000 | ) | (51 | ) | |||||||
Purchased Call Equity Options(7) | 16 | 23 | 16 | 42 | |||||||||||
Purchased Put Equity Options(7) | 5 | 2 | — | — | |||||||||||
Interest Rate Caps | 113,453 | 2 | 61,908 | 2 | |||||||||||
Total Net Interest Rate Derivatives | 2,222 | 2,944 | |||||||||||||
Other Derivatives: | |||||||||||||||
Short Foreign Currency Forwards(8) | (73,747 | ) | (1,319 | ) | (54,787 | ) | (456 | ) | |||||||
Warrants(9) | — | — | 1,639 | 106 | |||||||||||
Mortgage Loan Purchase Commitments(10) | — | — | 20,601 | (31 | ) | ||||||||||
Total Net Derivatives | $ | (401 | ) | $ | 16,908 |
(1) | For more detailed information about the financial derivatives in our portfolio, please refer to the Consolidated Condensed Schedule of Investments as of these dates contained in our consolidated financial statements. |
(2) | Represents the option on our part to enter into a CDS on a corporate bond index whereby we would pay a fixed rate and receive credit protection payments. |
(3) | Notional value represents number of underlying shares times the closing price of the underlying security. |
(4) | Notional value represents outstanding principal on underlying corporate debt. |
(5) | Notional value represents the total face amount of U.S. Treasury securities underlying all contracts held. As of June 30, 2017 and December 31, 2016 a total of 68 and 70 short U.S. Treasury note futures contracts were held, respectively. |
(6) | Every $1,000,000 in notional value represents one Eurodollar future contract. |
(7) | Notional value represents the number of common shares we have the option to purchase multiplied by the strike price. |
(8) | Notional value represents U.S. Dollars to be received by us at the maturity of the forward contract. |
(9) | Notional value represents number of shares that warrants are convertible into. |
(10) | Notional value represents principal balance of mortgage loan purchase commitments. Actual loan purchases are contingent upon successful loan closings in accordance with agreed-upon parameters. |
Three Month Period Ended June 30, | Six Month Period Ended June 30, | |||||||||||||||
(In thousands except per share amounts) | 2017 | 2016 | 2017 | 2016 | ||||||||||||
Interest income | $ | 21,788 | $ | 18,990 | $ | 44,674 | $ | 39,417 | ||||||||
Other income | 872 | 1,024 | 1,811 | 2,692 | ||||||||||||
Total investment income | 22,660 | 20,014 | 46,485 | 42,109 | ||||||||||||
Expenses: | ||||||||||||||||
Base management fee | 2,372 | 2,553 | 4,782 | 5,164 | ||||||||||||
Interest expense | 7,625 | 4,234 | 13,628 | 7,702 | ||||||||||||
Other investment related expenses | 2,058 | 2,191 | 3,579 | 3,938 | ||||||||||||
Other operating expenses | 2,173 | 2,515 | 4,289 | 4,962 | ||||||||||||
Total expenses | 14,228 | 11,493 | 26,278 | 21,766 | ||||||||||||
Net investment income | 8,432 | 8,521 | 20,207 | 20,343 | ||||||||||||
Net realized and change in net unrealized gain (loss) on investments | 3,520 | 4,612 | 9,872 | (1,764 | ) | |||||||||||
Net realized and change in net unrealized gain (loss) on financial derivatives, excluding currency forwards | (6,665 | ) | (8,004 | ) | (9,403 | ) | (36,896 | ) | ||||||||
Net realized and change in net unrealized gain (loss) on financial derivatives—currency forwards | (3,717 | ) | 2,528 | (4,209 | ) | (851 | ) | |||||||||
Net foreign currency gain (loss) | 3,871 | (2,655 | ) | 4,704 | 984 | |||||||||||
Net increase (decrease) in equity resulting from operations | 5,441 | 5,002 | 21,171 | (18,184 | ) | |||||||||||
Less: Net increase in equity resulting from operations attributable to non-controlling interests | 377 | 17 | 829 | 31 | ||||||||||||
Net increase (decrease) in shareholders' equity resulting from operations | $ | 5,064 | $ | 4,985 | $ | 20,342 | $ | (18,215 | ) | |||||||
Net increase (decrease) in shareholders' equity resulting from operations per share | $ | 0.16 | $ | 0.15 | $ | 0.62 | $ | (0.54 | ) |
Credit(1) | Agency(1) | Total(1) | ||||||||||||||||||||||||||||||
(In thousands) | Interest Income | Average Holdings | Yield | Interest Income | Average Holdings | Yield | Interest Income | Average Holdings | Yield | |||||||||||||||||||||||
Three month period ended June 30, 2017 | $ | 13,160 | $ | 593,538 | 8.87 | % | $ | 6,397 | $ | 865,118 | 2.96 | % | $ | 19,557 | $ | 1,458,656 | 5.36 | % | ||||||||||||||
Three month period ended June 30, 2016 | $ | 13,441 | $ | 576,198 | 9.33 | % | $ | 5,322 | $ | 903,380 | 2.36 | % | $ | 18,763 | $ | 1,479,578 | 5.07 | % |
(1) | Amounts exclude interest income on cash and cash equivalents (including when posted as margin), long positions in U.S. Treasury securities, and repurchase agreements. Also excludes interest income on long holdings of corporate securities that represent components of certain relative value trading strategies. |
(In thousands) | Average Borrowed Funds | Interest Expense | Average Cost of Funds | Average One-Month LIBOR | Average Six-Month LIBOR | ||||||||||||
For the three month period ended June 30, 2017 | $ | 807,615 | $ | 2,226 | 1.11 | % | 1.06 | % | 1.42 | % | |||||||
For the three month period ended June 30, 2016 | $ | 850,986 | $ | 1,499 | 0.71 | % | 0.44 | % | 0.92 | % |
(In thousands) | Average Borrowed Funds | Interest Expense | Average Cost of Funds | Average One-Month LIBOR | Average Six-Month LIBOR | ||||||||||||
For the three month period ended June 30, 2017 | $ | 341,787 | $ | 2,915 | 3.42 | % | 1.06 | % | 1.42 | % | |||||||
For the three month period ended June 30, 2016 | $ | 283,775 | $ | 2,216 | 3.14 | % | 0.44 | % | 0.92 | % |
(In thousands) | Average Borrowed Funds | Interest Expense | Average Cost of Funds | Average One-Month LIBOR | Average Six-Month LIBOR | ||||||||||||
For the three month period ended June 30, 2017 | $ | 48,923 | $ | 112 | 0.92 | % | 1.06 | % | 1.42 | % | |||||||
For the three month period ended June 30, 2016 | $ | 9,280 | $ | 7 | 0.28 | % | 0.44 | % | 0.92 | % |
(In thousands) | Average Borrowed Funds | Interest Expense | Average Cost of Funds | Average One-Month LIBOR | Average Six-Month LIBOR | ||||||||||||
For the three month period ended June 30, 2017 | $ | 1,198,325 | $ | 5,253 | 1.76 | % | 1.06 | % | 1.42 | % | |||||||
For the three month period ended June 30, 2016 | $ | 1,144,041 | $ | 3,722 | 1.31 | % | 0.44 | % | 0.92 | % |
Credit(1) | Agency(1) | Total(1) | ||||||||||||||||||||||||||||||
(In thousands) | Interest Income | Average Holdings | Yield | Interest Income | Average Holdings | Yield | Interest Income | Average Holdings | Yield | |||||||||||||||||||||||
Six month period ended June 30, 2017 | $ | 25,621 | $ | 574,198 | 8.92 | % | $ | 15,027 | $ | 855,035 | 3.51 | % | $ | 40,648 | $ | 1,429,233 | 5.69 | % | ||||||||||||||
Six month period ended June 30, 2016 | $ | 26,206 | $ | 576,567 | 9.09 | % | $ | 12,878 | $ | 922,412 | 2.79 | % | $ | 39,084 | $ | 1,498,979 | 5.21 | % |
(1) | Amounts exclude interest income on cash and cash equivalents (including when posted as margin) and long positions in U.S. Treasury securities. Also excludes long holdings of corporate securities that represent components of certain relative value trading strategies. |
(In thousands) | Average Borrowed Funds | Interest Expense | Average Cost of Funds | Average One-Month LIBOR | Average Six-Month LIBOR | ||||||||||||
For the six month period ended June 30, 2017 | $ | 800,253 | $ | 4,083 | 1.03 | % | 0.94 | % | 1.40 | % | |||||||
For the six month period ended June 30, 2016 | $ | 873,731 | $ | 2,926 | 0.67 | % | 0.44 | % | 0.90 | % |
(In thousands) | Average Borrowed Funds | Interest Expense | Average Cost of Funds | Average One-Month LIBOR | Average Six-Month LIBOR | ||||||||||||
For the six month period ended June 30, 2017 | $ | 317,217 | $ | 5,118 | 3.25 | % | 0.94 | % | 1.40 | % | |||||||
For the six month period ended June 30, 2016 | $ | 274,642 | $ | 3,896 | 2.85 | % | 0.44 | % | 0.90 | % |
(In thousands) | Average Borrowed Funds | Interest Expense | Average Cost of Funds | Average One-Month LIBOR | Average Six-Month LIBOR | ||||||||||||
For the six month period ended June 30, 2017 | $ | 43,416 | $ | 165 | 0.77 | % | 0.94 | % | 1.40 | % | |||||||
For the six month period ended June 30, 2016 | $ | 14,838 | $ | 17 | 0.22 | % | 0.44 | % | 0.90 | % |
(In thousands) | Average Borrowed Funds | Interest Expense | Average Cost of Funds | Average One-Month LIBOR | Average Six-Month LIBOR | ||||||||||||
For the six month period ended June 30, 2017 | $ | 1,160,886 | $ | 9,366 | 1.63 | % | 0.94 | % | 1.40 | % | |||||||
For the six month period ended June 30, 2016 | $ | 1,163,211 | $ | 6,839 | 1.18 | % | 0.44 | % | 0.90 | % |
Reverse Repurchase Agreements | ||||||||
(In thousands) | Average Borrowed Funds During the Period | Borrowed Funds Outstanding at End of the Period | ||||||
Six Month Period Ended June 30, 2017 | $ | 1,102,674 | $ | 1,119,238 | ||||
Six Month Period Ended June 30, 2016 | $ | 1,151,718 | $ | 1,070,105 |
(In thousands) | June 30, 2017 | ||||||
Remaining Days to Maturity | Outstanding Borrowings | % | |||||
30 Days or Less | $ | 311,846 | 27.9 | % | |||
31 - 60 Days | 332,008 | 29.7 | % | ||||
61 - 90 Days | 232,897 | 20.8 | % | ||||
91 - 120 Days | 122,071 | 10.9 | % | ||||
121 - 150 Days | 6,709 | 0.6 | % | ||||
151 - 180 Days | 10,365 | 0.9 | % | ||||
181 - 360 Days | 103,342 | 9.2 | % | ||||
$ | 1,119,238 | 100.0 | % |
Quarter Ended | Borrowings Outstanding at Quarter End | Average Borrowings Outstanding | Maximum Borrowings Outstanding at Any Month End | |||||||||
(In thousands) | ||||||||||||
June 30, 2017 | $ | 1,119,238 | $ | 1,121,884 | $ | 1,213,525 | ||||||
March 31, 2017 | 1,086,271 | 1,083,251 | 1,157,648 | |||||||||
December 31, 2016 | 1,033,581 | 989,453 | 1,033,581 | |||||||||
September 30, 2016 | 983,814 | 1,044,621 | 1,081,484 | |||||||||
June 30, 2016 | 1,070,105 | 1,124,885 | 1,160,096 | |||||||||
March 31, 2016 | 1,149,064 | 1,178,552 | 1,205,385 | |||||||||
December 31, 2015(1) | 1,174,189 | 1,335,360 | 1,401,378 | |||||||||
September 30, 2015 | 1,372,794 | 1,378,821 | 1,386,610 | |||||||||
June 30, 2015 | 1,360,408 | 1,427,369 | 1,497,281 | |||||||||
March 31, 2015 | 1,396,112 | 1,505,226 | 1,554,589 | |||||||||
December 31, 2014 | 1,669,433 | 1,882,629 | 1,889,410 | |||||||||
September 30, 2014 | 1,395,132 | 1,214,553 | 1,395,132 |
(1) | Our outstanding borrowings as of December 31, 2015 declined relative to our average borrowings outstanding for the quarter ended December 31, 2015. In light of continued and anticipated significant market volatility, during the quarter ended December 31, 2015, we net sold Agency RMBS, thereby reducing our outstanding borrowings and increasing our cash holdings in order to be more defensively positioned. |
Counterparty | Amount at Risk(1) | Weighted Average Remaining Days to Maturity | Percentage of Shareholders' Equity | ||||||
(In thousands) | |||||||||
Nomura Securities International Inc. | $ | 32,029 | 152 | 5.0 | % |
(1) | Amounts at risk exclude, in aggregate, $0.1 million of net accrued interest, defined as accrued interest on securities held as collateral less interest payable on cash borrowed. |
(In thousands except per share amounts) | Dividend Per Share | Dividend Amount | Record Date | Payment Date | |||||||
First Quarter | $0.45 | $ | 14,757 | June 1, 2017 | June 15, 2017 | ||||||
Second Quarter | $0.45 | $ | 14,757 | * | September 1, 2017 | September 15, 2017 |
(In thousands except per share amounts) | Dividend Per Share | Dividend Amount | Record Date | Payment Date | |||||||
First Quarter | $0.50 | $ | 16,744 | June 1, 2016 | June 15, 2016 | ||||||
Second Quarter | $0.50 | $ | 16,640 | September 1, 2016 | September 15, 2016 |
(In thousands) | Estimated Change for a Decrease in Interest Rates by | Estimated Change for an Increase in Interest Rates by | ||||||||||||||||||||||||||
50 Basis Points | 100 Basis Points | 50 Basis Points | 100 Basis Points | |||||||||||||||||||||||||
Category of Instruments | Market Value | % of Total Equity | Market Value | % of Total Equity | Market Value | % of Total Equity | Market Value | % of Total Equity | ||||||||||||||||||||
Agency RMBS | $ | 8,155 | 1.28 | % | $ | 13,953 | 2.19 | % | $ | (10,511 | ) | (1.65 | )% | $ | (23,377 | ) | (3.67 | )% | ||||||||||
Non-Agency RMBS, CMBS, Other ABS, and Mortgage Loans | 3,405 | 0.53 | % | 7,044 | 1.11 | % | (3,171 | ) | (0.50 | )% | (6,107 | ) | (0.96 | )% | ||||||||||||||
U.S. Treasury Securities, and Interest Rate Swaps, Options, and Futures | (10,424 | ) | (1.64 | )% | (21,260 | ) | (3.34 | )% | 10,008 | 1.57 | % | 19,602 | 3.08 | % | ||||||||||||||
Mortgage-Related Derivatives | 52 | 0.01 | % | 103 | 0.02 | % | (52 | ) | (0.01 | )% | (105 | ) | (0.02 | )% | ||||||||||||||
Corporate Securities and Derivatives on Corporate Securities | 4 | — | % | 50 | 0.01 | % | 38 | 0.01 | % | 118 | 0.02 | % | ||||||||||||||||
Repurchase Agreements and Reverse Repurchase Agreements | (668 | ) | (0.10 | )% | (1,334 | ) | (0.21 | )% | 652 | 0.10 | % | 1,303 | 0.20 | % | ||||||||||||||
Total | $ | 524 | 0.08 | % | $ | (1,444 | ) | (0.23 | )% | $ | (3,036 | ) | (0.48 | )% | $ | (8,566 | ) | (1.34 | )% |
Total Number of Shares Purchased | Average Price Paid | Total Number of Shares Purchased as Part of Publicly Announced Plans or Programs | Number of Shares that May Yet be Purchased Under the Plans or Programs | ||||||||||
(In thousands) | |||||||||||||
April 1, 2017 – April 30, 2017 | 51,518 | $ | 15.81 | 51,518 | 1,571,733 | ||||||||
May 1, 2017 – May 31, 2017 | — | — | — | 1,571,733 | |||||||||
June 1, 2017 – June 30, 2017 | — | — | — | 1,571,733 | |||||||||
Total | 51,518 | $ | 15.81 | 51,518 | 1,571,733 |
Exhibit | Description | |
31.1 | Certification of Chief Executive Officer pursuant to Section 302 of the Sarbanes – Oxley Act of 2002 | |
31.2 | Certification of Chief Financial Officer pursuant to Section 302 of the Sarbanes – Oxley Act of 2002 | |
32.1* | Certification of Chief Executive Officer pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes – Oxley Act of 2002 | |
32.2* | Certification of Chief Financial Officer pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes – Oxley Act of 2002 | |
101 | The following financial information from Ellington Financial LLC's Quarterly Report on Form 10-Q for the six month period ended June 30, 2017, formatted in XBRL (Extensible Business Reporting Language): (i) Consolidated Statement of Assets, Liabilities, and Equity, (ii) Consolidated Statement of Operations, (iii) Consolidated Statements of Changes in Equity, (iv) Consolidated Statements of Cash Flows and (v) Notes to Consolidated Financial Statements. |
* | Furnished herewith. These certifications are not deemed "filed" for purposes of Section 18 of the Securities Exchange Act of 1934, as amended. |
ELLINGTON FINANCIAL LLC. | ||||
Date: | August 7, 2017 | By: | /s/ LAURENCE PENN | |
Laurence Penn Chief Executive Officer (Principal Executive Officer) | ||||
ELLINGTON FINANCIAL LLC. | ||||
Date: | August 7, 2017 | By: | /s/ LISA MUMFORD | |
Lisa Mumford Chief Financial Officer (Principal Financial and Accounting Officer) |
Exhibit | Description | |
31.1 | Certification of Chief Executive Officer pursuant to Section 302 of the Sarbanes – Oxley Act of 2002 | |
31.2 | Certification of Chief Financial Officer pursuant to Section 302 of the Sarbanes – Oxley Act of 2002 | |
32.1* | Certification of Chief Executive Officer pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes – Oxley Act of 2002 | |
32.2* | Certification of Chief Financial Officer pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes – Oxley Act of 2002 | |
101 | The following financial information from Ellington Financial LLC's Quarterly Report on Form 10-Q for the six month period ended June 30, 2017, formatted in XBRL (Extensible Business Reporting Language): (i) Consolidated Statement of Assets, Liabilities, and Equity, (ii) Consolidated Statement of Operations, (iii) Consolidated Statements of Changes in Equity, (iv) Consolidated Statements of Cash Flows and (v) Notes to Consolidated Financial Statements. |
* | Furnished herewith. These certifications are not deemed "filed" for purposes of Section 18 of the Securities Exchange Act of 1934, as amended. |
(a) | Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; |
(b) | Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; |
(c) | Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and |
(d) | Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal quarter (the registrant's fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and |
(a) | All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize and report financial information; and |
(b) | Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. |
Date: | August 7, 2017 | |||
/s/ Laurence Penn | ||||
Laurence Penn | ||||
Chief Executive Officer (Principal Executive Officer) |
(a) | Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; |
(b) | Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; |
(c) | Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and |
(d) | Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal quarter (the registrant's fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and |
(a) | All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize and report financial information; and |
(b) | Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. |
Date: | August 7, 2017 | |||
/s/ Lisa Mumford | ||||
Lisa Mumford | ||||
Chief Financial Officer | ||||
(Principal Financial and Accounting Officer) |
Date: | August 7, 2017 | /s/ Laurence Penn | ||
Laurence Penn Chief Executive Officer (Principal Executive Officer) |
Date: | August 7, 2017 | /s/ Lisa Mumford | ||
Lisa Mumford Chief Financial Officer (Principal Financial and Accounting Officer) |
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Document And Entity Information - shares |
6 Months Ended | |
---|---|---|
Jun. 30, 2017 |
Aug. 04, 2017 |
|
Document and Entity Information [Abstract] | ||
Document Type | 10-Q | |
Amendment Flag | false | |
Document Period End Date | Jun. 30, 2017 | |
Document Fiscal Year Focus | 2017 | |
Document Fiscal Period Focus | Q2 | |
Entity Registrant Name | Ellington Financial LLC | |
Entity Central Index Key | 0001411342 | |
Current Fiscal Year End Date | --12-31 | |
Entity Filer Category | Accelerated Filer | |
Entity Common Stock, Shares Outstanding | 32,112,697 |
Consolidated Balance Sheet (Parenthetical) - USD ($) $ in Thousands |
6 Months Ended | 12 Months Ended |
---|---|---|
Jun. 30, 2017 |
Dec. 31, 2016 |
|
Statement of Financial Position [Abstract] | ||
Investments at value, cost | $ 1,799,464 | $ 1,525,710 |
Financial derivatives–assets, at fair value Net cost | 36,162 | 40,724 |
Repurchase agreements, cost | 265,403 | 185,205 |
Investments sold short at value, proceeds | 687,979 | 589,429 |
Financial derivatives-liabilities, at fair value Net proceeds | 19,994 | 12,012 |
Other secured borrowings proceeds | $ 88,100 | $ 24,086 |
Common stock, shares authorized | 100,000,000 | 100,000,000 |
Common stock, shares issued | 32,112,694 | 32,294,703 |
Common stock, shares outstanding | 32,112,697 | 32,294,703 |
Consolidated Condensed Schedule Of Investments Consolidated Condensed Schedule of Investments (Cash Equivalents) - Cash Equivalents [Member] - USD ($) shares in Thousands, $ in Thousands |
6 Months Ended | 12 Months Ended | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Jun. 30, 2017 |
Dec. 31, 2016 |
||||||||||||
Schedule of Investments [Line Items] | |||||||||||||
Money Market Funds, at Carrying Value | $ 20,000 | [1] | $ 90,000 | [2] | |||||||||
Money Market Funds, at Cost | $ 20,000 | [1] | $ 90,000 | [2] | |||||||||
Money market funds as a percentage of stockholders' equity | 3.14% | [1],[3] | 13.96% | [2],[4] | |||||||||
BlackRock Liquidity Funds FedFund Portfolio, Institutional Class Shares [Member] | |||||||||||||
Schedule of Investments [Line Items] | |||||||||||||
Money Market Funds, at Carrying Value | [2] | $ 50,000 | |||||||||||
Investment Owned, Balance, Shares | [2] | 50,000 | |||||||||||
Rate | [2] | 0.42% | |||||||||||
Various Money Market Funds [Member] | |||||||||||||
Schedule of Investments [Line Items] | |||||||||||||
Money Market Funds, at Carrying Value | $ 20,000 | [1] | $ 40,000 | [2] | |||||||||
Investment Owned, Balance, Shares | 20,000 | [1] | 40,000 | [2] | |||||||||
Rate | [1] | 0.86% | |||||||||||
Various Money Market Funds [Member] | Minimum [Member] | |||||||||||||
Schedule of Investments [Line Items] | |||||||||||||
Rate | [2] | 0.44% | |||||||||||
Various Money Market Funds [Member] | Maximum [Member] | |||||||||||||
Schedule of Investments [Line Items] | |||||||||||||
Rate | [2] | 0.45% | |||||||||||
|
Consolidated Condensed Schedule Of Investments (Long Investments) - USD ($) shares in Thousands |
6 Months Ended | 12 Months Ended | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Jun. 30, 2017 |
Dec. 31, 2016 |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | $ 1,794,129,000 | $ 1,505,026,000 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Owned, at Cost | $ 1,799,464,000 | $ 1,525,710,000 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Percentage collaterallized by GNRCMO certificates | 100.00% | 100.00% | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Non-performing loans, maturity date not applicable | $ 6,600,000 | $ 28,600,000 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Mortgage Loans in Process of Foreclosure, Amount | $ 4,700,000 | $ 3,200,000 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Unrated But Agency-Guaranteed [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Long investment holdings as a percentage of stockholders' equity | 159.17% | 139.27% | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Long Investment Aaa Rating [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Long investment holdings as a percentage of stockholders' equity | 3.48% | 0.84% | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Long Investment Aa Rating [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Long investment holdings as a percentage of stockholders' equity | 0.03% | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Long Investment A Rating [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Long investment holdings as a percentage of stockholders' equity | 0.05% | 0.05% | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Long Investment BBB Rating [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Long investment holdings as a percentage of stockholders' equity | 3.92% | 2.60% | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Long Investment BB Rating [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Long investment holdings as a percentage of stockholders' equity | 38.17% | 30.24% | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Long Investment Unrated Rating [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Long investment holdings as a percentage of stockholders' equity | 76.88% | 60.39% | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment owned as a percentage of equity | 116.16% | [1],[2],[3],[4] | 121.61% | [5],[6],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | $ 739,908,000 | [1],[3],[4] | $ 784,132,000 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | Federal National Mortgage Association Pools (30 Year) 4.00% [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Current Principal/Notional Amount | $ 166,436,000 | [1],[3],[4] | $ 147,479,000 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Rate | 4.00% | [1],[3],[4] | 4.00% | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | $ 176,498,000 | [1],[3],[4] | $ 156,144,000 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | Federal National Mortgage Association Pools (30 Year) 4.00% [Member] | Minimum [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | 2039-09 | [1],[3],[4] | 2042-02 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | Federal National Mortgage Association Pools (30 Year) 4.00% [Member] | Maximum [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | 2047-07 | [1],[3],[4] | 2047-01 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | Federal Home Loan Mortgage Corporation Pools (Thirty Year) Four Percent [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Current Principal/Notional Amount | $ 112,317,000 | [1],[3],[4] | $ 121,756,000 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Rate | 4.00% | [1],[3],[4] | 4.00% | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | $ 119,004,000 | [1],[3],[4] | $ 128,798,000 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | Federal Home Loan Mortgage Corporation Pools (Thirty Year) Four Percent [Member] | Minimum [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | 2041-11 | [1],[3],[4] | 2043-08 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | Federal Home Loan Mortgage Corporation Pools (Thirty Year) Four Percent [Member] | Maximum [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | 2047-07 | [1],[3],[4] | 2047-01 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | Federal National Mortgage Association Pools (30 Year) 3.50% [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Current Principal/Notional Amount | $ 71,402,000 | [1],[3],[4] | $ 58,682,000 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Rate | 3.50% | [1],[3],[4] | 3.50% | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | $ 73,762,000 | [1],[3],[4] | $ 60,451,000 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | Federal National Mortgage Association Pools (30 Year) 3.50% [Member] | Minimum [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | 2042-09 | [1],[3],[4] | 2043-03 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | Federal National Mortgage Association Pools (30 Year) 3.50% [Member] | Maximum [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | 2047-05 | [1],[3],[4] | 2047-01 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | Federal National Mortgage Association Pools (Thirty Year) Four Point Five Percent [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Current Principal/Notional Amount | $ 64,503,000 | [1],[3],[4] | $ 67,681,000 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Rate | 4.50% | [1],[3],[4] | 4.50% | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | $ 69,793,000 | [1],[3],[4] | $ 73,305,000 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | Federal National Mortgage Association Pools (Thirty Year) Four Point Five Percent [Member] | Minimum [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | 2041-10 | [1],[3],[4] | 2041-10 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | Federal National Mortgage Association Pools (Thirty Year) Four Point Five Percent [Member] | Maximum [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | 2047-06 | [1],[3],[4] | 2046-03 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | Federal National Mortgage Association Pools (15 Year) 3.50% [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Current Principal/Notional Amount | $ 56,342,000 | [1],[3],[4] | $ 51,402,000 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Rate | 3.50% | [1],[3],[4] | 3.50% | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | $ 59,031,000 | [1],[3],[4] | $ 54,019,000 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | Federal National Mortgage Association Pools (15 Year) 3.50% [Member] | Minimum [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | 2028-03 | [1],[3],[4] | 2028-03 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | Federal National Mortgage Association Pools (15 Year) 3.50% [Member] | Maximum [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | 2032-03 | [1],[3],[4] | 2031-11 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | Federal Home Loan Mortgage Corporation Pools (30 Year) 4.50% [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Current Principal/Notional Amount | $ 44,150,000 | [1],[3],[4] | $ 40,722,000 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Rate | 4.50% | [1],[3],[4] | 4.50% | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | $ 47,718,000 | [1],[3],[4] | $ 44,010,000 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | Federal Home Loan Mortgage Corporation Pools (30 Year) 4.50% [Member] | Minimum [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | 2043-09 | [1],[3],[4] | 2043-09 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | Federal Home Loan Mortgage Corporation Pools (30 Year) 4.50% [Member] | Maximum [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | 2047-06 | [1],[3],[4] | 2046-09 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | Federal National Mortgage Association Pools (Thirty Year) Five Percent [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Current Principal/Notional Amount | $ 41,300,000 | [1],[3],[4] | $ 44,796,000 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Rate | 5.00% | [1],[3],[4] | 5.00% | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | $ 45,234,000 | [1],[3],[4] | $ 49,062,000 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | Federal National Mortgage Association Pools (Thirty Year) Five Percent [Member] | Minimum [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | 2035-10 | [1],[3],[4] | 2035-10 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | Federal National Mortgage Association Pools (Thirty Year) Five Percent [Member] | Maximum [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | 2044-12 | [1],[3],[4] | 2044-12 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | Federal Home Loan Mortgage Corporation Pools (30 Year) 3.50% [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Current Principal/Notional Amount | $ 22,154,000 | [1],[3],[4] | $ 25,244,000 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Rate | 3.50% | [1],[3],[4] | 3.50% | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | $ 22,909,000 | [1],[3],[4] | $ 25,993,000 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | Federal Home Loan Mortgage Corporation Pools (30 Year) 3.50% [Member] | Minimum [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | 2042-01 | [1],[3],[4] | 2042-01 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | Federal Home Loan Mortgage Corporation Pools (30 Year) 3.50% [Member] | Maximum [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | 2047-02 | [1],[3],[4] | 2047-01 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | Federal National Mortgage Association Pools (15 Year) 3.00% [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Current Principal/Notional Amount | $ 20,973,000 | [1],[3],[4] | $ 22,073,000 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Rate | 3.00% | [1],[3],[4] | 3.00% | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | $ 21,584,000 | [1],[3],[4] | $ 22,730,000 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | Federal National Mortgage Association Pools (15 Year) 3.00% [Member] | Minimum [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | 2030-04 | [1],[3],[4] | 2030-04 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | Federal National Mortgage Association Pools (15 Year) 3.00% [Member] | Maximum [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | 2032-01 | [1],[3],[4] | 2032-01 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | Government National Mortgage Association Pools (30 Year) 4.50% [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Current Principal/Notional Amount | $ 14,044,000 | [1],[3],[4] | $ 6,568,000 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Rate | 4.50% | [1],[3],[4] | 4.50% | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | $ 15,113,000 | [1],[3],[4] | $ 7,099,000 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | Government National Mortgage Association Pools (30 Year) 4.50% [Member] | Minimum [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | 2046-09 | [1],[3],[4] | 2045-08 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | Government National Mortgage Association Pools (30 Year) 4.50% [Member] | Maximum [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | 2047-07 | [1],[3],[4] | 2046-09 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | Government National Mortgage Association Pools (30 Year) 4.00% [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Current Principal/Notional Amount | $ 11,342,000 | [1],[3],[4] | $ 21,855,000 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Rate | 4.00% | [1],[3],[4] | 4.00% | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | $ 11,975,000 | [1],[3],[4] | $ 23,346,000 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | Government National Mortgage Association Pools (30 Year) 4.00% [Member] | Minimum [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | 2045-06 | [1],[3],[4] | 2045-06 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | Government National Mortgage Association Pools (30 Year) 4.00% [Member] | Maximum [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | 2047-05 | [1],[3],[4] | 2046-12 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | Government National Mortgage Association Pools (Other) 4.60% [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Current Principal/Notional Amount | [5],[7],[8] | $ 10,504,000 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Rate | [5],[7],[8] | 4.60% | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | [5],[7],[8] | $ 11,351,000 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | Government National Mortgage Association Pools (Other) 4.60% [Member] | Minimum [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | [5],[7],[8] | 2063-12 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | Government National Mortgage Association Pools (Other) 4.60% [Member] | Maximum [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | [5],[7],[8] | 2064-11 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | Federal Home Loan Mortgage Corporation Pools (15 Year) 3.50% [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Current Principal/Notional Amount | $ 9,771,000 | [1],[3],[4] | $ 9,219,000 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Rate | 3.50% | [1],[3],[4] | 3.50% | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | $ 10,249,000 | [1],[3],[4] | $ 9,686,000 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | Federal Home Loan Mortgage Corporation Pools (15 Year) 3.50% [Member] | Minimum [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | 2028-09 | [1],[3],[4] | 2028-09 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | Federal Home Loan Mortgage Corporation Pools (15 Year) 3.50% [Member] | Maximum [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | 2032-03 | [1],[3],[4] | 2030-09 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | Federal Home Loan Mortgage Corporation Pools (Other) 3.50% [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Current Principal/Notional Amount | $ 9,425,000 | [1],[3],[4] | $ 10,120,000 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Rate | 3.50% | [1],[3],[4] | 3.50% | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | $ 9,694,000 | [1],[3],[4] | $ 10,379,000 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | Federal Home Loan Mortgage Corporation Pools (Other) 3.50% [Member] | Minimum [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | 2030-02 | [1],[3],[4] | 2030-02 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | Federal Home Loan Mortgage Corporation Pools (Other) 3.50% [Member] | Maximum [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | 2046-09 | [1],[3],[4] | 2046-09 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | Federal National Mortgage Association Pools (Fifteen Year) Four Percent [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Current Principal/Notional Amount | $ 9,033,000 | [1],[3],[4] | $ 9,968,000 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Rate | 4.00% | [1],[3],[4] | 4.00% | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | $ 9,538,000 | [1],[3],[4] | $ 10,596,000 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | Federal National Mortgage Association Pools (Fifteen Year) Four Percent [Member] | Minimum [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | 2026-06 | [1],[3],[4] | 2026-06 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | Federal National Mortgage Association Pools (Fifteen Year) Four Percent [Member] | Maximum [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | 2031-05 | [1],[3],[4] | 2031-05 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | Government National Mortgage Association Pools (Other) Four Point Six Eight Percent [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Current Principal/Notional Amount | [5],[7],[8] | $ 6,200,000 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Rate | [5],[7],[8] | 4.68% | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | [5],[7],[8] | $ 6,703,000 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | Government National Mortgage Association Pools (Other) Four Point Six Eight Percent [Member] | Minimum [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | [5],[7],[8] | 2063-11 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | Government National Mortgage Association Pools (Other) Four Point Six Eight Percent [Member] | Maximum [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | [5],[7],[8] | 2064-09 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | Federal National Mortgage Association Pools (Other) 5.00% [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Current Principal/Notional Amount | $ 6,174,000 | [1],[3],[4] | $ 6,714,000 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Rate | 5.00% | [1],[3],[4] | 5.00% | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | $ 6,826,000 | [1],[3],[4] | $ 7,408,000 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | Federal National Mortgage Association Pools (Other) 5.00% [Member] | Minimum [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | 2043-09 | [1],[3],[4] | 2043-09 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | Federal National Mortgage Association Pools (Other) 5.00% [Member] | Maximum [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | 2044-01 | [1],[3],[4] | 2044-01 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | Government National Mortgage Association Pools (30 Year) 3.50% [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Current Principal/Notional Amount | $ 5,265,000 | [1],[3],[4] | $ 6,231,000 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Rate | 3.50% | [1],[3],[4] | 3.50% | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | $ 5,475,000 | [1],[3],[4] | $ 6,513,000 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | Government National Mortgage Association Pools (30 Year) 3.50% [Member] | Minimum [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | 2046-11 | [1],[3],[4] | 2046-02 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | Government National Mortgage Association Pools (30 Year) 3.50% [Member] | Maximum [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | 2047-03 | [1],[3],[4] | 2046-12 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | Government National Mortgage Association Pools (Other) 4.55% [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | [5],[7],[8] | 2065-01 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Current Principal/Notional Amount | [5],[7],[8] | $ 5,219,000 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Rate | [5],[7],[8] | 4.55% | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | [5],[7],[8] | $ 5,648,000 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | Government National Mortgage Association Pools (Other) 4.44% [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | [5],[7],[8] | 2066-11 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Current Principal/Notional Amount | [5],[7],[8] | $ 4,942,000 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Rate | [5],[7],[8] | 4.44% | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | [5],[7],[8] | $ 5,383,000 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | Government National Mortgage Association Pools (Other) Four Point Six One Percent [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | [5],[7],[8] | 2064-11 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Current Principal/Notional Amount | [5],[7],[8] | $ 3,892,000 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Rate | [5],[7],[8] | 4.61% | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | [5],[7],[8] | $ 4,216,000 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | Federal National Mortgage Association Pools (Other) 4.50% [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | [1],[3],[4] | 2041-05 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Current Principal/Notional Amount | [1],[3],[4] | $ 3,614,000 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Rate | [1],[3],[4] | 4.50% | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | [1],[3],[4] | $ 3,824,000 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | Government National Mortgage Association Pools (Other) 4.42% [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | [5],[7],[8] | 2061-07 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Current Principal/Notional Amount | [5],[7],[8] | $ 3,518,000 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Rate | [5],[7],[8] | 4.42% | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | [5],[7],[8] | $ 3,741,000 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | Government National Mortgage Association Pools (Other) 4.48% [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | [5],[7],[8] | 2064-11 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Current Principal/Notional Amount | [5],[7],[8] | $ 3,123,000 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Rate | [5],[7],[8] | 4.48% | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | [5],[7],[8] | $ 3,361,000 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | Government National Mortgage Association Pools (Other) Four Point Six Two Percent [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | [5],[7],[8] | 2064-10 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Current Principal/Notional Amount | [5],[7],[8] | $ 3,043,000 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Rate | [5],[7],[8] | 4.62% | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | [5],[7],[8] | $ 3,303,000 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | Federal Home Loan Mortgage Corporation Pools (30 Year) 3.00% [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Current Principal/Notional Amount | $ 3,800,000 | [1],[3],[4] | $ 1,523,000 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Rate | 3.00% | [1],[3],[4] | 3.00% | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | $ 3,820,000 | [1],[3],[4] | $ 1,518,000 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | Federal Home Loan Mortgage Corporation Pools (30 Year) 3.00% [Member] | Minimum [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | 2043-07 | [1],[3],[4] | 2043-07 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | Federal Home Loan Mortgage Corporation Pools (30 Year) 3.00% [Member] | Maximum [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | 2045-10 | [1],[3],[4] | 2045-10 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | Federal National Mortgage Association Pools (Other) Three Percent [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | [5],[7],[8] | 2043-06 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Current Principal/Notional Amount | [5],[7],[8] | $ 1,275,000 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Rate | [5],[7],[8] | 3.00% | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | [5],[7],[8] | $ 1,258,000 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | Federal National Mortgage Association Pools (15 Year) 4.50% [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | 2026-04 | [1],[3],[4] | 2026-04 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Current Principal/Notional Amount | $ 3,282,000 | [1],[3],[4] | $ 3,619,000 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Rate | 4.50% | [1],[3],[4] | 4.50% | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | $ 3,528,000 | [1],[3],[4] | $ 3,905,000 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | Federal Home Loan Corporation Pools (15 Year) 3.00% [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | 2030-04 | [1],[3],[4] | 2030-04 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Current Principal/Notional Amount | $ 2,933,000 | [1],[3],[4] | $ 3,030,000 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Rate | 3.00% | [1],[3],[4] | 3.00% | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | $ 3,019,000 | [1],[3],[4] | $ 3,119,000 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | Federal Home Loan Mortgage Corporation Pools (Other) 4.50% [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | 2044-05 | [1],[3],[4] | 2044-05 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Current Principal/Notional Amount | $ 2,699,000 | [1],[3],[4] | $ 2,726,000 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Rate | 4.50% | [1],[3],[4] | 4.50% | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | $ 2,934,000 | [1],[3],[4] | $ 2,968,000 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | Government National Mortgage Association Pools (Other) 4.57% [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | [5],[7],[8] | 2065-01 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Current Principal/Notional Amount | [5],[7],[8] | $ 2,945,000 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Rate | [5],[7],[8] | 4.57% | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | [5],[7],[8] | $ 3,186,000 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | Federal National Mortgage Association Pools (30 Year) 5.50% [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | 2039-10 | [1],[3],[4] | 2039-10 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Current Principal/Notional Amount | $ 2,363,000 | [1],[3],[4] | $ 2,896,000 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Rate | 5.50% | [1],[3],[4] | 5.50% | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | $ 2,628,000 | [1],[3],[4] | $ 3,216,000 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | Government National Mortgage Association Pools (Thirty Year) Two Point Five Percent [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | 2046-10 | [1],[3],[4] | 2046-10 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Current Principal/Notional Amount | $ 2,179,000 | [1],[3],[4] | $ 3,513,000 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Rate | 2.50% | [1],[3],[4] | 2.50% | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | $ 2,132,000 | [1],[3],[4] | $ 3,414,000 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | Government National Mortgage Association Pools (Other) Four Point Six Four Percent [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | [5],[7],[8] | 2065-03 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Current Principal/Notional Amount | [5],[7],[8] | $ 2,459,000 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Rate | [5],[7],[8] | 4.64% | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | [5],[7],[8] | $ 2,672,000 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | Government National Mortgage Association Pool (Other) Five Point Four Nine Percent [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | [5],[7],[8] | 2060-04 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Current Principal/Notional Amount | [5],[7],[8] | $ 2,433,000 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Rate | [5],[7],[8] | 5.49% | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | [5],[7],[8] | $ 2,551,000 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | Federal National Mortgage Association Pools (Thirty Year) Three Percent [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Current Principal/Notional Amount | $ 1,978,000 | [1],[3],[4] | $ 2,195,000 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Rate | 3.00% | [1],[3],[4] | 3.00% | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | $ 1,997,000 | [1],[3],[4] | $ 2,193,000 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | Federal National Mortgage Association Pools (Thirty Year) Three Percent [Member] | Minimum [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | 2042-01 | [1],[3],[4] | 2042-01 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | Federal National Mortgage Association Pools (Thirty Year) Three Percent [Member] | Maximum [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | 2045-06 | [1],[3],[4] | 2045-06 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | Federal National Mortgage Association Pools (20 Year) 4.00% [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | 2033-12 | [1],[3],[4] | 2033-12 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Current Principal/Notional Amount | $ 1,851,000 | [1],[3],[4] | $ 2,043,000 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Rate | 4.00% | [1],[3],[4] | 4.00% | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | $ 1,972,000 | [1],[3],[4] | $ 2,172,000 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | Federal National Mortgage Association Pools (Thirty Year) Six Percent [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Current Principal/Notional Amount | $ 1,672,000 | [1],[3],[4] | $ 1,793,000 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Rate | 6.00% | [1],[3],[4] | 6.00% | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | $ 1,897,000 | [1],[3],[4] | $ 2,049,000 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | Federal National Mortgage Association Pools (Thirty Year) Six Percent [Member] | Minimum [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | 2039-09 | [1],[3],[4] | 2039-09 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | Federal National Mortgage Association Pools (Thirty Year) Six Percent [Member] | Maximum [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | 2040-02 | [1],[3],[4] | 2040-02 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | Government National Mortgage Association Pools (Other) Four Point Six Three Percent [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | [5],[7],[8] | 2064-06 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Current Principal/Notional Amount | [5],[7],[8] | $ 1,943,000 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Rate | [5],[7],[8] | 4.63% | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | [5],[7],[8] | $ 2,103,000 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | Government National Mortgage Association Pools (Other) 5.51% [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | [5],[7],[8] | 2060-02 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Current Principal/Notional Amount | [5],[7],[8] | $ 1,916,000 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Rate | [5],[7],[8] | 5.51% | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | [5],[7],[8] | $ 2,016,000 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | Federal Home Loan Mortgage Corporation Pools (15 Year) 4.00% [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | 2029-02 | [1],[3],[4] | 2029-02 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Current Principal/Notional Amount | $ 1,513,000 | [1],[3],[4] | $ 1,734,000 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Rate | 4.00% | [1],[3],[4] | 4.00% | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | $ 1,598,000 | [1],[3],[4] | $ 1,842,000 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | Government National Mortgage Association Pools (Other) 5.57% [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | [5],[7],[8] | 2060-02 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Current Principal/Notional Amount | [5],[7],[8] | $ 1,675,000 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Rate | [5],[7],[8] | 5.57% | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | [5],[7],[8] | $ 1,756,000 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | Federal Home Loan Mortgage Corporation Pools (Other) 3.00% [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Current Principal/Notional Amount | $ 1,283,000 | [1],[3],[4] | $ 3,030,000 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Rate | 3.00% | [1],[3],[4] | 3.00% | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | $ 1,313,000 | [1],[3],[4] | $ 3,109,000 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | Federal Home Loan Mortgage Corporation Pools (Other) 3.00% [Member] | Minimum [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | 2028-06 | [1],[3],[4] | 2028-06 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | Federal Home Loan Mortgage Corporation Pools (Other) 3.00% [Member] | Maximum [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | 2030-03 | [1],[3],[4] | 2030-03 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | Federal Home Loan Mortgage Corporation Pools (20 Year) 4.50% [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | 2033-12 | [1],[3],[4] | 2033-12 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Current Principal/Notional Amount | $ 1,132,000 | [1],[3],[4] | $ 1,156,000 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Rate | 4.50% | [1],[3],[4] | 4.50% | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | $ 1,227,000 | [1],[3],[4] | $ 1,254,000 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | Federal Home Loan Mortgage Corporation Pools (30 Year) 6.00% [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Current Principal/Notional Amount | $ 990,000 | [1],[3],[4] | $ 1,369,000 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Rate | 6.00% | [1],[3],[4] | 6.00% | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | $ 1,115,000 | [1],[3],[4] | $ 1,553,000 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | Federal Home Loan Mortgage Corporation Pools (30 Year) 6.00% [Member] | Minimum [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | 2039-04 | [1],[3],[4] | 2039-04 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | Federal Home Loan Mortgage Corporation Pools (30 Year) 6.00% [Member] | Maximum [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | 2040-05 | [1],[3],[4] | 2040-05 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | Government National Mortgage Association Pools (Other) 3.50% [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | [5],[7],[8] | 2030-10 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Current Principal/Notional Amount | $ 661,000 | [1],[3],[4] | $ 165,000 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Rate | 3.50% | [1],[3],[4] | 3.50% | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | $ 671,000 | [1],[3],[4] | $ 168,000 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | Government National Mortgage Association Pools (Other) 3.50% [Member] | Minimum [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | [1],[3],[4] | 2030-10 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | Government National Mortgage Association Pools (Other) 3.50% [Member] | Maximum [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | [1],[3],[4] | 2032-02 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | Federal National Mortgage Association Pools (Other) 3.50% [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | [1],[3],[4] | 2026-04 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Current Principal/Notional Amount | [1],[3],[4] | $ 563,000 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Rate | [1],[3],[4] | 3.50% | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | [1],[3],[4] | $ 581,000 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | Federal Home Loan Mortgage Corporation Pools (30 Year) 5.00% [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | 2044-07 | [1],[3],[4] | 2044-07 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Current Principal/Notional Amount | $ 493,000 | [1],[3],[4] | $ 498,000 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Rate | 5.00% | [1],[3],[4] | 5.00% | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | $ 536,000 | [1],[3],[4] | $ 543,000 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | Federal Home Loan Mortgage Corporation Pools (30 Year) 5.50% [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | 2033-08 | [1],[3],[4] | 2033-08 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Current Principal/Notional Amount | $ 455,000 | [1],[3],[4] | $ 496,000 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Rate | 5.50% | [1],[3],[4] | 5.50% | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | $ 504,000 | [1],[3],[4] | $ 551,000 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | Government National Mortgage Association Pools (Other) Three Percent [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | [1],[3],[4] | 2030-06 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Current Principal/Notional Amount | $ 156,000 | [1],[3],[4] | $ 1,689,000 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Rate | 3.00% | [1],[3],[4] | 3.00% | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | $ 156,000 | [1],[3],[4] | $ 1,694,000 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | Government National Mortgage Association Pools (Other) Three Percent [Member] | Minimum [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | [5],[7],[8] | 2030-05 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | Government National Mortgage Association Pools (Other) Three Percent [Member] | Maximum [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | [5],[7],[8] | 2030-06 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | Federal National Mortgage Association Pools (Other) 4.00% [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | 2037-06 | [1],[3],[4] | 2037-06 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Current Principal/Notional Amount | $ 51,000 | [1],[3],[4] | $ 75,000 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Rate | 4.00% | [1],[3],[4] | 4.00% | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | $ 53,000 | [1],[3],[4] | $ 77,000 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Interest Only - Fixed Rate Agency Securities [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment owned as a percentage of equity | 1.87% | [1],[2],[3],[4] | 1.89% | [5],[6],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | $ 11,916,000 | [1],[3],[4] | $ 12,189,000 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Interest Only - Fixed Rate Agency Securities [Member] | Government National Mortgage Association 4.00% [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Current Principal/Notional Amount | $ 24,723,000 | [1],[3],[4] | $ 26,883,000 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Rate | 4.00% | [1],[3],[4] | 4.00% | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | $ 4,126,000 | [1],[3],[4] | $ 4,547,000 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Interest Only - Fixed Rate Agency Securities [Member] | Government National Mortgage Association 4.00% [Member] | Minimum [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | 2045-02 | [1],[3],[4] | 2045-02 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Interest Only - Fixed Rate Agency Securities [Member] | Government National Mortgage Association 4.00% [Member] | Maximum [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | 2045-06 | [1],[3],[4] | 2045-06 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Interest Only - Fixed Rate Agency Securities [Member] | Federal National Mortgage Association 4.50% [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Current Principal/Notional Amount | $ 7,872,000 | [1],[3],[4] | $ 9,820,000 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Rate | 4.50% | [1],[3],[4] | 4.50% | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | $ 1,155,000 | [1],[3],[4] | $ 1,414,000 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Interest Only - Fixed Rate Agency Securities [Member] | Federal National Mortgage Association 4.50% [Member] | Minimum [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | 2020-12 | [1],[3],[4] | 2020-12 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Interest Only - Fixed Rate Agency Securities [Member] | Federal National Mortgage Association 4.50% [Member] | Maximum [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | 2044-06 | [1],[3],[4] | 2044-06 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Interest Only - Fixed Rate Agency Securities [Member] | Government National Mortgage Association 4.50% [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | [5],[7],[8] | 2041-02 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Current Principal/Notional Amount | $ 6,121,000 | [1],[3],[4] | $ 3,844,000 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Rate | 4.50% | [1],[3],[4] | 4.50% | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | $ 1,060,000 | [1],[3],[4] | $ 615,000 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Interest Only - Fixed Rate Agency Securities [Member] | Government National Mortgage Association 4.50% [Member] | Minimum [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | [1],[3],[4] | 2041-02 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Interest Only - Fixed Rate Agency Securities [Member] | Government National Mortgage Association 4.50% [Member] | Maximum [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | [1],[3],[4] | 2044-07 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Interest Only - Fixed Rate Agency Securities [Member] | Federal National Mortgage Association Five Point Five Percent [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | 2039-10 | [1],[3],[4] | 2040-10 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Current Principal/Notional Amount | $ 4,534,000 | [1],[3],[4] | $ 1,201,000 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Rate | 5.50% | [1],[3],[4] | 5.50% | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | $ 1,024,000 | [1],[3],[4] | $ 163,000 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Interest Only - Fixed Rate Agency Securities [Member] | Government National Mortgage Association 5.50% [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | 2043-11 | [1],[3],[4] | 2043-11 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Current Principal/Notional Amount | $ 5,374,000 | [1],[3],[4] | $ 6,303,000 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Rate | 5.50% | [1],[3],[4] | 5.50% | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | $ 951,000 | [1],[3],[4] | $ 1,137,000 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Interest Only - Fixed Rate Agency Securities [Member] | Federal Home Loan Mortgage Corporation Three Point Five Percent [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | 2032-12 | [1],[3],[4] | 2032-12 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Current Principal/Notional Amount | $ 4,752,000 | [1],[3],[4] | $ 5,099,000 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Rate | 3.50% | [1],[3],[4] | 3.50% | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | $ 715,000 | [1],[3],[4] | $ 808,000 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Interest Only - Fixed Rate Agency Securities [Member] | Federal National Mortgage Association 5.00% [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Current Principal/Notional Amount | $ 5,339,000 | [1],[3],[4] | $ 6,695,000 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Rate | 5.00% | [1],[3],[4] | 5.00% | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | $ 627,000 | [1],[3],[4] | $ 806,000 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Interest Only - Fixed Rate Agency Securities [Member] | Federal National Mortgage Association 5.00% [Member] | Minimum [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | 2038-01 | [1],[3],[4] | 2038-01 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Interest Only - Fixed Rate Agency Securities [Member] | Federal National Mortgage Association 5.00% [Member] | Maximum [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | 2040-05 | [1],[3],[4] | 2040-05 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Interest Only - Fixed Rate Agency Securities [Member] | Federal National Mortgage Association 4.00% [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Current Principal/Notional Amount | $ 4,839,000 | [1],[3],[4] | $ 5,354,000 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Rate | 4.00% | [1],[3],[4] | 4.00% | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | $ 560,000 | [1],[3],[4] | $ 648,000 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Interest Only - Fixed Rate Agency Securities [Member] | Federal National Mortgage Association 4.00% [Member] | Minimum [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | 2039-05 | [1],[3],[4] | 2039-05 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Interest Only - Fixed Rate Agency Securities [Member] | Federal National Mortgage Association 4.00% [Member] | Maximum [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | 2043-11 | [1],[3],[4] | 2043-11 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Interest Only - Fixed Rate Agency Securities [Member] | Federal National Mortgage Association 6.00% [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | 2040-01 | [1],[3],[4] | 2040-01 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Current Principal/Notional Amount | $ 2,283,000 | [1],[3],[4] | $ 2,661,000 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Rate | 6.00% | [1],[3],[4] | 6.00% | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | $ 431,000 | [1],[3],[4] | $ 512,000 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Interest Only - Fixed Rate Agency Securities [Member] | Government National Mortgage Association 0.26% [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | 2040-06 | [1],[3],[4] | 2040-06 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Current Principal/Notional Amount | $ 78,408,000 | [1],[3],[4] | $ 81,664,000 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Rate | 0.26% | [1],[3],[4] | 0.26% | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | $ 394,000 | [1],[3],[4] | $ 472,000 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Interest Only - Fixed Rate Agency Securities [Member] | Federal National Mortgage Association 3.00% [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | 2041-09 | [1],[3],[4] | 2041-09 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Current Principal/Notional Amount | $ 2,924,000 | [1],[3],[4] | $ 3,167,000 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Rate | 3.00% | [1],[3],[4] | 3.00% | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | $ 283,000 | [1],[3],[4] | $ 321,000 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Interest Only - Fixed Rate Agency Securities [Member] | Government National Mortgage Association Six Percent [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | 2038-06 | [1],[3],[4] | 2038-06 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Current Principal/Notional Amount | $ 997,000 | [1],[3],[4] | $ 1,123,000 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Rate | 6.00% | [1],[3],[4] | 6.00% | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | $ 232,000 | [1],[3],[4] | $ 263,000 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Interest Only - Fixed Rate Agency Securities [Member] | Government National Mortgage Association Four Point Seven Five Percent [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | 2040-07 | [1],[3],[4] | 2040-07 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Current Principal/Notional Amount | $ 1,174,000 | [1],[3],[4] | $ 1,396,000 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Rate | 4.75% | [1],[3],[4] | 4.75% | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | $ 210,000 | [1],[3],[4] | $ 253,000 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Interest Only - Fixed Rate Agency Securities [Member] | Government National Mortgage Association Five Percent [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | 2037-05 | [1],[3],[4] | 2037-05 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Current Principal/Notional Amount | $ 1,714,000 | [1],[3],[4] | $ 2,289,000 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Rate | 5.00% | [1],[3],[4] | 5.00% | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | $ 91,000 | [1],[3],[4] | $ 151,000 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Interest Only - Fixed Rate Agency Securities [Member] | Federal Home Loan Mortgage Corporation Five Point FIve Percent [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | 2039-01 | [1],[3],[4] | 2039-01 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Current Principal/Notional Amount | $ 612,000 | [1],[3],[4] | $ 763,000 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Rate | 5.50% | [1],[3],[4] | 5.50% | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | $ 57,000 | [1],[3],[4] | $ 79,000 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
TBA - Fixed Rate Agency Securities [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment owned as a percentage of equity | 28.24% | [1],[2],[3],[4] | 10.94% | [5],[6],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Current Principal/Notional Amount | $ 172,950,000 | $ 67,720,000 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | $ 179,874,000 | [1],[3],[4] | $ 70,525,000 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
TBA - Fixed Rate Agency Securities [Member] | Federal National Mortgage Association (15 Year) 3.50% [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | 2017-07 | [1],[3],[4] | 2017-01 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Current Principal/Notional Amount | $ 74,250,000 | [1],[3],[4] | $ 14,620,000 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Rate | 3.50% | [1],[3],[4] | 3.50% | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | $ 77,252,000 | [1],[3],[4] | $ 15,231,000 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
TBA - Fixed Rate Agency Securities [Member] | Government National Mortgage Association (30 Year) 4 Point 00 Percent [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | 2017-07 | [1],[3],[4] | 2017-01 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Current Principal/Notional Amount | $ 37,940,000 | [1],[3],[4] | $ 24,540,000 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Rate | 4.00% | [1],[3],[4] | 4.00% | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | $ 39,920,000 | [1],[3],[4] | $ 26,047,000 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
TBA - Fixed Rate Agency Securities [Member] | Federal Home Loan Mortgage Corporation (30 Year) 3 Point 50 Percent [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | 2017-07 | [1],[3],[4] | 2017-01 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Current Principal/Notional Amount | $ 29,270,000 | [1],[3],[4] | $ 28,560,000 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Rate | 3.50% | [1],[3],[4] | 3.50% | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | $ 30,075,000 | [1],[3],[4] | $ 29,247,000 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
TBA - Fixed Rate Agency Securities [Member] | Federal National Mortgage Association (15 Year) 3.00% [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | [1],[3],[4] | 2017-07 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Current Principal/Notional Amount | [1],[3],[4] | $ 19,580,000 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Rate | [1],[3],[4] | 3.00% | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | [1],[3],[4] | $ 20,093,000 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
TBA - Fixed Rate Agency Securities [Member] | Government National Mortgage Association (30 Year) 4.50% [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | [1],[3],[4] | 2017-07 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Current Principal/Notional Amount | [1],[3],[4] | $ 7,850,000 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Rate | [1],[3],[4] | 4.50% | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | [1],[3],[4] | $ 8,381,000 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
TBA - Fixed Rate Agency Securities [Member] | Federal Home Loan Mortgage Corporation (15 Year) 3 Percent [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | [1],[3],[4] | 2017-07 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Current Principal/Notional Amount | [1],[3],[4] | $ 1,670,000 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Rate | [1],[3],[4] | 3.00% | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | [1],[3],[4] | $ 1,715,000 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
TBA - Fixed Rate Agency Securities [Member] | Government National Mortgage Association (30 Year) 3.00% [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | [1],[3],[4] | 2017-07 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Current Principal/Notional Amount | [1],[3],[4] | $ 1,500,000 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Rate | [1],[3],[4] | 3.00% | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | [1],[3],[4] | $ 1,516,000 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
TBA - Fixed Rate Agency Securities [Member] | Government National Mortgage Association (30 Year) 3 Point 50 Percent [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | [1],[3],[4] | 2017-07 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Current Principal/Notional Amount | [1],[3],[4] | $ 890,000 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Rate | [1],[3],[4] | 3.50% | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | [1],[3],[4] | $ 922,000 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fixed Rate Agency Securities [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment owned as a percentage of equity | 146.27% | [1],[2],[3],[4] | 134.44% | [5],[6],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | $ 931,698,000 | [1],[3],[4] | $ 866,846,000 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Owned, at Cost | $ 935,003,000 | [1],[3],[4] | $ 869,071,000 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Principal And Interest - Floating Rate Agency Securities [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment owned as a percentage of equity | 10.25% | [1],[2],[3],[4] | 2.12% | [5],[6],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | $ 65,306,000 | [1],[3],[4] | $ 13,688,000 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Principal And Interest - Floating Rate Agency Securities [Member] | Government National Mortgage Association Pools [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | [5],[7],[8] | 2064-11 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Current Principal/Notional Amount | 50,986,000 | [1],[3],[4] | $ 2,097,000 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Rate | [5],[7],[8] | 2.89% | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | $ 55,315,000 | [1],[3],[4] | $ 2,231,000 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Principal And Interest - Floating Rate Agency Securities [Member] | Government National Mortgage Association Pools [Member] | Minimum [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | [1],[3],[4] | 2061-07 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Rate | [1],[3],[4] | 3.35% | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Principal And Interest - Floating Rate Agency Securities [Member] | Government National Mortgage Association Pools [Member] | Maximum [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | [1],[3],[4] | 2066-11 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Rate | [1],[3],[4] | 4.68% | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Principal And Interest - Floating Rate Agency Securities [Member] | Federal National Mortgage Association Pools [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Current Principal/Notional Amount | $ 5,453,000 | [1],[3],[4] | 5,876,000 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | $ 5,699,000 | [1],[3],[4] | $ 6,129,000 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Principal And Interest - Floating Rate Agency Securities [Member] | Federal National Mortgage Association Pools [Member] | Minimum [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | 2035-09 | [1],[3],[4] | 2035-09 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Rate | 2.77% | [1],[3],[4] | 2.55% | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Principal And Interest - Floating Rate Agency Securities [Member] | Federal National Mortgage Association Pools [Member] | Maximum [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | 2045-05 | [1],[3],[4] | 2045-05 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Rate | 3.61% | [1],[3],[4] | 5.94% | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Principal And Interest - Floating Rate Agency Securities [Member] | Federal Home Loan Mortgage Corporation Pools [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Current Principal/Notional Amount | $ 4,157,000 | [1],[3],[4] | $ 5,122,000 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | $ 4,292,000 | [1],[3],[4] | $ 5,328,000 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Principal And Interest - Floating Rate Agency Securities [Member] | Federal Home Loan Mortgage Corporation Pools [Member] | Minimum [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | 2037-06 | [1],[3],[4] | 2037-06 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Rate | 3.12% | [1],[3],[4] | 3.12% | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Principal And Interest - Floating Rate Agency Securities [Member] | Federal Home Loan Mortgage Corporation Pools [Member] | Maximum [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | 2044-05 | [1],[3],[4] | 2044-05 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Rate | 4.90% | [1],[3],[4] | 5.97% | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Interest Only - Floating Rate Agency Securities [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment owned as a percentage of equity | 2.65% | [1],[2],[3],[4] | 2.71% | [5],[6],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | $ 16,867,000 | [1],[3],[4] | $ 17,433,000 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Interest Only - Floating Rate Agency Securities [Member] | Government National Mortgage Association [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Current Principal/Notional Amount | 253,621,000 | [1],[3],[4] | 228,955,000 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | $ 13,981,000 | [1],[3],[4] | $ 13,831,000 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Interest Only - Floating Rate Agency Securities [Member] | Government National Mortgage Association [Member] | Minimum [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | 2037-05 | [1],[3],[4] | 2037-05 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Rate | 0.33% | [1],[3],[4] | 0.40% | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Interest Only - Floating Rate Agency Securities [Member] | Government National Mortgage Association [Member] | Maximum [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | 2065-04 | [1],[3],[4] | 2064-11 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Rate | 5.63% | [1],[3],[4] | 6.09% | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Interest Only - Floating Rate Agency Securities [Member] | Federal National Mortgage Association [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Current Principal/Notional Amount | $ 11,076,000 | [1],[3],[4] | $ 12,928,000 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | $ 1,514,000 | [1],[3],[4] | $ 1,867,000 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Interest Only - Floating Rate Agency Securities [Member] | Federal National Mortgage Association [Member] | Minimum [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | 2033-06 | [1],[3],[4] | 2033-06 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Rate | 4.93% | [1],[3],[4] | 5.39% | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Interest Only - Floating Rate Agency Securities [Member] | Federal National Mortgage Association [Member] | Maximum [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | 2041-12 | [1],[3],[4] | 2041-12 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Rate | 6.33% | [1],[3],[4] | 6.79% | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Interest Only - Floating Rate Agency Securities [Member] | Federal Home Loan Mortgage Corporation [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Current Principal/Notional Amount | $ 4,757,000 | [1],[3],[4] | $ 5,182,000 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | $ 784,000 | [1],[3],[4] | $ 865,000 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Interest Only - Floating Rate Agency Securities [Member] | Federal Home Loan Mortgage Corporation [Member] | Minimum [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | 2036-03 | [1],[3],[4] | 2036-03 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Rate | 4.84% | [1],[3],[4] | 5.30% | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Interest Only - Floating Rate Agency Securities [Member] | Federal Home Loan Mortgage Corporation [Member] | Maximum [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | 2039-08 | [1],[3],[4] | 2039-08 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Rate | 5.47% | [1],[3],[4] | 5.93% | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Interest Only - Floating Rate Agency Securities [Member] | Resecuritization of Government National Mortgage Association [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | 2060-08 | [1],[3],[4],[9] | 2060-08 | [5],[7],[8],[10] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Current Principal/Notional Amount | $ 13,491,000 | [1],[3],[4],[9] | $ 15,902,000 | [5],[7],[8],[10] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Rate | 3.50% | [1],[3],[4],[9] | 3.95% | [5],[7],[8],[10] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | $ 588,000 | [1],[3],[4],[9] | $ 870,000 | [5],[7],[8],[10] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Floating Rate Agency Securities [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment owned as a percentage of equity | 12.90% | [1],[2],[3],[4] | 4.83% | [5],[6],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | $ 82,173,000 | [1],[3],[4] | $ 31,121,000 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Owned, at Cost | $ 82,648,000 | [1],[3],[4] | $ 31,069,000 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Agency Securities [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment owned as a percentage of equity | 159.17% | [1],[2],[3],[4] | 139.27% | [5],[6],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | $ 1,013,871,000 | [1],[3],[4] | $ 897,967,000 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Owned, at Cost | $ 1,017,651,000 | [1],[3],[4] | $ 900,140,000 | [5],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Principal And Interest - Private Label Securities [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment owned as a percentage of equity | 24.94% | [2],[3],[4] | 28.17% | [6],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | $ 158,838,000 | [3],[4] | $ 181,649,000 | [7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Owned, at Cost | $ 149,851,000 | [3],[4] | $ 184,417,000 | [7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Principal And Interest - Private Label Securities [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment owned as a percentage of equity | 14.25% | [2],[3],[4] | 20.48% | [6],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | $ 90,731,000 | [3],[4] | $ 132,071,000 | [7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Owned, at Cost | $ 81,462,000 | [3],[4] | $ 125,106,000 | [7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Principal And Interest - Private Label Securities [Member] | Europe [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment owned as a percentage of equity | 10.69% | [2],[3],[4] | 7.69% | [6],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | $ 68,107,000 | [3],[4] | $ 49,578,000 | [7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Owned, at Cost | 68,389,000 | [3],[4] | 59,311,000 | [7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Principal And Interest - Private Label Securities [Member] | Various Issuer [Member] | Mortgage-related Commercial [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Current Principal/Notional Amount | 94,750,000 | [3],[4] | 119,636,000 | [7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | 23,458,000 | [3],[4] | 30,334,000 | [7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Principal And Interest - Private Label Securities [Member] | Various Issuer [Member] | Mortgage-related Commercial [Member] | Europe [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Current Principal/Notional Amount | 15,967,000 | [3],[4] | 9,361,000 | [7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | 6,129,000 | [3],[4] | 8,680,000 | [7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Principal And Interest - Private Label Securities [Member] | Various Issuer [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Current Principal/Notional Amount | 140,657,000 | [3],[4] | 233,890,000 | [7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | 67,273,000 | [3],[4] | 101,737,000 | [7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Principal And Interest - Private Label Securities [Member] | Various Issuer [Member] | Mortgage-related Residential [Member] | Europe [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Current Principal/Notional Amount | 85,679,000 | [3],[4] | 63,244,000 | [7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | $ 61,978,000 | [3],[4] | $ 40,898,000 | [7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Principal And Interest - Private Label Securities [Member] | Various Issuer [Member] | Minimum [Member] | Mortgage-related Commercial [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | 2045-07 | [3],[4] | 2045-07 | [7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Rate | 2.45% | [3],[4] | 2.31% | [7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Principal And Interest - Private Label Securities [Member] | Various Issuer [Member] | Minimum [Member] | Mortgage-related Commercial [Member] | Europe [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | 2020-10 | [3],[4] | 2017-06 | [7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Rate | 0.37% | [3],[4] | 0.00% | [7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Principal And Interest - Private Label Securities [Member] | Various Issuer [Member] | Minimum [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | 2019-05 | [3],[4] | 2019-05 | [7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Rate | 0.48% | [3],[4] | 0.00% | [7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Principal And Interest - Private Label Securities [Member] | Various Issuer [Member] | Minimum [Member] | Mortgage-related Residential [Member] | Europe [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | 2025-06 | [3],[4] | 2025-06 | [7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Rate | 0.00% | [3],[4] | 0.00% | [7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Principal And Interest - Private Label Securities [Member] | Various Issuer [Member] | Maximum [Member] | Mortgage-related Commercial [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | 2049-12 | [3],[4] | 2049-12 | [7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Rate | 4.41% | [3],[4] | 4.41% | [7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Principal And Interest - Private Label Securities [Member] | Various Issuer [Member] | Maximum [Member] | Mortgage-related Commercial [Member] | Europe [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | 2041-02 | [3],[4] | 2039-02 | [7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Rate | 4.82% | [3],[4] | 11.00% | [7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Principal And Interest - Private Label Securities [Member] | Various Issuer [Member] | Maximum [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | 2046-09 | [3],[4] | 2046-09 | [7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Rate | 32.30% | [3],[4] | 9.35% | [7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Principal And Interest - Private Label Securities [Member] | Various Issuer [Member] | Maximum [Member] | Mortgage-related Residential [Member] | Europe [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | 2046-06 | [3],[4] | 2040-03 | [7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Rate | 4.20% | [3],[4] | 5.15% | [7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Interest Only - Private Label Securities [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment owned as a percentage of equity | 1.50% | [2],[3],[4] | 0.81% | [6],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | $ 9,557,000 | [3],[4] | $ 5,227,000 | [7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Owned, at Cost | 7,605,000 | [3],[4] | 4,963,000 | [7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Interest Only - Private Label Securities [Member] | Various Issuer [Member] | Mortgage-related Commercial [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Current Principal/Notional Amount | 72,535,000 | [3],[4] | 72,535,000 | [7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | 4,258,000 | [3],[4] | 4,254,000 | [7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Interest Only - Private Label Securities [Member] | Various Issuer [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Current Principal/Notional Amount | 39,576,000 | [3],[4] | 36,498,000 | [7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | $ 5,299,000 | [3],[4] | $ 973,000 | [7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Interest Only - Private Label Securities [Member] | Various Issuer [Member] | Minimum [Member] | Mortgage-related Commercial [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | 2047-10 | [3],[4] | 2047-10 | [7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Rate | 1.25% | [3],[4] | 1.25% | [7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Interest Only - Private Label Securities [Member] | Various Issuer [Member] | Minimum [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | 2030-12 | [3],[4] | 2044-06 | [7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Rate | 0.00% | [3],[4] | 0.50% | [7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Interest Only - Private Label Securities [Member] | Various Issuer [Member] | Maximum [Member] | Mortgage-related Commercial [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | 2049-12 | [3],[4] | 2049-12 | [7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Rate | 2.00% | [3],[4] | 2.71% | [7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Interest Only - Private Label Securities [Member] | Various Issuer [Member] | Maximum [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | 2047-09 | [3],[4] | 2047-09 | [7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Rate | 2.00% | [3],[4] | 2.00% | [7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Other Private Label Securities [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment owned as a percentage of equity | 0.00% | [2],[3],[4] | 0.00% | [6],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | $ 0 | [3],[4] | $ 0 | [7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Owned, at Cost | 223,000 | [3],[4] | 245,000 | [7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Other Private Label Securities [Member] | Various Issuer [Member] | Mortgage-related Commercial [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Current Principal/Notional Amount | $ 0 | [3],[4] | $ 0 | [7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Rate | 0.00% | [3],[4] | 0.00% | [7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | $ 0 | [3],[4] | $ 0 | [7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Other Private Label Securities [Member] | Various Issuer [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | 2037-06 | [3],[4] | 2037-06 | [7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Current Principal/Notional Amount | $ 82,238,000 | [3],[4] | $ 90,639,000 | [7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Rate | 0.00% | [3],[4] | 0.00% | [7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | $ 0 | [3],[4] | $ 0 | [7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Other Private Label Securities [Member] | Various Issuer [Member] | Minimum [Member] | Mortgage-related Commercial [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | 2045-07 | [3],[4] | 2045-07 | [7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Other Private Label Securities [Member] | Various Issuer [Member] | Maximum [Member] | Mortgage-related Commercial [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | 2049-12 | [3],[4] | 2049-12 | [7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Private Label Securities [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment owned as a percentage of equity | 26.44% | [2],[3],[4] | 28.98% | [6],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | $ 168,395,000 | [3],[4] | $ 186,876,000 | [7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Owned, at Cost | $ 157,679,000 | [3],[4] | $ 189,625,000 | [7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Mortgage-Backed Securities [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment owned as a percentage of equity | 185.61% | [2],[3],[4] | 168.25% | [6],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | $ 1,182,266,000 | [3],[4] | $ 1,084,843,000 | [7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Owned, at Cost | $ 1,175,330,000 | [3],[4] | $ 1,089,765,000 | [7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Collateralized Loan Obligations [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment owned as a percentage of equity | 19.18% | [2],[3],[4] | 6.97% | [6],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | $ 122,150,000 | [3],[4] | $ 44,956,000 | [7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Owned, at Cost | $ 122,429,000 | [3],[4] | $ 49,087,000 | [7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Collateralized Loan Obligations [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment owned as a percentage of equity | 15.07% | [2],[3],[4] | 3.49% | [6],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | $ 96,008,000 | [3],[4] | $ 22,519,000 | [7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Owned, at Cost | $ 98,075,000 | [3],[4] | $ 25,860,000 | [7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Collateralized Loan Obligations [Member] | Europe [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment owned as a percentage of equity | 4.11% | [2],[3],[4] | 3.48% | [6],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | $ 26,142,000 | [3],[4] | $ 22,437,000 | [7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Owned, at Cost | 24,354,000 | [3],[4] | 23,227,000 | [7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Collateralized Loan Obligations [Member] | Various Issuer [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Current Principal/Notional Amount | 170,914,000 | [3],[4] | 69,917,000 | [7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | 60,158,000 | [3],[4] | 22,519,000 | [7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Collateralized Loan Obligations [Member] | Various Issuer [Member] | Europe [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Current Principal/Notional Amount | 26,844,000 | [3],[4] | 28,053,000 | [7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | $ 26,142,000 | [3],[4] | $ 22,437,000 | [7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Collateralized Loan Obligations [Member] | Various Issuer [Member] | Minimum [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | 2017-11 | [3],[4] | 2017-11 | [7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Rate | 0.00% | [3],[4] | 0.00% | [7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Collateralized Loan Obligations [Member] | Various Issuer [Member] | Minimum [Member] | Europe [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | 2021-11 | [3],[4] | 2022-01 | [7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Rate | 0.00% | [3],[4] | 0.00% | [7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Collateralized Loan Obligations [Member] | Various Issuer [Member] | Maximum [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | 2057-11 | [3],[4] | 2024-06 | [7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Rate | 10.04% | [3],[4] | 7.88% | [7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Collateralized Loan Obligations [Member] | Various Issuer [Member] | Maximum [Member] | Europe [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | 2025-10 | [3],[4] | 2025-03 | [7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Rate | 6.25% | [3],[4] | 3.84% | [7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Collateralized Loan Obligations [Member] | Ellington CLO I LTD unsecured subordinated notes [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | [3],[4],[11] | 2027-07 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Current Principal/Notional Amount | [3],[4],[11] | $ 20,937,000 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Rate | [3],[4],[11] | 0.00% | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | [3],[4],[11] | $ 20,937,000 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Collateralized Loan Obligations [Member] | Ellington CLO I LTD Class C [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | [3],[4],[11] | 2027-07 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Current Principal/Notional Amount | [3],[4],[11] | $ 12,323,000 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Rate | [3],[4],[11] | 7.28% | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | [3],[4],[11] | $ 11,635,000 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Collateralized Loan Obligations [Member] | Ellington CLO I LTD Class B [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | [3],[4],[11] | 2027-07 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Current Principal/Notional Amount | [3],[4],[11] | $ 3,346,000 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Rate | [3],[4],[11] | 5.28% | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | [3],[4],[11] | $ 3,278,000 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Consumer loans and asset-backed securities backed by consumer loans [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment owned as a percentage of equity | 17.06% | [2],[3],[4],[12] | 16.62% | [6],[7],[8],[13],[14] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | $ 108,671,000 | [3],[4],[12] | $ 107,157,000 | [7],[8],[13],[14] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Owned, at Cost | 112,348,000 | [3],[4],[12] | 111,115,000 | [7],[8],[13],[14] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair value of loans held in related party trust | $ 87,400,000 | $ 43,200,000 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Consumer loans and asset-backed securities backed by consumer loans [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment owned as a percentage of equity | 16.61% | [2],[3],[4],[12] | 16.15% | [6],[7],[8],[13],[14] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | $ 105,817,000 | [3],[4],[12] | $ 104,108,000 | [7],[8],[13],[14] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Owned, at Cost | $ 111,078,000 | [3],[4],[12] | $ 108,982,000 | [7],[8],[13],[14] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Consumer loans and asset-backed securities backed by consumer loans [Member] | Europe [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment owned as a percentage of equity | 0.45% | [2],[3],[4],[12] | 0.47% | [6],[7],[8],[13],[14] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | $ 2,854,000 | [3],[4],[12] | $ 3,049,000 | [7],[8],[13],[14] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Owned, at Cost | 1,270,000 | [3],[4],[12] | 2,133,000 | [7],[8],[13],[14] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Consumer loans and asset-backed securities backed by consumer loans [Member] | Various Issuer [Member] | Consumer [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Current Principal/Notional Amount | 105,124,000 | [3],[4],[12],[15],[16] | 103,026,000 | [7],[8],[13],[14],[17],[18],[19] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | 105,817,000 | [3],[4],[12],[15],[16] | 104,108,000 | [7],[8],[13],[14],[17],[18],[19] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Consumer loans and asset-backed securities backed by consumer loans [Member] | Various Issuer [Member] | Consumer [Member] | Europe [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Current Principal/Notional Amount | $ 3,524,000 | [3],[4],[12] | $ 3,449,000 | [7],[8],[13],[14] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Rate | 0.00% | [3],[4],[12] | 0.00% | [7],[8],[13],[14] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | $ 2,854,000 | [3],[4],[12] | $ 3,049,000 | [7],[8],[13],[14] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Consumer loans and asset-backed securities backed by consumer loans [Member] | Various Issuer [Member] | Minimum [Member] | Consumer [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | 2017-07 | [3],[4],[12],[15],[16] | 2017-01 | [7],[8],[13],[14],[17],[18],[19] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Rate | 5.31% | [3],[4],[12],[15],[16] | 5.31% | [7],[8],[13],[14],[17],[18],[19] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Consumer loans and asset-backed securities backed by consumer loans [Member] | Various Issuer [Member] | Minimum [Member] | Consumer [Member] | Europe [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | 2024-08 | [3],[4],[12] | 2024-08 | [7],[8],[13],[14] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Consumer loans and asset-backed securities backed by consumer loans [Member] | Various Issuer [Member] | Maximum [Member] | Consumer [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | 2022-05 | [3],[4],[12],[15],[16] | 2021-12 | [7],[8],[13],[14],[17],[18],[19] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Rate | 60.28% | [3],[4],[12],[15],[16] | 60.28% | [7],[8],[13],[14],[17],[18],[19] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Consumer loans and asset-backed securities backed by consumer loans [Member] | Various Issuer [Member] | Maximum [Member] | Consumer [Member] | Europe [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | 2030-12 | [3],[4],[12] | 2026-03 | [7],[8],[13],[14] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Corporate Debt [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment owned as a percentage of equity | 14.85% | [2],[3],[4] | 12.42% | [6],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | $ 94,584,000 | [3],[4] | $ 80,095,000 | [7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Owned, at Cost | $ 95,816,000 | [3],[4] | $ 81,036,000 | [7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Corporate Debt [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment owned as a percentage of equity | 14.49% | [2],[3],[4] | 12.13% | [6],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | $ 92,300,000 | [3],[4] | $ 78,187,000 | [7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Owned, at Cost | $ 92,842,000 | [3],[4] | $ 78,482,000 | [7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Corporate Debt [Member] | Europe [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment owned as a percentage of equity | 0.36% | [2],[3],[4] | 0.29% | [6],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | $ 2,284,000 | [3],[4] | $ 1,908,000 | [7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Owned, at Cost | 2,974,000 | [3],[4] | 2,554,000 | [7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Corporate Debt [Member] | Various Issuer [Member] | Communications [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Current Principal/Notional Amount | 12,659,000 | [3],[4] | 9,381,000 | [7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | 12,658,000 | [3],[4] | 9,489,000 | [7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Corporate Debt [Member] | Various Issuer [Member] | Consumer [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Current Principal/Notional Amount | 22,400,000 | [3],[4] | 22,991,000 | [7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | $ 22,692,000 | [3],[4] | 24,187,000 | [7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Corporate Debt [Member] | Various Issuer [Member] | Consumer [Member] | Europe [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | [3],[4] | 2018-03 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Current Principal/Notional Amount | $ 18,929,000 | [3],[4] | $ 17,618,000 | [7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Rate | 0.00% | [3],[4] | 0.00% | [7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | $ 260,000 | [3],[4] | $ 380,000 | [7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Corporate Debt [Member] | Various Issuer [Member] | Energy [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Current Principal/Notional Amount | 27,944,000 | [3],[4] | 16,170,000 | [7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | 29,403,000 | [3],[4] | 16,951,000 | [7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Corporate Debt [Member] | Various Issuer [Member] | Basic Materials [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Current Principal/Notional Amount | [3],[4] | 7,830,000 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | [3],[4] | 7,838,000 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Corporate Debt [Member] | Various Issuer [Member] | Industrial Sector [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Current Principal/Notional Amount | 4,961,000 | [3],[4] | 12,470,000 | [7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | 4,923,000 | [3],[4] | $ 12,709,000 | [7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Corporate Debt [Member] | Various Issuer [Member] | Industrial Sector [Member] | Europe [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | [7],[8] | 2021-03 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Current Principal/Notional Amount | 2,160,000 | [3],[4] | $ 1,867,000 | [7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Rate | [7],[8] | 6.50% | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | 2,024,000 | [3],[4] | $ 1,528,000 | [7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Corporate Debt [Member] | Various Issuer [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | [7],[8] | 2019-10 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Current Principal/Notional Amount | 11,170,000 | [3],[4],[20] | $ 10,500,000 | [7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Rate | [7],[8] | 15.00% | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | $ 11,170,000 | [3],[4],[20] | $ 9,975,000 | [7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Corporate Debt [Member] | Various Issuer [Member] | Technology Sector [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | [3],[4] | 2022-08 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Current Principal/Notional Amount | $ 3,240,000 | [3],[4] | 3,827,000 | [7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Rate | [3],[4] | 7.50% | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | $ 3,616,000 | [3],[4] | $ 3,937,000 | [7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Corporate Debt [Member] | Various Issuer [Member] | Utilities [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | [7],[8] | 2021-07 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Current Principal/Notional Amount | [7],[8] | $ 840,000 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Rate | [7],[8] | 7.38% | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | [7],[8] | $ 939,000 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Corporate Debt [Member] | Various Issuer [Member] | Minimum [Member] | Communications [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | 2020-04 | [3],[4] | 2018-04 | [7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Rate | 3.40% | [3],[4] | 6.75% | [7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Corporate Debt [Member] | Various Issuer [Member] | Minimum [Member] | Consumer [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | 2018-04 | [3],[4] | 2017-05 | [7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Rate | 2.60% | [3],[4] | 3.85% | [7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Corporate Debt [Member] | Various Issuer [Member] | Minimum [Member] | Consumer [Member] | Europe [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | [7],[8] | 2017-12 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Corporate Debt [Member] | Various Issuer [Member] | Minimum [Member] | Energy [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | 2019-03 | [3],[4] | 2019-03 | [7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Rate | 7.75% | [3],[4] | 6.38% | [7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Corporate Debt [Member] | Various Issuer [Member] | Minimum [Member] | Basic Materials [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | [3],[4] | 2020-03 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Rate | [3],[4] | 3.10% | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Corporate Debt [Member] | Various Issuer [Member] | Minimum [Member] | Industrial Sector [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | 2019-04 | [3],[4] | 2019-05 | [7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Rate | 3.75% | [3],[4] | 3.75% | [7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Corporate Debt [Member] | Various Issuer [Member] | Minimum [Member] | Industrial Sector [Member] | Europe [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | [3],[4] | 2020-09 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Rate | [3],[4] | 0.00% | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Corporate Debt [Member] | Various Issuer [Member] | Minimum [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | [3],[4],[20] | 2017-07 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Rate | [3],[4],[20] | 6.00% | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Corporate Debt [Member] | Various Issuer [Member] | Minimum [Member] | Technology Sector [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | [7],[8] | 2020-03 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Rate | [7],[8] | 6.13% | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Corporate Debt [Member] | Various Issuer [Member] | Maximum [Member] | Communications [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | 2025-09 | [3],[4] | 2022-12 | [7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Rate | 11.50% | [3],[4] | 9.07% | [7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Corporate Debt [Member] | Various Issuer [Member] | Maximum [Member] | Consumer [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | 2034-12 | [3],[4] | 2025-05 | [7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Rate | 9.73% | [3],[4] | 11.00% | [7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Corporate Debt [Member] | Various Issuer [Member] | Maximum [Member] | Consumer [Member] | Europe [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | [7],[8] | 2018-12 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Corporate Debt [Member] | Various Issuer [Member] | Maximum [Member] | Energy [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | 2024-02 | [3],[4] | 2023-02 | [7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Rate | 9.88% | [3],[4] | 9.63% | [7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Corporate Debt [Member] | Various Issuer [Member] | Maximum [Member] | Basic Materials [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | [3],[4] | 2027-03 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Rate | [3],[4] | 7.00% | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Corporate Debt [Member] | Various Issuer [Member] | Maximum [Member] | Industrial Sector [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | 2021-12 | [3],[4] | 2022-12 | [7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Rate | 4.25% | [3],[4] | 7.75% | [7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Corporate Debt [Member] | Various Issuer [Member] | Maximum [Member] | Industrial Sector [Member] | Europe [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | [3],[4] | 2021-03 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Rate | [3],[4] | 9.00% | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Corporate Debt [Member] | Various Issuer [Member] | Maximum [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | [3],[4],[20] | 2019-10 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Rate | [3],[4],[20] | 15.00% | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Corporate Debt [Member] | Various Issuer [Member] | Maximum [Member] | Technology Sector [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | [7],[8] | 2022-08 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Rate | [7],[8] | 7.50% | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Mortgage Loans [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment owned as a percentage of equity | 31.71% | [2],[3],[4],[12] | 22.55% | [6],[7],[8],[14] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | $ 201,993,000 | [3],[4],[12] | $ 145,419,000 | [7],[8],[14] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Owned, at Cost | 203,674,000 | [3],[4],[12] | 148,173,000 | [7],[8],[14] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Mortgage Loans [Member] | Various Issuer [Member] | Mortgage-related Commercial [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Current Principal/Notional Amount | 67,535,000 | [3],[4],[12],[21] | 71,020,000 | [7],[8],[14],[22] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | 65,896,000 | [3],[4],[12],[21] | 61,129,000 | [7],[8],[14],[22] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Mortgage Loans [Member] | Various Issuer [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Current Principal/Notional Amount | 139,333,000 | [3],[4],[12],[23] | 89,658,000 | [7],[8],[14],[24] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | $ 136,097,000 | [3],[4],[12],[23] | $ 84,290,000 | [7],[8],[14],[24] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Mortgage Loans [Member] | Various Issuer [Member] | Minimum [Member] | Mortgage-related Commercial [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | 2017-08 | [3],[4],[12],[21] | 2017-06 | [7],[8],[14],[22] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Rate | 3.01% | [3],[4],[12],[21] | 2.73% | [7],[8],[14],[22] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Mortgage Loans [Member] | Various Issuer [Member] | Minimum [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | 2022-04 | [3],[4],[12],[23] | 2022-04 | [7],[8],[14],[24] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Rate | 2.00% | [3],[4],[12],[23] | 2.00% | [7],[8],[14],[24] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Mortgage Loans [Member] | Various Issuer [Member] | Maximum [Member] | Mortgage-related Commercial [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | 2037-10 | [3],[4],[12],[21] | 2037-10 | [7],[8],[14],[22] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Rate | 12.56% | [3],[4],[12],[21] | 12.12% | [7],[8],[14],[22] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Mortgage Loans [Member] | Various Issuer [Member] | Maximum [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | 2057-07 | [3],[4],[12],[23] | 2057-07 | [7],[8],[14],[24] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Rate | 12.63% | [3],[4],[12],[23] | 12.63% | [7],[8],[14],[24] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Real Estate Owned [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment owned as a percentage of equity | 3.92% | [2],[3],[4],[12],[25] | 0.52% | [6],[7],[8],[14],[26] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | $ 24,977,000 | [3],[4],[12],[25] | $ 3,349,000 | [7],[8],[14],[26] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Owned, at Cost | 25,462,000 | [3],[4],[12],[25] | 3,539,000 | [7],[8],[14],[26] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Real Estate Owned [Member] | Single-Family Houses [Member] | Real estate-related [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | $ 632,000 | [3],[4],[12],[25] | $ 1,699,000 | [7],[8],[14],[26] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Number of Real Estate Properties | 3 | [3],[4],[12],[25] | 9 | [7],[8],[14],[26] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Real Estate Owned [Member] | Commercial Property [Member] | Real estate-related [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | $ 24,345,000 | [3],[4],[12],[25] | $ 1,650,000 | [7],[8],[14],[26] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Number of Real Estate Properties | 9 | [3],[4],[12],[25] | 1 | [7],[8],[14],[26] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Corporate Equity Investments [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment owned as a percentage of equity | 5.86% | [2],[3],[4] | 5.25% | [6],[7],[8],[13] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | $ 37,323,000 | [3],[4] | $ 33,788,000 | [7],[8],[13] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Owned, at Cost | $ 42,345,000 | [3],[4] | $ 37,360,000 | [7],[8],[13] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Corporate Equity Investments [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment owned as a percentage of equity | 5.86% | [2],[3],[4] | 5.25% | [6],[7],[8],[13] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | $ 37,323,000 | [3],[4],[20] | $ 33,788,000 | [7],[8],[13] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Owned, at Cost | $ 42,345,000 | [3],[4] | $ 37,360,000 | [7],[8],[13] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Corporate Equity Investments [Member] | Europe [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment owned as a percentage of equity | 0.00% | [2],[3],[4] | 0.00% | [6],[7],[8],[13] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | $ 0 | [3],[4] | $ 0 | [7],[8],[13] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Owned, at Cost | 0 | [3],[4] | 0 | [7],[8],[13] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Corporate Equity Investments [Member] | Non-Controlling Equity Interest in Limited Liability Company [Member] | Consumer [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | 5,966,000 | [3],[4],[27] | 7,315,000 | [7],[8],[13],[19] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Corporate Equity Investments [Member] | Non-Controlling Equity Interest in Limited Liability Company [Member] | Asset-backed Securities [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | [3],[4],[20] | 5,591,000 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Corporate Equity Investments [Member] | Non-Exchange Traded Corporate Equity [Member] | Communications [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | [3],[4] | $ 645,000 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Owned, Balance, Shares | [3],[4] | 7 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Corporate Equity Investments [Member] | Non-Exchange Traded Corporate Equity [Member] | Consumer [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | $ 4,000 | [3],[4] | $ 825,000 | [7],[8],[13] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Owned, Balance, Shares | 1,540 | [3],[4] | 1,557 | [7],[8],[13] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Corporate Equity Investments [Member] | Non-Exchange Traded Corporate Equity [Member] | Consumer [Member] | Europe [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | $ 0 | [3],[4] | $ 0 | [7],[8],[13] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Owned, Balance, Shares | 125 | [3],[4] | 125 | [7],[8],[13] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Corporate Equity Investments [Member] | Non-Exchange Traded Corporate Equity [Member] | Diversified [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | $ 3,492,000 | [3],[4] | $ 3,162,000 | [7],[8],[13] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Owned, Balance, Shares | 174 | [3],[4] | 191 | [7],[8],[13] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Corporate Equity Investments [Member] | Exchange Traded Equity [Member] | Energy [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | [3],[4] | $ 1,625,000 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Owned, Balance, Shares | [3],[4] | 51 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Corporate Equity Investments [Member] | Exchange Traded Equity [Member] | Financial [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | [7],[8],[13] | $ 4,396,000 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Owned, Balance, Shares | [7],[8],[13] | 51 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Corporate Equity Investments [Member] | Non-controlling Interest in Mortgage-related Private Partnership [Member] | Mortgage-related Commercial [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | [7],[8],[13] | $ 3,090,000 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Corporate Equity Investments [Member] | Non-Exchange Traded Preferred Equity Investment in Mortgage Originators [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | $ 19,325,000 | [3],[4],[20] | $ 14,325,000 | [7],[8],[13],[28] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Owned, Balance, Shares | 1,843 | [3],[4],[20] | 1,838 | [7],[8],[13],[28] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Corporate Equity Investments [Member] | Non-Exchange Traded Equity Investment in Mortgage Originator | Mortgage-related Residential [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | $ 675,000 | [3],[4],[20] | $ 675,000 | [7],[8],[13],[28] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Owned, Balance, Shares | 6,750 | [3],[4],[20] | 6,750 | [7],[8],[13],[28] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
US Treasury Securities [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment owned as a percentage of equity | 3.48% | [2],[3],[4] | 0.84% | [6],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | $ 22,165,000 | [3],[4] | $ 5,419,000 | [7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Owned, at Cost | 22,060,000 | [3],[4] | 5,635,000 | [7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
US Treasury Securities [Member] | US Treasury Notes Securities [Member] | Government [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Current Principal/Notional Amount | 21,978,000 | [3],[4] | 5,620,000 | [7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | $ 22,017,000 | [3],[4] | $ 5,419,000 | [7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
US Treasury Securities [Member] | US Treasury Notes Securities [Member] | Minimum [Member] | Government [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | 2021-12 | [3],[4] | 2021-05 | [7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Rate | 1.63% | [3],[4] | 1.13% | [7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
US Treasury Securities [Member] | US Treasury Notes Securities [Member] | Maximum [Member] | Government [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | 2026-05 | [3],[4] | 2026-05 | [7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Rate | 2.00% | [3],[4] | 1.63% | [7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
US Treasury Securities [Member] | US Treasury Bond Securities [Member] | Government [Member] | North America [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments maturity date | [3],[4] | 2047-02 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Current Principal/Notional Amount | [3],[4] | $ 144,000 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Rate | [3],[4] | 3.00% | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | [3],[4] | $ 148,000 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Long Investments [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment owned as a percentage of equity | 281.67% | [2],[3],[4] | 233.42% | [6],[7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | $ 1,794,129,000 | [3],[4] | $ 1,505,026,000 | [7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Owned, at Cost | $ 1,799,464,000 | [3],[4] | $ 1,525,710,000 | [7],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Long Investments [Member] | Government National Mortgage Association [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment owned as a percentage of equity | 25.62% | 23.36% | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Long Investments [Member] | Federal National Mortgage Association [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment owned as a percentage of equity | 92.22% | 73.78% | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Long Investments [Member] | Federal Home Loan Mortgage Corporation [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment owned as a percentage of equity | 41.33% | 42.13% | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Related Party 1 [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair value of loans held in related party trust | $ 9,100,000 | $ 7,600,000 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Related Party 2 [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair value of loans held in related party trust | 87,400,000 | 43,200,000 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Related Party 3 [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair value of loans held in related party trust | $ 6,000,000 | $ 7,300,000 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
|
Consolidated Condensed Schedule Of Investments (Repurchase Agreements) - USD ($) $ in Thousands |
6 Months Ended | 12 Months Ended | |||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Jun. 30, 2017 |
Dec. 31, 2016 |
||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||
Fair value repurchase agreements | $ 266,659 | $ 184,819 | |||||||||||||||||||
Repurchase agreements, cost | 265,403 | 185,205 | |||||||||||||||||||
Repurchase Agreements [Member] | |||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||
Fair value repurchase agreements | $ 266,659 | [1],[2] | $ 184,819 | [3],[4] | |||||||||||||||||
Investment owned as a percentage of equity | 41.86% | [1],[2],[5] | 28.66% | [3],[4],[6] | |||||||||||||||||
Repurchase agreements, cost | $ 265,403 | [1],[2] | $ 185,205 | [3],[4] | |||||||||||||||||
Repurchase Agreements [Member] | JP Morgan Securities LLC Collateralized by Par Value $35,310 U.S. Treasury Note, Coupon 2.00%, Maturity Date 2024 06 [Member] | |||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||
Current Principal/Notional Amount | [1],[2] | 35,354 | |||||||||||||||||||
Securities collateralized by par value | [1],[2] | $ 35,310 | |||||||||||||||||||
Coupon rate on underlying collateral | [1],[2] | 2.00% | |||||||||||||||||||
Maturity date of securities | [1],[2] | 2024-06 | |||||||||||||||||||
Rate | [1],[2] | 1.35% | |||||||||||||||||||
Investments maturity date | [1],[2] | 2017-07 | |||||||||||||||||||
Fair value repurchase agreements | [1],[2] | $ 35,354 | |||||||||||||||||||
Repurchase Agreements [Member] | Bank of America Securities Collateralized by Par Value $34,247 U.S. Treasury Note, Coupon 2.25%, Maturity Date 2027 02 [Member] | |||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||
Current Principal/Notional Amount | [1],[2] | 34,846 | |||||||||||||||||||
Securities collateralized by par value | [1],[2] | $ 34,247 | |||||||||||||||||||
Coupon rate on underlying collateral | [1],[2] | 2.25% | |||||||||||||||||||
Maturity date of securities | [1],[2] | 2027-02 | |||||||||||||||||||
Rate | [1],[2] | 1.30% | |||||||||||||||||||
Investments maturity date | [1],[2] | 2017-07 | |||||||||||||||||||
Fair value repurchase agreements | [1],[2] | $ 34,846 | |||||||||||||||||||
Repurchase Agreements [Member] | Bank of America Securities Collateralized by Par Value $16,543 U.S. Treasury Note, Coupon 2.00%, Maturity Date 2026 11 [Member] | |||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||
Current Principal/Notional Amount | [1],[2] | 16,274 | |||||||||||||||||||
Securities collateralized by par value | [1],[2] | $ 16,543 | |||||||||||||||||||
Coupon rate on underlying collateral | [1],[2] | 2.00% | |||||||||||||||||||
Maturity date of securities | [1],[2] | 2026-11 | |||||||||||||||||||
Rate | [1],[2] | 1.30% | |||||||||||||||||||
Investments maturity date | [1],[2] | 2017-07 | |||||||||||||||||||
Fair value repurchase agreements | [1],[2] | $ 16,274 | |||||||||||||||||||
Repurchase Agreements [Member] | JP Morgan Securities LLC Collateralized by Par Value $14,711 Sovereign Government Bond, Coupon 0.25%, Maturity Date 2018 04 [Member] | |||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||
Current Principal/Notional Amount | [1],[2] | 16,096 | |||||||||||||||||||
Securities collateralized by par value | [1],[2] | $ 14,711 | |||||||||||||||||||
Coupon rate on underlying collateral | [1],[2] | 0.25% | |||||||||||||||||||
Maturity date of securities | [1],[2] | 2018-04 | |||||||||||||||||||
Rate | [1],[2] | (0.70%) | |||||||||||||||||||
Investments maturity date | [1],[2] | 2017-07 | |||||||||||||||||||
Fair value repurchase agreements | [1],[2] | $ 16,096 | |||||||||||||||||||
Repurchase Agreements [Member] | Bank of America Securities Collateralized by Par Value $15,135 U.S. Treasury Note, Coupon 1.75%, Maturity Date 2022 05 [Member] | |||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||
Current Principal/Notional Amount | [1],[2] | 15,078 | |||||||||||||||||||
Securities collateralized by par value | [1],[2] | $ 15,135 | |||||||||||||||||||
Coupon rate on underlying collateral | [1],[2] | 1.75% | |||||||||||||||||||
Maturity date of securities | [1],[2] | 2022-05 | |||||||||||||||||||
Rate | [1],[2] | 0.90% | |||||||||||||||||||
Investments maturity date | [1],[2] | 2017-07 | |||||||||||||||||||
Fair value repurchase agreements | [1],[2] | $ 15,078 | |||||||||||||||||||
Repurchase Agreements [Member] | JP Morgan Securities LLC Collateralized by Par Value $12,673 Sovereign Government Bond, Coupon 0.25%, Maturity Date 2020 11 [Member] | |||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||
Current Principal/Notional Amount | [1],[2] | 14,000 | |||||||||||||||||||
Securities collateralized by par value | [1],[2] | $ 12,673 | |||||||||||||||||||
Coupon rate on underlying collateral | [1],[2] | 0.25% | |||||||||||||||||||
Maturity date of securities | [1],[2] | 2020-11 | |||||||||||||||||||
Rate | [1],[2] | (0.80%) | |||||||||||||||||||
Investments maturity date | [1],[2] | 2017-07 | |||||||||||||||||||
Fair value repurchase agreements | [1],[2] | $ 14,000 | |||||||||||||||||||
Repurchase Agreements [Member] | JP Morgan Securities LLC Collateralized by Par Value $9,305 Sovereign Government Bond, Coupon 0.75%, Maturity Date 2021 07 [Member] | |||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||
Current Principal/Notional Amount | [1],[2] | 10,512 | |||||||||||||||||||
Securities collateralized by par value | [1],[2] | $ 9,305 | |||||||||||||||||||
Coupon rate on underlying collateral | [1],[2] | 0.75% | |||||||||||||||||||
Maturity date of securities | [1],[2] | 2021-07 | |||||||||||||||||||
Rate | [1],[2] | (0.90%) | |||||||||||||||||||
Investments maturity date | [1],[2] | 2017-07 | |||||||||||||||||||
Fair value repurchase agreements | [1],[2] | $ 10,512 | |||||||||||||||||||
Repurchase Agreements [Member] | JP Morgan Securities LLC Collateralized by Par Value $8,439 Sovereign Government Bond, Coupon 2.75%, Maturity Date 2019 04 [Member] | |||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||
Current Principal/Notional Amount | [1],[2] | 9,741 | |||||||||||||||||||
Securities collateralized by par value | [1],[2] | $ 8,439 | |||||||||||||||||||
Coupon rate on underlying collateral | [1],[2] | 2.75% | |||||||||||||||||||
Maturity date of securities | [1],[2] | 2019-04 | |||||||||||||||||||
Rate | [1],[2] | (0.72%) | |||||||||||||||||||
Investments maturity date | [1],[2] | 2017-07 | |||||||||||||||||||
Fair value repurchase agreements | [1],[2] | $ 9,741 | |||||||||||||||||||
Repurchase Agreements [Member] | JP Morgan Securities LLC Collateralized by Par Value $8,372 Sovereign Government Bond, Coupon 1.15%, Maturity Date 2020 07 [Member] | |||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||
Current Principal/Notional Amount | [1],[2] | 9,578 | |||||||||||||||||||
Securities collateralized by par value | [1],[2] | $ 8,372 | |||||||||||||||||||
Coupon rate on underlying collateral | [1],[2] | 1.15% | |||||||||||||||||||
Maturity date of securities | [1],[2] | 2020-07 | |||||||||||||||||||
Rate | [1],[2] | (0.75%) | |||||||||||||||||||
Investments maturity date | [1],[2] | 2017-07 | |||||||||||||||||||
Fair value repurchase agreements | [1],[2] | $ 9,578 | |||||||||||||||||||
Repurchase Agreements [Member] | JP Morgan Securities LLC Collateralized by Par Value $8,372 Sovereign Government Bond, Coupon 0.65%, Maturity Date 2020 11 [Member] | |||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||
Current Principal/Notional Amount | [1],[2] | 9,255 | |||||||||||||||||||
Securities collateralized by par value | [1],[2] | $ 8,372 | |||||||||||||||||||
Coupon rate on underlying collateral | [1],[2] | 0.65% | |||||||||||||||||||
Maturity date of securities | [1],[2] | 2020-11 | |||||||||||||||||||
Rate | [1],[2] | (0.72%) | |||||||||||||||||||
Investments maturity date | [1],[2] | 2017-07 | |||||||||||||||||||
Fair value repurchase agreements | [1],[2] | $ 9,255 | |||||||||||||||||||
Repurchase Agreements [Member] | Bank of America Securities Collateralized by Par Value $6,600 U.S. Treasury Note, Coupon 1.88%, Maturity Date 2022 04 [Member] | |||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||
Current Principal/Notional Amount | [1],[2] | 6,633 | |||||||||||||||||||
Securities collateralized by par value | [1],[2] | $ 6,600 | |||||||||||||||||||
Coupon rate on underlying collateral | [1],[2] | 1.88% | |||||||||||||||||||
Maturity date of securities | [1],[2] | 2022-04 | |||||||||||||||||||
Rate | [1],[2] | 1.20% | |||||||||||||||||||
Investments maturity date | [1],[2] | 2017-07 | |||||||||||||||||||
Fair value repurchase agreements | [1],[2] | $ 6,633 | |||||||||||||||||||
Repurchase Agreements [Member] | RBC Capital Markets LLC Collateralized by Par Value $6,810 Exchange-Traded Corporate Debt, Coupon 6.25%, Maturity Date 2021 09 [Member] | |||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||
Current Principal/Notional Amount | [1],[2] | 6,214 | |||||||||||||||||||
Securities collateralized by par value | [1],[2] | $ 6,810 | |||||||||||||||||||
Coupon rate on underlying collateral | [1],[2] | 6.25% | |||||||||||||||||||
Maturity date of securities | [1],[2] | 2021-09 | |||||||||||||||||||
Rate | [1],[2] | (2.00%) | |||||||||||||||||||
Investments maturity date | [1],[2] | 2017-07 | |||||||||||||||||||
Fair value repurchase agreements | [1],[2] | $ 6,214 | |||||||||||||||||||
Repurchase Agreements [Member] | CILO 2016-LD1 Holdings LLC Collateralized by Par Value $9,512 Exchange-Traded Debt, Coupon 5.50%, Maturity Date 2022 07 [Member] | |||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||
Current Principal/Notional Amount | 6,166 | [1],[2],[7] | 6,166 | [3],[4],[8] | |||||||||||||||||
Securities collateralized by par value | $ 9,512 | [1],[2],[7] | $ 9,512 | [3],[4],[8] | |||||||||||||||||
Coupon rate on underlying collateral | 5.50% | [1],[2],[7] | 5.50% | [3],[4],[8] | |||||||||||||||||
Maturity date of securities | 2022-07 | [1],[2],[7] | 2022-07 | [3],[4],[8] | |||||||||||||||||
Rate | 2.95% | [1],[2],[7] | 2.90% | [3],[4],[8] | |||||||||||||||||
Investments maturity date | 2017-07 | [1],[2],[7] | 2017-02 | [3],[4],[8] | |||||||||||||||||
Fair value repurchase agreements | $ 6,166 | [1],[2],[7] | $ 6,166 | [3],[4],[8] | |||||||||||||||||
Repurchase Agreements [Member] | Barclays Capital Inc Collateralized by Par Value $3,830 Exchange-Traded Corporate Debt, Coupon 6.25%, Maturity Date 2021 09 [Member] | |||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||
Current Principal/Notional Amount | [1],[2] | 3,682 | |||||||||||||||||||
Securities collateralized by par value | [1],[2] | $ 3,830 | |||||||||||||||||||
Coupon rate on underlying collateral | [1],[2] | 6.25% | |||||||||||||||||||
Maturity date of securities | [1],[2] | 2021-09 | |||||||||||||||||||
Rate | [1],[2] | (2.25%) | |||||||||||||||||||
Investments maturity date | [1],[2] | 2017-07 | |||||||||||||||||||
Fair value repurchase agreements | [1],[2] | $ 3,682 | |||||||||||||||||||
Repurchase Agreements [Member] | JP Morgan Securities LLC Collateralized by Par Value $3,516 Exchange-Traded Corporate Debt, Coupon 4.88%, Maturity Date 2022 04 [Member] | |||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||
Current Principal/Notional Amount | [1],[2] | 3,445 | |||||||||||||||||||
Securities collateralized by par value | [1],[2] | $ 3,516 | |||||||||||||||||||
Coupon rate on underlying collateral | [1],[2] | 4.88% | |||||||||||||||||||
Maturity date of securities | [1],[2] | 2022-04 | |||||||||||||||||||
Rate | [1],[2] | (2.75%) | |||||||||||||||||||
Investments maturity date | [1],[2] | 2017-07 | |||||||||||||||||||
Fair value repurchase agreements | [1],[2] | $ 3,445 | |||||||||||||||||||
Repurchase Agreements [Member] | RBC Capital Markets LLC Collateralized by Par Value $3,250 Exchange-Traded Corporate Debt, Coupon 2.90%, Maturity Date 2022 01 [Member] | |||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||
Current Principal/Notional Amount | [1],[2] | 3,388 | |||||||||||||||||||
Securities collateralized by par value | [1],[2] | $ 3,250 | |||||||||||||||||||
Coupon rate on underlying collateral | [1],[2] | 2.90% | |||||||||||||||||||
Maturity date of securities | [1],[2] | 2022-01 | |||||||||||||||||||
Rate | [1],[2] | 0.80% | |||||||||||||||||||
Investments maturity date | [1],[2] | 2017-07 | |||||||||||||||||||
Fair value repurchase agreements | [1],[2] | $ 3,388 | |||||||||||||||||||
Repurchase Agreements [Member] | RBC Capital Markets LLC Collateralized by Par Value $3,046 Exchange-Traded Corporate Debt, Coupon 8.00%, Maturity Date 2025 01 [Member] | |||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||
Current Principal/Notional Amount | [1],[2] | 3,130 | |||||||||||||||||||
Securities collateralized by par value | [1],[2] | $ 3,046 | |||||||||||||||||||
Coupon rate on underlying collateral | [1],[2] | 8.00% | |||||||||||||||||||
Maturity date of securities | [1],[2] | 2025-01 | |||||||||||||||||||
Rate | [1],[2] | (4.25%) | |||||||||||||||||||
Investments maturity date | [1],[2] | 2017-07 | |||||||||||||||||||
Fair value repurchase agreements | [1],[2] | $ 3,130 | |||||||||||||||||||
Repurchase Agreements [Member] | RBC Capital Markets LLC Collateralized by Par Value $3,230 Exchange-Traded Corporate Debt, Coupon 3.88%, Maturity Date 2023 03 [Member] | |||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||
Current Principal/Notional Amount | [1],[2] | 3,028 | |||||||||||||||||||
Securities collateralized by par value | [1],[2] | $ 3,230 | |||||||||||||||||||
Coupon rate on underlying collateral | [1],[2] | 3.88% | |||||||||||||||||||
Maturity date of securities | [1],[2] | 2023-03 | |||||||||||||||||||
Rate | [1],[2] | 0.80% | |||||||||||||||||||
Investments maturity date | [1],[2] | 2017-07 | |||||||||||||||||||
Fair value repurchase agreements | [1],[2] | $ 3,028 | |||||||||||||||||||
Repurchase Agreements [Member] | Societe Generale Collateralized by Par Value $2,840 Exchange-Traded Corporate Debt, Coupon 9.25%, Maturity Date 2021 07 [Member] | |||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||
Current Principal/Notional Amount | [1],[2] | 2,942 | |||||||||||||||||||
Securities collateralized by par value | [1],[2] | $ 2,840 | |||||||||||||||||||
Coupon rate on underlying collateral | [1],[2] | 9.25% | |||||||||||||||||||
Maturity date of securities | [1],[2] | 2021-07 | |||||||||||||||||||
Rate | [1],[2] | 0.05% | |||||||||||||||||||
Investments maturity date | [1],[2] | 2017-07 | |||||||||||||||||||
Fair value repurchase agreements | [1],[2] | $ 2,942 | |||||||||||||||||||
Repurchase Agreements [Member] | Barclays Capital Inc Collateralized by Par Value $3,050 Exchange-Traded Corporate Debt, Coupon 5.88%, Maturity Date 2020 10 [Member] | |||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||
Current Principal/Notional Amount | [1],[2] | 2,905 | |||||||||||||||||||
Securities collateralized by par value | [1],[2] | $ 3,050 | |||||||||||||||||||
Coupon rate on underlying collateral | [1],[2] | 5.88% | |||||||||||||||||||
Maturity date of securities | [1],[2] | 2020-10 | |||||||||||||||||||
Rate | [1],[2] | (2.00%) | |||||||||||||||||||
Investments maturity date | [1],[2] | 2017-07 | |||||||||||||||||||
Fair value repurchase agreements | [1],[2] | $ 2,905 | |||||||||||||||||||
Repurchase Agreements [Member] | Societe Generale Collateralized by Par Value $2,630 Exchange-Traded Corporate Debt, Coupon 6.00%, Maturity Date 2023 03 [Member] | |||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||
Current Principal/Notional Amount | [1],[2] | 2,901 | |||||||||||||||||||
Securities collateralized by par value | [1],[2] | $ 2,630 | |||||||||||||||||||
Coupon rate on underlying collateral | [1],[2] | 6.00% | |||||||||||||||||||
Maturity date of securities | [1],[2] | 2023-03 | |||||||||||||||||||
Rate | [1],[2] | 0.85% | |||||||||||||||||||
Investments maturity date | [1],[2] | 2017-07 | |||||||||||||||||||
Fair value repurchase agreements | [1],[2] | $ 2,901 | |||||||||||||||||||
Repurchase Agreements [Member] | Barclays Capital Inc Collateralized by Par Value $2,680 Exchange-Traded Corporate Debt, Coupon 3.45%, Maturity Date 2024 07 [Member] | |||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||
Current Principal/Notional Amount | [1],[2] | 2,817 | |||||||||||||||||||
Securities collateralized by par value | [1],[2] | $ 2,680 | |||||||||||||||||||
Coupon rate on underlying collateral | [1],[2] | 3.45% | |||||||||||||||||||
Maturity date of securities | [1],[2] | 2024-07 | |||||||||||||||||||
Rate | [1],[2] | 0.75% | |||||||||||||||||||
Investments maturity date | [1],[2] | 2017-07 | |||||||||||||||||||
Fair value repurchase agreements | [1],[2] | $ 2,817 | |||||||||||||||||||
Repurchase Agreements [Member] | Bank of America Securities Collateralized by Par Value $2,750 U.S. Treasury Note, Coupon 1.88%, Maturity Date 2022 03 [Member] | |||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||
Current Principal/Notional Amount | [1],[2] | 2,778 | |||||||||||||||||||
Securities collateralized by par value | [1],[2] | $ 2,750 | |||||||||||||||||||
Coupon rate on underlying collateral | [1],[2] | 1.88% | |||||||||||||||||||
Maturity date of securities | [1],[2] | 2022-03 | |||||||||||||||||||
Rate | [1],[2] | 1.30% | |||||||||||||||||||
Investments maturity date | [1],[2] | 2017-07 | |||||||||||||||||||
Fair value repurchase agreements | [1],[2] | $ 2,778 | |||||||||||||||||||
Repurchase Agreements [Member] | JP Morgan Securities LLC Collateralized by Par Value $2,668 Exchange-Traded Corporate Debt, Coupon 4.00%, Maturity Date 2021 11 [Member] | |||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||
Current Principal/Notional Amount | [1],[2] | 2,753 | |||||||||||||||||||
Securities collateralized by par value | [1],[2] | $ 2,668 | |||||||||||||||||||
Coupon rate on underlying collateral | [1],[2] | 4.00% | |||||||||||||||||||
Maturity date of securities | [1],[2] | 2021-11 | |||||||||||||||||||
Rate | [1],[2] | 0.00% | |||||||||||||||||||
Investments maturity date | [1],[2] | 2017-07 | |||||||||||||||||||
Fair value repurchase agreements | [1],[2] | $ 2,753 | |||||||||||||||||||
Repurchase Agreements [Member] | RBC Capital Markets LLC Collateralized by Par Value $2,650 Exchange-Traded Corporate Debt, Coupon 3.88%, Maturity Date 2022 01 [Member] | |||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||
Current Principal/Notional Amount | [1],[2] | 2,723 | |||||||||||||||||||
Securities collateralized by par value | [1],[2] | $ 2,650 | |||||||||||||||||||
Coupon rate on underlying collateral | [1],[2] | 3.88% | |||||||||||||||||||
Maturity date of securities | [1],[2] | 2022-01 | |||||||||||||||||||
Rate | [1],[2] | 0.75% | |||||||||||||||||||
Investments maturity date | [1],[2] | 2017-07 | |||||||||||||||||||
Fair value repurchase agreements | [1],[2] | $ 2,723 | |||||||||||||||||||
Repurchase Agreements [Member] | Societe Generale Collateralized by Par Value $2,532 Exchange-Traded Corporate Debt, Coupon 4.00%, Maturity Date 2021 11 [Member] | |||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||
Current Principal/Notional Amount | [1],[2] | 2,583 | |||||||||||||||||||
Securities collateralized by par value | [1],[2] | $ 2,532 | |||||||||||||||||||
Coupon rate on underlying collateral | [1],[2] | 4.00% | |||||||||||||||||||
Maturity date of securities | [1],[2] | 2021-11 | |||||||||||||||||||
Rate | [1],[2] | 0.85% | |||||||||||||||||||
Investments maturity date | [1],[2] | 2017-07 | |||||||||||||||||||
Fair value repurchase agreements | [1],[2] | $ 2,583 | |||||||||||||||||||
Repurchase Agreements [Member] | JP Morgan Securities LLC Collateralized by Par Value $2,290 Exchange-Traded Corporate Debt, Coupon 5.13%, Maturity Date 2022 06 [Member] | |||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||
Current Principal/Notional Amount | [1],[2] | 2,349 | |||||||||||||||||||
Securities collateralized by par value | [1],[2] | $ 2,290 | |||||||||||||||||||
Coupon rate on underlying collateral | [1],[2] | 5.13% | |||||||||||||||||||
Maturity date of securities | [1],[2] | 2022-06 | |||||||||||||||||||
Rate | [1],[2] | (4.25%) | |||||||||||||||||||
Investments maturity date | [1],[2] | 2017-07 | |||||||||||||||||||
Fair value repurchase agreements | [1],[2] | $ 2,349 | |||||||||||||||||||
Repurchase Agreements [Member] | Mitsubishi UFJ Securities USA Inc. Collateralized by Par Value $2,750 Collateralized Loan Obligation, Coupon 5.54%, Maturity Date 2020 05 [Member] | |||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||
Current Principal/Notional Amount | [1],[2] | 1,886 | |||||||||||||||||||
Securities collateralized by par value | [1],[2] | $ 2,750 | |||||||||||||||||||
Coupon rate on underlying collateral | [1],[2] | 5.54% | |||||||||||||||||||
Maturity date of securities | [1],[2] | 2020-05 | |||||||||||||||||||
Rate | [1],[2] | 0.00% | |||||||||||||||||||
Investments maturity date | [1],[2] | 2017-08 | |||||||||||||||||||
Fair value repurchase agreements | [1],[2] | $ 1,886 | |||||||||||||||||||
Repurchase Agreements [Member] | RBC Capital Markets LLC Collateralized by Par Value $1,835 Exchange-Traded Corporate Debt, Coupon 8.00%, Maturity Date 2027 06 [Member] | |||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||
Current Principal/Notional Amount | [1],[2] | 1,785 | |||||||||||||||||||
Securities collateralized by par value | [1],[2] | $ 1,835 | |||||||||||||||||||
Coupon rate on underlying collateral | [1],[2] | 8.00% | |||||||||||||||||||
Maturity date of securities | [1],[2] | 2027-06 | |||||||||||||||||||
Rate | [1],[2] | (1.90%) | |||||||||||||||||||
Investments maturity date | [1],[2] | 2017-07 | |||||||||||||||||||
Fair value repurchase agreements | [1],[2] | $ 1,785 | |||||||||||||||||||
Repurchase Agreements [Member] | Barclays Capital Inc Collateralized by Par Value $1,844 Exchange-Traded Corporate Debt, Coupon 4.88%, Maturity Date 2022 04 [Member] | |||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||
Current Principal/Notional Amount | [1],[2] | 1,761 | |||||||||||||||||||
Securities collateralized by par value | [1],[2] | $ 1,844 | |||||||||||||||||||
Coupon rate on underlying collateral | [1],[2] | 4.88% | |||||||||||||||||||
Maturity date of securities | [1],[2] | 2022-04 | |||||||||||||||||||
Rate | [1],[2] | (3.50%) | |||||||||||||||||||
Investments maturity date | [1],[2] | 2017-07 | |||||||||||||||||||
Fair value repurchase agreements | [1],[2] | $ 1,761 | |||||||||||||||||||
Repurchase Agreements [Member] | Societe Generale Collateralized by Par Value $1,490 Exchange-Traded Corporate Debt, Coupon 6.38%, Maturity Date 2023 12 [Member] | |||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||
Current Principal/Notional Amount | [1],[2] | 1,664 | |||||||||||||||||||
Securities collateralized by par value | [1],[2] | $ 1,490 | |||||||||||||||||||
Coupon rate on underlying collateral | [1],[2] | 6.38% | |||||||||||||||||||
Maturity date of securities | [1],[2] | 2023-12 | |||||||||||||||||||
Rate | [1],[2] | 0.85% | |||||||||||||||||||
Investments maturity date | [1],[2] | 2017-07 | |||||||||||||||||||
Fair value repurchase agreements | [1],[2] | $ 1,664 | |||||||||||||||||||
Repurchase Agreements [Member] | RBC Capital Markets LLC Collateralized by Par Value $1,550 Exchange-Traded Corporate Debt, Coupon 9.25%, Maturity Date 2021 07 [Member] | |||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||
Current Principal/Notional Amount | [1],[2] | 1,612 | |||||||||||||||||||
Securities collateralized by par value | [1],[2] | $ 1,550 | |||||||||||||||||||
Coupon rate on underlying collateral | [1],[2] | 9.25% | |||||||||||||||||||
Maturity date of securities | [1],[2] | 2021-07 | |||||||||||||||||||
Rate | [1],[2] | 0.80% | |||||||||||||||||||
Investments maturity date | [1],[2] | 2017-07 | |||||||||||||||||||
Fair value repurchase agreements | [1],[2] | $ 1,612 | |||||||||||||||||||
Repurchase Agreements [Member] | Societe Generale Collateralized by Par Value $1,440 Exchange-Traded Corporate Debt, Coupon 6.38%, Maturity Date 2023 10 [Member] | |||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||
Current Principal/Notional Amount | [1],[2] | 1,559 | |||||||||||||||||||
Securities collateralized by par value | [1],[2] | $ 1,440 | |||||||||||||||||||
Coupon rate on underlying collateral | [1],[2] | 6.38% | |||||||||||||||||||
Maturity date of securities | [1],[2] | 2023-10 | |||||||||||||||||||
Rate | [1],[2] | 0.45% | |||||||||||||||||||
Investments maturity date | [1],[2] | 2017-07 | |||||||||||||||||||
Fair value repurchase agreements | [1],[2] | $ 1,559 | |||||||||||||||||||
Repurchase Agreements [Member] | Barclays Capital Inc Collateralized by Par Value $1,525 Exchange-Traded Corporate Debt, Coupon 5.88%, Maturity Date 2020 10 [Member] | |||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||
Current Principal/Notional Amount | [1],[2] | 1,453 | |||||||||||||||||||
Securities collateralized by par value | [1],[2] | $ 1,525 | |||||||||||||||||||
Coupon rate on underlying collateral | [1],[2] | 5.88% | |||||||||||||||||||
Maturity date of securities | [1],[2] | 2020-10 | |||||||||||||||||||
Rate | [1],[2] | (1.50%) | |||||||||||||||||||
Investments maturity date | [1],[2] | 2017-07 | |||||||||||||||||||
Fair value repurchase agreements | [1],[2] | $ 1,453 | |||||||||||||||||||
Repurchase Agreements [Member] | Barclays Capital Inc Collateralized by Par Value $1,365 Exchange-Traded Corporate Debt, Coupon 8.00%, Maturity Date 2027 06 [Member] | |||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||
Current Principal/Notional Amount | [1],[2] | 1,380 | |||||||||||||||||||
Securities collateralized by par value | [1],[2] | $ 1,365 | |||||||||||||||||||
Coupon rate on underlying collateral | [1],[2] | 8.00% | |||||||||||||||||||
Maturity date of securities | [1],[2] | 2027-06 | |||||||||||||||||||
Rate | [1],[2] | (2.50%) | |||||||||||||||||||
Investments maturity date | [1],[2] | 2017-07 | |||||||||||||||||||
Fair value repurchase agreements | [1],[2] | $ 1,380 | |||||||||||||||||||
Repurchase Agreements [Member] | RBC Capital Markets LLC Collateralized by Par Value $1,220 Exchange-Traded Corporate Debt, Coupon 5.75%, Maturity Date 2024 11 [Member] | |||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||
Current Principal/Notional Amount | [1],[2] | 1,299 | |||||||||||||||||||
Securities collateralized by par value | [1],[2] | $ 1,220 | |||||||||||||||||||
Coupon rate on underlying collateral | [1],[2] | 5.75% | |||||||||||||||||||
Maturity date of securities | [1],[2] | 2024-11 | |||||||||||||||||||
Rate | [1],[2] | 0.80% | |||||||||||||||||||
Investments maturity date | [1],[2] | 2017-07 | |||||||||||||||||||
Fair value repurchase agreements | [1],[2] | $ 1,299 | |||||||||||||||||||
Repurchase Agreements [Member] | Bank of America Securities Collateralized by Par Value $1,360 U.S. Treasury Note, Coupon 1.50%, Maturity Date 2026 08 [Member] | |||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||
Current Principal/Notional Amount | [1],[2] | 1,290 | |||||||||||||||||||
Securities collateralized by par value | [1],[2] | $ 1,360 | |||||||||||||||||||
Coupon rate on underlying collateral | [1],[2] | 1.50% | |||||||||||||||||||
Maturity date of securities | [1],[2] | 2026-08 | |||||||||||||||||||
Rate | [1],[2] | 1.30% | |||||||||||||||||||
Investments maturity date | [1],[2] | 2017-07 | |||||||||||||||||||
Fair value repurchase agreements | [1],[2] | $ 1,290 | |||||||||||||||||||
Repurchase Agreements [Member] | Mitsubishi UFJ Securities USA Inc. Collateralized by Par Value $2,500 Collateralized Loan Obligation, Coupon 5.03%, Maturity Date 2021 11 [Member] | |||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||
Current Principal/Notional Amount | [1],[2] | 1,183 | |||||||||||||||||||
Securities collateralized by par value | [1],[2] | $ 2,500 | |||||||||||||||||||
Coupon rate on underlying collateral | [1],[2] | 5.03% | |||||||||||||||||||
Maturity date of securities | [1],[2] | 2021-11 | |||||||||||||||||||
Rate | [1],[2] | 0.00% | |||||||||||||||||||
Investments maturity date | [1],[2] | 2017-08 | |||||||||||||||||||
Fair value repurchase agreements | [1],[2] | $ 1,183 | |||||||||||||||||||
Repurchase Agreements [Member] | RBC Capital Markets LLC Collateralized by Par Value $1,070 Exchange-Traded Corporate Debt, Coupon 5.13%, Maturity Date 2024 09 [Member] | |||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||
Current Principal/Notional Amount | [1],[2] | 1,145 | |||||||||||||||||||
Securities collateralized by par value | [1],[2] | $ 1,070 | |||||||||||||||||||
Coupon rate on underlying collateral | [1],[2] | 5.13% | |||||||||||||||||||
Maturity date of securities | [1],[2] | 2024-09 | |||||||||||||||||||
Rate | [1],[2] | 0.50% | |||||||||||||||||||
Investments maturity date | [1],[2] | 2017-07 | |||||||||||||||||||
Fair value repurchase agreements | [1],[2] | $ 1,145 | |||||||||||||||||||
Repurchase Agreements [Member] | RBC Capital Markets LLC Collateralized by Par Value $1,140 Exchange-Traded Corporate Debt, Coupon 4.50%, Maturity Date 2023 04 [Member] | |||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||
Current Principal/Notional Amount | [1],[2] | 1,112 | |||||||||||||||||||
Securities collateralized by par value | [1],[2] | $ 1,140 | |||||||||||||||||||
Coupon rate on underlying collateral | [1],[2] | 4.50% | |||||||||||||||||||
Maturity date of securities | [1],[2] | 2023-04 | |||||||||||||||||||
Rate | [1],[2] | 0.80% | |||||||||||||||||||
Investments maturity date | [1],[2] | 2017-07 | |||||||||||||||||||
Fair value repurchase agreements | [1],[2] | $ 1,112 | |||||||||||||||||||
Repurchase Agreements [Member] | RBC Capital Markets LLC Collateralized by Par Value $1,170 Exchange-Traded Corporate Debt, Coupon 5.80%, Maturity Date 2022 10 [Member] | |||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||
Current Principal/Notional Amount | [1],[2] | 1,094 | |||||||||||||||||||
Securities collateralized by par value | [1],[2] | $ 1,170 | |||||||||||||||||||
Coupon rate on underlying collateral | [1],[2] | 5.80% | |||||||||||||||||||
Maturity date of securities | [1],[2] | 2022-10 | |||||||||||||||||||
Rate | [1],[2] | (2.25%) | |||||||||||||||||||
Investments maturity date | [1],[2] | 2017-07 | |||||||||||||||||||
Fair value repurchase agreements | [1],[2] | $ 1,094 | |||||||||||||||||||
Repurchase Agreements [Member] | RBC Capital Markets LLC Collateralized by Par Value $980 Exchange-Traded Corporate Debt, Coupon 3.50%, Maturity Date 2024 07 [Member] | |||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||
Current Principal/Notional Amount | [1],[2] | 1,049 | |||||||||||||||||||
Securities collateralized by par value | [1],[2] | $ 980 | |||||||||||||||||||
Coupon rate on underlying collateral | [1],[2] | 3.50% | |||||||||||||||||||
Maturity date of securities | [1],[2] | 2024-07 | |||||||||||||||||||
Rate | [1],[2] | 0.75% | |||||||||||||||||||
Investments maturity date | [1],[2] | 2017-07 | |||||||||||||||||||
Fair value repurchase agreements | [1],[2] | $ 1,049 | |||||||||||||||||||
Repurchase Agreements [Member] | Bank of America Securities Collateralized by Par Value $990 U.S. Treasury Note, Coupon 2.25%, Maturity Date 2027 02 [Member] | |||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||
Current Principal/Notional Amount | [1],[2] | 996 | |||||||||||||||||||
Securities collateralized by par value | [1],[2] | $ 990 | |||||||||||||||||||
Coupon rate on underlying collateral | [1],[2] | 2.25% | |||||||||||||||||||
Maturity date of securities | [1],[2] | 2027-02 | |||||||||||||||||||
Rate | [1],[2] | 1.25% | |||||||||||||||||||
Investments maturity date | [1],[2] | 2017-07 | |||||||||||||||||||
Fair value repurchase agreements | [1],[2] | $ 996 | |||||||||||||||||||
Repurchase Agreements [Member] | Deutsche Bank Securities Collateralized by Par Value $1,020 Exchange-Traded Corporate Debt, Coupon 7.38%, Maturity Date 2021 01 [Member] | |||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||
Current Principal/Notional Amount | [1],[2] | 978 | |||||||||||||||||||
Securities collateralized by par value | [1],[2] | $ 1,020 | |||||||||||||||||||
Coupon rate on underlying collateral | [1],[2] | 7.38% | |||||||||||||||||||
Maturity date of securities | [1],[2] | 2021-01 | |||||||||||||||||||
Rate | [1],[2] | (4.50%) | |||||||||||||||||||
Investments maturity date | [1],[2] | 2017-07 | |||||||||||||||||||
Fair value repurchase agreements | [1],[2] | $ 978 | |||||||||||||||||||
Repurchase Agreements [Member] | RBC Capital Markets LLC Collateralized by Par Value $812 Exchange-Traded Corporate Debt, Coupon 6.88%, Maturity Date 2023 05 [Member] | |||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||
Current Principal/Notional Amount | [1],[2] | 879 | |||||||||||||||||||
Securities collateralized by par value | [1],[2] | $ 812 | |||||||||||||||||||
Coupon rate on underlying collateral | [1],[2] | 6.88% | |||||||||||||||||||
Maturity date of securities | [1],[2] | 2023-05 | |||||||||||||||||||
Rate | [1],[2] | 0.80% | |||||||||||||||||||
Investments maturity date | [1],[2] | 2017-07 | |||||||||||||||||||
Fair value repurchase agreements | [1],[2] | $ 879 | |||||||||||||||||||
Repurchase Agreements [Member] | Societe Generale Collateralized by Par Value $850 Exchange-Traded Corporate Debt, Coupon 3.88%, Maturity Date 2022 01 [Member] | |||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||
Current Principal/Notional Amount | [1],[2] | 869 | |||||||||||||||||||
Securities collateralized by par value | [1],[2] | $ 850 | |||||||||||||||||||
Coupon rate on underlying collateral | [1],[2] | 3.88% | |||||||||||||||||||
Maturity date of securities | [1],[2] | 2022-01 | |||||||||||||||||||
Rate | [1],[2] | 0.85% | |||||||||||||||||||
Investments maturity date | [1],[2] | 2017-07 | |||||||||||||||||||
Fair value repurchase agreements | [1],[2] | $ 869 | |||||||||||||||||||
Repurchase Agreements [Member] | Bank of America Securities Collateralized by Par Value $930 U.S. Treasury Bond, Coupon 2.25%, Maturity Date 2046 08 [Member] | |||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||
Current Principal/Notional Amount | [1],[2] | 837 | |||||||||||||||||||
Securities collateralized by par value | [1],[2] | $ 930 | |||||||||||||||||||
Coupon rate on underlying collateral | [1],[2] | 2.25% | |||||||||||||||||||
Maturity date of securities | [1],[2] | 2046-08 | |||||||||||||||||||
Rate | [1],[2] | 1.30% | |||||||||||||||||||
Investments maturity date | [1],[2] | 2017-07 | |||||||||||||||||||
Fair value repurchase agreements | [1],[2] | $ 837 | |||||||||||||||||||
Repurchase Agreements [Member] | RBC Capital Markets LLC Collateralized by Par Value $960 Exchange-Traded Corporate Debt, Coupon 6.25%, Maturity Date 2022 10 [Member] | |||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||
Current Principal/Notional Amount | [1],[2] | 818 | |||||||||||||||||||
Securities collateralized by par value | [1],[2] | $ 960 | |||||||||||||||||||
Coupon rate on underlying collateral | [1],[2] | 6.25% | |||||||||||||||||||
Maturity date of securities | [1],[2] | 2022-10 | |||||||||||||||||||
Rate | [1],[2] | (6.38%) | |||||||||||||||||||
Investments maturity date | [1],[2] | 2017-07 | |||||||||||||||||||
Fair value repurchase agreements | [1],[2] | $ 818 | |||||||||||||||||||
Repurchase Agreements [Member] | RBC Capital Markets LLC Collateralized by Par Value $700 Exchange-Traded Corporate Debt, Coupon 5.25%, Maturity Date 2022 03 [Member] | |||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||
Current Principal/Notional Amount | [1],[2] | 733 | |||||||||||||||||||
Securities collateralized by par value | [1],[2] | $ 700 | |||||||||||||||||||
Coupon rate on underlying collateral | [1],[2] | 5.25% | |||||||||||||||||||
Maturity date of securities | [1],[2] | 2022-03 | |||||||||||||||||||
Rate | [1],[2] | 0.70% | |||||||||||||||||||
Investments maturity date | [1],[2] | 2017-07 | |||||||||||||||||||
Fair value repurchase agreements | [1],[2] | $ 733 | |||||||||||||||||||
Repurchase Agreements [Member] | RBC Capital Markets LLC Collateralized by Par Value $700 Exchange-Traded Corporate Debt, Coupon 5.25%, Maturity Date 2023 12 [Member] | |||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||
Current Principal/Notional Amount | [1],[2] | 693 | |||||||||||||||||||
Securities collateralized by par value | [1],[2] | $ 700 | |||||||||||||||||||
Coupon rate on underlying collateral | [1],[2] | 5.25% | |||||||||||||||||||
Maturity date of securities | [1],[2] | 2023-12 | |||||||||||||||||||
Rate | [1],[2] | 0.00% | |||||||||||||||||||
Investments maturity date | [1],[2] | 2017-07 | |||||||||||||||||||
Fair value repurchase agreements | [1],[2] | $ 693 | |||||||||||||||||||
Repurchase Agreements [Member] | RBC Capital Markets LLC Collateralized by Par Value $600 Exchange-Traded Corporate Debt, Coupon 5.88%, Maturity Date 2022 07 [Member] | |||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||
Current Principal/Notional Amount | [1],[2] | 669 | |||||||||||||||||||
Securities collateralized by par value | [1],[2] | $ 600 | |||||||||||||||||||
Coupon rate on underlying collateral | [1],[2] | 5.88% | |||||||||||||||||||
Maturity date of securities | [1],[2] | 2022-07 | |||||||||||||||||||
Rate | [1],[2] | 0.80% | |||||||||||||||||||
Investments maturity date | [1],[2] | 2017-07 | |||||||||||||||||||
Fair value repurchase agreements | [1],[2] | $ 669 | |||||||||||||||||||
Repurchase Agreements [Member] | JP Morgan Securities LLC Collateralized by Par Value $700 Exchange-Traded Corporate Debt, Coupon 6.25%, Maturity Date 2022 10 [Member] | |||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||
Current Principal/Notional Amount | [1],[2] | 622 | |||||||||||||||||||
Securities collateralized by par value | [1],[2] | $ 700 | |||||||||||||||||||
Coupon rate on underlying collateral | [1],[2] | 6.25% | |||||||||||||||||||
Maturity date of securities | [1],[2] | 2022-10 | |||||||||||||||||||
Rate | [1],[2] | (8.25%) | |||||||||||||||||||
Investments maturity date | [1],[2] | 2017-07 | |||||||||||||||||||
Fair value repurchase agreements | [1],[2] | $ 622 | |||||||||||||||||||
Repurchase Agreements [Member] | RBC Capital Markets LLC Collateralized by Par Value $530 Exchange-Traded Corporate Debt, Coupon 5.88%, Maturity Date 2024 11 [Member] | |||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||
Current Principal/Notional Amount | [1],[2] | 572 | |||||||||||||||||||
Securities collateralized by par value | [1],[2] | $ 530 | |||||||||||||||||||
Coupon rate on underlying collateral | [1],[2] | 5.88% | |||||||||||||||||||
Maturity date of securities | [1],[2] | 2024-11 | |||||||||||||||||||
Rate | [1],[2] | 0.80% | |||||||||||||||||||
Investments maturity date | [1],[2] | 2017-07 | |||||||||||||||||||
Fair value repurchase agreements | [1],[2] | $ 572 | |||||||||||||||||||
Repurchase Agreements [Member] | JP Morgan Securities LLC Collateralized by Par Value $560 Exchange-Traded Corporate Debt, Coupon 6.25%, Maturity Date 2021 09 [Member] | |||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||
Current Principal/Notional Amount | [1],[2] | 542 | |||||||||||||||||||
Securities collateralized by par value | [1],[2] | $ 560 | |||||||||||||||||||
Coupon rate on underlying collateral | [1],[2] | 6.25% | |||||||||||||||||||
Maturity date of securities | [1],[2] | 2021-09 | |||||||||||||||||||
Rate | [1],[2] | (1.50%) | |||||||||||||||||||
Investments maturity date | [1],[2] | 2017-07 | |||||||||||||||||||
Fair value repurchase agreements | [1],[2] | $ 542 | |||||||||||||||||||
Repurchase Agreements [Member] | RBC Capital Markets LLC Collateralized by Par Value $660 Exchange-Traded Corporate Debt, Coupon 5.50%, Maturity Date 2024 10 [Member] | |||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||
Current Principal/Notional Amount | [1],[2] | 538 | |||||||||||||||||||
Securities collateralized by par value | [1],[2] | $ 660 | |||||||||||||||||||
Coupon rate on underlying collateral | [1],[2] | 5.50% | |||||||||||||||||||
Maturity date of securities | [1],[2] | 2024-10 | |||||||||||||||||||
Rate | [1],[2] | (6.50%) | |||||||||||||||||||
Investments maturity date | [1],[2] | 2017-07 | |||||||||||||||||||
Fair value repurchase agreements | [1],[2] | $ 538 | |||||||||||||||||||
Repurchase Agreements [Member] | Barclays Capital Inc Collateralized by Par Value $550 Exchange-Traded Corporate Debt, Coupon 8.00%, Maturity Date 2027 06 [Member] | |||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||
Current Principal/Notional Amount | [1],[2] | 534 | |||||||||||||||||||
Securities collateralized by par value | [1],[2] | $ 550 | |||||||||||||||||||
Coupon rate on underlying collateral | [1],[2] | 8.00% | |||||||||||||||||||
Maturity date of securities | [1],[2] | 2027-06 | |||||||||||||||||||
Rate | [1],[2] | (1.75%) | |||||||||||||||||||
Investments maturity date | [1],[2] | 2017-07 | |||||||||||||||||||
Fair value repurchase agreements | [1],[2] | $ 534 | |||||||||||||||||||
Repurchase Agreements [Member] | RBC Capital Markets LLC Collateralized by Par Value $500 Exchange-Traded Corporate Debt, Coupon 5.75%, Maturity Date 2022 10 [Member] | |||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||
Current Principal/Notional Amount | [1],[2] | 523 | |||||||||||||||||||
Securities collateralized by par value | [1],[2] | $ 500 | |||||||||||||||||||
Coupon rate on underlying collateral | [1],[2] | 5.75% | |||||||||||||||||||
Maturity date of securities | [1],[2] | 2022-10 | |||||||||||||||||||
Rate | [1],[2] | 0.80% | |||||||||||||||||||
Investments maturity date | [1],[2] | 2017-07 | |||||||||||||||||||
Fair value repurchase agreements | [1],[2] | $ 523 | |||||||||||||||||||
Repurchase Agreements [Member] | JP Morgan Securities LLC Collateralized by Par Value $620 Exchange-Traded Corporate Debt, Coupon 5.50%, Maturity Date 2024 10 [Member] | |||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||
Current Principal/Notional Amount | [1],[2] | 504 | |||||||||||||||||||
Securities collateralized by par value | [1],[2] | $ 620 | |||||||||||||||||||
Coupon rate on underlying collateral | [1],[2] | 5.50% | |||||||||||||||||||
Maturity date of securities | [1],[2] | 2024-10 | |||||||||||||||||||
Rate | [1],[2] | (5.25%) | |||||||||||||||||||
Investments maturity date | [1],[2] | 2017-07 | |||||||||||||||||||
Fair value repurchase agreements | [1],[2] | $ 504 | |||||||||||||||||||
Repurchase Agreements [Member] | RBC Capital Markets LLC Collateralized by Par Value $530 Exchange-Traded Corporate Debt, Coupon 5.88%, Maturity Date 2020 10 [Member] | |||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||
Current Principal/Notional Amount | [1],[2] | 502 | |||||||||||||||||||
Securities collateralized by par value | [1],[2] | $ 530 | |||||||||||||||||||
Coupon rate on underlying collateral | [1],[2] | 5.88% | |||||||||||||||||||
Maturity date of securities | [1],[2] | 2020-10 | |||||||||||||||||||
Rate | [1],[2] | (2.50%) | |||||||||||||||||||
Investments maturity date | [1],[2] | 2017-07 | |||||||||||||||||||
Fair value repurchase agreements | [1],[2] | $ 502 | |||||||||||||||||||
Repurchase Agreements [Member] | RBC Capital Markets LLC Collateralized by Par Value $500 Exchange-Traded Corporate Debt, Coupon 4.00%, Maturity Date 2021 11 [Member] | |||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||
Current Principal/Notional Amount | [1],[2] | 493 | |||||||||||||||||||
Securities collateralized by par value | [1],[2] | $ 500 | |||||||||||||||||||
Coupon rate on underlying collateral | [1],[2] | 4.00% | |||||||||||||||||||
Maturity date of securities | [1],[2] | 2021-11 | |||||||||||||||||||
Rate | [1],[2] | (0.38%) | |||||||||||||||||||
Investments maturity date | [1],[2] | 2017-07 | |||||||||||||||||||
Fair value repurchase agreements | [1],[2] | $ 493 | |||||||||||||||||||
Repurchase Agreements [Member] | CS First Boston Collateralized by Par Value $464 Exchange-Traded Corporate Debt, Coupon 8.00%, Maturity Date 2025 01 [Member] | |||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||
Current Principal/Notional Amount | [1],[2] | 474 | |||||||||||||||||||
Securities collateralized by par value | [1],[2] | $ 464 | |||||||||||||||||||
Coupon rate on underlying collateral | [1],[2] | 8.00% | |||||||||||||||||||
Maturity date of securities | [1],[2] | 2025-01 | |||||||||||||||||||
Rate | [1],[2] | (4.75%) | |||||||||||||||||||
Investments maturity date | [1],[2] | 2017-07 | |||||||||||||||||||
Fair value repurchase agreements | [1],[2] | $ 474 | |||||||||||||||||||
Repurchase Agreements [Member] | RBC Capital Markets LLC Collateralized by Par Value $450 Exchange-Traded Corporate Debt, Coupon 5.75%, Maturity Date 2021 03 [Member] | |||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||
Current Principal/Notional Amount | [1],[2] | 444 | |||||||||||||||||||
Securities collateralized by par value | [1],[2] | $ 450 | |||||||||||||||||||
Coupon rate on underlying collateral | [1],[2] | 5.75% | |||||||||||||||||||
Maturity date of securities | [1],[2] | 2021-03 | |||||||||||||||||||
Rate | [1],[2] | (1.75%) | |||||||||||||||||||
Investments maturity date | [1],[2] | 2017-07 | |||||||||||||||||||
Fair value repurchase agreements | [1],[2] | $ 444 | |||||||||||||||||||
Repurchase Agreements [Member] | RBC Capital Markets LLC Collateralized by Par Value $360 Exchange-Traded Corporate Debt, Coupon 5.13%, Maturity Date 2023 11 [Member] | |||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||
Current Principal/Notional Amount | [1],[2] | 381 | |||||||||||||||||||
Securities collateralized by par value | [1],[2] | $ 360 | |||||||||||||||||||
Coupon rate on underlying collateral | [1],[2] | 5.13% | |||||||||||||||||||
Maturity date of securities | [1],[2] | 2023-11 | |||||||||||||||||||
Rate | [1],[2] | 0.80% | |||||||||||||||||||
Investments maturity date | [1],[2] | 2017-07 | |||||||||||||||||||
Fair value repurchase agreements | [1],[2] | $ 381 | |||||||||||||||||||
Repurchase Agreements [Member] | Barclays Capital Inc Collateralized by Par Value $270 Exchange-Traded Corporate Debt, Coupon 6.25%, Maturity Date 2022 10 [Member] | |||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||
Current Principal/Notional Amount | [1],[2] | 237 | |||||||||||||||||||
Securities collateralized by par value | [1],[2] | $ 270 | |||||||||||||||||||
Coupon rate on underlying collateral | [1],[2] | 6.25% | |||||||||||||||||||
Maturity date of securities | [1],[2] | 2022-10 | |||||||||||||||||||
Rate | [1],[2] | (8.00%) | |||||||||||||||||||
Investments maturity date | [1],[2] | 2017-07 | |||||||||||||||||||
Fair value repurchase agreements | [1],[2] | $ 237 | |||||||||||||||||||
Repurchase Agreements [Member] | Societe Generale Collateralized by Par Value $120 Exchange-Traded Corporate Debt, Coupon 5.38%, Maturity Date 2023 04 [Member] | |||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||
Current Principal/Notional Amount | [1],[2] | 132 | |||||||||||||||||||
Securities collateralized by par value | [1],[2] | $ 120 | |||||||||||||||||||
Coupon rate on underlying collateral | [1],[2] | 5.38% | |||||||||||||||||||
Maturity date of securities | [1],[2] | 2023-04 | |||||||||||||||||||
Rate | [1],[2] | 0.85% | |||||||||||||||||||
Investments maturity date | [1],[2] | 2017-07 | |||||||||||||||||||
Fair value repurchase agreements | [1],[2] | $ 132 | |||||||||||||||||||
Repurchase Agreements [Member] | Barclays Capital Inc Collateralized by Par Value $120 Exchange-Traded Corporate Debt, Coupon 7.38%, Maturity Date 2021 01 [Member] | |||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||
Current Principal/Notional Amount | [1],[2] | 121 | |||||||||||||||||||
Securities collateralized by par value | [1],[2] | $ 120 | |||||||||||||||||||
Coupon rate on underlying collateral | [1],[2] | 7.38% | |||||||||||||||||||
Maturity date of securities | [1],[2] | 2021-01 | |||||||||||||||||||
Rate | [1],[2] | (4.50%) | |||||||||||||||||||
Investments maturity date | [1],[2] | 2017-07 | |||||||||||||||||||
Fair value repurchase agreements | [1],[2] | $ 121 | |||||||||||||||||||
Repurchase Agreements [Member] | Bank of America Securities Collateralized by Par Value $80 U.S. Treasury Note, Coupon 1.88%, Maturity Date 2022 04 [Member] | |||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||
Current Principal/Notional Amount | [1],[2] | 81 | |||||||||||||||||||
Securities collateralized by par value | [1],[2] | $ 80 | |||||||||||||||||||
Coupon rate on underlying collateral | [1],[2] | 1.88% | |||||||||||||||||||
Maturity date of securities | [1],[2] | 2022-04 | |||||||||||||||||||
Rate | [1],[2] | 1.30% | |||||||||||||||||||
Investments maturity date | [1],[2] | 2017-07 | |||||||||||||||||||
Fair value repurchase agreements | [1],[2] | $ 81 | |||||||||||||||||||
Repurchase Agreements [Member] | Societe Generale Collateralized by Par Value $40 Exchange-Traded Corporate Debt, Coupon 5.75%, Maturity Date 2023 03 [Member] | |||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||
Current Principal/Notional Amount | [1],[2] | 44 | |||||||||||||||||||
Securities collateralized by par value | [1],[2] | $ 40 | |||||||||||||||||||
Coupon rate on underlying collateral | [1],[2] | 5.75% | |||||||||||||||||||
Maturity date of securities | [1],[2] | 2023-03 | |||||||||||||||||||
Rate | [1],[2] | 0.85% | |||||||||||||||||||
Investments maturity date | [1],[2] | 2017-07 | |||||||||||||||||||
Fair value repurchase agreements | [1],[2] | $ 44 | |||||||||||||||||||
Repurchase Agreements [Member] | JP Morgan Securities Collateralized by Par Value $48,133 U.S. Treasury Note, Coupon 2.00 Percent, Maturity Date 2026 11 | |||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||
Current Principal/Notional Amount | [3],[4] | 46,749 | |||||||||||||||||||
Securities collateralized by par value | [3],[4] | $ 48,133 | |||||||||||||||||||
Coupon rate on underlying collateral | [3],[4] | 2.00% | |||||||||||||||||||
Maturity date of securities | [3],[4] | 2026-11 | |||||||||||||||||||
Rate | [3],[4] | (1.15%) | |||||||||||||||||||
Investments maturity date | [3],[4] | 2017-01 | |||||||||||||||||||
Fair value repurchase agreements | [3],[4] | $ 46,749 | |||||||||||||||||||
Repurchase Agreements [Member] | JP Morgan Securities LLC Collateralized by Par Value $14,507 Sovereign Government Bond, Coupon 0.25 Percent, Maturity Date 2018 04 | |||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||
Current Principal/Notional Amount | [3],[4] | 14,900 | |||||||||||||||||||
Securities collateralized by par value | [3],[4] | $ 14,507 | |||||||||||||||||||
Coupon rate on underlying collateral | [3],[4] | 0.25% | |||||||||||||||||||
Maturity date of securities | [3],[4] | 2018-04 | |||||||||||||||||||
Rate | [3],[4] | (0.89%) | |||||||||||||||||||
Investments maturity date | [3],[4] | 2017-01 | |||||||||||||||||||
Fair value repurchase agreements | [3],[4] | $ 14,900 | |||||||||||||||||||
Repurchase Agreements [Member] | JP Morgan Securities LLC Collateralized by Par Value $12,498 Sovereign Government Bond, Coupon 0.25 Percent, Maturity Date 2020 11 | |||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||
Current Principal/Notional Amount | [3],[4] | 12,912 | |||||||||||||||||||
Securities collateralized by par value | [3],[4] | $ 12,498 | |||||||||||||||||||
Coupon rate on underlying collateral | [3],[4] | 0.25% | |||||||||||||||||||
Maturity date of securities | [3],[4] | 2020-11 | |||||||||||||||||||
Rate | [3],[4] | (1.10%) | |||||||||||||||||||
Investments maturity date | [3],[4] | 2017-01 | |||||||||||||||||||
Fair value repurchase agreements | [3],[4] | $ 12,912 | |||||||||||||||||||
Repurchase Agreements [Member] | JP Morgan Securities LLC Collateralized by Par Value $12,160 U.S. Treasury Note, Coupon 1.50 Percent, Maturity Date 2026 08 | |||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||
Current Principal/Notional Amount | [3],[4] | 11,324 | |||||||||||||||||||
Securities collateralized by par value | [3],[4] | $ 12,160 | |||||||||||||||||||
Coupon rate on underlying collateral | [3],[4] | 1.50% | |||||||||||||||||||
Maturity date of securities | [3],[4] | 2026-08 | |||||||||||||||||||
Rate | [3],[4] | (0.30%) | |||||||||||||||||||
Investments maturity date | [3],[4] | 2017-01 | |||||||||||||||||||
Fair value repurchase agreements | [3],[4] | $ 11,324 | |||||||||||||||||||
Repurchase Agreements [Member] | JP Morgan Securities LLC Collateralized by Par Value $9,176 Sovereign Government Bond, Coupon 0.75 Percent, Maturity Date 2021 07 | |||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||
Current Principal/Notional Amount | [3],[4] | 9,494 | |||||||||||||||||||
Securities collateralized by par value | [3],[4] | $ 9,176 | |||||||||||||||||||
Coupon rate on underlying collateral | [3],[4] | 0.75% | |||||||||||||||||||
Maturity date of securities | [3],[4] | 2021-07 | |||||||||||||||||||
Rate | [3],[4] | (0.89%) | |||||||||||||||||||
Investments maturity date | [3],[4] | 2017-01 | |||||||||||||||||||
Fair value repurchase agreements | [3],[4] | $ 9,494 | |||||||||||||||||||
Repurchase Agreements [Member] | JP Morgan Securities LLC Collateralized by Par Value $8,322 Sovereign Government Bond, Coupon 2.75 Percent, Maturity Date 2019 04 | |||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||
Current Principal/Notional Amount | [3],[4] | 9,165 | |||||||||||||||||||
Securities collateralized by par value | [3],[4] | $ 8,322 | |||||||||||||||||||
Coupon rate on underlying collateral | [3],[4] | 2.75% | |||||||||||||||||||
Maturity date of securities | [3],[4] | 2019-04 | |||||||||||||||||||
Rate | [3],[4] | (0.80%) | |||||||||||||||||||
Investments maturity date | [3],[4] | 2017-01 | |||||||||||||||||||
Fair value repurchase agreements | [3],[4] | $ 9,165 | |||||||||||||||||||
Repurchase Agreements [Member] | JP Morgan Securities LLC Collateralized by Par Value $8,257 Sovereign Government Bond, Coupon 1.15 Percent, Maturity Date 2020 07 | |||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||
Current Principal/Notional Amount | [3],[4] | 8,725 | |||||||||||||||||||
Securities collateralized by par value | [3],[4] | $ 8,257 | |||||||||||||||||||
Coupon rate on underlying collateral | [3],[4] | 1.15% | |||||||||||||||||||
Maturity date of securities | [3],[4] | 2020-07 | |||||||||||||||||||
Rate | [3],[4] | (0.81%) | |||||||||||||||||||
Investments maturity date | [3],[4] | 2017-01 | |||||||||||||||||||
Fair value repurchase agreements | [3],[4] | $ 8,725 | |||||||||||||||||||
Repurchase Agreements [Member] | JP Morgan Securities LLC Collateralized by Par Value $8,257 Sovereign Government Bond, Coupon 0.65 Percent, Maturity Date 2020 11 | |||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||
Current Principal/Notional Amount | [3],[4] | 8,447 | |||||||||||||||||||
Securities collateralized by par value | [3],[4] | $ 8,257 | |||||||||||||||||||
Coupon rate on underlying collateral | [3],[4] | 0.65% | |||||||||||||||||||
Maturity date of securities | [3],[4] | 2020-11 | |||||||||||||||||||
Rate | [3],[4] | (0.95%) | |||||||||||||||||||
Investments maturity date | [3],[4] | 2017-01 | |||||||||||||||||||
Fair value repurchase agreements | [3],[4] | $ 8,447 | |||||||||||||||||||
Repurchase Agreements [Member] | RBC Capital Market LLC Collateralized by Par Value $6,300 Exchange-Traded Corporate Debt, Coupon 6.25 Percent, Maturity Date 2021 09 | |||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||
Current Principal/Notional Amount | [3],[4] | 5,827 | |||||||||||||||||||
Securities collateralized by par value | [3],[4] | $ 6,300 | |||||||||||||||||||
Coupon rate on underlying collateral | [3],[4] | 6.25% | |||||||||||||||||||
Maturity date of securities | [3],[4] | 2021-09 | |||||||||||||||||||
Rate | [3],[4] | (0.35%) | |||||||||||||||||||
Investments maturity date | [3],[4] | 2017-01 | |||||||||||||||||||
Fair value repurchase agreements | [3],[4] | $ 5,827 | |||||||||||||||||||
Repurchase Agreements [Member] | Bank of America Securities Collateralized by Par Value $4,726 U.S. Treasury Note, Coupon 1.75 Percent, Maturity Date 2021 11 | |||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||
Current Principal/Notional Amount | [3],[4] | 4,691 | |||||||||||||||||||
Securities collateralized by par value | [3],[4] | $ 4,726 | |||||||||||||||||||
Coupon rate on underlying collateral | [3],[4] | 1.75% | |||||||||||||||||||
Maturity date of securities | [3],[4] | 2021-11 | |||||||||||||||||||
Rate | [3],[4] | (3.00%) | |||||||||||||||||||
Investments maturity date | [3],[4] | 2017-01 | |||||||||||||||||||
Fair value repurchase agreements | [3],[4] | $ 4,691 | |||||||||||||||||||
Repurchase Agreements [Member] | RBC Capital Markets LLC Collateralized by Par Value $3,274 Exchange-Traded Corporate Debt, Coupon 6.25 Percent, Maturity Date 2022 07 | |||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||
Current Principal/Notional Amount | [3],[4] | 3,274 | |||||||||||||||||||
Securities collateralized by par value | [3],[4] | $ 3,274 | |||||||||||||||||||
Coupon rate on underlying collateral | [3],[4] | 6.25% | |||||||||||||||||||
Maturity date of securities | [3],[4] | 2022-07 | |||||||||||||||||||
Rate | [3],[4] | 0.30% | |||||||||||||||||||
Investments maturity date | [3],[4] | 2017-01 | |||||||||||||||||||
Fair value repurchase agreements | [3],[4] | $ 3,274 | |||||||||||||||||||
Repurchase Agreements [Member] | RBC Capital Markets LLC Collateralized by Par Value $3,100 Exchange-Traded Corporate Debt, Coupon 8.00 Percent, Maturity Date 2025 01 | |||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||
Current Principal/Notional Amount | [3],[4] | 3,147 | |||||||||||||||||||
Securities collateralized by par value | [3],[4] | $ 3,100 | |||||||||||||||||||
Coupon rate on underlying collateral | [3],[4] | 8.00% | |||||||||||||||||||
Maturity date of securities | [3],[4] | 2025-01 | |||||||||||||||||||
Rate | [3],[4] | (1.00%) | |||||||||||||||||||
Investments maturity date | [3],[4] | 2017-01 | |||||||||||||||||||
Fair value repurchase agreements | [3],[4] | $ 3,147 | |||||||||||||||||||
Repurchase Agreements [Member] | Bank of America Securities Collateralized by Par Value $3,230 U.S. Treasury Note, Coupon 1.13 Percent, Maturity Date 2021 08 | |||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||
Current Principal/Notional Amount | [3],[4] | 3,125 | |||||||||||||||||||
Securities collateralized by par value | [3],[4] | $ 3,230 | |||||||||||||||||||
Coupon rate on underlying collateral | [3],[4] | 1.13% | |||||||||||||||||||
Maturity date of securities | [3],[4] | 2021-08 | |||||||||||||||||||
Rate | [3],[4] | 0.10% | |||||||||||||||||||
Investments maturity date | [3],[4] | 2017-01 | |||||||||||||||||||
Fair value repurchase agreements | [3],[4] | $ 3,125 | |||||||||||||||||||
Repurchase Agreements [Member] | Barclays Capital Inc Collateralized by Par Value $3,050 Exchange-Traded Corporate Debt, Coupon 4.00 Percent, Maturity Date 2021 11 | |||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||
Current Principal/Notional Amount | [3],[4] | 3,006 | |||||||||||||||||||
Securities collateralized by par value | [3],[4] | $ 3,050 | |||||||||||||||||||
Coupon rate on underlying collateral | [3],[4] | 4.00% | |||||||||||||||||||
Maturity date of securities | [3],[4] | 2021-11 | |||||||||||||||||||
Rate | [3],[4] | (0.50%) | |||||||||||||||||||
Investments maturity date | [3],[4] | 2017-01 | |||||||||||||||||||
Fair value repurchase agreements | [3],[4] | $ 3,006 | |||||||||||||||||||
Repurchase Agreements [Member] | RBC Capital Markets LLC Collateralized by Par Value $3,032 Exchange-Traded Corporate Debt, Coupon 4.50 Percent, Maturity Date 2022 04 | |||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||
Current Principal/Notional Amount | [3],[4] | 2,774 | |||||||||||||||||||
Securities collateralized by par value | [3],[4] | $ 3,032 | |||||||||||||||||||
Coupon rate on underlying collateral | [3],[4] | 4.50% | |||||||||||||||||||
Maturity date of securities | [3],[4] | 2022-04 | |||||||||||||||||||
Rate | [3],[4] | (4.50%) | |||||||||||||||||||
Investments maturity date | [3],[4] | 2017-01 | |||||||||||||||||||
Fair value repurchase agreements | [3],[4] | $ 2,774 | |||||||||||||||||||
Repurchase Agreements [Member] | Societe Generale Collateralized by Par Value $2,532 Exchange-Traded Corporate Debt, Coupon 4.00 Percent, Maturity Date 2021 11 | |||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||
Current Principal/Notional Amount | [3],[4] | 2,534 | |||||||||||||||||||
Securities collateralized by par value | [3],[4] | $ 2,532 | |||||||||||||||||||
Coupon rate on underlying collateral | [3],[4] | 4.00% | |||||||||||||||||||
Maturity date of securities | [3],[4] | 2021-11 | |||||||||||||||||||
Rate | [3],[4] | (0.50%) | |||||||||||||||||||
Investments maturity date | [3],[4] | 2017-01 | |||||||||||||||||||
Fair value repurchase agreements | [3],[4] | $ 2,534 | |||||||||||||||||||
Repurchase Agreements [Member] | JP Morgan Securities LLC Collateralized by Par Value $2,090 Exchange-Traded Corporate Debt, Coupon 6.25 Percent, Maturity Date 2022 10 | |||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||
Current Principal/Notional Amount | [3],[4] | 2,232 | |||||||||||||||||||
Securities collateralized by par value | [3],[4] | $ 2,090 | |||||||||||||||||||
Coupon rate on underlying collateral | [3],[4] | 6.25% | |||||||||||||||||||
Maturity date of securities | [3],[4] | 2022-10 | |||||||||||||||||||
Rate | [3],[4] | (2.50%) | |||||||||||||||||||
Investments maturity date | [3],[4] | 2017-01 | |||||||||||||||||||
Fair value repurchase agreements | [3],[4] | $ 2,232 | |||||||||||||||||||
Repurchase Agreements [Member] | Bank of America Securities Collateralized by Par Value $1,968 U.S. Treasury Note, Coupon 1.13 Percent, Maturity Date 2021 09 | |||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||
Current Principal/Notional Amount | [3],[4] | 1,899 | |||||||||||||||||||
Securities collateralized by par value | [3],[4] | $ 1,968 | |||||||||||||||||||
Coupon rate on underlying collateral | [3],[4] | 1.13% | |||||||||||||||||||
Maturity date of securities | [3],[4] | 2021-09 | |||||||||||||||||||
Rate | [3],[4] | 0.10% | |||||||||||||||||||
Investments maturity date | [3],[4] | 2017-01 | |||||||||||||||||||
Fair value repurchase agreements | [3],[4] | $ 1,899 | |||||||||||||||||||
Repurchase Agreements [Member] | Barclays Capital Inc Collateralized by Par Value $1,864 Exchange-Traded Corporate Debt, Coupon 4.88 Percent, Maturity Date 2022 04 | |||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||
Current Principal/Notional Amount | [3],[4] | 1,777 | |||||||||||||||||||
Securities collateralized by par value | [3],[4] | $ 1,864 | |||||||||||||||||||
Coupon rate on underlying collateral | [3],[4] | 4.88% | |||||||||||||||||||
Maturity date of securities | [3],[4] | 2022-04 | |||||||||||||||||||
Rate | [3],[4] | (2.25%) | |||||||||||||||||||
Investments maturity date | [3],[4] | 2017-01 | |||||||||||||||||||
Fair value repurchase agreements | [3],[4] | $ 1,777 | |||||||||||||||||||
Repurchase Agreements [Member] | RBC Capital Markets LLC Collateralized by Par Value $1,550 Exchange-Traded Corporate Debt, Coupon 8.00 Percent, Maturity Date 2025 01 | |||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||
Current Principal/Notional Amount | [3],[4] | 1,573 | |||||||||||||||||||
Securities collateralized by par value | [3],[4] | $ 1,550 | |||||||||||||||||||
Coupon rate on underlying collateral | [3],[4] | 8.00% | |||||||||||||||||||
Maturity date of securities | [3],[4] | 2025-01 | |||||||||||||||||||
Rate | [3],[4] | (1.50%) | |||||||||||||||||||
Investments maturity date | [3],[4] | 2017-01 | |||||||||||||||||||
Fair value repurchase agreements | [3],[4] | $ 1,573 | |||||||||||||||||||
Repurchase Agreements [Member] | JP Morgan Securities LLC Collateralized by Par Value $1,556 Exchange-Traded Corporate Debt, Coupon 4.88 Percent, Maturity Date 2022 04 | |||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||
Current Principal/Notional Amount | [3],[4] | 1,503 | |||||||||||||||||||
Securities collateralized by par value | [3],[4] | $ 1,556 | |||||||||||||||||||
Coupon rate on underlying collateral | [3],[4] | 4.88% | |||||||||||||||||||
Maturity date of securities | [3],[4] | 2022-04 | |||||||||||||||||||
Rate | [3],[4] | (2.50%) | |||||||||||||||||||
Investments maturity date | [3],[4] | 2017-01 | |||||||||||||||||||
Fair value repurchase agreements | [3],[4] | $ 1,503 | |||||||||||||||||||
Repurchase Agreements [Member] | RBC Capital Markets LLC Collateralized by Par Value $1,560 Exchange-Traded Corporate Debt, Coupon 3.88 Percent, Maturity Date 2023 03 | |||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||
Current Principal/Notional Amount | [3],[4] | 1,435 | |||||||||||||||||||
Securities collateralized by par value | [3],[4] | $ 1,560 | |||||||||||||||||||
Coupon rate on underlying collateral | [3],[4] | 3.88% | |||||||||||||||||||
Maturity date of securities | [3],[4] | 2023-03 | |||||||||||||||||||
Rate | [3],[4] | 0.30% | |||||||||||||||||||
Investments maturity date | [3],[4] | 2017-01 | |||||||||||||||||||
Fair value repurchase agreements | [3],[4] | $ 1,435 | |||||||||||||||||||
Repurchase Agreements [Member] | Societe Generale Collateralized by Par Value $1,240 Exchange-Traded Corporate Debt, Coupon 9.25 Percent, Maturity Date 2021 07 | |||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||
Current Principal/Notional Amount | [3],[4] | 1,369 | |||||||||||||||||||
Securities collateralized by par value | [3],[4] | $ 1,240 | |||||||||||||||||||
Coupon rate on underlying collateral | [3],[4] | 9.25% | |||||||||||||||||||
Maturity date of securities | [3],[4] | 2021-07 | |||||||||||||||||||
Rate | [3],[4] | 0.35% | |||||||||||||||||||
Investments maturity date | [3],[4] | 2017-01 | |||||||||||||||||||
Fair value repurchase agreements | [3],[4] | $ 1,369 | |||||||||||||||||||
Repurchase Agreements [Member] | Bank of America Securities Collateralized by Par Value $1,305 U.S. Treasury Note, Coupon 1.38 Percent, Maturity Date 2021 04 | |||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||
Current Principal/Notional Amount | [3],[4] | 1,281 | |||||||||||||||||||
Securities collateralized by par value | [3],[4] | $ 1,305 | |||||||||||||||||||
Coupon rate on underlying collateral | [3],[4] | 1.38% | |||||||||||||||||||
Maturity date of securities | [3],[4] | 2021-04 | |||||||||||||||||||
Rate | [3],[4] | 0.25% | |||||||||||||||||||
Investments maturity date | [3],[4] | 2017-01 | |||||||||||||||||||
Fair value repurchase agreements | [3],[4] | $ 1,281 | |||||||||||||||||||
Repurchase Agreements [Member] | RBC Capital Markets LLC Collateralized by Par Value $1,190 Exchange-Traded Corporate Debt, Coupon 3.88 Percent, Maturity Date 2022 01 | |||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||
Current Principal/Notional Amount | [3],[4] | 1,214 | |||||||||||||||||||
Securities collateralized by par value | [3],[4] | $ 1,190 | |||||||||||||||||||
Coupon rate on underlying collateral | [3],[4] | 3.88% | |||||||||||||||||||
Maturity date of securities | [3],[4] | 2022-01 | |||||||||||||||||||
Rate | [3],[4] | 0.25% | |||||||||||||||||||
Investments maturity date | [3],[4] | 2017-01 | |||||||||||||||||||
Fair value repurchase agreements | [3],[4] | $ 1,214 | |||||||||||||||||||
Repurchase Agreements [Member] | RBC Capital Markets LLC Collateralized by Par Value $1,300 Exchange-Traded Corporate Debt, Coupon 5.50 Percent, Maturity Date 2024 10 | |||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||
Current Principal/Notional Amount | [3],[4] | 1,147 | |||||||||||||||||||
Securities collateralized by par value | [3],[4] | $ 1,300 | |||||||||||||||||||
Coupon rate on underlying collateral | [3],[4] | 5.50% | |||||||||||||||||||
Maturity date of securities | [3],[4] | 2024-10 | |||||||||||||||||||
Rate | [3],[4] | (1.75%) | |||||||||||||||||||
Investments maturity date | [3],[4] | 2017-01 | |||||||||||||||||||
Fair value repurchase agreements | [3],[4] | $ 1,147 | |||||||||||||||||||
Repurchase Agreements [Member] | RBC Capital Markets LLC Collateralized by Par Value $1,130 Exchange-Traded Corporate Debt, Coupon 4.13 Percent, Maturity Date 2022 02 | |||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||
Current Principal/Notional Amount | [3],[4] | 1,119 | |||||||||||||||||||
Securities collateralized by par value | [3],[4] | $ 1,130 | |||||||||||||||||||
Coupon rate on underlying collateral | [3],[4] | 4.13% | |||||||||||||||||||
Maturity date of securities | [3],[4] | 2022-02 | |||||||||||||||||||
Rate | [3],[4] | 0.30% | |||||||||||||||||||
Investments maturity date | [3],[4] | 2017-01 | |||||||||||||||||||
Fair value repurchase agreements | [3],[4] | $ 1,119 | |||||||||||||||||||
Repurchase Agreements [Member] | JP Morgan Securities LLC Collateralized by Par Value $1,008 Exchange-Traded Corporate Debt, Coupon 4.00 Percent, Maturity Date 2021 11 | |||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||
Current Principal/Notional Amount | [3],[4] | 975 | |||||||||||||||||||
Securities collateralized by par value | [3],[4] | $ 1,008 | |||||||||||||||||||
Coupon rate on underlying collateral | [3],[4] | 4.00% | |||||||||||||||||||
Maturity date of securities | [3],[4] | 2021-11 | |||||||||||||||||||
Rate | [3],[4] | (0.65%) | |||||||||||||||||||
Investments maturity date | [3],[4] | 2017-01 | |||||||||||||||||||
Fair value repurchase agreements | [3],[4] | $ 975 | |||||||||||||||||||
Repurchase Agreements [Member] | Societe Generale Collateralized by Par Value $850 Exchange-Traded Corporate Debt, Coupon 3.88 Percent, Maturity Date 2022 01 | |||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||
Current Principal/Notional Amount | [3],[4] | 909 | |||||||||||||||||||
Securities collateralized by par value | [3],[4] | $ 850 | |||||||||||||||||||
Coupon rate on underlying collateral | [3],[4] | 3.88% | |||||||||||||||||||
Maturity date of securities | [3],[4] | 2022-01 | |||||||||||||||||||
Rate | [3],[4] | 0.35% | |||||||||||||||||||
Investments maturity date | [3],[4] | 2017-01 | |||||||||||||||||||
Fair value repurchase agreements | [3],[4] | $ 909 | |||||||||||||||||||
Repurchase Agreements [Member] | JP Morgan Securities LLC Collateralized by Par Value $840 Exchange-Traded Corporate Debt, Coupon 4.00 Percent, Maturity Date 2021 11 | |||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||
Current Principal/Notional Amount | [3],[4] | 817 | |||||||||||||||||||
Securities collateralized by par value | [3],[4] | $ 840 | |||||||||||||||||||
Coupon rate on underlying collateral | [3],[4] | 4.00% | |||||||||||||||||||
Maturity date of securities | [3],[4] | 2021-11 | |||||||||||||||||||
Rate | [3],[4] | (0.50%) | |||||||||||||||||||
Investments maturity date | [3],[4] | 2017-01 | |||||||||||||||||||
Fair value repurchase agreements | [3],[4] | $ 817 | |||||||||||||||||||
Repurchase Agreements [Member] | RBC Capital Markets LLC Collateralized by Par Value $780 Exchange-Traded Corporate Debt, Coupon 6.25 Percent, Maturity Date 2022 10 | |||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||
Current Principal/Notional Amount | [3],[4] | 795 | |||||||||||||||||||
Securities collateralized by par value | [3],[4] | $ 780 | |||||||||||||||||||
Coupon rate on underlying collateral | [3],[4] | 6.25% | |||||||||||||||||||
Maturity date of securities | [3],[4] | 2022-10 | |||||||||||||||||||
Rate | [3],[4] | (2.50%) | |||||||||||||||||||
Investments maturity date | [3],[4] | 2017-01 | |||||||||||||||||||
Fair value repurchase agreements | [3],[4] | $ 795 | |||||||||||||||||||
Repurchase Agreements [Member] | JP Morgan Securities LLC Collateralized by Par Value $800 U.S. Treasury Note, Coupon 1.25 Percent, Maturity Date 2021 10 | |||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||
Current Principal/Notional Amount | [3],[4] | 780 | |||||||||||||||||||
Securities collateralized by par value | [3],[4] | $ 800 | |||||||||||||||||||
Coupon rate on underlying collateral | [3],[4] | 1.25% | |||||||||||||||||||
Maturity date of securities | [3],[4] | 2021-10 | |||||||||||||||||||
Rate | [3],[4] | (2.80%) | |||||||||||||||||||
Investments maturity date | [3],[4] | 2017-01 | |||||||||||||||||||
Fair value repurchase agreements | [3],[4] | $ 780 | |||||||||||||||||||
Repurchase Agreements [Member] | Barclays Capital Inc Collateralized by Par Value $819 Exchange-Traded Corporate Debt, Coupon 4.50 Percent, Maturity Date 2022 04 | |||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||
Current Principal/Notional Amount | [3],[4] | 760 | |||||||||||||||||||
Securities collateralized by par value | [3],[4] | $ 819 | |||||||||||||||||||
Coupon rate on underlying collateral | [3],[4] | 4.50% | |||||||||||||||||||
Maturity date of securities | [3],[4] | 2022-04 | |||||||||||||||||||
Rate | [3],[4] | (4.75%) | |||||||||||||||||||
Investments maturity date | [3],[4] | 2017-01 | |||||||||||||||||||
Fair value repurchase agreements | [3],[4] | $ 760 | |||||||||||||||||||
Repurchase Agreements [Member] | RBC Capital Markets LLC Collateralized by Par Value $650 Exchange-Traded Corporate Debt, Coupon 5.25 Percent, Maturity Date 2022 09 | |||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||
Current Principal/Notional Amount | [3],[4] | 674 | |||||||||||||||||||
Securities collateralized by par value | [3],[4] | $ 650 | |||||||||||||||||||
Coupon rate on underlying collateral | [3],[4] | 5.25% | |||||||||||||||||||
Maturity date of securities | [3],[4] | 2022-09 | |||||||||||||||||||
Rate | [3],[4] | 0.30% | |||||||||||||||||||
Investments maturity date | [3],[4] | 2017-01 | |||||||||||||||||||
Fair value repurchase agreements | [3],[4] | $ 674 | |||||||||||||||||||
Repurchase Agreements [Member] | RBC Capital Markets LLC Collateralized by Par Value $620 Exchange-Traded Corporate Debt, Coupon 6.38 Percent, Maturity Date 2026 04 | |||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||
Current Principal/Notional Amount | [3],[4] | 673 | |||||||||||||||||||
Securities collateralized by par value | [3],[4] | $ 620 | |||||||||||||||||||
Coupon rate on underlying collateral | [3],[4] | 6.38% | |||||||||||||||||||
Maturity date of securities | [3],[4] | 2026-04 | |||||||||||||||||||
Rate | [3],[4] | 0.30% | |||||||||||||||||||
Investments maturity date | [3],[4] | 2017-01 | |||||||||||||||||||
Fair value repurchase agreements | [3],[4] | $ 673 | |||||||||||||||||||
Repurchase Agreements [Member] | RBC Capital Markets LLC Collateralized by Par Value $620 Exchange-Traded Corporate Debt, Coupon 6.88 Percent, Maturity Date 2023 05 | |||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||
Current Principal/Notional Amount | [3],[4] | 671 | |||||||||||||||||||
Securities collateralized by par value | [3],[4] | $ 620 | |||||||||||||||||||
Coupon rate on underlying collateral | [3],[4] | 6.88% | |||||||||||||||||||
Maturity date of securities | [3],[4] | 2023-05 | |||||||||||||||||||
Rate | [3],[4] | 0.30% | |||||||||||||||||||
Investments maturity date | [3],[4] | 2017-01 | |||||||||||||||||||
Fair value repurchase agreements | [3],[4] | $ 671 | |||||||||||||||||||
Repurchase Agreements [Member] | JP Morgan Securities Collateralized by Par Value $620 Exchange-Traded Corporate Debt, Coupon 5.50 Percent, Maturity Date 2024 10 | |||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||
Current Principal/Notional Amount | [3],[4] | 587 | |||||||||||||||||||
Securities collateralized by par value | [3],[4] | $ 620 | |||||||||||||||||||
Coupon rate on underlying collateral | [3],[4] | 5.50% | |||||||||||||||||||
Maturity date of securities | [3],[4] | 2024-10 | |||||||||||||||||||
Rate | [3],[4] | (1.50%) | |||||||||||||||||||
Investments maturity date | [3],[4] | 2017-01 | |||||||||||||||||||
Fair value repurchase agreements | [3],[4] | $ 587 | |||||||||||||||||||
Repurchase Agreements [Member] | JP Morgan Securities LLC Collateralized by Par Value $570 Exchange-Traded Corporate Debt, Coupon 4.00 Percent, Maturity Date 2021 11 | |||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||
Current Principal/Notional Amount | [3],[4] | 566 | |||||||||||||||||||
Securities collateralized by par value | [3],[4] | $ 570 | |||||||||||||||||||
Coupon rate on underlying collateral | [3],[4] | 4.00% | |||||||||||||||||||
Maturity date of securities | [3],[4] | 2021-11 | |||||||||||||||||||
Rate | [3],[4] | (0.35%) | |||||||||||||||||||
Investments maturity date | [3],[4] | 2017-01 | |||||||||||||||||||
Fair value repurchase agreements | [3],[4] | $ 566 | |||||||||||||||||||
Repurchase Agreements [Member] | Barclays Capital Inc Collateralized by Par Value $550 Exchange-Traded Corporate Debt, Coupon 2.40 Percent, Maturity Date 2022 12 | |||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||
Current Principal/Notional Amount | [3],[4] | 562 | |||||||||||||||||||
Securities collateralized by par value | [3],[4] | $ 550 | |||||||||||||||||||
Coupon rate on underlying collateral | [3],[4] | 2.40% | |||||||||||||||||||
Maturity date of securities | [3],[4] | 2022-12 | |||||||||||||||||||
Rate | [3],[4] | (0.10%) | |||||||||||||||||||
Investments maturity date | [3],[4] | 2017-01 | |||||||||||||||||||
Fair value repurchase agreements | [3],[4] | $ 562 | |||||||||||||||||||
Repurchase Agreements [Member] | RBC Capital Markets LLC Collateralized by Par Value $560 Exchange-Traded Corporate Debt, Coupon 4.00 Percent, Maturity Date 2021 11 | |||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||
Current Principal/Notional Amount | [3],[4] | 545 | |||||||||||||||||||
Securities collateralized by par value | [3],[4] | $ 560 | |||||||||||||||||||
Coupon rate on underlying collateral | [3],[4] | 4.00% | |||||||||||||||||||
Maturity date of securities | [3],[4] | 2021-11 | |||||||||||||||||||
Rate | [3],[4] | (0.38%) | |||||||||||||||||||
Investments maturity date | [3],[4] | 2017-01 | |||||||||||||||||||
Fair value repurchase agreements | [3],[4] | $ 545 | |||||||||||||||||||
Repurchase Agreements [Member] | JP Morgan Securities LLC Collateralized by Par Value $560 Exchange-Traded Corporate Debt, Coupon 6.25 Percent, Maturity Date 2021 09 | |||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||
Current Principal/Notional Amount | [3],[4] | 543 | |||||||||||||||||||
Securities collateralized by par value | [3],[4] | $ 560 | |||||||||||||||||||
Coupon rate on underlying collateral | [3],[4] | 6.25% | |||||||||||||||||||
Maturity date of securities | [3],[4] | 2021-09 | |||||||||||||||||||
Rate | [3],[4] | (0.35%) | |||||||||||||||||||
Investments maturity date | [3],[4] | 2017-01 | |||||||||||||||||||
Fair value repurchase agreements | [3],[4] | $ 543 | |||||||||||||||||||
Repurchase Agreements [Member] | Bank of America Securities Collateralized by Par Value $549 U.S. Treasury Note, Coupon 1.13 Percent, Maturity Date 2021 07 | |||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||
Current Principal/Notional Amount | [3],[4] | 533 | |||||||||||||||||||
Securities collateralized by par value | [3],[4] | $ 549 | |||||||||||||||||||
Coupon rate on underlying collateral | [3],[4] | 1.13% | |||||||||||||||||||
Maturity date of securities | [3],[4] | 2021-07 | |||||||||||||||||||
Rate | [3],[4] | 0.60% | |||||||||||||||||||
Investments maturity date | [3],[4] | 2017-01 | |||||||||||||||||||
Fair value repurchase agreements | [3],[4] | $ 533 | |||||||||||||||||||
Repurchase Agreements [Member] | RBC Capital Markets LLC Collateralized by Par Value $500 Exchange-Traded Corporate Debt, Coupon 5.75 Percent, Maturity Date 2022 10 | |||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||
Current Principal/Notional Amount | [3],[4] | 520 | |||||||||||||||||||
Securities collateralized by par value | [3],[4] | $ 500 | |||||||||||||||||||
Coupon rate on underlying collateral | [3],[4] | 5.75% | |||||||||||||||||||
Maturity date of securities | [3],[4] | 2022-10 | |||||||||||||||||||
Rate | [3],[4] | 0.30% | |||||||||||||||||||
Investments maturity date | [3],[4] | 2017-01 | |||||||||||||||||||
Fair value repurchase agreements | [3],[4] | $ 520 | |||||||||||||||||||
Repurchase Agreements [Member] | RBC Capital Markets LLC Collateralized by Par Value $430 Exchange-Traded Corporate Debt, Coupon 5.13 Percent, Maturity Date 2021 10 | |||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||
Current Principal/Notional Amount | [3],[4] | 449 | |||||||||||||||||||
Securities collateralized by par value | [3],[4] | $ 430 | |||||||||||||||||||
Coupon rate on underlying collateral | [3],[4] | 5.13% | |||||||||||||||||||
Maturity date of securities | [3],[4] | 2021-10 | |||||||||||||||||||
Rate | [3],[4] | 0.30% | |||||||||||||||||||
Investments maturity date | [3],[4] | 2017-01 | |||||||||||||||||||
Fair value repurchase agreements | [3],[4] | $ 449 | |||||||||||||||||||
Repurchase Agreements [Member] | RBC Capital Markets LLC Collateralized by Par Value $360 Exchange-Traded Corporate Debt, Coupon 5.13 Percent, Maturity Date 2023 11 | |||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||
Current Principal/Notional Amount | [3],[4] | 373 | |||||||||||||||||||
Securities collateralized by par value | [3],[4] | $ 360 | |||||||||||||||||||
Coupon rate on underlying collateral | [3],[4] | 5.13% | |||||||||||||||||||
Maturity date of securities | [3],[4] | 2023-11 | |||||||||||||||||||
Rate | [3],[4] | 0.30% | |||||||||||||||||||
Investments maturity date | [3],[4] | 2017-01 | |||||||||||||||||||
Fair value repurchase agreements | [3],[4] | $ 373 | |||||||||||||||||||
Repurchase Agreements [Member] | RBC Capital Markets LLC Collateralized by Par Value $270 Exchange-Traded Corporate Debt, Coupon 7.75 Percent, Maturity Date 2021 06 | |||||||||||||||||||||
Schedule of Investments [Line Items] | |||||||||||||||||||||
Current Principal/Notional Amount | [3],[4] | 278 | |||||||||||||||||||
Securities collateralized by par value | [3],[4] | $ 270 | |||||||||||||||||||
Coupon rate on underlying collateral | [3],[4] | 7.75% | |||||||||||||||||||
Maturity date of securities | [3],[4] | 2021-06 | |||||||||||||||||||
Rate | [3],[4] | (7.00%) | |||||||||||||||||||
Investments maturity date | [3],[4] | 2017-01 | |||||||||||||||||||
Fair value repurchase agreements | [3],[4] | $ 278 | |||||||||||||||||||
|
Consolidated Condensed Schedule Of Investments (Investments Sold Short) - USD ($) shares in Thousands, $ in Thousands |
6 Months Ended | 12 Months Ended | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Jun. 30, 2017 |
Dec. 31, 2016 |
||||||||||||||||
Investments Sold, Not yet Purchased [Line Items] | |||||||||||||||||
Investments sold short, at fair value- | $ (687,234) | $ (584,896) | |||||||||||||||
Proceeds from investments sold short | $ 687,979 | $ 589,429 | |||||||||||||||
TBA - Fixed Rate Agency Securities Sold Short [Member] | |||||||||||||||||
Investments Sold, Not yet Purchased [Line Items] | |||||||||||||||||
Investment Sold, Not yet Purchased, Percent of Equity | (70.65%) | [1],[2],[3] | (62.77%) | [4],[5],[6] | |||||||||||||
Current Principal/Notional Amount | $ (428,424) | $ (384,155) | |||||||||||||||
Investments sold short, at fair value- | (450,055) | [1],[3] | (404,728) | [4],[6] | |||||||||||||
Proceeds from investments sold short | $ (451,073) | [1],[3] | $ (404,967) | [4],[6] | |||||||||||||
TBA - Fixed Rate Agency Securities Sold Short [Member] | Federal National Mortgage Association [Member] | |||||||||||||||||
Investments Sold, Not yet Purchased [Line Items] | |||||||||||||||||
Investment Sold, Not yet Purchased, Percent of Equity | (48.81%) | (32.67%) | |||||||||||||||
TBA - Fixed Rate Agency Securities Sold Short [Member] | Federal Home Loan Mortgage Corporation [Member] | |||||||||||||||||
Investments Sold, Not yet Purchased [Line Items] | |||||||||||||||||
Investment Sold, Not yet Purchased, Percent of Equity | (20.10%) | (22.21%) | |||||||||||||||
TBA - Fixed Rate Agency Securities Sold Short [Member] | Government National Mortgage Association [Member] | |||||||||||||||||
Investments Sold, Not yet Purchased [Line Items] | |||||||||||||||||
Investment Sold, Not yet Purchased, Percent of Equity | (1.74%) | (7.89%) | |||||||||||||||
Government debt [Member] | |||||||||||||||||
Investments Sold, Not yet Purchased [Line Items] | |||||||||||||||||
Investment Sold, Not yet Purchased, Percent of Equity | (27.08%) | [2],[3] | (20.54%) | [5],[6] | |||||||||||||
Investments sold short, at fair value- | $ (172,480) | [3] | $ (132,442) | [6] | |||||||||||||
Proceeds from investments sold short | $ (171,588) | [3] | $ (136,746) | [6] | |||||||||||||
Common Stock Sold Short [Member] | |||||||||||||||||
Investments Sold, Not yet Purchased [Line Items] | |||||||||||||||||
Investment Sold, Not yet Purchased, Percent of Equity | (0.54%) | [2],[3] | (1.26%) | [5],[6] | |||||||||||||
Investments sold short, at fair value- | $ (3,432) | [3] | $ (8,154) | [6] | |||||||||||||
Proceeds from investments sold short | $ (3,563) | [3] | $ (8,052) | [6] | |||||||||||||
Corporate Debt Sold Short [Member] | |||||||||||||||||
Investments Sold, Not yet Purchased [Line Items] | |||||||||||||||||
Investment Sold, Not yet Purchased, Percent of Equity | (9.62%) | [2],[3] | (6.14%) | [5],[6] | |||||||||||||
Investments sold short, at fair value- | $ (61,267) | [3] | $ (39,572) | [6] | |||||||||||||
Proceeds from investments sold short | $ (61,755) | [3] | $ (39,664) | [6] | |||||||||||||
Investments Sold Short [Member] | |||||||||||||||||
Investments Sold, Not yet Purchased [Line Items] | |||||||||||||||||
Investment Sold, Not yet Purchased, Percent of Equity | (107.89%) | [2],[3] | (90.71%) | [5],[6] | |||||||||||||
Investments sold short, at fair value- | $ (687,234) | [3] | $ (584,896) | [6] | |||||||||||||
Proceeds from investments sold short | $ (687,979) | [3] | $ (589,429) | [6] | |||||||||||||
North America [Member] | US Government Debt Securities [Member] | |||||||||||||||||
Investments Sold, Not yet Purchased [Line Items] | |||||||||||||||||
Investment Sold, Not yet Purchased, Percent of Equity | (16.47%) | [2],[3] | (10.82%) | [5],[6] | |||||||||||||
Investments sold short, at fair value- | $ (104,924) | [3] | $ (69,762) | [6] | |||||||||||||
Proceeds from investments sold short | $ (104,922) | [3] | $ (69,946) | [6] | |||||||||||||
Europe [Member] | Foreign Government Debt Securities [Member] | |||||||||||||||||
Investments Sold, Not yet Purchased [Line Items] | |||||||||||||||||
Investment Sold, Not yet Purchased, Percent of Equity | (10.61%) | [2],[3] | (9.72%) | [5],[6] | |||||||||||||
Investments sold short, at fair value- | $ (67,556) | [3] | $ (62,680) | [6] | |||||||||||||
Proceeds from investments sold short | (66,666) | [3] | (66,800) | [6] | |||||||||||||
Mortgage-related Residential [Member] | North America [Member] | TBA - Fixed Rate Agency Securities Sold Short [Member] | Federal Home Loan Mortgage Corporation (30 Year) 4 Point 00 Percent [Member] | |||||||||||||||||
Investments Sold, Not yet Purchased [Line Items] | |||||||||||||||||
Current Principal/Notional Amount | $ (45,000) | [1],[3] | $ (87,767) | [4],[6] | |||||||||||||
Rate | 4.00% | [1],[3] | 4.00% | [4],[6] | |||||||||||||
Investments maturity date | 2017-08 | [1],[3] | 2017-01 | [4],[6] | |||||||||||||
Investments sold short, at fair value- | $ (47,236) | [1],[3] | $ (92,210) | [4],[6] | |||||||||||||
Mortgage-related Residential [Member] | North America [Member] | TBA - Fixed Rate Agency Securities Sold Short [Member] | Federal National Mortgage Association (30 Year) 4 Point 50 Percent [Member] | |||||||||||||||||
Investments Sold, Not yet Purchased [Line Items] | |||||||||||||||||
Current Principal/Notional Amount | $ (43,500) | [1],[3] | $ (50,930) | [4],[6] | |||||||||||||
Rate | 4.50% | [1],[3] | 4.50% | [4],[6] | |||||||||||||
Investments maturity date | 2017-08 | [1],[3] | 2017-01 | [4],[6] | |||||||||||||
Investments sold short, at fair value- | $ (46,604) | [1],[3] | $ (54,748) | [4],[6] | |||||||||||||
Mortgage-related Residential [Member] | North America [Member] | TBA - Fixed Rate Agency Securities Sold Short [Member] | Federal National Mortgage Association (30 Year) 4.00% [Member] | |||||||||||||||||
Investments Sold, Not yet Purchased [Line Items] | |||||||||||||||||
Current Principal/Notional Amount | $ (42,347) | [1],[3] | $ (26,000) | [4],[6] | |||||||||||||
Rate | 4.00% | [1],[3] | 4.00% | [4],[6] | |||||||||||||
Investments maturity date | 2017-07 | [1],[3] | 2017-02 | [4],[6] | |||||||||||||
Investments sold short, at fair value- | $ (44,514) | [1],[3] | $ (27,295) | [4],[6] | |||||||||||||
Mortgage-related Residential [Member] | North America [Member] | TBA - Fixed Rate Agency Securities Sold Short [Member] | Federal National Mortgage Association (15 Year) 3.50% [Member] | |||||||||||||||||
Investments Sold, Not yet Purchased [Line Items] | |||||||||||||||||
Current Principal/Notional Amount | [1],[3] | $ (41,260) | |||||||||||||||
Rate | [1],[3] | 3.50% | |||||||||||||||
Investments maturity date | [1],[3] | 2017-08 | |||||||||||||||
Investments sold short, at fair value- | [1],[3] | $ (42,897) | |||||||||||||||
Mortgage-related Residential [Member] | North America [Member] | TBA - Fixed Rate Agency Securities Sold Short [Member] | Federal Home Loan Mortgage Corporation (30 Year) 4 Point 00 Percent 201707 [Member] | |||||||||||||||||
Investments Sold, Not yet Purchased [Line Items] | |||||||||||||||||
Current Principal/Notional Amount | [1],[3] | $ (39,587) | |||||||||||||||
Rate | [1],[3] | 4.00% | |||||||||||||||
Investments maturity date | [1],[3] | 2017-07 | |||||||||||||||
Investments sold short, at fair value- | [1],[3] | $ (41,628) | |||||||||||||||
Mortgage-related Residential [Member] | North America [Member] | TBA - Fixed Rate Agency Securities Sold Short [Member] | Federal National Mortgage Association (30 Year) 3.50% [Member] | |||||||||||||||||
Investments Sold, Not yet Purchased [Line Items] | |||||||||||||||||
Current Principal/Notional Amount | $ (34,000) | [1],[3] | $ (24,352) | [4],[6] | |||||||||||||
Rate | 3.50% | [1],[3] | 3.50% | [4],[6] | |||||||||||||
Investments maturity date | 2017-08 | [1],[3] | 2017-01 | [4],[6] | |||||||||||||
Investments sold short, at fair value- | $ (34,861) | [1],[3] | $ (24,960) | [4],[6] | |||||||||||||
Mortgage-related Residential [Member] | North America [Member] | TBA - Fixed Rate Agency Securities Sold Short [Member] | Federal National Mortgage Association (30 Year) 4 Point 00 Percent [Member] | |||||||||||||||||
Investments Sold, Not yet Purchased [Line Items] | |||||||||||||||||
Current Principal/Notional Amount | [1],[3] | $ (33,000) | |||||||||||||||
Rate | [1],[3] | 4.00% | |||||||||||||||
Investments maturity date | [1],[3] | 2017-08 | |||||||||||||||
Investments sold short, at fair value- | [1],[3] | $ (34,631) | |||||||||||||||
Mortgage-related Residential [Member] | North America [Member] | TBA - Fixed Rate Agency Securities Sold Short [Member] | Federal National Mortgage Association (30 Year) 5 Point 00 Percent [Member] | |||||||||||||||||
Investments Sold, Not yet Purchased [Line Items] | |||||||||||||||||
Current Principal/Notional Amount | $ (29,680) | [1],[3] | $ (31,620) | [4],[6] | |||||||||||||
Rate | 5.00% | [1],[3] | 5.00% | [4],[6] | |||||||||||||
Investments maturity date | 2017-07 | [1],[3] | 2017-01 | [4],[6] | |||||||||||||
Investments sold short, at fair value- | $ (32,422) | [1],[3] | $ (34,426) | [4],[6] | |||||||||||||
Mortgage-related Residential [Member] | North America [Member] | TBA - Fixed Rate Agency Securities Sold Short [Member] | Federal National Mortgage Association (15 Year) 2.50% [Member] | |||||||||||||||||
Investments Sold, Not yet Purchased [Line Items] | |||||||||||||||||
Current Principal/Notional Amount | [1],[3] | $ (25,410) | |||||||||||||||
Rate | [1],[3] | 2.50% | |||||||||||||||
Investments maturity date | [1],[3] | 2017-07 | |||||||||||||||
Investments sold short, at fair value- | [1],[3] | $ (25,538) | |||||||||||||||
Mortgage-related Residential [Member] | North America [Member] | TBA - Fixed Rate Agency Securities Sold Short [Member] | Federal Home Loan Mortgage Corporation (30 Year) 4 Point 50 Percent [Member] | |||||||||||||||||
Investments Sold, Not yet Purchased [Line Items] | |||||||||||||||||
Current Principal/Notional Amount | $ (22,200) | [1],[3] | $ (23,151) | [4],[6] | |||||||||||||
Rate | 4.50% | [1],[3] | 4.50% | [4],[6] | |||||||||||||
Investments maturity date | 2017-08 | [1],[3] | 2017-01 | [4],[6] | |||||||||||||
Investments sold short, at fair value- | $ (23,761) | [1],[3] | $ (24,840) | [4],[6] | |||||||||||||
Mortgage-related Residential [Member] | North America [Member] | TBA - Fixed Rate Agency Securities Sold Short [Member] | Federal National Mortgage Association (30 Year) 4 Point 50 Percent 201707 [Member] | |||||||||||||||||
Investments Sold, Not yet Purchased [Line Items] | |||||||||||||||||
Current Principal/Notional Amount | [1],[3] | $ (16,740) | |||||||||||||||
Rate | [1],[3] | 4.50% | |||||||||||||||
Investments maturity date | [1],[3] | 2017-07 | |||||||||||||||
Investments sold short, at fair value- | [1],[3] | $ (17,957) | |||||||||||||||
Mortgage-related Residential [Member] | North America [Member] | TBA - Fixed Rate Agency Securities Sold Short [Member] | Federal National Mortgage Association (30 Year) 3 Point 50 Percent [Member] | |||||||||||||||||
Investments Sold, Not yet Purchased [Line Items] | |||||||||||||||||
Current Principal/Notional Amount | [1],[3] | $ (16,358) | |||||||||||||||
Rate | [1],[3] | 3.50% | |||||||||||||||
Investments maturity date | [1],[3] | 2017-07 | |||||||||||||||
Investments sold short, at fair value- | [1],[3] | $ (16,800) | |||||||||||||||
Mortgage-related Residential [Member] | North America [Member] | TBA - Fixed Rate Agency Securities Sold Short [Member] | Federal National Mortgage Association (30 Year) 5 Point 50 Percent [Member] | |||||||||||||||||
Investments Sold, Not yet Purchased [Line Items] | |||||||||||||||||
Current Principal/Notional Amount | $ (6,860) | [1],[3] | $ (6,860) | [4],[6] | |||||||||||||
Rate | 5.50% | [1],[3] | 5.50% | [4],[6] | |||||||||||||
Investments maturity date | 2017-07 | [1],[3] | 2017-01 | [4],[6] | |||||||||||||
Investments sold short, at fair value- | $ (7,600) | [1],[3] | $ (7,622) | [4],[6] | |||||||||||||
Mortgage-related Residential [Member] | North America [Member] | TBA - Fixed Rate Agency Securities Sold Short [Member] | Federal National Mortgage Association (30 Year) 3 Point 00 Percent [Member] | |||||||||||||||||
Investments Sold, Not yet Purchased [Line Items] | |||||||||||||||||
Current Principal/Notional Amount | $ (7,112) | [1],[3] | $ (4,612) | [4],[6] | |||||||||||||
Rate | 3.00% | [1],[3] | 3.00% | [4],[6] | |||||||||||||
Investments maturity date | 2017-07 | [1],[3] | 2017-01 | [4],[6] | |||||||||||||
Investments sold short, at fair value- | $ (7,103) | [1],[3] | $ (4,584) | [4],[6] | |||||||||||||
Mortgage-related Residential [Member] | North America [Member] | TBA - Fixed Rate Agency Securities Sold Short [Member] | Federal Home Loan Mortgage Corporation (30 Year) 4.50% [Member] | |||||||||||||||||
Investments Sold, Not yet Purchased [Line Items] | |||||||||||||||||
Current Principal/Notional Amount | [1],[3] | $ (6,551) | |||||||||||||||
Rate | [1],[3] | 4.50% | |||||||||||||||
Investments maturity date | [1],[3] | 2017-07 | |||||||||||||||
Investments sold short, at fair value- | [1],[3] | $ (7,021) | |||||||||||||||
Mortgage-related Residential [Member] | North America [Member] | TBA - Fixed Rate Agency Securities Sold Short [Member] | Government National Mortgage Association (30 Year) 4.50% [Member] | |||||||||||||||||
Investments Sold, Not yet Purchased [Line Items] | |||||||||||||||||
Current Principal/Notional Amount | $ (5,500) | [1],[3] | $ (15,770) | [4],[6] | |||||||||||||
Rate | 4.50% | [1],[3] | 4.50% | [4],[6] | |||||||||||||
Investments maturity date | 2017-08 | [1],[3] | 2017-01 | [4],[6] | |||||||||||||
Investments sold short, at fair value- | $ (5,840) | [1],[3] | $ (17,058) | [4],[6] | |||||||||||||
Mortgage-related Residential [Member] | North America [Member] | TBA - Fixed Rate Agency Securities Sold Short [Member] | Federal Home Loan Mortgage Corporation (30 Year) 3 Point 00 Percent [Member] | |||||||||||||||||
Investments Sold, Not yet Purchased [Line Items] | |||||||||||||||||
Current Principal/Notional Amount | $ (5,515) | [1],[3] | $ (3,155) | [4],[6] | |||||||||||||
Rate | 3.00% | [1],[3] | 3.00% | [4],[6] | |||||||||||||
Investments maturity date | 2017-07 | [1],[3] | 2017-01 | [4],[6] | |||||||||||||
Investments sold short, at fair value- | $ (5,505) | [1],[3] | $ (3,134) | [4],[6] | |||||||||||||
Mortgage-related Residential [Member] | North America [Member] | TBA - Fixed Rate Agency Securities Sold Short [Member] | Federal Home Loan Mortgage Corporation (15 Year) 3 Point 50 Percent [Member] | |||||||||||||||||
Investments Sold, Not yet Purchased [Line Items] | |||||||||||||||||
Current Principal/Notional Amount | $ (2,780) | [1],[3] | $ (8,790) | [4],[6] | |||||||||||||
Rate | 3.50% | [1],[3] | 3.50% | [4],[6] | |||||||||||||
Investments maturity date | 2017-07 | [1],[3] | 2017-01 | [4],[6] | |||||||||||||
Investments sold short, at fair value- | $ (2,896) | [1],[3] | $ (9,169) | [4],[6] | |||||||||||||
Mortgage-related Residential [Member] | North America [Member] | TBA - Fixed Rate Agency Securities Sold Short [Member] | Government National Mortgage Association (30 Year) 3 Point 50 Percent [Member] | |||||||||||||||||
Investments Sold, Not yet Purchased [Line Items] | |||||||||||||||||
Current Principal/Notional Amount | $ (2,780) | [1],[3] | $ (21,940) | [4],[6] | |||||||||||||
Rate | 3.50% | [1],[3] | 3.50% | [4],[6] | |||||||||||||
Investments maturity date | 2017-07 | [1],[3] | 2017-01 | [4],[6] | |||||||||||||
Investments sold short, at fair value- | $ (2,880) | [1],[3] | $ (22,819) | [4],[6] | |||||||||||||
Mortgage-related Residential [Member] | North America [Member] | TBA - Fixed Rate Agency Securities Sold Short [Member] | Government National Mortgage Association (30 Year) 4 Point 00 Percent [Member] | |||||||||||||||||
Investments Sold, Not yet Purchased [Line Items] | |||||||||||||||||
Current Principal/Notional Amount | $ (2,244) | [1],[3] | $ (1,700) | [4],[6] | |||||||||||||
Rate | 4.00% | [1],[3] | 4.00% | [4],[6] | |||||||||||||
Investments maturity date | 2017-07 | [1],[3] | 2017-01 | [4],[6] | |||||||||||||
Investments sold short, at fair value- | $ (2,361) | [1],[3] | $ (1,806) | [4],[6] | |||||||||||||
Mortgage-related Residential [Member] | North America [Member] | TBA - Fixed Rate Agency Securities Sold Short [Member] | Federal Home Loan Mortgage Corporation (15 Year) 3 Percent [Member] | |||||||||||||||||
Investments Sold, Not yet Purchased [Line Items] | |||||||||||||||||
Current Principal/Notional Amount | [4],[6] | $ (13,510) | |||||||||||||||
Rate | [4],[6] | 3.00% | |||||||||||||||
Investments maturity date | [4],[6] | 2017-01 | |||||||||||||||
Investments sold short, at fair value- | [4],[6] | $ (13,869) | |||||||||||||||
Mortgage-related Residential [Member] | North America [Member] | TBA - Fixed Rate Agency Securities Sold Short [Member] | Federal National Mortgage Association (15 Year) 4 Percent [Member] | |||||||||||||||||
Investments Sold, Not yet Purchased [Line Items] | |||||||||||||||||
Current Principal/Notional Amount | [4],[6] | $ (11,170) | |||||||||||||||
Rate | [4],[6] | 4.00% | |||||||||||||||
Investments maturity date | [4],[6] | 2017-01 | |||||||||||||||
Investments sold short, at fair value- | [4],[6] | $ (11,494) | |||||||||||||||
Mortgage-related Residential [Member] | North America [Member] | TBA - Fixed Rate Agency Securities Sold Short [Member] | Federal National Mortgage Association (30 Year) 4.00% 2017 01 [Member] | |||||||||||||||||
Investments Sold, Not yet Purchased [Line Items] | |||||||||||||||||
Current Principal/Notional Amount | [4],[6] | $ (20,558) | |||||||||||||||
Rate | [4],[6] | 4.00% | |||||||||||||||
Investments maturity date | [4],[6] | 2017-01 | |||||||||||||||
Investments sold short, at fair value- | [4],[6] | $ (21,611) | |||||||||||||||
Mortgage-related Residential [Member] | North America [Member] | TBA - Fixed Rate Agency Securities Sold Short [Member] | Federal National Mortgage Association (15 Year) 3.00% [Member] | |||||||||||||||||
Investments Sold, Not yet Purchased [Line Items] | |||||||||||||||||
Current Principal/Notional Amount | [4],[6] | $ (20,740) | |||||||||||||||
Rate | [4],[6] | 3.00% | |||||||||||||||
Investments maturity date | [4],[6] | 2017-01 | |||||||||||||||
Investments sold short, at fair value- | [4],[6] | $ (21,285) | |||||||||||||||
Mortgage-related Residential [Member] | North America [Member] | TBA - Fixed Rate Agency Securities Sold Short [Member] | Government National Mortgage Association (30 Year) 3.00% [Member] | |||||||||||||||||
Investments Sold, Not yet Purchased [Line Items] | |||||||||||||||||
Current Principal/Notional Amount | [4],[6] | $ (6,500) | |||||||||||||||
Rate | [4],[6] | 3.00% | |||||||||||||||
Investments maturity date | [4],[6] | 2017-01 | |||||||||||||||
Investments sold short, at fair value- | [4],[6] | $ (6,568) | |||||||||||||||
Mortgage-related Residential [Member] | North America [Member] | TBA - Fixed Rate Agency Securities Sold Short [Member] | Federal National Mortgage Association (15 Year) 3.50% [Member] | |||||||||||||||||
Investments Sold, Not yet Purchased [Line Items] | |||||||||||||||||
Current Principal/Notional Amount | [4],[6] | $ (2,530) | |||||||||||||||
Rate | [4],[6] | 3.50% | |||||||||||||||
Investments maturity date | [4],[6] | 2017-02 | |||||||||||||||
Investments sold short, at fair value- | [4],[6] | $ (2,633) | |||||||||||||||
Mortgage-related Residential [Member] | North America [Member] | TBA - Fixed Rate Agency Securities Sold Short [Member] | Government National Mortgage Association (30 Year) 3.50% 2017 02 [Member] | |||||||||||||||||
Investments Sold, Not yet Purchased [Line Items] | |||||||||||||||||
Current Principal/Notional Amount | [4],[6] | $ (2,500) | |||||||||||||||
Rate | [4],[6] | 3.50% | |||||||||||||||
Investments maturity date | [4],[6] | 2017-02 | |||||||||||||||
Investments sold short, at fair value- | [4],[6] | $ (2,597) | |||||||||||||||
Government [Member] | North America [Member] | US Government Debt Securities [Member] | US Treasury Note, 1.13 Percent, Maturity Date 2021 09 [Member] | |||||||||||||||||
Investments Sold, Not yet Purchased [Line Items] | |||||||||||||||||
Current Principal/Notional Amount | [6] | $ (1,968) | |||||||||||||||
Rate | [6] | 1.13% | |||||||||||||||
Investments maturity date | [6] | 2021-09 | |||||||||||||||
Investments sold short, at fair value- | [6] | $ (1,898) | |||||||||||||||
Government [Member] | North America [Member] | US Government Debt Securities [Member] | U.S. Treasury Note, 2.00 Percent, Maturity Date 2024 06 [Member] | |||||||||||||||||
Investments Sold, Not yet Purchased [Line Items] | |||||||||||||||||
Current Principal/Notional Amount | [3] | $ (37,620) | |||||||||||||||
Rate | [3] | 2.00% | |||||||||||||||
Investments maturity date | [3] | 2024-06 | |||||||||||||||
Investments sold short, at fair value- | [3] | $ (37,289) | |||||||||||||||
Government [Member] | North America [Member] | US Government Debt Securities [Member] | U.S. Treasury Note, 2.25 Percent, Maturity Date 2027 02 [Member] | |||||||||||||||||
Investments Sold, Not yet Purchased [Line Items] | |||||||||||||||||
Current Principal/Notional Amount | [3] | $ (31,654) | |||||||||||||||
Rate | [3] | 2.25% | |||||||||||||||
Investments maturity date | [3] | 2027-02 | |||||||||||||||
Investments sold short, at fair value- | [3] | $ (31,513) | |||||||||||||||
Government [Member] | North America [Member] | US Government Debt Securities [Member] | U.S. Treasury Note, 2.00 Percent, Maturity Date 2026 11 [Member] | |||||||||||||||||
Investments Sold, Not yet Purchased [Line Items] | |||||||||||||||||
Current Principal/Notional Amount | $ (16,543) | [3] | $ (48,133) | [6] | |||||||||||||
Rate | 2.00% | [3] | 2.00% | [6] | |||||||||||||
Investments maturity date | 2026-11 | [3] | 2026-11 | [6] | |||||||||||||
Investments sold short, at fair value- | $ (16,138) | [3] | $ (46,287) | [6] | |||||||||||||
Government [Member] | North America [Member] | US Government Debt Securities [Member] | US Treasury Note, 1.75 Percent, Maturity Date 2022 05 [Member] | |||||||||||||||||
Investments Sold, Not yet Purchased [Line Items] | |||||||||||||||||
Current Principal/Notional Amount | [3] | $ (8,492) | |||||||||||||||
Rate | [3] | 1.75% | |||||||||||||||
Investments maturity date | [3] | 2022-05 | |||||||||||||||
Investments sold short, at fair value- | [3] | $ (8,443) | |||||||||||||||
Government [Member] | North America [Member] | US Government Debt Securities [Member] | US Treasury Note, 1.88 Percent, Maturity Date 2022 04 [Member] | |||||||||||||||||
Investments Sold, Not yet Purchased [Line Items] | |||||||||||||||||
Current Principal/Notional Amount | [3] | $ (6,680) | |||||||||||||||
Rate | [3] | 1.88% | |||||||||||||||
Investments maturity date | [3] | 2022-04 | |||||||||||||||
Investments sold short, at fair value- | [3] | $ (6,680) | |||||||||||||||
Government [Member] | North America [Member] | US Government Debt Securities [Member] | US Treasury Note, 1.88 Percent, Maturity Date 2022 03 [Member] | |||||||||||||||||
Investments Sold, Not yet Purchased [Line Items] | |||||||||||||||||
Current Principal/Notional Amount | [3] | $ (2,750) | |||||||||||||||
Rate | [3] | 1.88% | |||||||||||||||
Investments maturity date | [3] | 2022-03 | |||||||||||||||
Investments sold short, at fair value- | [3] | $ (2,752) | |||||||||||||||
Government [Member] | North America [Member] | US Government Debt Securities [Member] | US Treasury Note, 1.50 Percent, Maturity Date 2026 08 [Member] | |||||||||||||||||
Investments Sold, Not yet Purchased [Line Items] | |||||||||||||||||
Current Principal/Notional Amount | [3] | $ (1,360) | |||||||||||||||
Rate | [3] | 1.50% | |||||||||||||||
Investments maturity date | [3] | 2026-08 | |||||||||||||||
Investments sold short, at fair value- | [3] | $ (1,273) | |||||||||||||||
Government [Member] | North America [Member] | US Government Debt Securities [Member] | U.S. Treasury Bond, 2.25 Percent, Maturity Date 2046 08 [Member] | |||||||||||||||||
Investments Sold, Not yet Purchased [Line Items] | |||||||||||||||||
Current Principal/Notional Amount | [3] | $ (930) | |||||||||||||||
Rate | [3] | 2.25% | |||||||||||||||
Investments maturity date | [3] | 2046-08 | |||||||||||||||
Investments sold short, at fair value- | [3] | $ (820) | |||||||||||||||
Government [Member] | North America [Member] | US Government Debt Securities [Member] | US Treasury Note, 2.38 Percent, Maturity Date 2027 05 [Member] | |||||||||||||||||
Investments Sold, Not yet Purchased [Line Items] | |||||||||||||||||
Current Principal/Notional Amount | [3] | $ (16) | |||||||||||||||
Rate | [3] | 2.38% | |||||||||||||||
Investments maturity date | [3] | 2027-05 | |||||||||||||||
Investments sold short, at fair value- | [3] | $ (16) | |||||||||||||||
Government [Member] | North America [Member] | US Government Debt Securities [Member] | US Treasury Note, 1.38 Percent, Maturity Date 2021 04 [Member] | |||||||||||||||||
Investments Sold, Not yet Purchased [Line Items] | |||||||||||||||||
Current Principal/Notional Amount | [6] | $ (1,305) | |||||||||||||||
Rate | [6] | 1.38% | |||||||||||||||
Investments maturity date | [6] | 2021-04 | |||||||||||||||
Investments sold short, at fair value- | [6] | $ (1,280) | |||||||||||||||
Government [Member] | North America [Member] | US Government Debt Securities [Member] | US Treasury Note, 1.25 Percent, Maturity Date 2021 10 [Member] | |||||||||||||||||
Investments Sold, Not yet Purchased [Line Items] | |||||||||||||||||
Current Principal/Notional Amount | [6] | $ (800) | |||||||||||||||
Rate | [6] | 1.25% | |||||||||||||||
Investments maturity date | [6] | 2021-10 | |||||||||||||||
Investments sold short, at fair value- | [6] | $ (776) | |||||||||||||||
Government [Member] | North America [Member] | US Government Debt Securities [Member] | US Treasury Note, 1.13 Percent, Maturity Date 2021 07 [Member] | |||||||||||||||||
Investments Sold, Not yet Purchased [Line Items] | |||||||||||||||||
Current Principal/Notional Amount | [6] | $ (549) | |||||||||||||||
Rate | [6] | 1.13% | |||||||||||||||
Investments maturity date | [6] | 2021-07 | |||||||||||||||
Investments sold short, at fair value- | [6] | $ (531) | |||||||||||||||
Government [Member] | North America [Member] | US Government Debt Securities [Member] | US Treasury Note, 1.50 Percent, Maturity Date 2026 08 [Member] | |||||||||||||||||
Investments Sold, Not yet Purchased [Line Items] | |||||||||||||||||
Current Principal/Notional Amount | [6] | $ (12,160) | |||||||||||||||
Rate | [6] | 1.50% | |||||||||||||||
Investments maturity date | [6] | 2026-08 | |||||||||||||||
Investments sold short, at fair value- | [6] | $ (11,179) | |||||||||||||||
Government [Member] | North America [Member] | US Government Debt Securities [Member] | US Treasury Note, 1.75 Percent, Maturity Date 2021 11 [Member] | |||||||||||||||||
Investments Sold, Not yet Purchased [Line Items] | |||||||||||||||||
Current Principal/Notional Amount | [6] | $ (4,726) | |||||||||||||||
Rate | [6] | 1.75% | |||||||||||||||
Investments maturity date | [6] | 2021-11 | |||||||||||||||
Investments sold short, at fair value- | [6] | $ (4,690) | |||||||||||||||
Government [Member] | North America [Member] | US Government Debt Securities [Member] | US Treasury Note, 1.13 Percent, Maturity Date 2021 08 [Member] | |||||||||||||||||
Investments Sold, Not yet Purchased [Line Items] | |||||||||||||||||
Current Principal/Notional Amount | [6] | $ (3,230) | |||||||||||||||
Rate | [6] | 1.13% | |||||||||||||||
Investments maturity date | [6] | 2021-08 | |||||||||||||||
Investments sold short, at fair value- | [6] | $ (3,121) | |||||||||||||||
Government [Member] | Europe [Member] | Foreign Government Debt Securities [Member] | Sovereign Debt Securities [Member] | |||||||||||||||||
Investments Sold, Not yet Purchased [Line Items] | |||||||||||||||||
Current Principal/Notional Amount | $ (22,443) | [3] | $ (20,754) | [6] | |||||||||||||
Investments maturity date | 2020-11 | [3] | 2020-11 | [6] | |||||||||||||
Investments sold short, at fair value- | $ (22,808) | [3] | $ (21,219) | [6] | |||||||||||||
Government [Member] | Europe [Member] | Foreign Government Debt Securities [Member] | Spanish Sovereign Bond, 0.25 Percent [Member] | |||||||||||||||||
Investments Sold, Not yet Purchased [Line Items] | |||||||||||||||||
Current Principal/Notional Amount | $ (15,687) | [3] | $ (14,507) | [6] | |||||||||||||
Rate | 0.25% | [3] | 0.25% | [6] | |||||||||||||
Investments maturity date | 2018-04 | [3] | 2018-04 | [6] | |||||||||||||
Investments sold short, at fair value- | $ (15,768) | [3] | $ (14,614) | [6] | |||||||||||||
Government [Member] | Europe [Member] | Foreign Government Debt Securities [Member] | Spanish Sovereign Bond, 0.75 Percent [Member] | |||||||||||||||||
Investments Sold, Not yet Purchased [Line Items] | |||||||||||||||||
Current Principal/Notional Amount | $ (9,923) | [3] | $ (9,176) | [6] | |||||||||||||
Rate | 0.75% | [3] | 0.75% | [6] | |||||||||||||
Investments maturity date | 2021-07 | [3] | 2021-07 | [6] | |||||||||||||
Investments sold short, at fair value- | $ (10,204) | [3] | $ (9,379) | [6] | |||||||||||||
Government [Member] | Europe [Member] | Foreign Government Debt Securities [Member] | Spanish Sovereign Bond, 2.75 Percent [Member] | |||||||||||||||||
Investments Sold, Not yet Purchased [Line Items] | |||||||||||||||||
Current Principal/Notional Amount | $ (8,999) | [3] | $ (8,322) | [6] | |||||||||||||
Rate | 2.75% | [3] | 2.75% | [6] | |||||||||||||
Investments maturity date | 2019-04 | [3] | 2019-04 | [6] | |||||||||||||
Investments sold short, at fair value- | $ (9,497) | [3] | $ (8,888) | [6] | |||||||||||||
Government [Member] | Europe [Member] | Foreign Government Debt Securities [Member] | Spanish Sovereign Bond, 1.15 Percent [Member] | |||||||||||||||||
Investments Sold, Not yet Purchased [Line Items] | |||||||||||||||||
Current Principal/Notional Amount | $ (8,928) | [3] | $ (8,257) | [6] | |||||||||||||
Rate | 1.15% | [3] | 1.15% | [6] | |||||||||||||
Investments maturity date | 2020-07 | [3] | 2020-07 | [6] | |||||||||||||
Investments sold short, at fair value- | $ (9,279) | [3] | $ (8,580) | [6] | |||||||||||||
Government [Member] | Europe [Member] | Foreign Government Debt Securities [Member] | Minimum [Member] | Sovereign Debt Securities [Member] | |||||||||||||||||
Investments Sold, Not yet Purchased [Line Items] | |||||||||||||||||
Rate | 0.25% | [3] | 0.25% | [6] | |||||||||||||
Government [Member] | Europe [Member] | Foreign Government Debt Securities [Member] | Maximum [Member] | Sovereign Debt Securities [Member] | |||||||||||||||||
Investments Sold, Not yet Purchased [Line Items] | |||||||||||||||||
Rate | 0.65% | [3] | 0.65% | [6] | |||||||||||||
Basic Materials [Member] | North America [Member] | Corporate Debt Sold Short [Member] | Various Issuer [Member] | |||||||||||||||||
Investments Sold, Not yet Purchased [Line Items] | |||||||||||||||||
Current Principal/Notional Amount | $ (8,300) | [3] | $ (8,970) | [6] | |||||||||||||
Investments sold short, at fair value- | $ (8,004) | [3] | $ (8,717) | [6] | |||||||||||||
Basic Materials [Member] | North America [Member] | Corporate Debt Sold Short [Member] | Minimum [Member] | Various Issuer [Member] | |||||||||||||||||
Investments Sold, Not yet Purchased [Line Items] | |||||||||||||||||
Rate | 3.88% | [3] | 3.88% | [6] | |||||||||||||
Investments maturity date | 2021-11 | [3] | 2021-10 | [6] | |||||||||||||
Basic Materials [Member] | North America [Member] | Corporate Debt Sold Short [Member] | Maximum [Member] | Various Issuer [Member] | |||||||||||||||||
Investments Sold, Not yet Purchased [Line Items] | |||||||||||||||||
Rate | 4.00% | [3] | 5.13% | [6] | |||||||||||||
Investments maturity date | 2023-03 | [3] | 2023-03 | [6] | |||||||||||||
Communications [Member] | North America [Member] | Corporate Debt Sold Short [Member] | Various Issuer [Member] | |||||||||||||||||
Investments Sold, Not yet Purchased [Line Items] | |||||||||||||||||
Current Principal/Notional Amount | $ (15,250) | [3] | $ (8,750) | [6] | |||||||||||||
Investments sold short, at fair value- | $ (14,476) | [3] | $ (8,551) | [6] | |||||||||||||
Communications [Member] | North America [Member] | Corporate Debt Sold Short [Member] | Minimum [Member] | Various Issuer [Member] | |||||||||||||||||
Investments Sold, Not yet Purchased [Line Items] | |||||||||||||||||
Rate | 5.88% | [3] | 5.25% | [6] | |||||||||||||
Investments maturity date | 2021-07 | [3] | 2021-07 | [6] | |||||||||||||
Communications [Member] | North America [Member] | Corporate Debt Sold Short [Member] | Maximum [Member] | Various Issuer [Member] | |||||||||||||||||
Investments Sold, Not yet Purchased [Line Items] | |||||||||||||||||
Rate | 9.25% | [3] | 9.25% | [6] | |||||||||||||
Investments maturity date | 2024-11 | [3] | 2022-09 | [6] | |||||||||||||
Consumer [Member] | North America [Member] | Corporate Debt Sold Short [Member] | Various Issuer [Member] | |||||||||||||||||
Investments Sold, Not yet Purchased [Line Items] | |||||||||||||||||
Current Principal/Notional Amount | $ (21,032) | [3] | $ (8,930) | [6] | |||||||||||||
Investments sold short, at fair value- | $ (20,649) | [3] | $ (8,695) | [6] | |||||||||||||
Consumer [Member] | North America [Member] | Corporate Debt Sold Short [Member] | Minimum [Member] | Various Issuer [Member] | |||||||||||||||||
Investments Sold, Not yet Purchased [Line Items] | |||||||||||||||||
Rate | 2.90% | [3] | 3.88% | [6] | |||||||||||||
Investments maturity date | 2020-10 | [3] | 2022-01 | [6] | |||||||||||||
Consumer [Member] | North America [Member] | Corporate Debt Sold Short [Member] | Maximum [Member] | Various Issuer [Member] | |||||||||||||||||
Investments Sold, Not yet Purchased [Line Items] | |||||||||||||||||
Rate | 7.38% | [3] | 6.88% | [6] | |||||||||||||
Investments maturity date | 2024-11 | [3] | 2026-04 | [6] | |||||||||||||
Energy [Member] | North America [Member] | Common Stock Sold Short [Member] | Exchange Traded Equity [Member] | |||||||||||||||||
Investments Sold, Not yet Purchased [Line Items] | |||||||||||||||||
Investments sold short, at fair value- | [3] | $ (225) | |||||||||||||||
Investment Sold, Not yet Purchased, Balance, Shares | [3] | (12) | |||||||||||||||
Energy [Member] | North America [Member] | Corporate Debt Sold Short [Member] | Various Issuer [Member] | |||||||||||||||||
Investments Sold, Not yet Purchased [Line Items] | |||||||||||||||||
Current Principal/Notional Amount | $ (14,680) | [3] | $ (10,597) | [6] | |||||||||||||
Investments sold short, at fair value- | $ (14,068) | [3] | $ (10,041) | [6] | |||||||||||||
Energy [Member] | North America [Member] | Corporate Debt Sold Short [Member] | Minimum [Member] | Various Issuer [Member] | |||||||||||||||||
Investments Sold, Not yet Purchased [Line Items] | |||||||||||||||||
Rate | 4.50% | [3] | 2.40% | [6] | |||||||||||||
Investments maturity date | 2022-04 | [3] | 2021-06 | [6] | |||||||||||||
Energy [Member] | North America [Member] | Corporate Debt Sold Short [Member] | Maximum [Member] | Various Issuer [Member] | |||||||||||||||||
Investments Sold, Not yet Purchased [Line Items] | |||||||||||||||||
Rate | 8.00% | [3] | 8.00% | [6] | |||||||||||||
Investments maturity date | 2027-06 | [3] | 2025-01 | [6] | |||||||||||||
Financial [Member] | North America [Member] | Common Stock Sold Short [Member] | Exchange Traded Equity [Member] | |||||||||||||||||
Investments Sold, Not yet Purchased [Line Items] | |||||||||||||||||
Investments sold short, at fair value- | $ (3,207) | [3] | $ (8,154) | [6] | |||||||||||||
Investment Sold, Not yet Purchased, Balance, Shares | (94) | [3] | (207) | [6] | |||||||||||||
Financial [Member] | North America [Member] | Corporate Debt Sold Short [Member] | Various Issuer [Member] | |||||||||||||||||
Investments Sold, Not yet Purchased [Line Items] | |||||||||||||||||
Current Principal/Notional Amount | $ (2,390) | [3] | $ (1,130) | [6] | |||||||||||||
Rate | [6] | 4.13% | |||||||||||||||
Investments maturity date | [6] | 2022-02 | |||||||||||||||
Investments sold short, at fair value- | $ (2,468) | [3] | $ (1,121) | [6] | |||||||||||||
Financial [Member] | North America [Member] | Corporate Debt Sold Short [Member] | Minimum [Member] | Various Issuer [Member] | |||||||||||||||||
Investments Sold, Not yet Purchased [Line Items] | |||||||||||||||||
Rate | [3] | 5.13% | |||||||||||||||
Investments maturity date | [3] | 2022-03 | |||||||||||||||
Financial [Member] | North America [Member] | Corporate Debt Sold Short [Member] | Maximum [Member] | Various Issuer [Member] | |||||||||||||||||
Investments Sold, Not yet Purchased [Line Items] | |||||||||||||||||
Rate | [3] | 5.38% | |||||||||||||||
Investments maturity date | [3] | 2024-09 | |||||||||||||||
Technology Sector [Member] | North America [Member] | Corporate Debt Sold Short [Member] | Various Issuer [Member] | |||||||||||||||||
Investments Sold, Not yet Purchased [Line Items] | |||||||||||||||||
Current Principal/Notional Amount | [3] | $ (1,490) | |||||||||||||||
Rate | [3] | 6.38% | |||||||||||||||
Investments maturity date | [3] | 2023-12 | |||||||||||||||
Investments sold short, at fair value- | [3] | $ (1,602) | |||||||||||||||
Utilities [Member] | North America [Member] | Corporate Debt Sold Short [Member] | Various Issuer [Member] | |||||||||||||||||
Investments Sold, Not yet Purchased [Line Items] | |||||||||||||||||
Current Principal/Notional Amount | [6] | $ (2,430) | |||||||||||||||
Rate | [6] | 6.25% | |||||||||||||||
Investments maturity date | [6] | 2022-07 | |||||||||||||||
Investments sold short, at fair value- | [6] | $ (2,447) | |||||||||||||||
|
Consolidated Condensed Schedule Of Investments (Financial Derivatives) |
6 Months Ended | 12 Months Ended | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Jun. 30, 2017
USD ($)
contracts
|
Dec. 31, 2016
USD ($)
contracts
|
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Holdings, Other than Securities [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial derivatives–assets, at fair value- | [1] | $ 26,602,000 | $ 35,595,000 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivative Liabilities | [1] | (27,003,000) | (18,687,000) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net cost | 36,162,000 | 40,724,000 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net proceeds | 19,994,000 | 12,012,000 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Eurodollar Future [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Holdings, Other than Securities [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Future contract notional | $ 1,000,000 | $ 1,000,000 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Future contract | contracts | 1 | 1 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Short [Member] | US Treasury Note Futures [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Holdings, Other than Securities [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Number of contracts | contracts | 68 | 70 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Derivatives - Assets [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Holdings, Other than Securities [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial derivatives–assets, at fair value- | $ 26,602,000 | [2] | $ 35,595,000 | [3] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Derivative Assets, Percent of Net Assets | 4.18% | [2],[4] | 5.52% | [3],[5] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net cost | $ 36,162,000 | [2] | $ 40,724,000 | [3] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Derivatives - Assets [Member] | Swap [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Holdings, Other than Securities [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial derivatives–assets, at fair value- | $ 26,531,000 | [2] | $ 35,400,000 | [3] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Derivative Assets, Percent of Net Assets | 4.17% | [2],[4] | 5.49% | [3],[5] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net cost | $ 36,061,000 | [2] | $ 40,491,000 | [3] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Derivatives - Assets [Member] | Futures [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Holdings, Other than Securities [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial derivatives–assets, at fair value- | $ 44,000 | [2] | $ 29,000 | [3] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Derivative Assets, Percent of Net Assets | 0.01% | [2],[4] | 0.00% | [3],[5] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Derivatives - Assets [Member] | Options [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Holdings, Other than Securities [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial derivatives–assets, at fair value- | $ 27,000 | [2] | $ 44,000 | [3] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Derivative Assets, Percent of Net Assets | 0.00% | [2],[4] | 0.01% | [3],[5] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net cost | $ 101,000 | [2] | $ 133,000 | [3] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Derivatives - Assets [Member] | Warrant [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Holdings, Other than Securities [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial derivatives–assets, at fair value- | [3] | $ 106,000 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Derivative Assets, Percent of Net Assets | [3],[5] | 0.02% | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net cost | [3] | $ 100,000 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Derivatives - Assets [Member] | Forwards [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Holdings, Other than Securities [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial derivatives–assets, at fair value- | [3] | $ 16,000 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Derivative Assets, Percent of Net Assets | [3],[5] | 0.00% | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Derivatives - Assets [Member] | North America [Member] | Warrant [Member] | Mortgage-related Residential [Member] | Equity Market Risk [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Holdings, Other than Securities [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivative notional | [3],[6] | $ 1,639,000 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial derivatives–assets, at fair value- | [3],[6] | 106,000 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Derivatives - Assets [Member] | Long [Member] | Credit Default Swaps On Asset Backed Indices [Member] | Credit Risk [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Holdings, Other than Securities [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivative notional | 1,041,000 | [2],[7] | 1,202,000 | [3],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial derivatives–assets, at fair value- | $ 10,000 | [2],[7] | $ 12,000 | [3],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Maturity Date | 2037-12 | [2],[7] | 2037-12 | [3],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Derivatives - Assets [Member] | Long [Member] | Credit Default Swaps On Corporate Bond Indices [Member] | Credit Risk [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Holdings, Other than Securities [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivative notional | $ 13,973,000 | [2],[7] | $ 40,611,000 | [3],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial derivatives–assets, at fair value- | $ 880,000 | [2],[7] | $ 2,744,000 | [3],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Derivatives - Assets [Member] | Long [Member] | Credit Default Swaps On Corporate Bond Indices [Member] | Minimum [Member] | Credit Risk [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Holdings, Other than Securities [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Maturity Date | 2018-12 | [2],[7] | 2018-12 | [3],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Derivatives - Assets [Member] | Long [Member] | Credit Default Swaps On Corporate Bond Indices [Member] | Maximum [Member] | Credit Risk [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Holdings, Other than Securities [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Maturity Date | 2022-06 | [2],[7] | 2021-12 | [3],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Derivatives - Assets [Member] | Long [Member] | Interest Rate Swaps [Member] | Interest Rate Risk [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Holdings, Other than Securities [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivative notional | $ 215,026,000 | [2],[9] | $ 215,826,000 | [3],[10] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial derivatives–assets, at fair value- | $ 2,217,000 | [2],[9] | $ 2,274,000 | [3],[10] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Derivatives - Assets [Member] | Long [Member] | Interest Rate Swaps [Member] | Minimum [Member] | Interest Rate Risk [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Holdings, Other than Securities [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Maturity Date | 2017-12 | [2],[9] | 2017-12 | [3],[10] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Derivatives - Assets [Member] | Long [Member] | Interest Rate Swaps [Member] | Maximum [Member] | Interest Rate Risk [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Holdings, Other than Securities [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Maturity Date | 2045-01 | [2],[9] | 2045-01 | [3],[10] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Derivatives - Assets [Member] | Long [Member] | Options on Credit Default Swaps on Corporate Bond Indices [Member] | Credit Risk [Member] | Put Option [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Holdings, Other than Securities [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivative notional | [3],[11] | $ 10,000,000 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial derivatives–assets, at fair value- | [3],[11] | $ 0 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Maturity Date | [3],[11] | 2017-01 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Derivatives - Assets [Member] | Long [Member] | Interest Rate Cap [Member] | Interest Rate Risk [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Holdings, Other than Securities [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivative notional | $ 113,453,000 | [2],[12] | $ 61,908,000 | [3],[13] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial derivatives–assets, at fair value- | $ 2,000 | [2],[12] | $ 2,000 | [3],[13] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Derivatives - Assets [Member] | Long [Member] | Interest Rate Cap [Member] | Minimum [Member] | Interest Rate Risk [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Holdings, Other than Securities [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Maturity Date | 2018-03 | [2],[12] | 2018-03 | [3],[13] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Derivatives - Assets [Member] | Long [Member] | Interest Rate Cap [Member] | Maximum [Member] | Interest Rate Risk [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Holdings, Other than Securities [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Maturity Date | 2019-05 | [2],[12] | 2018-10 | [3],[13] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Derivatives - Assets [Member] | Long [Member] | Equity Option [Member] | Equity Market Risk [Member] | Call Option [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Holdings, Other than Securities [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivative notional | [3],[14] | $ 16,000 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial derivatives–assets, at fair value- | [3],[14] | $ 42,000 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Maturity Date | [3],[14] | 2017-04 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Derivatives - Assets [Member] | Long [Member] | Equity Option [Member] | Consumer [Member] | Equity Market Risk [Member] | Put Option [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Holdings, Other than Securities [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivative notional | [2],[15] | $ 5,000 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial derivatives–assets, at fair value- | [2],[15] | $ 2,000 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Maturity Date | [2],[15] | 2017-07 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Derivatives - Assets [Member] | Long [Member] | Equity Option [Member] | Consumer [Member] | Equity Market Risk [Member] | Call Option [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Holdings, Other than Securities [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivative notional | [2],[15] | $ 16,000 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial derivatives–assets, at fair value- | [2],[15] | $ 23,000 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Maturity Date | [2],[15] | 2017-10 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Derivatives - Assets [Member] | Long [Member] | North America [Member] | Credit Default Swaps On Corporate Bonds [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Holdings, Other than Securities [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial derivatives–assets, at fair value- | $ 2,010,000 | [2],[7] | $ 1,361,000 | [3],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Derivatives - Assets [Member] | Long [Member] | North America [Member] | Credit Default Swaps On Corporate Bonds [Member] | Basic Materials [Member] | Credit Risk [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Holdings, Other than Securities [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivative notional | [3],[8] | 760,000 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial derivatives–assets, at fair value- | [3],[8] | $ 90,000 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Maturity Date | [3],[8] | 2021-03 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Derivatives - Assets [Member] | Long [Member] | North America [Member] | Credit Default Swaps On Corporate Bonds [Member] | Communications [Member] | Credit Risk [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Holdings, Other than Securities [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivative notional | [2],[7] | 4,210,000 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial derivatives–assets, at fair value- | [2],[7] | $ 477,000 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Derivatives - Assets [Member] | Long [Member] | North America [Member] | Credit Default Swaps On Corporate Bonds [Member] | Communications [Member] | Minimum [Member] | Credit Risk [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Holdings, Other than Securities [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Maturity Date | [2],[7] | 2019-09 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Derivatives - Assets [Member] | Long [Member] | North America [Member] | Credit Default Swaps On Corporate Bonds [Member] | Communications [Member] | Maximum [Member] | Credit Risk [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Holdings, Other than Securities [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Maturity Date | [2],[7] | 2022-06 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Derivatives - Assets [Member] | Long [Member] | North America [Member] | Credit Default Swaps On Corporate Bonds [Member] | Consumer [Member] | Credit Risk [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Holdings, Other than Securities [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivative notional | $ 18,370,000 | [2],[7] | $ 8,043,000 | [3],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial derivatives–assets, at fair value- | $ 1,272,000 | [2],[7] | $ 973,000 | [3],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Derivatives - Assets [Member] | Long [Member] | North America [Member] | Credit Default Swaps On Corporate Bonds [Member] | Consumer [Member] | Minimum [Member] | Credit Risk [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Holdings, Other than Securities [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Maturity Date | 2019-03 | [2],[7] | 2019-03 | [3],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Derivatives - Assets [Member] | Long [Member] | North America [Member] | Credit Default Swaps On Corporate Bonds [Member] | Consumer [Member] | Maximum [Member] | Credit Risk [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Holdings, Other than Securities [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Maturity Date | 2022-06 | [2],[7] | 2021-12 | [3],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Derivatives - Assets [Member] | Long [Member] | North America [Member] | Credit Default Swaps On Corporate Bonds [Member] | Energy [Member] | Credit Risk [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Holdings, Other than Securities [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivative notional | $ 2,590,000 | [2],[7] | $ 4,120,000 | [3],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial derivatives–assets, at fair value- | $ 108,000 | [2],[7] | $ 7,000 | [3],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Derivatives - Assets [Member] | Long [Member] | North America [Member] | Credit Default Swaps On Corporate Bonds [Member] | Energy [Member] | Minimum [Member] | Credit Risk [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Holdings, Other than Securities [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Maturity Date | 2020-06 | [2],[7] | 2019-03 | [3],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Derivatives - Assets [Member] | Long [Member] | North America [Member] | Credit Default Swaps On Corporate Bonds [Member] | Energy [Member] | Maximum [Member] | Credit Risk [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Holdings, Other than Securities [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Maturity Date | 2022-06 | [2],[7] | 2021-12 | [3],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Derivatives - Assets [Member] | Long [Member] | North America [Member] | Credit Default Swaps On Corporate Bonds [Member] | Financial [Member] | Credit Risk [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Holdings, Other than Securities [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivative notional | $ 1,180,000 | [2],[7] | $ 1,120,000 | [3],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial derivatives–assets, at fair value- | $ 153,000 | [2],[7] | $ 140,000 | [3],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Maturity Date | 2021-12 | [2],[7] | 2021-12 | [3],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Derivatives - Assets [Member] | Long [Member] | North America [Member] | Credit Default Swaps On Corporate Bonds [Member] | Utilities [Member] | Credit Risk [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Holdings, Other than Securities [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivative notional | [3],[8] | $ 2,060,000 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial derivatives–assets, at fair value- | [3],[8] | $ 151,000 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Maturity Date | [3],[8] | 2021-06 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Derivatives - Assets [Member] | Long [Member] | North America [Member] | Total Return Swaps [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Holdings, Other than Securities [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial derivatives–assets, at fair value- | [3],[16] | $ 155,000 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Derivatives - Assets [Member] | Long [Member] | North America [Member] | Total Return Swaps [Member] | Consumer [Member] | Credit Risk [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Holdings, Other than Securities [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivative notional | [3],[16] | 3,130,000 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial derivatives–assets, at fair value- | [3],[16] | $ 87,000 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Maturity Date | [3],[16] | 2019-07 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Derivatives - Assets [Member] | Long [Member] | North America [Member] | Total Return Swaps [Member] | Utilities [Member] | Credit Risk [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Holdings, Other than Securities [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivative notional | [3],[16] | $ 685,000 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial derivatives–assets, at fair value- | [3],[16] | $ 68,000 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Maturity Date | [3],[16] | 2020-02 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Derivatives - Assets [Member] | Short [Member] | Credit Default Swaps On Asset Backed Indices [Member] | Credit Risk [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Holdings, Other than Securities [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivative notional | $ (48,350,000) | [2],[17] | $ (112,999,000) | [3],[18] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial derivatives–assets, at fair value- | $ 7,416,000 | [2],[17] | $ 16,701,000 | [3],[18] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Derivatives - Assets [Member] | Short [Member] | Credit Default Swaps On Asset Backed Indices [Member] | Minimum [Member] | Credit Risk [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Holdings, Other than Securities [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Maturity Date | 2046-05 | [2],[17] | 2046-05 | [3],[18] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Derivatives - Assets [Member] | Short [Member] | Credit Default Swaps On Asset Backed Indices [Member] | Maximum [Member] | Credit Risk [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Holdings, Other than Securities [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Maturity Date | 2059-11 | [2],[17] | 2058-09 | [3],[18] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Derivatives - Assets [Member] | Short [Member] | Interest Rate Swaps [Member] | Interest Rate Risk [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Holdings, Other than Securities [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivative notional | $ (627,203,000) | [2],[19] | $ (607,499,000) | [3],[20] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial derivatives–assets, at fair value- | $ 4,359,000 | [2],[19] | $ 5,828,000 | [3],[20] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Derivatives - Assets [Member] | Short [Member] | Interest Rate Swaps [Member] | Minimum [Member] | Interest Rate Risk [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Holdings, Other than Securities [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Maturity Date | 2017-12 | [2],[19] | 2017-04 | [3],[20] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Derivatives - Assets [Member] | Short [Member] | Interest Rate Swaps [Member] | Maximum [Member] | Interest Rate Risk [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Holdings, Other than Securities [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Maturity Date | 2045-01 | [2],[19] | 2045-12 | [3],[20] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Derivatives - Assets [Member] | Short [Member] | Interest Rate Swaps Variable rates only [Member] | Interest Rate Risk [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Holdings, Other than Securities [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivative notional | [2],[21] | $ (26,600,000) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial derivatives–assets, at fair value- | [2],[21] | $ 35,000 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Derivatives - Assets [Member] | Short [Member] | Interest Rate Swaps Variable rates only [Member] | Minimum [Member] | Interest Rate Risk [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Holdings, Other than Securities [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Maturity Date | [2],[21] | 2018-04 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Derivatives - Assets [Member] | Short [Member] | Interest Rate Swaps Variable rates only [Member] | Maximum [Member] | Interest Rate Risk [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Holdings, Other than Securities [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Maturity Date | [2],[21] | 2019-06 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Derivatives - Assets [Member] | Short [Member] | Eurodollar Future [Member] | Interest Rate Risk [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Holdings, Other than Securities [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivative notional | [3],[22] | $ (13,000,000) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial derivatives–assets, at fair value- | [3],[22] | $ 10,000 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Maturity Date | [3],[22] | 2017-09 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Derivatives - Assets [Member] | Short [Member] | US Treasury Note Futures [Member] | Interest Rate Risk [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Holdings, Other than Securities [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivative notional | $ (6,800,000) | [2],[23] | $ (7,000,000) | [3],[24] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial derivatives–assets, at fair value- | $ 44,000 | [2],[23] | $ 19,000 | [3],[24] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Maturity Date | [3],[24] | 2017-03 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Derivatives - Assets [Member] | Short [Member] | US Treasury Note Futures [Member] | Interest Rate Risk [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Holdings, Other than Securities [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Maturity Date | [2],[23] | 2017-09 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Derivatives - Assets [Member] | Short [Member] | Forwards [Member] | Currency risk [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Holdings, Other than Securities [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivative notional | [3],[25] | $ (6,529,000) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial derivatives–assets, at fair value- | [3],[25] | $ 16,000 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Maturity Date | [3],[25] | 2017-03 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Derivatives - Assets [Member] | Short [Member] | North America [Member] | Credit Default Swaps On Corporate Bonds [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Holdings, Other than Securities [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial derivatives–assets, at fair value- | $ 4,497,000 | [2],[17] | $ 999,000 | [3],[18] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Derivatives - Assets [Member] | Short [Member] | North America [Member] | Credit Default Swaps On Corporate Bonds [Member] | Basic Materials [Member] | Credit Risk [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Holdings, Other than Securities [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivative notional | [2],[17] | (4,800,000) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial derivatives–assets, at fair value- | [2],[17] | $ 66,000 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Maturity Date | [2],[17] | 2020-03 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Derivatives - Assets [Member] | Short [Member] | North America [Member] | Credit Default Swaps On Corporate Bonds [Member] | Communications [Member] | Credit Risk [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Holdings, Other than Securities [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivative notional | $ (13,910,000) | [2],[17] | (1,930,000) | [3],[18] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial derivatives–assets, at fair value- | $ 1,421,000 | [2],[17] | $ 30,000 | [3],[18] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Maturity Date | [3],[18] | 2021-06 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Derivatives - Assets [Member] | Short [Member] | North America [Member] | Credit Default Swaps On Corporate Bonds [Member] | Communications [Member] | Minimum [Member] | Credit Risk [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Holdings, Other than Securities [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Maturity Date | [2],[17] | 2020-06 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Derivatives - Assets [Member] | Short [Member] | North America [Member] | Credit Default Swaps On Corporate Bonds [Member] | Communications [Member] | Maximum [Member] | Credit Risk [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Holdings, Other than Securities [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Maturity Date | [2],[17] | 2022-06 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Derivatives - Assets [Member] | Short [Member] | North America [Member] | Credit Default Swaps On Corporate Bonds [Member] | Consumer [Member] | Credit Risk [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Holdings, Other than Securities [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivative notional | $ (350,000) | [2],[17] | $ (2,880,000) | [3],[18] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial derivatives–assets, at fair value- | $ 27,000 | [2],[17] | $ 102,000 | [3],[18] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Maturity Date | 2022-06 | [2],[17] | 2021-12 | [3],[18] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Derivatives - Assets [Member] | Short [Member] | North America [Member] | Credit Default Swaps On Corporate Bonds [Member] | Energy [Member] | Credit Risk [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Holdings, Other than Securities [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivative notional | $ (51,340,000) | [2],[17] | $ (20,507,000) | [3],[18] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial derivatives–assets, at fair value- | $ 2,983,000 | [2],[17] | $ 867,000 | [3],[18] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Derivatives - Assets [Member] | Short [Member] | North America [Member] | Credit Default Swaps On Corporate Bonds [Member] | Energy [Member] | Minimum [Member] | Credit Risk [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Holdings, Other than Securities [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Maturity Date | 2018-03 | [2],[17] | 2017-06 | [3],[18] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Derivatives - Assets [Member] | Short [Member] | North America [Member] | Credit Default Swaps On Corporate Bonds [Member] | Energy [Member] | Maximum [Member] | Credit Risk [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Holdings, Other than Securities [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Maturity Date | 2022-06 | [2],[17] | 2021-06 | [3],[18] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Derivatives - Assets [Member] | Short [Member] | North America [Member] | Credit Default Swaps On Asset Backed Securities [Member] | Mortgage-related Residential [Member] | Credit Risk [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Holdings, Other than Securities [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivative notional | $ (6,641,000) | [2],[17] | $ (7,077,000) | [3],[18] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial derivatives–assets, at fair value- | $ 5,107,000 | [2],[17] | $ 5,326,000 | [3],[18] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Derivatives - Assets [Member] | Short [Member] | North America [Member] | Credit Default Swaps On Asset Backed Securities [Member] | Mortgage-related Residential [Member] | Minimum [Member] | Credit Risk [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Holdings, Other than Securities [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Maturity Date | 2035-05 | [2],[17] | 2035-05 | [3],[18] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Derivatives - Assets [Member] | Short [Member] | North America [Member] | Credit Default Swaps On Asset Backed Securities [Member] | Mortgage-related Residential [Member] | Maximum [Member] | Credit Risk [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Holdings, Other than Securities [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Maturity Date | 2035-12 | [2],[17] | 2035-12 | [3],[18] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Derivatives - Liabilities [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Holdings, Other than Securities [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivative Liabilities | $ (27,003,000) | [2] | $ (18,687,000) | [3] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Derivative Liabilities, Percent of Net Assets | (4.24%) | [2],[4] | (2.90%) | [3],[5] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net proceeds | $ (19,994,000) | [2] | $ (12,012,000) | [3] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Derivatives - Liabilities [Member] | Swap [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Holdings, Other than Securities [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivative Liabilities | $ (25,637,000) | [2] | $ (18,115,000) | [3] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Derivative Liabilities, Percent of Net Assets | (4.02%) | [2],[4] | (2.81%) | [3],[5] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net proceeds | $ (19,994,000) | [2] | $ (12,012,000) | [3] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Derivatives - Liabilities [Member] | Futures [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Holdings, Other than Securities [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivative Liabilities | $ (47,000) | [2] | $ (69,000) | [3] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Derivative Liabilities, Percent of Net Assets | (0.01%) | [2],[4] | (0.01%) | [3],[5] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Derivatives - Liabilities [Member] | Forwards [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Holdings, Other than Securities [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivative Liabilities | $ (1,319,000) | [2] | $ (472,000) | [3] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Derivative Liabilities, Percent of Net Assets | (0.21%) | [2],[4] | (0.07%) | [3],[5] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Derivatives - Liabilities [Member] | Mortgage Loan Purchase Commitments [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Holdings, Other than Securities [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivative Liabilities | [2] | $ (31,000) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Derivative Liabilities, Percent of Net Assets | [3],[5] | (0.01%) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Derivatives - Liabilities [Member] | Mortgage Loan Purchase Commitments [Member] | Mortgage-related Residential [Member] | Interest Rate Risk [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Holdings, Other than Securities [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivative notional | [3],[26] | $ 20,601,000 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivative Liabilities | [3],[26] | $ (31,000) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Maturity Date | [3],[26] | 2017-02 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Derivatives - Liabilities [Member] | Long [Member] | Credit Default Swaps On Asset Backed Indices [Member] | Credit Risk [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Holdings, Other than Securities [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivative notional | $ 10,157,000 | [2],[7] | $ 16,026,000 | [3],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivative Liabilities | $ (1,770,000) | [2],[7] | $ (2,899,000) | [3],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Derivatives - Liabilities [Member] | Long [Member] | Credit Default Swaps On Asset Backed Indices [Member] | Minimum [Member] | Credit Risk [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Holdings, Other than Securities [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Maturity Date | 2049-03 | [2],[7] | 2047-01 | [3],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Derivatives - Liabilities [Member] | Long [Member] | Credit Default Swaps On Asset Backed Indices [Member] | Maximum [Member] | Credit Risk [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Holdings, Other than Securities [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Maturity Date | 2059-11 | [2],[7] | 2063-05 | [3],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Derivatives - Liabilities [Member] | Long [Member] | Interest Rate Swaps [Member] | Interest Rate Risk [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Holdings, Other than Securities [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivative notional | $ 149,817,000 | [2],[9] | $ 160,248,000 | [3],[10] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivative Liabilities | $ (3,423,000) | [2],[9] | $ (4,396,000) | [3],[10] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Derivatives - Liabilities [Member] | Long [Member] | Interest Rate Swaps [Member] | Minimum [Member] | Interest Rate Risk [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Holdings, Other than Securities [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Maturity Date | 2019-02 | [2],[9] | 2019-02 | [3],[10] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Derivatives - Liabilities [Member] | Long [Member] | Interest Rate Swaps [Member] | Maximum [Member] | Interest Rate Risk [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Holdings, Other than Securities [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Maturity Date | 2045-01 | [2],[9] | 2045-01 | [3],[10] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Derivatives - Liabilities [Member] | Long [Member] | Eurodollar Future [Member] | Interest Rate Risk [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Holdings, Other than Securities [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivative notional | [3],[22] | $ 11,000,000 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivative Liabilities | [3],[22] | $ (8,000) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Maturity Date | [3],[22] | 2017-06 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Derivatives - Liabilities [Member] | Long [Member] | North America [Member] | Credit Default Swaps On Corporate Bonds [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Holdings, Other than Securities [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivative Liabilities | $ (7,118,000) | [2],[7] | $ (2,763,000) | [3],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Derivatives - Liabilities [Member] | Long [Member] | North America [Member] | Credit Default Swaps On Corporate Bonds [Member] | Basic Materials [Member] | Credit Risk [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Holdings, Other than Securities [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivative notional | 9,460,000 | [2],[7] | 9,480,000 | [3],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivative Liabilities | $ (824,000) | [2],[7] | $ (1,107,000) | [3],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Derivatives - Liabilities [Member] | Long [Member] | North America [Member] | Credit Default Swaps On Corporate Bonds [Member] | Basic Materials [Member] | Minimum [Member] | Credit Risk [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Holdings, Other than Securities [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Maturity Date | 2020-06 | [2],[7] | 2021-06 | [3],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Derivatives - Liabilities [Member] | Long [Member] | North America [Member] | Credit Default Swaps On Corporate Bonds [Member] | Basic Materials [Member] | Maximum [Member] | Credit Risk [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Holdings, Other than Securities [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Maturity Date | 2022-06 | [2],[7] | 2021-12 | [3],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Derivatives - Liabilities [Member] | Long [Member] | North America [Member] | Credit Default Swaps On Corporate Bonds [Member] | Communications [Member] | Credit Risk [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Holdings, Other than Securities [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivative notional | $ 15,715,000 | [2],[7] | $ 9,990,000 | [3],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivative Liabilities | $ (2,039,000) | [2],[7] | $ (430,000) | [3],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Maturity Date | [2],[7] | 2021-12 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Derivatives - Liabilities [Member] | Long [Member] | North America [Member] | Credit Default Swaps On Corporate Bonds [Member] | Communications [Member] | Minimum [Member] | Credit Risk [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Holdings, Other than Securities [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Maturity Date | [3],[8] | 2021-06 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Derivatives - Liabilities [Member] | Long [Member] | North America [Member] | Credit Default Swaps On Corporate Bonds [Member] | Communications [Member] | Maximum [Member] | Credit Risk [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Holdings, Other than Securities [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Maturity Date | [3],[8] | 2021-12 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Derivatives - Liabilities [Member] | Long [Member] | North America [Member] | Credit Default Swaps On Corporate Bonds [Member] | Consumer [Member] | Credit Risk [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Holdings, Other than Securities [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivative notional | $ 13,156,000 | [2],[7] | $ 9,736,000 | [3],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivative Liabilities | $ (1,660,000) | [2],[7] | $ (298,000) | [3],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Derivatives - Liabilities [Member] | Long [Member] | North America [Member] | Credit Default Swaps On Corporate Bonds [Member] | Consumer [Member] | Minimum [Member] | Credit Risk [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Holdings, Other than Securities [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Maturity Date | 2020-12 | [2],[7] | 2021-06 | [3],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Derivatives - Liabilities [Member] | Long [Member] | North America [Member] | Credit Default Swaps On Corporate Bonds [Member] | Consumer [Member] | Maximum [Member] | Credit Risk [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Holdings, Other than Securities [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Maturity Date | 2022-06 | [2],[7] | 2021-12 | [3],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Derivatives - Liabilities [Member] | Long [Member] | North America [Member] | Credit Default Swaps On Corporate Bonds [Member] | Energy [Member] | Credit Risk [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Holdings, Other than Securities [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivative notional | $ 29,927,000 | [2],[7] | $ 14,317,000 | [3],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivative Liabilities | $ (2,595,000) | [2],[7] | $ (928,000) | [3],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Derivatives - Liabilities [Member] | Long [Member] | North America [Member] | Credit Default Swaps On Corporate Bonds [Member] | Energy [Member] | Minimum [Member] | Credit Risk [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Holdings, Other than Securities [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Maturity Date | 2019-06 | [2],[7] | 2018-03 | [3],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Derivatives - Liabilities [Member] | Long [Member] | North America [Member] | Credit Default Swaps On Corporate Bonds [Member] | Energy [Member] | Maximum [Member] | Credit Risk [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Holdings, Other than Securities [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Maturity Date | 2022-06 | [2],[7] | 2021-12 | [3],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Derivatives - Liabilities [Member] | Long [Member] | North America [Member] | Total Return Swaps [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Holdings, Other than Securities [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivative Liabilities | [3],[16] | $ (249,000) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Derivatives - Liabilities [Member] | Long [Member] | North America [Member] | Total Return Swaps [Member] | Communications [Member] | Credit Risk [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Holdings, Other than Securities [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivative notional | [3],[16] | 1,623,000 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivative Liabilities | [3],[16] | $ (249,000) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Maturity Date | [3],[16] | 2019-07 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Derivatives - Liabilities [Member] | Long [Member] | Europe [Member] | Credit Default Swaps On Corporate Bonds [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Holdings, Other than Securities [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivative Liabilities | [2],[7] | $ (11,000) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Derivatives - Liabilities [Member] | Long [Member] | Europe [Member] | Credit Default Swaps On Corporate Bonds [Member] | Basic Materials [Member] | Credit Risk [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Holdings, Other than Securities [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivative notional | 12,000 | [2],[7] | $ 11,000 | [3],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivative Liabilities | $ (11,000) | [2],[7] | $ (6,000) | [3],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Maturity Date | 2019-12 | [2],[7] | 2019-12 | [3],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Derivatives - Liabilities [Member] | Short [Member] | Credit Default Swaps On Corporate Bond Indices [Member] | Credit Risk [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Holdings, Other than Securities [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivative notional | $ (223,178,000) | [2],[17] | $ (49,306,000) | [3],[18] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivative Liabilities | $ (7,361,000) | [2],[17] | $ (2,840,000) | [3],[18] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Derivatives - Liabilities [Member] | Short [Member] | Credit Default Swaps On Corporate Bond Indices [Member] | Minimum [Member] | Credit Risk [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Holdings, Other than Securities [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Maturity Date | 2018-12 | [2],[17] | 2018-12 | [3],[18] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Derivatives - Liabilities [Member] | Short [Member] | Credit Default Swaps On Corporate Bond Indices [Member] | Maximum [Member] | Credit Risk [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Holdings, Other than Securities [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Maturity Date | 2022-06 | [2],[17] | 2021-12 | [3],[18] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Derivatives - Liabilities [Member] | Short [Member] | Interest Rate Swaps [Member] | Interest Rate Risk [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Holdings, Other than Securities [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivative notional | $ (185,485,000) | [2],[19] | $ (154,836,000) | [3],[20] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivative Liabilities | $ (990,000) | [2],[19] | $ (742,000) | [3],[20] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Derivatives - Liabilities [Member] | Short [Member] | Interest Rate Swaps [Member] | Minimum [Member] | Interest Rate Risk [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Holdings, Other than Securities [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Maturity Date | 2017-08 | [2],[19] | 2017-08 | [3],[20] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Derivatives - Liabilities [Member] | Short [Member] | Interest Rate Swaps [Member] | Maximum [Member] | Interest Rate Risk [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Holdings, Other than Securities [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Maturity Date | 2045-12 | [2],[19] | 2045-11 | [3],[20] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Derivatives - Liabilities [Member] | Short [Member] | Interest Rate Swaps Variable rates only [Member] | Interest Rate Risk [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Holdings, Other than Securities [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivative notional | [3],[27] | $ (100,200,000) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivative Liabilities | [3],[27] | $ (24,000) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Derivatives - Liabilities [Member] | Short [Member] | Interest Rate Swaps Variable rates only [Member] | Minimum [Member] | Interest Rate Risk [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Holdings, Other than Securities [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Maturity Date | [3],[27] | 2017-06 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Derivatives - Liabilities [Member] | Short [Member] | Interest Rate Swaps Variable rates only [Member] | Maximum [Member] | Interest Rate Risk [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Holdings, Other than Securities [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Maturity Date | [3],[27] | 2019-06 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Derivatives - Liabilities [Member] | Short [Member] | Eurodollar Future [Member] | Interest Rate Risk [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Holdings, Other than Securities [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivative notional | $ (42,000,000) | [2],[28] | $ (49,000,000) | [3],[22] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivative Liabilities | $ (47,000) | [2],[28] | $ (61,000) | [3],[22] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Maturity Date | [2],[28] | 2017-09 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Derivatives - Liabilities [Member] | Short [Member] | Eurodollar Future [Member] | Minimum [Member] | Interest Rate Risk [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Holdings, Other than Securities [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Maturity Date | [3],[22] | 2017-03 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Derivatives - Liabilities [Member] | Short [Member] | Eurodollar Future [Member] | Maximum [Member] | Interest Rate Risk [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Holdings, Other than Securities [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Maturity Date | [3],[22] | 2017-09 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Derivatives - Liabilities [Member] | Short [Member] | Forwards [Member] | Currency risk [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Holdings, Other than Securities [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivative notional | $ (73,747,000) | [2],[29] | $ (48,258,000) | [3],[25] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivative Liabilities | $ (1,319,000) | [2],[29] | $ (472,000) | [3],[25] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Maturity Date | 2017-09 | [2],[29] | 2017-03 | [3],[25] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Derivatives - Liabilities [Member] | Short [Member] | North America [Member] | Credit Default Swaps On Corporate Bonds [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Holdings, Other than Securities [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivative Liabilities | $ (4,756,000) | [2],[17] | $ (3,885,000) | [3],[18] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Derivatives - Liabilities [Member] | Short [Member] | North America [Member] | Credit Default Swaps On Corporate Bonds [Member] | Basic Materials [Member] | Credit Risk [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Holdings, Other than Securities [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivative notional | (4,490,000) | [2],[17] | (2,260,000) | [3],[18] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivative Liabilities | $ (266,000) | [2],[17] | $ (93,000) | [3],[18] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Derivatives - Liabilities [Member] | Short [Member] | North America [Member] | Credit Default Swaps On Corporate Bonds [Member] | Basic Materials [Member] | Minimum [Member] | Credit Risk [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Holdings, Other than Securities [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Maturity Date | 2021-12 | [2],[17] | 2017-06 | [3],[18] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Derivatives - Liabilities [Member] | Short [Member] | North America [Member] | Credit Default Swaps On Corporate Bonds [Member] | Basic Materials [Member] | Maximum [Member] | Credit Risk [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Holdings, Other than Securities [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Maturity Date | 2022-06 | [2],[17] | 2021-03 | [3],[18] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Derivatives - Liabilities [Member] | Short [Member] | North America [Member] | Credit Default Swaps On Corporate Bonds [Member] | Communications [Member] | Credit Risk [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Holdings, Other than Securities [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivative notional | $ (17,360,000) | [2],[17] | $ (3,140,000) | [3],[18] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivative Liabilities | $ (1,047,000) | [2],[17] | $ (44,000) | [3],[18] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Maturity Date | [3],[18] | 2020-06 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Derivatives - Liabilities [Member] | Short [Member] | North America [Member] | Credit Default Swaps On Corporate Bonds [Member] | Communications [Member] | Minimum [Member] | Credit Risk [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Holdings, Other than Securities [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Maturity Date | [2],[17] | 2017-12 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Derivatives - Liabilities [Member] | Short [Member] | North America [Member] | Credit Default Swaps On Corporate Bonds [Member] | Communications [Member] | Maximum [Member] | Credit Risk [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Holdings, Other than Securities [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Maturity Date | [2],[17] | 2022-06 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Derivatives - Liabilities [Member] | Short [Member] | North America [Member] | Credit Default Swaps On Corporate Bonds [Member] | Consumer [Member] | Credit Risk [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Holdings, Other than Securities [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivative notional | $ (45,102,000) | [2],[17] | $ (30,901,000) | [3],[18] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivative Liabilities | $ (2,701,000) | [2],[17] | $ (3,097,000) | [3],[18] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Derivatives - Liabilities [Member] | Short [Member] | North America [Member] | Credit Default Swaps On Corporate Bonds [Member] | Consumer [Member] | Minimum [Member] | Credit Risk [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Holdings, Other than Securities [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Maturity Date | 2017-12 | [2],[17] | 2019-03 | [3],[18] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Derivatives - Liabilities [Member] | Short [Member] | North America [Member] | Credit Default Swaps On Corporate Bonds [Member] | Consumer [Member] | Maximum [Member] | Credit Risk [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Holdings, Other than Securities [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Maturity Date | 2022-06 | [2],[17] | 2021-12 | [3],[18] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Derivatives - Liabilities [Member] | Short [Member] | North America [Member] | Credit Default Swaps On Corporate Bonds [Member] | Energy [Member] | Credit Risk [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Holdings, Other than Securities [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivative notional | $ (9,020,000) | [2],[17] | $ (5,150,000) | [3],[18] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivative Liabilities | $ (282,000) | [2],[17] | $ (80,000) | [3],[18] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Derivatives - Liabilities [Member] | Short [Member] | North America [Member] | Credit Default Swaps On Corporate Bonds [Member] | Energy [Member] | Minimum [Member] | Credit Risk [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Holdings, Other than Securities [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Maturity Date | 2017-12 | [2],[17] | 2017-12 | [3],[18] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Derivatives - Liabilities [Member] | Short [Member] | North America [Member] | Credit Default Swaps On Corporate Bonds [Member] | Energy [Member] | Maximum [Member] | Credit Risk [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Holdings, Other than Securities [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Maturity Date | 2022-06 | [2],[17] | 2021-12 | [3],[18] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Derivatives - Liabilities [Member] | Short [Member] | North America [Member] | Credit Default Swaps On Corporate Bonds [Member] | Industrial Sector [Member] | Credit Risk [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Holdings, Other than Securities [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivative notional | $ (5,050,000) | [2],[17] | $ (12,460,000) | [3],[18] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivative Liabilities | $ (69,000) | [2],[17] | $ (119,000) | [3],[18] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Derivatives - Liabilities [Member] | Short [Member] | North America [Member] | Credit Default Swaps On Corporate Bonds [Member] | Industrial Sector [Member] | Minimum [Member] | Credit Risk [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Holdings, Other than Securities [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Maturity Date | 2021-06 | [2],[17] | 2020-03 | [3],[18] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Derivatives - Liabilities [Member] | Short [Member] | North America [Member] | Credit Default Swaps On Corporate Bonds [Member] | Industrial Sector [Member] | Maximum [Member] | Credit Risk [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Holdings, Other than Securities [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Maturity Date | 2021-12 | [2],[17] | 2021-12 | [3],[18] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Derivatives - Liabilities [Member] | Short [Member] | North America [Member] | Credit Default Swaps On Corporate Bonds [Member] | Technology Sector [Member] | Credit Risk [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Holdings, Other than Securities [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivative notional | $ (2,810,000) | [2],[17] | $ (3,020,000) | [3],[18] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivative Liabilities | $ (391,000) | [2],[17] | $ (345,000) | [3],[18] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Maturity Date | 2022-06 | [2],[17] | 2020-03 | [3],[18] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Derivatives - Liabilities [Member] | Short [Member] | North America [Member] | Credit Default Swaps On Corporate Bonds [Member] | Utilities [Member] | Credit Risk [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Holdings, Other than Securities [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivative notional | [3],[18] | $ (860,000) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivative Liabilities | [3],[18] | $ (107,000) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Maturity Date | [3],[18] | 2021-06 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Derivatives - Liabilities [Member] | Short [Member] | North America [Member] | Credit Default Swaps On Asset Backed Securities [Member] | Mortgage-related Residential [Member] | Credit Risk [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Holdings, Other than Securities [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivative notional | $ (3,000,000) | [2],[17] | $ (3,057,000) | [3],[18] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivative Liabilities | $ (207,000) | [2],[17] | $ (256,000) | [3],[18] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Maturity Date | [2],[17] | 2035-03 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Derivatives - Liabilities [Member] | Short [Member] | North America [Member] | Credit Default Swaps On Asset Backed Securities [Member] | Mortgage-related Residential [Member] | Minimum [Member] | Credit Risk [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Holdings, Other than Securities [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Maturity Date | [3],[18] | 2034-10 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Derivatives - Liabilities [Member] | Short [Member] | North America [Member] | Credit Default Swaps On Asset Backed Securities [Member] | Mortgage-related Residential [Member] | Maximum [Member] | Credit Risk [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Holdings, Other than Securities [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Maturity Date | [3],[18] | 2035-03 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Derivatives - Liabilities [Member] | Short [Member] | North America [Member] | Total Return Swaps [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Holdings, Other than Securities [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivative Liabilities | [2] | $ (1,000) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Derivatives - Liabilities [Member] | Short [Member] | North America [Member] | Total Return Swaps [Member] | Financial [Member] | Equity Market Risk [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Holdings, Other than Securities [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivative notional | (24,986,000) | [2],[30] | $ (42,093,000) | [3],[31] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivative Liabilities | $ (1,000) | [2],[30] | $ (55,000) | [3],[31] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Derivatives - Liabilities [Member] | Short [Member] | North America [Member] | Total Return Swaps [Member] | Financial [Member] | Minimum [Member] | Equity Market Risk [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Holdings, Other than Securities [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Maturity Date | 2018-08 | [2],[30] | 2017-05 | [3],[31] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Derivatives - Liabilities [Member] | Short [Member] | North America [Member] | Total Return Swaps [Member] | Financial [Member] | Maximum [Member] | Equity Market Risk [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Holdings, Other than Securities [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Maturity Date | 2019-04 | [2],[30] | 2017-08 | [3],[31] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
|
Consolidated Statement Of Operations - USD ($) $ in Thousands |
3 Months Ended | 6 Months Ended | ||
---|---|---|---|---|
Jun. 30, 2017 |
Jun. 30, 2016 |
Jun. 30, 2017 |
Jun. 30, 2016 |
|
INVESTMENT INCOME | ||||
Interest income | $ 21,788 | $ 18,990 | $ 44,674 | $ 39,417 |
Other income | 872 | 1,024 | 1,811 | 2,692 |
Total investment income | 22,660 | 20,014 | 46,485 | 42,109 |
EXPENSES | ||||
Base management fee | 2,372 | 2,553 | 4,782 | 5,164 |
Interest expense | 7,625 | 4,234 | 13,628 | 7,702 |
Other investment related expenses | 2,058 | 2,191 | 3,579 | 3,938 |
Professional fees | 697 | 834 | 1,379 | 1,690 |
Administration fees | 180 | 312 | 362 | 653 |
Compensation expense | 567 | 612 | 1,030 | 1,132 |
Insurance expense | 120 | 150 | 256 | 307 |
Directors' fees and expenses | 70 | 73 | 141 | 138 |
Share-based LTIP expense | 95 | 99 | 189 | 199 |
Other expenses | 444 | 435 | 932 | 843 |
Total expenses | 14,228 | 11,493 | 26,278 | 21,766 |
NET INVESTMENT INCOME | 8,432 | 8,521 | 20,207 | 20,343 |
Net realized gain (loss) on: | ||||
Investments | 691 | 1,226 | 1,285 | (748) |
Financial derivatives, excluding currency forwards | (4,046) | (2,231) | (5,627) | (12,285) |
Financial derivatives-currency forwards | (2,523) | (972) | (3,345) | (1,305) |
Foreign currency transactions | 531 | (354) | 1,509 | 66 |
Total net realized gain (loss) on investments, financial derivatives, and foreign currency transactions | (5,347) | (2,331) | (6,178) | (14,272) |
Change in net unrealized gain (loss) on: | ||||
Investments | 2,829 | 3,386 | 8,587 | (1,016) |
Financial derivatives, excluding currency forwards | (2,619) | (5,773) | (3,776) | (24,611) |
Financial derivatives-currency forwards | (1,194) | 3,500 | (864) | 454 |
Foreign currency translation | 3,340 | (2,301) | 3,195 | 918 |
Total Change in Net Unrealized Gain Loss On Investments, Financial derivatives, and Foreign currency translation | 2,356 | (1,188) | 7,142 | (24,255) |
NET REALIZED AND CHANGE IN NET UNREALIZED GAIN (LOSS) ON INVESTMENTS, FINANCIAL DERIVATIVES, AND FOREIGN CURRENCY TRANSACTIONS/TRANSLATION | (2,991) | (3,519) | 964 | (38,527) |
Net Income (Loss), Including Portion Attributable to Noncontrolling Interest | 5,441 | 5,002 | 21,171 | (18,184) |
Net Income (Loss) Attributable to Noncontrolling Interest | 377 | 17 | 829 | 31 |
Net Income (Loss) Attributable to Parent | $ 5,064 | $ 4,985 | $ 20,342 | $ (18,215) |
NET INCREASE (DECREASE) IN SHAREHOLDERS' EQUITY RESULTING FROM OPERATIONS PER SHARE: | ||||
Basic and Diluted (in usd per share) | $ 0.16 | $ 0.15 | $ 0.62 | $ (0.54) |
CASH DIVIDENDS PER SHARE: | ||||
Dividends (in usd per share) | $ 0.45 | $ 0.50 | $ 0.90 | $ 1.00 |
Consolidated Statement Of Changes In Equity - USD ($) $ in Thousands |
Total |
Parent [Member] |
Noncontrolling Interest [Member] |
||||||
---|---|---|---|---|---|---|---|---|---|
Stockholders' Equity Attributable to Parent at Dec. 31, 2015 | $ 732,049 | ||||||||
Stockholders' Equity Attributable to Noncontrolling Interest at Dec. 31, 2015 | $ 6,903 | ||||||||
Stockholders' Equity, Including Portion Attributable to Noncontrolling Interest at Dec. 31, 2015 | $ 738,952 | ||||||||
CHANGE IN SHAREHOLDERS’ EQUITY RESULTING FROM OPERATIONS | |||||||||
Net investment income | 20,343 | ||||||||
Net realized gain (loss) on investments, financial derivatives, and foreign currency transactions | (14,272) | ||||||||
Change in net unrealized gain (loss) on investments, financial derivatives, and foreign currency translation | (24,255) | ||||||||
Net Income (Loss) Attributable to Parent | (18,215) | (18,215) | |||||||
Net Income (Loss) Attributable to Noncontrolling Interest | 31 | 31 | |||||||
Net Income (Loss), Including Portion Attributable to Noncontrolling Interest | (18,184) | ||||||||
CHANGE IN EQUITY RESULTING FROM TRANSACTIONS | |||||||||
Contributions from non-controlling interests | 684 | 684 | |||||||
Dividends | [1] | (33,616) | [2] | (33,404) | (212) | ||||
Distributions to non-controlling interest | (2,228) | (2,228) | |||||||
Adjustment to non-controlling interest | 0 | (9) | 9 | ||||||
Shares repurchased | (6,624) | (6,624) | |||||||
Share-based LTIP awards | 199 | 198 | 1 | ||||||
Net increase (decrease) in equity from transactions | (41,585) | (39,839) | (1,746) | ||||||
Net increase (decrease) in equity | (59,769) | (58,054) | (1,715) | ||||||
Stockholders' Equity Attributable to Parent at Jun. 30, 2016 | 673,995 | ||||||||
Stockholders' Equity Attributable to Noncontrolling Interest at Jun. 30, 2016 | 5,188 | ||||||||
Stockholders' Equity, Including Portion Attributable to Noncontrolling Interest at Jun. 30, 2016 | 679,183 | ||||||||
Stockholders' Equity Attributable to Parent at Dec. 31, 2016 | 637,661 | 637,661 | |||||||
Stockholders' Equity Attributable to Noncontrolling Interest at Dec. 31, 2016 | 7,116 | 7,116 | |||||||
Stockholders' Equity, Including Portion Attributable to Noncontrolling Interest at Dec. 31, 2016 | 644,777 | ||||||||
CHANGE IN SHAREHOLDERS’ EQUITY RESULTING FROM OPERATIONS | |||||||||
Net investment income | 20,207 | ||||||||
Net realized gain (loss) on investments, financial derivatives, and foreign currency transactions | (6,178) | ||||||||
Change in net unrealized gain (loss) on investments, financial derivatives, and foreign currency translation | 7,142 | ||||||||
Net Income (Loss) Attributable to Parent | 20,342 | 20,342 | |||||||
Net Income (Loss) Attributable to Noncontrolling Interest | 829 | 829 | |||||||
Net Income (Loss), Including Portion Attributable to Noncontrolling Interest | 21,171 | ||||||||
CHANGE IN EQUITY RESULTING FROM TRANSACTIONS | |||||||||
Contributions from non-controlling interests | 11,321 | 11,321 | |||||||
Dividends | [1] | (29,579) | [2] | (29,388) | (191) | ||||
Distributions to non-controlling interest | (8,050) | (8,050) | |||||||
Adjustment to non-controlling interest | 0 | (4) | 4 | ||||||
Shares repurchased | (2,868) | (2,868) | |||||||
Share-based LTIP awards | 189 | 188 | 1 | ||||||
Net increase (decrease) in equity from transactions | (28,987) | (32,072) | 3,085 | ||||||
Net increase (decrease) in equity | (7,816) | (11,730) | 3,914 | ||||||
Stockholders' Equity Attributable to Parent at Jun. 30, 2017 | 625,931 | $ 625,931 | |||||||
Stockholders' Equity Attributable to Noncontrolling Interest at Jun. 30, 2017 | 11,030 | $ 11,030 | |||||||
Stockholders' Equity, Including Portion Attributable to Noncontrolling Interest at Jun. 30, 2017 | $ 636,961 | ||||||||
|
Consolidated Statement Of Changes In Equity (Parenthetical) - $ / shares |
3 Months Ended | 6 Months Ended | ||
---|---|---|---|---|
Jun. 30, 2017 |
Jun. 30, 2016 |
Jun. 30, 2017 |
Jun. 30, 2016 |
|
Statement of Stockholders' Equity [Abstract] | ||||
Dividends (in usd per share) | $ 0.45 | $ 0.50 | $ 0.90 | $ 1.00 |
Consolidated Statement Of Cash Flows - USD ($) $ in Thousands |
6 Months Ended | ||||
---|---|---|---|---|---|
Jun. 30, 2017 |
Jun. 30, 2016 |
||||
INCREASE (DECREASE) IN CASH AND CASH EQUIVALENTS: | |||||
Net Income (Loss), Including Portion Attributable to Noncontrolling Interest | $ 21,171 | $ (18,184) | |||
Reconciliation of the net increase (decrease) in equity resulting from operations to net cash provided by (used in) operating activities: | |||||
Net realized (gain) loss on investments, financial derivatives, and foreign currency transactions | 9,370 | 14,322 | |||
Change in net unrealized (gain) loss on investments and financial derivatives, and foreign currency translation | (6,796) | 24,894 | |||
Amortization of premiums and accretion of discounts (net) | 15,618 | 10,333 | |||
Purchase of investments | (1,445,940) | (1,299,234) | |||
Proceeds from disposition of investments | 1,022,560 | 1,264,889 | |||
Proceeds from principal payments of investments | 134,770 | 120,017 | |||
Proceeds from investments sold short | 1,207,603 | 773,556 | |||
Repurchase of investments sold short | (1,116,008) | (905,408) | |||
Payments on financial derivatives | [1] | (44,958) | (168,054) | ||
Proceeds from financial derivatives | [1] | 48,528 | 155,132 | ||
Share-based LTIP expense | 189 | 199 | |||
Repurchase agreements | (81,840) | (10,303) | |||
(Increase) decrease in assets: | |||||
Receivable for securities sold and financial derivatives | (39,012) | 168,812 | |||
Due from brokers | 30,717 | (57,520) | |||
Interest and principal receivable | 547 | 1,359 | |||
Restricted cash | 230 | 952 | |||
Other assets | (3,522) | 2,383 | |||
Increase (decrease) in liabilities: | |||||
Due to brokers | (8,882) | (20,082) | |||
Payable for securities purchased and financial derivatives | 139,361 | 31,799 | |||
Accounts payable and accrued expenses | 669 | (571) | |||
Other liabilities | 102 | (504) | |||
Interest and dividends payable | 517 | 717 | |||
Base management fee payable | (45) | (220) | |||
Net cash provided by (used in) operating activities | (115,051) | 89,284 | |||
Cash flows provided by (used in) financing activities: | |||||
Contributions from non-controlling interests | 11,321 | 684 | |||
Shares repurchased | (2,868) | (6,624) | |||
Dividends paid | (29,579) | (33,616) | |||
Distributions to non-controlling interests | (8,050) | (2,228) | |||
Proceeds from issuance of other secured borrowings | 81,648 | 23,238 | |||
Principal payments on other secured borrowings | (11,837) | (10,205) | |||
Borrowings under reverse repurchase agreements | 7,089,080 | 3,220,229 | |||
Repayments of reverse repurchase agreements | (7,003,423) | (3,324,313) | |||
Net cash provided by (used in) financing activities | 126,292 | (132,835) | |||
NET INCREASE (DECREASE) IN CASH AND CASH EQUIVALENTS | 11,241 | (43,551) | |||
CASH AND CASH EQUIVALENTS, BEGINNING OF PERIOD | 123,274 | 183,909 | |||
CASH AND CASH EQUIVALENTS, END OF PERIOD | 134,515 | 140,358 | |||
Supplemental disclosure of cash flow information: | |||||
Interest paid | 12,554 | 7,442 | |||
Share-based LTIP awards (non-cash) | 189 | 199 | |||
Aggregate TBA trade activity (buys sells) (non-cash) | 11,157,765 | 11,246,156 | |||
Purchase of investments (non-cash) | (24,211) | 0 | |||
Proceeds from principal payments of investments (non-cash) | 4,315 | 0 | |||
Proceeds from the disposition of investments (non-cash) | 25,693 | 0 | |||
Proceeds from Issuance of Securitized Debt Non Cash | 17,175 | 0 | |||
Principal payments on other secured borrowings (non-cash) | $ (22,972) | $ 0 | |||
|
Organization and Investment Objective |
6 Months Ended |
---|---|
Jun. 30, 2017 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Organization and Investment Objective | Organization and Investment Objective Ellington Financial LLC was formed as a Delaware limited liability company on July 9, 2007 and commenced operations on August 17, 2007. Ellington Financial Operating Partnership LLC (the "Operating Partnership"), a 99.4% owned consolidated subsidiary of Ellington Financial LLC, was formed as a Delaware limited liability company on December 14, 2012 and commenced operations on January 1, 2013. All of the Company's operations and business activities are conducted through the Operating Partnership. Ellington Financial LLC, the Operating Partnership, and their consolidated subsidiaries are hereafter collectively referred to as the "Company." All intercompany accounts are eliminated in consolidation. The Company is a specialty finance company that primarily acquires and manages mortgage-related and consumer-related assets, including residential mortgage-backed securities, or "RMBS," residential and commercial mortgage loans, consumer loans and asset-backed securities, or "ABS," backed by consumer loans, commercial mortgage-backed securities, or "CMBS," real property, and mortgage-related derivatives. The Company also invests in corporate debt and equity, including distressed debt, collateralized loan obligations, or "CLOs," non-mortgage-related derivatives, and other financial assets, including private debt and equity investments in mortgage-related entities. Ellington Financial Management LLC ("EFM" or the "Manager") is an SEC-registered investment adviser and a registered commodity pool operator that serves as the Manager to the Company pursuant to the terms of its sixth amended and restated management agreement (the "Management Agreement"). EFM is an affiliate of Ellington Management Group, L.L.C., ("Ellington") an investment management firm that is registered as both an investment adviser and a commodity pool operator. In accordance with the terms of the Management Agreement, the Manager implements the investment strategy and manages the business and operations on a day-to-day basis for the Company and performs certain services for the Company, subject to oversight by the Company's Board of Directors ("Board of Directors"). |
Significant Accounting Policies |
6 Months Ended | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Jun. 30, 2017 | |||||||||||||
Accounting Policies [Abstract] | |||||||||||||
Significant Accounting Policies | Significant Accounting Policies (A) Basis of Presentation: The Company's unaudited interim consolidated financial statements have been prepared in conformity with generally accepted accounting principles in the United States of America, or "U.S. GAAP," for investment companies, ASC 946, Financial Services—Investment Companies ("ASC 946"). The Company has determined that it meets the definition of an investment company under ASC 946. ASC 946 requires, among other things, that investments be reported at fair value in the financial statements. Additionally under ASC 946 the Company generally will not consolidate its interest in any company other than in its subsidiaries that qualify as investment companies under ASC 946. The consolidated financial statements include the accounts of the Company, the Operating Partnership, and its subsidiaries. All intercompany balances and transactions have been eliminated. The preparation of consolidated financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the consolidated financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates. In management's opinion, all material adjustments considered necessary for a fair statement of the Company's interim consolidated financial statements have been included and are only of a normal recurring nature. Interim results are not necessarily indicative of the results that may be expected for the entire fiscal year. The information included in this Quarterly Report on Form 10-Q should be read in conjunction with the Company's Annual Report on Form 10-K for the year ended December 31, 2016. (B) Valuation: The Company applies ASC 820-10, Fair Value Measurement ("ASC 820-10"), to its holdings of financial instruments. ASC 820-10 establishes a three-level valuation hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the observability of inputs to the valuation of an asset or liability as of the measurement date. The three levels are defined as follows:
For certain financial instruments, the various inputs that management uses to measure fair value for such financial instrument may fall into different levels of the fair value hierarchy. In such cases, the determination of which category within the fair value hierarchy is appropriate for such financial instrument is based on the lowest level of input that is significant to the fair value measurement. ASC 820 prioritizes the various inputs that management uses to measure fair value with the highest priority to inputs that are observable and reflect quoted prices (unadjusted) for identical assets or liabilities in active markets (Level 1) and the lowest priority to inputs that are unobservable and significant to the fair value measurement (Level 3). The assessment of the significance of a particular input to the fair value measurement in its entirety requires judgment and considers factors specific to the financial instrument. The Company may use valuation techniques consistent with the market and income approaches to measure the fair value of its assets and liabilities. The market approach uses third-party valuations and information obtained from market transactions involving identical or similar assets or liabilities. The income approach uses projections of the future economic benefit of an instrument to determine its fair value, such as in the discounted cash flow methodology. The inputs or methodology used for valuing financial instruments are not necessarily an indication of the risk associated with investing in these financial instruments. The leveling of each financial instrument is reassessed at the end of each period. Transfers between levels of the fair value hierarchy are assumed to occur at the end of the reporting period. Summary Valuation Techniques For financial instruments that are traded in an "active market," the best measure of fair value is the quoted market price. However, many of the Company's financial instruments are not traded in an active market. Therefore, management generally uses third-party valuations when available. If third-party valuations are not available, management uses other valuation techniques, such as the discounted cash flow methodology. The following are summary descriptions, for various categories of financial instruments, of the valuation methodologies management uses in determining fair value of the Company's financial instruments in such categories. Management utilizes such methodologies to assign a good faith fair value (the estimated price that, in an orderly transaction at the valuation date, would be received to sell an asset, or paid to transfer a liability, as the case may be) to each such financial instrument. For mortgage-backed securities, or "MBS," including To Be Announced MBS, or "TBAs," CLOs, and distressed and non-distressed corporate debt and equity, management seeks to obtain at least one third-party valuation, and often obtains multiple valuations when available. Management has been able to obtain third-party valuations on the vast majority of these instruments and expects to continue to solicit third-party valuations in the future. Management generally values each financial instrument at the average of third-party valuations received and not rejected as described below. Third-party valuations are not binding, and while management generally does not adjust the valuations it receives, management may challenge or reject a valuation when, based on its validation criteria, management determines that such valuation is unreasonable or erroneous. Furthermore, based on its validation criteria, management may determine that the average of the third-party valuations received for a given instrument does not result in what management believes to be the fair value of such instrument, and in such circumstances management may override this average with its own good faith valuation. The validation criteria may take into account output from management's own models, recent trading activity in the same or similar instruments, and valuations received from third parties. The use of proprietary models requires the use of a significant amount of judgment and the application of various assumptions including, but not limited to, assumptions concerning future prepayment rates and default rates. Valuations for fixed-rate MBS pass-throughs issued by a U.S. government agency or government-sponsored enterprise are typically based on observable pay-up data (pay-ups are price premiums for specified categories of fixed-rate pools relative to their TBA counterparts) or models that use observable market data, such as interest rates and historical prepayment speeds, and are validated against third-party valuations. Given their relatively high level of price transparency, Agency RMBS pass-throughs are typically designated as Level 2 assets. Non-Agency MBS, Agency interest only and inverse interest only RMBS, and CLOs are generally classified as either Level 2 or Level 3 based on analysis of available market data and/or third-party valuations. The Company's investments in distressed corporate debt can be in the form of loans as well as total return swaps on loans. These investments as well as related non-listed equity investments are generally designated as Level 3 assets. Valuations for total return swaps are typically based on prices of the underlying loans received from widely used third-party pricing services. Investments in non-distressed corporate bonds are generally also valued based on prices received from third-party pricing services, and many of these bonds, because they are very liquid with readily observable data, are generally classified as Level 2 holdings. Furthermore, the methodology used by the third-party valuation providers is reviewed at least annually by management, so as to ascertain whether such providers are utilizing observable market data to determine the valuations that they provide. For residential and commercial mortgage loans, consumer loans, and real estate owned properties, or "REO," management determines fair value by taking into account both external pricing data, when available, and internal pricing models. Non-performing mortgage loans and REO are typically valued based on management's estimates of the value of the underlying real estate, using various information including general economic data, broker price opinions, or "BPOs," recent sales, property appraisals, and bids. Performing mortgage loans and consumer loans are typically valued using discounted cash flows based on market assumptions and mortgage loans that are not deemed "qualified mortgage," or "QM," loans under the rules of the Consumer Financial Protection Bureau, or "non-QM loans," are valued using matrix pricing. Cash flow assumptions typically include projected default and prepayment rates and loss severities, and may include adjustments based on appraisals and BPOs. Mortgage and consumer loans and REO properties are classified as Level 3 assets. For financial derivatives with greater price transparency, such as CDS on asset-backed indices, CDS on corporate indices, certain options on the foregoing, and total return swaps on publicly traded equities, market-standard pricing sources are used to obtain valuations; these financial derivatives are generally designated as Level 2 instruments. Interest rate swaps, swaptions, and foreign currency forwards are typically valued based on internal models that use observable market data, including applicable interest rates and foreign currency rates in effect as of the measurement date; the model-generated valuations are then typically compared to counterparty valuations for reasonableness. These financial derivatives are also generally designated as Level 2 instruments. Financial derivatives with less price transparency, such as CDS on individual ABS, are generally valued based on internal models, and are typically designated as Level 3 instruments. In the case of CDS on individual ABS, the valuation process typically starts with an estimation of the value of the underlying ABS. In valuing its derivatives, the Company also considers the creditworthiness of both the Company and its counterparties, along with collateral provisions contained in each derivative agreement. Investments in private operating entities, such as mortgage originators, are valued based on available metrics, such as relevant market multiples and comparable company valuations, company specific-financial data including actual and projected results and independent third party valuation estimates. These investments are designated as Level 3 assets. The Company's repurchase agreements are carried at fair value based on their contractual amounts as the debt is short-term in nature. The Company's reverse repurchase agreements are carried at cost, which approximates fair value. Repurchase and reverse repurchase agreements are classified as Level 2 assets and liabilities based on the adequacy of the collateral and their short term nature. The Company's valuation process, including the application of validation criteria, is overseen by the Manager's Valuation Committee ("Valuation Committee"). The Valuation Committee includes senior level executives from various departments within the Manager, and each quarter, the Valuation Committee reviews and approves the valuations of the Company's investments. The valuation process also includes a monthly review by the Company's third-party administrator. The goal of this review is to replicate various aspects of the Company's valuation process based on the Company's documented procedures. Because of the inherent uncertainty of valuation, the estimated fair value of the Company's financial instruments may differ significantly from the values that would have been used had a ready market for the financial instruments existed, and the differences could be material to the Company's consolidated financial statements. (C) Purchase and Sales of Investments and Investment Income: Purchases and sales of investments are generally recorded on trade date, and realized and unrealized gains and losses are calculated based on identified cost. The Company amortizes premiums and accretes discounts on its debt investments. Coupon interest income on fixed-income investments is generally accrued based on the outstanding principal balance or notional value and the current coupon interest rate. For Agency RMBS and debt securities that are deemed to be of high credit quality at the time of purchase, premiums and discounts are amortized into interest income over the life of such securities using the effective interest method. For securities whose cash flows vary depending on prepayments, an effective yield retroactive to the time of purchase is periodically recomputed based on actual prepayments and changes in projected prepayment activity, and a catch-up adjustment is made to amortization to reflect the cumulative impact of the change in effective yield. For debt securities (including non-Agency MBS) that are deemed not to be of high credit quality at the time of purchase, interest income is recognized based on the effective interest method. For purposes of determining the effective interest rate, management estimates the future expected cash flows of its investment holdings based on assumptions including, but not limited to, assumptions for future prepayment rates, default rates, and loss severities (each of which may in turn incorporate various macro-economic assumptions, such as future housing prices). These assumptions are re-evaluated not less than quarterly. Principal write-offs are generally treated as realized losses. Changes in projected cash flows, as applied to the current amortized cost of the security, may result in a prospective change in the yield/interest income recognized on such securities. For each loan purchased with the expectation that both interest and principal will be paid in full, the Company generally amortizes or accretes any premium or discount over the life of the loan utilizing the effective interest method. However, on at least a quarterly basis based on current information and events, the Company re-assesses the collectability of interest and principal, and designates a loan as impaired either when any payments have become 90 or more days past due, or when, in the opinion of management, it is probable that the Company will be unable to collect either interest or principal in full. Once a loan is designated as impaired, as long as principal is still expected to be collectable in full, interest payments are recorded as interest income only when received (i.e., under the cash basis method); accruals of interest income are only resumed when the loan becomes contractually current and performance is demonstrated to be resumed. However, if principal is not expected to be collectable in full, the cost recovery method is used (i.e., no interest income is recognized, and all payments received—whether contractually interest or principal—are applied to cost). For each loan purchased with evidence of credit deterioration since origination and the expectation that either principal or interest will not be paid in full, interest income is generally recognized using the effective interest method for as long as the cash flows can be reasonably estimated. Here, instead of amortizing the purchase discount (i.e., the excess of the unpaid principal balance over the purchase price) over the life of the loan, the Company effectively amortizes the accretable yield (i.e., the excess of the Company's estimate of the total cash flows to be collected over the life of the loan over the purchase price). Not less than quarterly, the Company updates its estimate of the cash flows expected to be collected over the life of the loan, and revised yields are prospectively applied. To the extent that cash flows cannot be reasonably estimated, these loans are generally accounted for under the cost recovery method. For certain groups of consumer loans that the Company considers as having sufficiently homogeneous characteristics, the Company aggregates such loans into pools, and accounts for each such pool as a single asset. The pool is then treated analogously to a debt security deemed not to be of high credit quality, in that (i) the aggregate premium or discount for the pool is amortized or accreted into interest income based on the pool's effective interest rate; (ii) the effective interest rate is determined based on the net expected cash flows of the pool, taking into account estimates of prepayments, defaults, and loss severities; and (iii) estimates are updated not less than quarterly and revised yields are prospectively applied. In estimating future cash flows on the Company's debt investments, there are a number of assumptions that will be subject to significant uncertainties and contingencies, including, in the case of MBS, assumptions relating to prepayment rates, default rates, loan loss severities, and loan repurchases. These estimates require the use of a significant amount of judgment. The Company receives dividend income on certain of its equity investments and rental income on certain of its REO properties. These items of income are included on the Consolidated Statement of Operations under the heading, "Other income." (D) Cash and Cash Equivalents: Cash and cash equivalents include cash and short term investments with original maturities of three months or less at the date of acquisition. Cash and cash equivalents typically include amounts held in an interest bearing overnight account and amounts held in money market funds, and these balances generally exceed insured limits. The Company holds its cash at institutions that it believes to be highly creditworthy. Restricted cash represents cash that the Company can use only for specific purposes. The Company's investments in money market funds are included in the Consolidated Condensed Schedule of Investments. See Note 13 for further discussion of restricted cash balances. (E) Financial Derivatives: The Company enters into various types of financial derivatives. The Company's financial derivatives are predominantly subject to bilateral collateral arrangements or clearing in accordance with the Dodd-Frank Wall Street Reform and Consumer Protection Act of 2010. The Company may be required to deliver or receive cash or securities as collateral upon entering into derivative transactions. In addition, changes in the relative value of derivative transactions may require the Company or the counterparty to post or receive additional collateral. In the case of cleared derivatives, the clearinghouse becomes the Company's counterparty and a futures commission merchant acts as an intermediary between the Company and the clearinghouse with respect to all facets of the related transaction, including the posting and receipt of required collateral. Cash collateral received by the Company is reflected on the Consolidated Statement of Assets, Liabilities, and Equity as "Due to Brokers." Conversely, cash collateral posted by the Company is reflected as "Due from Brokers" on the Consolidated Statement of Assets, Liabilities, and Equity. The major types of derivatives utilized by the Company are swaps, futures, options, and forwards. Swaps: The Company may enter into various types of swaps, including interest rate swaps, credit default swaps, and total return swaps. The primary risk associated with the Company's interest rate swap activity is interest rate risk. The primary risk associated with the Company's credit default swaps is credit risk and the primary risks associated with the Company's total return swap activity are equity market risk and credit risk. The Company is subject to interest rate risk exposure in the normal course of pursuing its investment objectives. Primarily to help mitigate interest rate risk, the Company enters into interest rate swaps. Interest rate swaps are contractual agreements whereby one party pays a floating interest rate on a notional principal amount and receives a fixed-rate payment on the same notional principal, or vice versa, for a fixed period of time. Interest rate swaps change in value with movements in interest rates. The Company enters into credit default swaps. A credit default swap is a contract under which one party agrees to compensate another party for the financial loss associated with the occurrence of a "credit event" in relation to a "reference amount" or notional value of a credit obligation (usually a bond, loan, or a basket of bonds or loans). The definition of a credit event may vary from contract to contract. A credit event may occur (i) when the underlying reference asset(s) fails to make scheduled principal or interest payments to its holders, (ii) with respect to credit default swaps referencing mortgage/asset-backed securities and indices, when the underlying reference obligation is downgraded below a certain rating level, or (iii) with respect to credit default swaps referencing corporate entities and indices, upon the bankruptcy of the underlying reference obligor. The Company typically writes (sells) protection to take a "long" position or purchases (buys) protection to take a "short" position with respect to underlying reference assets or to hedge exposure to other investment holdings. The Company enters into total return swaps in order to take a "long" or "short" position with respect to an underlying reference asset. The Company is subject to market price volatility of the underlying reference asset. A total return swap involves commitments to pay interest in exchange for a market-linked return based on a notional value. To the extent that the total return of the corporate debt, security, group of securities or index underlying the transaction exceeds or falls short of the offsetting interest obligation, the Company will receive a payment from or make a payment to the counterparty. Swaps change in value with movements in interest rates, credit quality, or total return of the reference securities. During the term of swap contracts, changes in value are recognized as unrealized gains or losses. When a contract is terminated, the Company realizes a gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the Company's basis in the contract, if any. Periodic payments or receipts required by swap agreements are recorded as unrealized gains or losses when accrued and realized gains or losses when received or paid. Upfront payments paid and/or received by the Company to open swap contracts are recorded as an asset and/or liability on the Consolidated Statement of Assets, Liabilities, and Equity and are recorded as a realized gain or loss on the termination date. Futures Contracts: A futures contract is an exchange-traded agreement to buy or sell an asset for a set price on a future date. The Company enters into Eurodollar and/or U.S. Treasury security futures contracts to hedge its interest rate risk. The Company may also enter into various other futures contracts, including equity index futures. Initial margin deposits are made upon entering into futures contracts and can generally be either in the form of cash or securities. During the period the futures contract is open, changes in the value of the contract are recognized as unrealized gains or losses by marking-to-market to reflect the current market value of the contract. Variation margin payments are made or received periodically, depending upon whether unrealized losses or gains are incurred. When the contract is closed, the Company records a realized gain or loss equal to the difference between the proceeds of the closing transaction and the Company's basis in the contract. Options: The Company may purchase or write put or call options contracts or enter into swaptions. The Company enters into options contracts typically to help mitigate overall market, credit, or interest rate risk depending on the type of options contract. However, the Company also enters into options contracts from time to time for speculative purposes. When the Company purchases an options contract, the option asset is initially recorded at an amount equal to the premium paid, if any, and is subsequently marked-to-market. Premiums paid for purchasing options contracts that expire unexercised are recognized on the expiration date as realized losses. If an options contract is exercised, the premium paid is subtracted from the proceeds of the sale or added to the cost of the purchase to determine whether the Company has realized a gain or loss on the related transaction. When the Company writes an options contract, the option liability is initially recorded at an amount equal to the premium received, if any, and is subsequently marked-to-market. Premiums received for writing options contracts that expire unexercised are recognized on the expiration date as realized gains. If an options contract is exercised, the premium received is subtracted from the cost of the purchase or added to the proceeds of the sale to determine whether the Company has realized a gain or loss on the related investment transaction. When the Company enters into a closing transaction, the Company will realize a gain or loss depending upon whether the amount from the closing transaction is greater or less than the premiums paid or received. The Company may also enter into options contracts that contain forward-settling premiums. In this case, no money is exchanged upfront. Instead the agreed-upon premium is paid by the buyer upon expiration of the option, regardless of whether or not the option is exercised. Forward Currency Contracts: A forward currency contract is an agreement between two parties to purchase or sell a specific quantity of currency with the delivery and settlement at a specific future date and exchange rate. During the period the forward currency contract is open, changes in the value of the contract are recognized as unrealized gains or losses. When the contract is settled, the Company records a realized gain or loss equal to the difference between the proceeds of the closing transaction and the Company's basis in the contract. Commitments to Purchase Residential Mortgage Loans: The Company has entered into forward purchase commitments under flow agreements, whereby the Company commits to purchasing the loans based on pre-defined underwriting guidelines and at stated interest rates. Actual loan purchases are contingent upon successful loan closings. These commitments to purchase mortgage loans are classified as derivatives on the Company's Consolidated Statement of Assets, Liabilities, and Equity and are, therefore, recorded as assets or liabilities measured at fair value. Until the purchase commitment expires or the underlying loan closes, changes in the estimated fair value of such commitments are recognized as unrealized gains or losses in the Consolidated Statement of Operations. Financial derivatives disclosed on the Consolidated Condensed Schedule of Investments include: credit default swaps on asset-backed securities, credit default swaps on asset-backed indices, credit default swaps on corporate bond indices, credit default swaps on corporate bonds, interest rate swaps, total return swaps, futures contracts, foreign currency forwards, options contracts, warrants, and mortgage loan purchase commitments. Financial derivative assets are included in Financial derivatives—assets, at fair value on the Consolidated Statement of Assets, Liabilities, and Equity. Financial derivative liabilities are included in Financial derivatives—liabilities, at fair value on the Consolidated Statement of Assets, Liabilities, and Equity. In addition, financial derivative contracts are summarized by type on the Consolidated Condensed Schedule of Investments. (F) Investments Sold Short: When the Company sells securities short, it typically satisfies its security delivery settlement obligation by obtaining the security sold short from the same or a different counterparty. The Company generally is required to deliver cash or securities as collateral to the counterparty for the Company's obligation to return the borrowed security. The amount by which the market value of the obligation falls short of or exceeds the proceeds from the short sale is treated as an unrealized gain or loss, respectively. A realized gain or loss will be recognized upon the termination of a short sale if the market price is less or greater than the proceeds originally received. (G) Reverse Repurchase Agreements: The Company enters into reverse repurchase agreements with third-party broker-dealers whereby it sells securities under agreements to be repurchased at an agreed-upon price and date. The Company accounts for reverse repurchase agreements as collateralized borrowings, with the initial sale price representing the amount borrowed, and with the future repurchase price consisting of the amount borrowed plus interest, at the implied interest rate of the reverse repurchase agreement, on the amount borrowed over the term of the reverse repurchase agreement. The interest rate on a reverse repurchase agreement is based on competitive rates (or competitive market spreads, in the case of agreements with floating interest rates) at the time such agreement is entered into. When the Company enters into a reverse repurchase agreement, the lender establishes and maintains an account containing cash and/or securities having a value not less than the repurchase price, including accrued interest, of the reverse repurchase agreement. Reverse repurchase agreements are carried at their contractual amounts, which approximate fair value as the debt is short-term in nature. (H) Repurchase Agreements: The Company enters into repurchase agreement transactions whereby it purchases securities under agreements to resell at an agreed-upon price and date. In general, securities received pursuant to repurchase agreements are delivered to counterparties of short sale transactions. The interest rate on a repurchase agreement is based on competitive rates (or competitive market spreads, in the case of agreements with floating interest rates) at the time such agreement is entered into. Assets held pursuant to repurchase agreements are reflected as assets on the Consolidated Statement of Assets, Liabilities, and Equity. Repurchase agreements are carried at fair value based on their contractual amounts as the debt is short-term in nature. Repurchase and reverse repurchase agreements that are conducted with the same counterparty may be reported on a net basis if they meet the requirements of ASC 210-20, Balance Sheet Offsetting. There are no repurchase and reverse repurchase agreements reported on a net basis in the Company's consolidated financial statements. (I) Transfers of Financial Assets: The Company enters into transactions whereby it transfers financial assets to third parties. Upon such a transfer of financial assets, the Company will sometimes retain or acquire interests in the related assets. The Company evaluates transferred assets pursuant to ASC 860-10, Transfers of Financial Assets, or "ASC 860-10," which requires that a determination be made as to whether a transferor has surrendered control over transferred financial assets. That determination must consider the transferor's continuing involvement in the transferred financial asset, including all arrangements or agreements made contemporaneously with, or in contemplation of, the transfer, even if they were not entered into at the time of the transfer. When a transfer of financial assets does not qualify as a sale, ASC 860-10 requires the transfer to be accounted for as a secured borrowing with a pledge of collateral. ASC 860-10 is a standard that requires the Company to exercise significant judgment in determining whether a transaction should be recorded as a "sale" or a "financing." (J) When-Issued/Delayed Delivery Securities: The Company may purchase or sell securities on a when-issued or delayed delivery basis. Securities purchased or sold on a when-issued basis are traded for delivery beyond the normal settlement date at a stated price or yield, and no income accrues to the purchaser prior to settlement. Purchasing or selling securities on a when-issued or delayed delivery basis involves the risk that the market price or yield at the time of settlement may be lower or higher than the agreed-upon price or yield, in which case a realized loss may be incurred. The Company transacts in the forward settling TBA market. The Company typically does not take delivery of TBAs, but rather settles the associated receivable and payable with its trading counterparties on a net basis. Transactions with the same counterparty for the same TBA that result in a reduction of the position are treated as extinguished. The market value of the securities that the Company is required to purchase pursuant to a TBA transaction may decline below the agreed-upon purchase price. Conversely, the market value of the securities that the Company is required to sell pursuant to a TBA transaction may increase above the agreed upon sale price. As part of its TBA activities, the Company may "roll" its TBA positions, whereby the Company may sell (buy) securities for delivery (receipt) in an earlier month and simultaneously contract to repurchase (sell) similar, but not identical, securities at an agreed-upon price on a fixed date in a later month (with the later-month price typically lower than the earlier-month price). The Company accounts for its TBA transactions (including those related to TBA rolls) as purchases and sales. (K) REO: When the Company obtains possession of real property in connection with a foreclosure or similar action, the Company de-recognizes the associated mortgage loan according to ASU 2014-04, Reclassification of Residential Real Estate Collateralized Consumer Mortgage Loans upon Foreclosure ("ASU 2014-04"). Under the provisions of ASU 2014-04, the Company is deemed to have received physical possession of real estate property collateralizing a mortgage loan when it obtains legal title to the property upon completion of a foreclosure or when the borrower conveys all interest in the property to it through a deed in lieu of foreclosure or similar legal agreement. The Company holds all REO at fair value. (L) Investments in Operating Entities: The Company has made and may in the future make non-controlling investments in operating entities such as mortgage originators. Investments in such operating entities may be in the form of preferred and/or common equity, debt, or some other form of investment. The Company carries its investments in such entities at fair value. In cases where the operating entity provides services to the Company, the Company is required to use the equity method of accounting. (M) Offering Costs/Underwriters' Discount: Offering costs and underwriters' discount are charged against shareholders' equity. Offering costs typically include legal, accounting, printing, and other fees associated with the cost of raising capital. (N) Expenses: Expenses are recognized as incurred on the Consolidated Statement of Operations. (O) Other Investment Related Expenses: Other investment related expenses consist of expenses directly related to specific financial instruments. Such expenses generally include dividend expense on common stock sold short, servicing fees and corporate and escrow advances on mortgage and consumer loans, and various other expenses and fees related directly to the Company's financial instruments. Other investment related expenses are generally recognized as incurred on the Consolidated Statement of Operations; dividend expense on common stock sold short is recognized on the ex-dividend date. (P) LTIP Units: Long term incentive plan units ("LTIP Units") have been issued to the Company's dedicated or partially dedicated personnel and independent directors as well as the Manager. Costs associated with LTIP Units issued to dedicated or partially dedicated personnel, or to independent directors, are measured as of the grant date based on the closing stock price on the New York Stock Exchange and are amortized over the vesting period in accordance with ASC 718-10, Compensation—Stock Compensation. The vesting periods for LTIP Units are typically one year from issuance for independent directors, and are typically one year to two years from issuance for dedicated or partially dedicated personnel. (Q) Non-controlling interests: Non-controlling interests include the interest in the Operating Partnership owned by an affiliate of the Manager and certain related parties and consist of units convertible into the Company's common shares. Non-controlling interests also include the interests of joint venture partners in certain of our consolidated subsidiaries. The joint venture partners' interests do not consist of units convertible into the Company's common shares. The Company adjusts the non-controlling interests owned by an affiliate of the Manager and certain related parties to align their carrying value with the share of total outstanding operating partnership units ("OP Units") issued by the Operating Partnership to the non-controlling interest. Any such adjustments are reflected in "Adjustment to non-controlling interest" on the Consolidated Statement of Changes in Equity. See Note 9 for further discussion of non-controlling interests. (R) Dividends: Dividends payable by the Company are recorded on the ex-dividend date. Dividends are typically declared and paid on a quarterly basis in arrears. (S) Shares Repurchased: Common shares that are repurchased by the Company subsequent to issuance are immediately retired upon settlement and decrease the total number of shares outstanding and issued. (T) Earnings Per Share ("EPS"): Basic EPS is computed using the two class method by dividing net increase (decrease) in shareholders' equity resulting from operations after adjusting for the impact of LTIP Units which are participating securities, by the weighted average number of common shares outstanding calculated including LTIP Units. Because the Company's LTIP Units are participating securities, they are included in the calculation of basic and diluted EPS. OP Units relating to a non-controlling interest are also participating securities and, accordingly, are included in the calculation of both basic and diluted EPS. (U) Foreign Currency: Assets and liabilities denominated in foreign currencies are translated into U.S. dollars at current exchange rates at the following dates: (i) assets, liabilities, and unrealized gains/losses—at the valuation date; and (ii) income, expenses, and realized gains/losses—at the accrual/transaction date. The Company isolates the portion of realized and change in unrealized gain (loss) resulting from changes in foreign currency exchange rates on investments and financial derivatives from the fluctuations arising from changes in fair value of investments and financial derivatives held. Changes in realized and change in unrealized gain (loss) due to foreign currency are included in Foreign currency transactions and Foreign currency translation, respectively, on the Consolidated Statement of Operations. (V) Income Taxes: The Company has been and continues to expect to be treated as a partnership for U.S. federal income tax purposes. Certain of the Company's subsidiaries are not consolidated for U.S. federal income tax purposes, but are also treated as partnerships. In general, partnerships are not subject to entity-level tax on their income, but the income of a partnership is taxable to its owners on a flow-through basis. In addition, certain subsidiaries of the Company have elected to be treated as corporations for U.S. federal income tax purposes, and one has elected to be taxed as a real estate investment trust, or "REIT," beginning with the tax year ending December 31, 2015. The Company follows the authoritative guidance on accounting for and disclosure of uncertainty on tax positions, which requires management to determine whether a tax position of the Company is more likely than not to be sustained upon examination by the applicable taxing authority, including resolution of any related appeals or litigation processes, based on the technical merits of the position. For uncertain tax positions, the tax benefit to be recognized is measured as the largest amount of benefit that is greater than 50% likely of being realized upon ultimate settlement. The Company did not have any additions to unrecognized tax benefits resulting from tax positions related either to the current period or to 2016, 2015, 2014, or 2013 (its open tax years), and no reductions resulting from tax positions of prior years or due to settlements, and thus had no unrecognized tax benefits or reductions since inception. The Company does not expect any change in unrecognized tax benefits within the next fiscal year. There were no amounts accrued for tax penalties or interest as of or during the periods presented in these consolidated financial statements. The Company may take positions with respect to certain tax issues which depend on legal interpretation of facts or applicable tax regulations. Should the relevant tax regulators successfully challenge any of such positions, the Company might be found to have a tax liability that has not been recorded in the accompanying consolidated financial statements. Also, management's conclusions regarding ASC 740-10 may be subject to review and adjustment at a later date based on factors including, but not limited to, further implementation guidance from the Financial Accounting Standards Board, or "FASB," and ongoing analyses of tax laws, regulations and interpretations thereof. (W) Recent Accounting Pronouncements: In November 2016, the FASB issued ASU 2016-18, Statement of Cash Flows—Restricted Cash ("ASU 2016-18"). This amends ASC 230, Statement of Cash Flows, to require that the statement of cash flows explain the change during the period in the total of cash, cash equivalents, and amounts generally described as restricted cash and restricted cash equivalents. Therefore, amounts generally described as restricted cash and restricted cash equivalents should be included with cash and cash equivalents when reconciling the beginning-of-period and end-of-period total amounts shown on the statement of cash flows. ASU 2016-18 is effective for fiscal years beginning after December 15, 2017, and interim periods within those fiscal years, with early adoption permitted. The adoption of ASU 2016-18 is not expected to have a material impact on the Company's consolidated financial statements. |
Valuation |
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Fair Value Disclosures [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Valuation | Valuation The table below reflects the value of the Company's Level 1, Level 2, and Level 3 financial instruments at June 30, 2017:
The following table identifies the significant unobservable inputs that affect the valuation of the Company's Level 3 assets and liabilities as of June 30, 2017:
Third-party non-binding valuations are validated by comparing such valuations to internally generated prices based on the Company's models and to recent trading activity in the same or similar instruments. For those instruments valued using discounted and net discounted cash flows, collateral prepayments, losses, recoveries, and scheduled amortization are projected over the remaining life of the collateral and expressed as a percentage of the collateral's current principal balance. Averages are weighted based on the fair value of the related instrument. In the case of credit default swaps on asset-backed securities, averages are weighted based on each instrument's bond equivalent value. Bond equivalent value represents the investment amount of a corresponding position in the reference obligation, calculated as the difference between the outstanding principal balance of the underlying reference obligation and the fair value, inclusive of accrued interest, of the derivative contract. For those assets valued using the LIBOR Option Adjusted Spread ("OAS") valuation methodology, cash flows are projected using the Company's models over multiple interest rate scenarios, and these projected cash flows are then discounted using the LIBOR rates implied by each interest rate scenario. The LIBOR OAS of an asset is then computed as the unique constant yield spread that, when added to all LIBOR rates in each interest rate scenario generated by the model, will equate (a) the expected present value of the projected asset cash flows over all model scenarios to (b) the actual current market price of the asset. LIBOR OAS is therefore model-dependent. Generally speaking, LIBOR OAS measures the additional yield spread over LIBOR that an asset provides at its current market price after taking into account any interest rate options embedded in the asset. The Company considers the expected timeline to resolution in the determination of fair value for its non-performing commercial and residential loans. Material changes in any of the inputs above in isolation could result in a significant change to reported fair value measurements. Additionally, fair value measurements are impacted by the interrelationships of these inputs. For example, for instruments subject to prepayments and credit losses, such as non-Agency RMBS and consumer loans and ABS backed by consumer loans, a higher expectation of collateral prepayments will generally be accompanied by a lower expectation of collateral losses. Conversely, higher losses will generally be accompanied by lower prepayments. Because the Company's credit default swaps on asset-backed security holdings represent credit default swap contracts whereby the Company has purchased credit protection, such credit default swaps on asset-backed securities generally have the directionally opposite sensitivity to prepayments, losses, and recoveries as compared to the Company's long securities holdings. Prepayments do not represent a significant input for the Company's commercial mortgage-backed securities and commercial mortgage loans. Losses and recoveries do not represent a significant input for the Company's Agency RMBS interest only securities, given the guarantee of the issuing government agency or government-sponsored enterprise. The table below reflects the value of the Company's Level 1, Level 2, and Level 3 financial instruments at December 31, 2016:
The following table identifies the significant unobservable inputs that affect the valuation of the Company's Level 3 assets and liabilities as of December 31, 2016:
Third-party non-binding valuations are validated by comparing such valuations to internally generated prices based on the Company's models and to recent trading activity in the same or similar instruments. For those instruments valued using discounted and net discounted cash flows, collateral prepayments, losses, recoveries, and scheduled amortization are projected over the remaining life of the collateral and expressed as a percentage of the collateral's current principal balance. Averages are weighted based on the fair value of the related instrument. In the case of credit default swaps on asset-backed securities, averages are weighted based on each instrument's bond equivalent value. Bond equivalent value represents the investment amount of a corresponding position in the reference obligation, calculated as the difference between the outstanding principal balance of the underlying reference obligation and the fair value, inclusive of accrued interest, of the derivative contract. For those assets valued using the LIBOR Option Adjusted Spread valuation methodology, cash flows are projected using the Company's models over multiple interest rate scenarios, and these projected cash flows are then discounted using the LIBOR rates implied by each interest rate scenario. The LIBOR OAS of an asset is then computed as the unique constant yield spread that, when added to all LIBOR rates in each interest rate scenario generated by the model, will equate (a) the expected present value of the projected asset cash flows over all model scenarios to (b) the actual current market price of the asset. LIBOR OAS is therefore model-dependent. Generally speaking, LIBOR OAS measures the additional yield spread over LIBOR that an asset provides at its current market price after taking into account any interest rate options embedded in the asset. Material changes in any of the inputs above in isolation could result in a significant change to reported fair value measurements. Additionally, fair value measurements are impacted by the interrelationships of these inputs. For example, a higher expectation of collateral prepayments will generally be accompanied by a lower expectation of collateral losses. Conversely, higher losses will generally be accompanied by lower prepayments. Because the Company's credit default swaps on asset-backed security holdings represent credit default swap contracts whereby the Company has purchased credit protection, such default swaps on asset-backed securities generally have the directionally opposite sensitivity to prepayments, losses, and recoveries as compared to the Company's long securities holdings. Prepayments do not represent a significant input for the Company's commercial mortgage-backed securities and commercial mortgage loans. Losses and recoveries do not represent a significant input for the Company's Agency RMBS interest only securities, given the guarantee of the issuing government agency or government-sponsored enterprise. The tables below include a roll-forward of the Company's financial instruments for the three and six month periods ended June 30, 2017 and 2016 (including the change in fair value), for financial instruments classified by the Company within Level 3 of the valuation hierarchy. Level 3—Fair Value Measurement Using Significant Unobservable Inputs: Three Month Period Ended June 30, 2017
All amounts of net realized and change in net unrealized gain (loss) in the table above are reflected in the accompanying Consolidated Statement of Operations. The table above incorporates changes in net unrealized gain (loss) for both Level 3 financial instruments held by the Company at June 30, 2017, as well as Level 3 financial instruments disposed of by the Company during the three month period ended June 30, 2017. For Level 3 financial instruments held by the Company at June 30, 2017, change in net unrealized gain (loss) of $5.1 million, $(0.7) million, and $0.01 million for the three month period ended June 30, 2017 relate to investments, financial derivatives–assets, and financial derivatives–liabilities, respectively. As of June 30, 2017, the Company modified its procedures to determine the level within the hierarchy for certain financial instruments. Under the revised procedure, the Company examines financial instruments individually rather than in cohorts of like instruments as it had previously. As of June 30, 2017, the Company transferred $92.4 million of securities from Level 3 to Level 2 and $16.1 million from Level 2 to Level 3. Transfers between these hierarchy levels were based on the availability of sufficient observable inputs to meet Level 2 versus Level 3 criteria. The leveling of each financial instrument is reassessed at the end of each period, and is based on pricing information received from multiple third-party pricing sources. Three Month Period Ended June 30, 2016
All amounts of net realized and change in net unrealized gain (loss) in the table above are reflected in the accompanying Consolidated Statement of Operations. The table above incorporates changes in net unrealized gain (loss) for both Level 3 financial instruments held by the Company at June 30, 2016, as well as Level 3 financial instruments disposed of by the Company during the three month period ended June 30, 2016. For Level 3 financial instruments held by the Company at June 30, 2016, change in net unrealized gain (loss) of $(2.2) million, $(0.03) million, $0.3 million, $(0.6) million, and $0.3 million, for the three month period ended June 30, 2016 relate to investments, investments sold short, financial derivatives–assets, financial derivatives–liabilities, and guarantees, respectively. As of June 30, 2016, the Company transferred $8.8 million of non-Agency RMBS from Level 3 to Level 2. These assets were transferred from Level 3 to Level 2 based on an increased volume of observed trading of these and similar assets. This increase in observed trading activity has led to greater price transparency for these assets, thereby making a Level 2 designation appropriate in the Company's view. In addition, as of June 30, 2016, the Company transferred $12.8 million of non-Agency RMBS from Level 2 to Level 3. Since March 31, 2016, these securities have exhibited indications of a reduced level of price transparency. Examples of such indications include wider spreads relative to similar securities and a reduction in observable transactions involving these and similar securities. Six Month Period Ended June 30, 2017
All amounts of net realized and change in net unrealized gain (loss) in the table above are reflected in the accompanying Consolidated Statement of Operations. The table above incorporates changes in net unrealized gain (loss) for both Level 3 financial instruments held by the Company at June 30, 2017, as well as Level 3 financial instruments disposed of by the Company during the six month period ended June 30, 2017. For Level 3 financial instruments held by the Company at June 30, 2017, change in net unrealized gain (loss) of $9.0 million, $(0.2) million, and $0.05 million for the six month period ended June 30, 2017 relate to investments, financial derivatives–assets, and financial derivatives–liabilities, respectively. As of June 30, 2017, the Company modified certain of its procedures to determine the level within the hierarchy for certain financial instruments. Under the revised procedure, the Company examines financial instruments individually rather than in cohorts of like instruments as it had previously. As of June 30, 2017, the Company transferred $80.2 million of securities from Level 3 to Level 2 and $11.3 million from Level 2 to Level 3. Transfers between these hierarchy levels were based on the availability of sufficient observable inputs to meet Level 2 versus Level 3 criteria. The leveling of each financial instrument is reassessed at the end of each period, and is based on pricing information received from multiple third-party pricing sources. Six Month Period Ended June 30, 2016
All amounts of net realized and change in net unrealized gain (loss) in the table above are reflected in the accompanying Consolidated Statement of Operations. The table above incorporates changes in net unrealized gain (loss) for both Level 3 financial instruments held by the Company at June 30, 2016, as well as Level 3 financial instruments disposed of by the Company during the six month period ended June 30, 2016. For Level 3 financial instruments held by the Company at June 30, 2016, change in net unrealized gain (loss) of $(10.9) million, $(0.04) million, $0.9 million, $(0.1) million, and $0.5 million, for the six month period ended June 30, 2016 relate to investments, investments sold short, financial derivatives–assets, financial derivatives–liabilities, and guarantees, respectively. As of June 30, 2016, the Company transferred $9.0 million of non-Agency RMBS from Level 3 to Level 2. These assets were transferred from Level 3 to Level 2 based on an increased volume of observed trading of these and similar assets. This increase in observed trading activity has led to greater price transparency for these assets, thereby making a Level 2 designation appropriate in the Company's view. In addition, as of June 30, 2016, the Company transferred $11.3 million of non-Agency RMBS from Level 2 to Level 3. Since December 31, 2015, these securities have exhibited indications of a reduced level of price transparency. Examples of such indications include wider spreads relative to similar securities and a reduction in observable transactions involving these and similar securities. There were no transfers of financial instruments between Level 1 and Level 2 during the three or six month periods ended June 30, 2017 and 2016. |
To Be Announced RMBS |
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Jun. 30, 2017 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
To Be Announced RMBS [Abstract] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
To Be Announced RMBS | To Be Announced RMBS In addition to investing in pools of Agency RMBS, the Company transacts in the forward settling TBA market. Pursuant to these TBA transactions, the Company agrees to purchase or sell, for future delivery, Agency RMBS with certain principal and interest terms and certain types of underlying collateral, but the particular Agency RMBS to be delivered is not identified until shortly before the TBA settlement date. TBAs are liquid and have quoted market prices and represent the most actively traded class of MBS. The Company accounts for its TBAs as purchase and sales and uses TBAs primarily for hedging purposes, typically in the form of short positions. However, the Company may also invest in TBAs for speculative purposes, including holding long positions. Overall, the Company typically holds a net short position. The Company does not generally take delivery of TBAs; rather, it settles the associated receivable and payable with its trading counterparties on a net basis. Transactions with the same counterparty for the same TBA that result in a reduction of the position are treated as extinguished. The fair value of the Company's positions in long TBA contracts are reflected on the Consolidated Condensed Schedule of Investments under TBA–Fixed-Rate Agency Securities and the fair value of the Company's positions in TBA contracts sold short are reflected on the Consolidated Condensed Schedule of Investments under TBA–Fixed-Rate Agency Securities Sold Short. The payables and receivables related to the Company's TBA securities are included on the Consolidated Statement of Assets, Liabilities, and Equity in Payable for securities purchased and Receivable for securities sold, respectively. The below table details TBA assets, liabilities, and the respective related payables and receivables as of June 30, 2017 and December 31, 2016:
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Financial Derivatives |
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Derivative Instruments and Hedging Activities Disclosure [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Derivatives | Financial Derivatives Gains and losses on the Company's derivative contracts for the three and six month periods ended June 30, 2017 and 2016 are summarized in the tables below: Three and Six Month Periods Ended June 30, 2017:
Three and Six Month Periods Ended June 30, 2016:
The tables below detail the average notional values of the Company's financial derivatives, using absolute value of month end notional values, for the six month period ended June 30, 2017 and the year ended December 31, 2016:
From time to time the Company enters into credit derivative contracts for which the Company sells credit protection ("written credit derivatives"). As of June 30, 2017 and December 31, 2016, all of the Company's open written credit derivatives were credit default swaps on either mortgage/asset-backed indices (ABX and CMBX indices) or corporate bond indices (CDX), collectively referred to as credit indices, or on individual corporate bonds, for which the Company receives periodic payments at fixed rates from credit protection buyers, and is obligated to make payments to the credit protection buyer upon the occurrence of a "credit event" with respect to underlying reference assets. Written credit derivatives held by the Company at June 30, 2017 and December 31, 2016, are summarized below:
A credit default swap on a credit index or a corporate bond typically terminates at the stated maturity date in the case of corporate indices or bonds, or, in the case of ABX and CMBX indices, the date that all of the reference assets underlying the index are paid off in full, retired, or otherwise cease to exist. Implied credit spreads may be used to determine the market value of such contracts and are reflective of the cost of buying/selling credit protection. Higher spreads would indicate a greater likelihood that a seller will be obligated to perform (i.e., make payment) under the contract. In situations where the credit quality of the underlying reference assets has deteriorated, the percentage of notional values that would be paid up front to enter into a new such contract ("points up front") is frequently used as an indication of credit risk. Credit protection sellers entering the market in such situations would expect to be paid points up front corresponding to the approximate fair value of the contract. For the Company's written credit derivatives that were outstanding at June 30, 2017, implied credit spreads on such contracts ranged between 25.1 and 1,040.5 basis points. For the Company's written credit derivatives that were outstanding at December 31, 2016, implied credit spreads on such contracts ranged between 68.5 and 636.6 basis points. Excluded from these spread ranges are contracts outstanding for which the individual spread is greater than 2000 basis points. The Company believes that these contracts would be quoted based on estimated points up front. The total fair value of contracts with individual implied credit spreads in excess of 2000 basis points was $(1.4) million and $(2.5) million as of June 30, 2017 and December 31, 2016, respectively. Estimated points up front on these contracts as of June 30, 2017 ranged between 48.3 and 72.6 points, and as of December 31, 2016 ranged between 45.0 and 72.6 points. Total net up-front payments (paid) or received relating to written credit derivatives outstanding at June 30, 2017 and December 31, 2016 were $(5.7) million and $(3.3) million, respectively. |
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Borrowings | Borrowings The Company's borrowings consist of reverse repurchase agreements and other secured borrowings. As of June 30, 2017 and December 31, 2016, the Company's total borrowings were $1.207 billion and $1.058 billion, respectively. Reverse Repurchase Agreements The Company enters into reverse repurchase agreements. A reverse repurchase agreement involves the sale of an asset to a counterparty together with a simultaneous agreement to repurchase the transferred asset or similar asset from such counterparty at a future date. The Company accounts for its reverse repurchase agreements as collateralized borrowings, with the transferred assets effectively serving as collateral for the related borrowing. The Company's reverse repurchase agreements typically range in term from 30 to 180 days, although the Company also has reverse repurchase agreements that provide for longer or shorter terms. The principal economic terms of each reverse repurchase agreement—such as loan amount, interest rate, and maturity date—are typically negotiated on a transaction-by-transaction basis. Other terms and conditions, such as those relating to events of default, are typically governed under the Company's master repurchase agreements. Absent an event of default, the Company maintains beneficial ownership of the transferred securities during the term of the reverse repurchase agreement and receives the related principal and interest payments. Interest rates on these borrowings are generally fixed based on prevailing rates corresponding to the terms of the borrowings, and for most reverse repurchase agreements, interest is generally paid at the termination of the reverse repurchase agreement, at which time the Company may enter into a new reverse repurchase agreement at prevailing market rates with the same counterparty, repay that counterparty and possibly negotiate financing terms with a different counterparty, or choose to no longer finance the related asset. Some reverse repurchase agreements provide for periodic payments of interest, such as monthly payments. In response to a decline in the fair value of the transferred securities, whether as a result of changes in market conditions, security paydowns, or other factors, reverse repurchase agreement counterparties will typically make a margin call, whereby the Company will be required to post additional securities and/or cash as collateral with the counterparty in order to re-establish the agreed-upon collateralization requirements. In the event of increases in fair value of the transferred securities, the Company can generally require the counterparty to post collateral with it in the form of cash or securities. The Company is generally permitted to sell or re-pledge any securities posted by the counterparty as collateral; however, upon termination of the reverse repurchase agreement, or other circumstance in which the counterparty is no longer required to post such margin, the Company must return to the counterparty the same security that had been posted. The contractual amount (loan amount) of the Company's reverse repurchase agreements approximates their fair value, as the debt is short-term in nature. At any given time, the Company seeks to have its outstanding borrowings under reverse repurchase agreements with several different counterparties in order to reduce the exposure to any single counterparty. The Company had outstanding borrowings under reverse repurchase agreements with nineteen counterparties as of June 30, 2017 and twenty-one counterparties as of December 31, 2016. At June 30, 2017, approximately 15% of open reverse repurchase agreements were with one counterparty. As of December 31, 2016, there was no counterparty that held 15% or more of the Company's outstanding reverse repurchase agreements. As of June 30, 2017 remaining days to maturity on the Company's open reverse repurchase agreements ranged from 3 days to 306 days and from 3 days to 320 days as of December 31, 2016. Interest rates on the Company's open reverse repurchase agreements ranged from (2.75)% to 4.47% as of June 30, 2017 and from 0.60% to 3.76% as of December 31, 2016. The following table details the Company's outstanding borrowings under reverse repurchase agreements for Agency RMBS and Credit assets, which include non-Agency MBS, CLOs, consumer loans, corporate debt, residential mortgage loans, and U.S. Treasury securities, by remaining maturity as of June 30, 2017 and December 31, 2016:
Reverse repurchase agreements involving underlying investments that the Company sold prior to period end, for settlement following period end, are shown using their original maturity dates even though such reverse repurchase agreements may be expected to be terminated early upon settlement of the sale of the underlying investment. As of June 30, 2017 and December 31, 2016, the fair value of investments transferred as collateral under outstanding borrowings under reverse repurchase agreements was $1.27 billion and $1.15 billion, respectively. Collateral transferred under outstanding borrowings as of June 30, 2017 include investments in the amount of $14.5 million that were sold prior to period end but for which such sale had not yet settled. In addition the Company posted net cash collateral of $17.5 million and additional securities with a fair value of $1.7 million as of June 30, 2017 to its counterparties. Collateral transferred under outstanding borrowings as of December 31, 2016 include investments in the amount of $33.4 million that were sold prior to year end but for which such sale had not yet settled. In addition, the Company posted net cash collateral of $39.2 million and additional securities with a fair value of $2.7 million as of December 31, 2016 as a result of margin calls from various counterparties. As of June 30, 2017 and December 31, 2016 there were no counterparties for which the amount at risk relating to our repurchase agreements was greater than 10% of total equity. Other Secured Borrowings The Company has entered into securitization transactions to finance certain of its commercial mortgage loans and REO. These securitization transactions are accounted for as collateralized borrowings. As of June 30, 2017 and December 31, 2016, the Company had outstanding borrowings in the amount of $46.0 million and $24.1 million, respectively, in connection with one such securitization which is included under the caption Other secured borrowings on the Company's Consolidated Statement of Assets, Liabilities, and Equity. As of June 30, 2017 and December 31, 2016, the fair value of commercial mortgage loans and REO collateralizing this borrowing was $77.2 million and $42.0 million, respectively. The facility accrues interest on a floating rate basis, and has a maturity in May 2019. The borrowing had an interest rate of 4.55% as of June 30, 2017. See Note 7, Related Party Transactions, for further information on the Company's secured borrowings. In March 2017, the Company entered a non-recourse secured borrowing facility to finance a portfolio of unsecured loans. The facility includes a reinvestment period ending in November 2017 (or earlier following an early amortization event), whereby the Company can vary its borrowings based on the size of its portfolio, subject to certain maximum limits. Following the reinvestment period, the facility will begin to amortize based on the collections from the underlying unsecured loans. The facility accrues interest on a floating rate basis, and has an expected maturity in November 2018. As of June 30, 2017, the Company had outstanding borrowings under this facility in the amount of $42.1 million which is included under the caption Other secured borrowings, on the Company's Consolidated Statement of Assets, Liabilities, and Equity and the effective interest rate on this facility, inclusive of related deferred financing costs, was 4.88% as of June 30, 2017. |
Related Party Transactions |
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Related Party Transactions [Abstract] | |
Related Party Transactions | Related Party Transactions The Company is party to a Management Agreement (which may be amended from time to time), pursuant to which the Manager manages the assets, operations, and affairs of the Company, in consideration of which the Company pays the Manager management and incentive fees. Effective November 3, 2015, the Board of Directors approved a Sixth Amended and Restated Management Agreement, between the Company and the Manager. The descriptions of the Base Management Fees and Incentive Fees are detailed below. Base Management Fees The Operating Partnership pays the Manager 1.50% per annum of total equity of the Operating Partnership calculated in accordance with U.S. GAAP as of the end of each fiscal quarter (before deductions for base management fees and incentive fees payable with respect to such fiscal quarter), provided that total equity is adjusted to exclude one-time events pursuant to changes in U.S. GAAP, as well as non-cash charges after discussion between the Manager and the Company's independent directors, and approval by a majority of the Company's independent directors in the case of non-cash charges. Pursuant to the Company's management agreement, if the Company invests at issuance in the equity of any collateralized debt obligation that is managed, structured, or originated by Ellington or one of its affiliates, or if the Company invests in any other investment fund or other investment for which Ellington or one of its affiliates receives management, origination, or structuring fees, the base management and incentive fees payable by the Company to its Manager will be reduced by an amount equal to the applicable portion (as described in the management agreement) of any such management, origination, or structuring fees. Summary information— For the three month periods ended June 30, 2017 and 2016, the total base management fee incurred was $2.4 million and $2.6 million respectively. For the six month periods ended June 30, 2017 and 2016, the total base management fee incurred was $4.8 million and $5.2 million, respectively. Incentive Fees The Manager is entitled to receive a quarterly incentive fee equal to the positive excess, if any, of (i) the product of (A) 25% and (B) the excess of (1) Adjusted Net Income (described below) for the Incentive Calculation Period (which means such fiscal quarter and the immediately preceding three fiscal quarters) over (2) the sum of the Hurdle Amounts (described below) for the Incentive Calculation Period, over (ii) the sum of the incentive fees already paid or payable for each fiscal quarter in the Incentive Calculation Period preceding such fiscal quarter. For purposes of calculating the incentive fee, "Adjusted Net Income" for the Incentive Calculation Period means the net increase in equity from operations of the Operating Partnership, after all base management fees but before any incentive fees for such period, and excluding any non-cash equity compensation expenses for such period, as reduced by any Loss Carryforward (as described below) as of the end of the fiscal quarter preceding the Incentive Calculation Period. For purposes of calculating the incentive fee, the "Loss Carryforward" as of the end of any fiscal quarter is calculated by determining the excess, if any, of (1) the Loss Carryforward as of the end of the immediately preceding fiscal quarter over (2) the Company's net increase in equity from operations (expressed as a positive number) or net decrease in equity from operations (expressed as a negative number) of the Operating Partnership for such fiscal quarter. As of June 30, 2017, there was no Loss Carryforward. For purposes of calculating the incentive fee, the "Hurdle Amount" means, with respect to any fiscal quarter, the product of (i) one-fourth of the greater of (A) 9% and (B) 3% plus the 10-year U.S. Treasury rate for such fiscal quarter, (ii) the sum of (A) the weighted average gross proceeds per share of all common share and OP Unit issuances since inception of the Company and up to the end of such fiscal quarter, with each issuance weighted by both the number of shares and OP Units issued in such issuance and the number of days that such issued shares and OP Units were outstanding during such fiscal quarter, using a first-in first-out basis of accounting (i.e. attributing any share and OP Unit repurchases to the earliest issuances first) and (B) the result obtained by dividing (I) retained earnings attributable to common shares and OP Units at the beginning of such fiscal quarter by (II) the average number of common shares and OP Units outstanding for each day during such fiscal quarter, (iii) the sum of the average number of common shares, LTIP Units, and OP Units outstanding for each day during such fiscal quarter. For purposes of determining the Hurdle Amount, issuances of common shares and OP Units (a) as equity incentive awards, (b) to the Manager as part of its base management fee or incentive fee and (c) to the Manager or any of its affiliates in privately negotiated transactions, are excluded from the calculation. The payment of the incentive fee will be in a combination of common shares and cash, provided that at least 10% of any quarterly payment will be made in common shares. Summary information—The Company did not incur any expense for incentive fees for either of the three or six month periods ended June 30, 2017 and 2016, since on a rolling four quarter basis, the Company's income did not exceed the prescribed hurdle amount. Termination Fees The Management Agreement requires the Company to pay a termination fee to the Manager in the event of (1) the Company's termination or non-renewal of the Management Agreement without cause or (2) the Company's termination of the Management Agreement based on unsatisfactory performance by the Manager that is materially detrimental to the Company or (3) the Manager's termination of the Management Agreement upon a default by the Company in the performance of any material term of the Management Agreement. Such termination fee will be equal to the amount of three times the sum of (i) the average annual Quarterly Base Management Fee Amounts paid or payable with respect to the two 12-month periods ending on the last day of the latest fiscal quarter completed on or prior to the date of the notice of termination or non-renewal and (ii) the average annual Quarterly Incentive Fee Amounts paid or payable with respect to the two 12-month periods ending on the last day of the latest fiscal quarter completed on or prior to the date of the notice of termination or non-renewal. Expense Reimbursement Under the terms of the Management Agreement the Company is required to reimburse the Manager for operating expenses related to the Company that are incurred by the Manager, including expenses relating to legal, accounting, due diligence, other services, and all other costs and expenses. The Company's reimbursement obligation is not subject to any dollar limitation. Expenses will be reimbursed in cash within 60 days following delivery of the expense statement by the Manager; provided, however, that such reimbursement may be offset by the Manager against amounts due to the Company from the Manager. The Company will not reimburse the Manager for the salaries and other compensation of the Manager's personnel except that the Company will be responsible for expenses incurred by the Manager in employing certain dedicated or partially dedicated personnel as further described below. The Company reimburses the Manager for the allocable share of the compensation, including, without limitation, wages, salaries, and employee benefits paid or reimbursed, as approved by the Compensation Committee of the Board of Directors to certain dedicated or partially dedicated personnel who spend all or a portion of their time managing the Company's affairs, based upon the percentage of time devoted by such personnel to the Company's affairs. In their capacities as officers or personnel of the Manager or its affiliates, such personnel will devote such portion of their time to the Company's affairs as is necessary to enable the Company to operate its business. For the six month periods ended June 30, 2017 and 2016, the Company reimbursed the Manager $2.7 million and $3.4 million, respectively, for previously incurred operating and compensation expenses. Equity Investments in Certain Mortgage Originators As of June 30, 2017, the mortgage originators in which the Company holds an equity investment represent related parties. Transactions that have been entered into with these related party mortgage originators are summarized below. In March 2015, the Company entered into a flow mortgage loan purchase and sale agreement with a mortgage originator in which the Company holds an investment in preferred and common stock, whereby the Company has committed to purchase eligible residential mortgage loans. See Note 15, Commitments and Contingencies, for further information on such flow agreement. The Company has also provided a $5.0 million line of credit to the mortgage originator. Under the terms of this line of credit, the Company has agreed to make advances to the mortgage originator solely for the purpose of funding residential mortgage loans designated for sale to the Company. To the extent the advances are drawn by the mortgage originator, it must pay interest, equal to 10.00%, on the unpaid amount of each advance from the date the advance is made until such advance is paid in full. The mortgage originator is required to repay advances made in full no later than two business days following the date the Company purchases the loans from the mortgage originator. As of June 30, 2017, there were $4.5 million in advances outstanding, which is included in Other assets on the Consolidated Statement of Assets, Liabilities, and Equity. The Company has also entered into an agreement whereby it guarantees the performance of such mortgage originator under a third-party master repurchase agreement. See Note 15, Commitments and Contingencies, for further information on the Company's guarantees of the third-party borrowing arrangement. In connection with another mortgage originator in which the Company holds an equity interest, the Company has entered into agreements whereby it guarantees the performance of such mortgage originator under a third-party master repurchase agreement. In April 2017 and again in May 2017 the Company and its co-investor provided the mortgage originator with a short-term loan, each in the amount of $5.0 million, with an interest rate of 6%. Of the total promissory notes issued in the amount of $10 million, the Company provided $5.0 million, which is included on the Company's Consolidated Condensed Schedule of Investments in Corporate Debt. These promissory notes, inclusive of accrued interest are due in full on August 15, 2017. See Note 15, Commitments and Contingencies, for further information on the Company's guarantee of the third-party borrowing arrangement, as well as other obligations of the Company with respect to this mortgage originator. Consumer, Residential, and Commercial Loan Transactions with Affiliates The Company has investments in participation certificates related to consumer loans titled in the name of a related party of Ellington. Through its participation certificates, the Company has beneficial interests in the loan cash flows, net of servicing-related fees and expenses. The total fair value of the Company's beneficial interests in the net cash flows, was $9.1 million and $7.6 million as of June 30, 2017 and December 31, 2016, respectively, and is included on the Company's Consolidated Condensed Schedule of Investments in Consumer Loans and Asset-backed Securities backed by Consumer Loans. The Company purchases certain of its consumer loans through an affiliate, or the "Purchasing Entity." The Purchasing Entity has entered into purchase agreements, open-ended in duration, with third party consumer loan originators whereby it has agreed to purchase eligible consumer loans. The amount of loans purchased under these purchase agreements is dependent on, among other factors, the amount of loans originated in any given period by the selling originators. The Company and other affiliates of Ellington have entered into agreements with the Purchasing Entity whereby the Company and each of the affiliates have agreed to purchase their allocated portion (subject to monthly determination based on available capital and other factors) of the eligible loans acquired by the Purchasing Entity under each purchase agreement. The Company and other affiliates acquire beneficial interests in the loans from the Purchasing Entity immediately upon purchase by the Purchasing Entity at the price paid by the Purchasing Entity. During the six month period ended June 30, 2017, the Company purchased loans under these agreements with an aggregate principal balance of $43.3 million. As of June 30, 2017, the estimated remaining contingent purchase obligations of the Company under these purchase agreements was approximately $225.0 million in principal balance. The Company's beneficial interests in the consumer loans purchased through the Purchasing Entity are evidenced by participation certificates issued by trusts that hold legal title to the loans. These trusts are owned by a related party of Ellington and were established to hold such loans. Through its participation certificates, the Company participates in the cash flows of the underlying loans held by each trust. The total amount of consumer loans held in the related party trusts, for which the Company has participating interests in the net cash flows, was $87.4 million and $43.2 million as of June 30, 2017 and December 31, 2016, respectively, and is included on the Company's Consolidated Condensed Schedule of Investments in Consumer Loans and Asset-backed Securities backed by Consumer Loans. The Company has investments in participation certificates related to residential mortgage loans and REO held in a trust owned by another related party of Ellington. Through its participation certificates, the Company participates in the cash flows of the underlying loans held by such trust. The total amount of residential mortgage loans and REO held in the related party trust, for which the Company has participating interests in the net cash flows, was $136.7 million and $86.0 million as of June 30, 2017 and December 31, 2016, respectively, and is included on the Company's Consolidated Condensed Schedule of Investments in Mortgage Loans as well as Real Estate Owned. The Company is a co-investor in certain small balance commercial loans with two other investors, including an unrelated third party and an affiliate of Ellington. These loans are held in a consolidated subsidiary of the Company. As of June 30, 2017, the aggregate fair value of these loans was $23.4 million and the non-controlling interests held by the unrelated third party and the Ellington affiliate were $0.9 million and $3.3 million, respectively. Participation in Multi-Borrower Financing Facility The Company is a co-participant in an agreement with certain other entities managed by Ellington, or the "Affiliated Entities," in order to facilitate the financing of certain small balance commercial mortgage loans and REO owned by the Company and the Affiliated Entities, respectively (the "SBC Assets"). In connection with this financing, each of the Company and the Affiliated Entities transferred their respective SBC Assets to a jointly owned entity, which in turn transferred these assets to a securitization trust. As of June 30, 2017, the trust has outstanding debt to a large financial institution in the amount of $102.5 million, which amortizes over a period ending in May 2019. While the Company's SBC Assets were transferred to the securitization trust, the Company's SBC Assets and the related debt have not been derecognized for financial reporting purposes, in accordance with ASC 860-10, because the Company continues to retain the risks and rewards of ownership of its SBC Assets. The Company's portion of the total debt outstanding as of June 30, 2017 and December 31, 2016 was $46.0 million and $24.1 million, respectively, and is included under the caption Other secured borrowings on the Company's Consolidated Statement of Assets, Liabilities, and Equity. To the extent there is a default under the financing arrangement, such as the insolvency of either the Company or the Affiliated Entities, the assets of the non-defaulting party could be used to satisfy outstanding obligations under the financing arrangement. As of June 30, 2017, each of the Affiliated Entities was solvent. Participation in Multi-Seller Consumer Loan Securitization The Company participated in an August 2016 securitization transaction whereby the Company, together with another entity managed by Ellington (the "co-participant"), sold consumer loans with an aggregate unpaid principal balance of approximately $124 million to a newly formed special purpose entity ("the Issuer"). Of the $124 million in loans sold to the Issuer, the Company's share was 51% while the co-participant's share was 49%. The transfer was accounted for as a sale in accordance with ASC 860-10. Pursuant to the securitization, the Issuer issued senior and subordinated notes in the principal amount of $87 million and $18.7 million, respectively. Trust certificates representing beneficial ownership of the Issuer were also issued. In connection with the transaction, and through a jointly owned newly formed entity (the "Acquiror"), the Company and the co-participant acquired all of the subordinated notes as well as the trust certificates in the Issuer. The Company and the co-participant acquired 51% and 49%, respectively, of the interest in the Acquiror. The Company's interest in the Acquiror is accounted for as a beneficial interest. The notes and trust certificates issued by the Issuer are backed by the cash flows from the underlying consumer loans. The Company has no obligation to repurchase or replace securitized loans that subsequently become delinquent or are otherwise in default. However, if there are breaches of representations and warranties, the Company could, under certain circumstances be required to purchase or replace securitized loans. Cash flows collected on the underlying consumer loans are distributed to service providers, noteholders and trust certificate holders in accordance with the contractual priority of payments. Before the senior notes have been fully repaid, most of these cash inflows are applied first to service the loans, administer the Issuer, and repay the senior notes. After the senior notes have been fully repaid, most of these cash inflows are applied first to service the loans, administer the Issuer, and then to repay the subordinated notes. In any given period, and subject to the level of available cash flow, the trust certificates may receive payments. In addition, another affiliate of Ellington (the "Administrator"), acts as the administrator for the securitization and is paid a monthly fee for its services. The Issuer is deemed to be a variable interest entity, or "VIE." A VIE is an entity having either total at-risk equity that is insufficient to finance its activities without additional subordinated financial support, or whose at-risk equity holders lack the ability to control the entity's activities. Variable interests are investments or other interests in a VIE that will absorb portions of such VIE's expected losses or receive portions of the VIE's expected residual returns. Expected residual returns represent the expected positive variability in the fair value of a VIE's net assets. Because the Company holds a variable interest in the Issuer, and as the Issuer is deemed to be a VIE, the Company is required to evaluate its interest in the Issuer under ASC 810, Consolidation, or "ASC 810." Under the VIE model, the party that is deemed to be the primary beneficiary is required to consolidate the VIE. The primary beneficiary is defined as the party that has the power to direct the entity's most significant economic activities and the ability to participate in the entity's economics. While the Company retains credit risk in the securitization because the Company's beneficial interests include the most subordinated interests in the securitized assets, which are the first to absorb credit losses on those assets, the Company does not retain the power to direct the activities of the Issuer that most significantly impact the Issuer's economic performance. As a result, the Company determined that neither the Company nor the Acquiror is the primary beneficiary of the Issuer, and therefore the Company has not consolidated the Issuer. In December 2016, in order to facilitate the financing of the Company's share of the subordinated note held by the Acquiror, the Company entered into a repurchase agreement with the Acquiror (the "Acquiror Repurchase Agreement") whereby the Company's share of the subordinated note held by the Acquiror was transferred to the Company as collateral under the Acquiror Repurchase Agreement. The Company then re-hypothecated this collateral to a third-party lending institution pursuant to a reverse repurchase agreement (the "Reverse Agreement"). The Acquiror Repurchase Agreement is included on the Company's Consolidated Statement of Assets, Liabilities and Equity under the caption, Repurchase Agreements, at fair value and on its Consolidated Condensed Schedule of Investments. The Company's obligation under the Reverse Agreement is included on its Consolidated Statement of Assets, Liabilities and Equity under the caption, Reverse repurchase agreements. As of June 30, 2017 the outstanding amounts under the Acquiror Repurchase Agreement and the Reverse Agreement were each $6.2 million and the fair value of the related collateral was $9.4 million. Participation in CLO Transaction In June 2017, the Company and several other affiliates of Ellington (the "CLO Co-Participants") participated in a CLO securitization transaction (the “CLO Securitization”), collateralized by corporate loans and sponsored and managed by an affiliate of Ellington (the "CLO Manager"). Pursuant to the CLO Securitization, a newly formed special purpose entity (the "CLO Issuer") issued notes totaling $373.6 million in face amount, consisting of $187.5 million of secured senior notes, $97.3 million of secured subordinated notes, and $88.8 million of unsecured subordinated notes. The secured senior notes were sold to third parties, as were a portion of the secured subordinated notes. The notes issued by the CLO Issuer are backed by the cash flows from the underlying corporate loans, including loans that will be purchased during the reinvestment period, which is expected to end in July 2019. The Company and one CLO Co-Participant transferred corporate loans with a fair value of approximately $62.0 million and $141.7 million, respectively, to the CLO Issuer in exchange for cash. The Company has no obligation to repurchase or replace securitized corporate loans that subsequently become delinquent or are otherwise in default, and the transfer by the Company was accounted for as a sale in accordance with ASC 860-10. The Company and each of the CLO Co-Participants purchased various classes of subordinated notes issued by the CLO Issuer. In addition, the Company and the CLO Co-Participants also funded a newly formed entity (the "Risk Retention Vehicle") to purchase approximately 25% of the unsecured subordinated notes issued by the CLO Issuer, in order to comply with risk retention rules (the "Risk Retention Rules") under the Dodd-Frank Wall Street Reform and Consumer Protection Act of 2010, as described below. The Company purchased a total of $36.6 million face amount of secured and unsecured subordinated notes for an aggregate purchase price of $35.9 million. As of June 30, 2017, Company's investment in these notes had an aggregate fair value of $35.9 million, and is included on the Company's Consolidated Condensed Schedule of Investments in Collateralized Loan Obligations. In addition to these investments, the Company's ownership interest in the Risk Retention Vehicle is approximately 25%, or $5.6 million, as of June 30, 2017, and is included on the Company's Consolidated Condensed Schedule of Investments in Corporate Equity Investments. Pursuant to the CLO Securitization, the cash flows from the underlying loans are applied first to pay administrative and other expenses of the CLO Issuer and management fee to the CLO Manager, and any remaining available cash flows are then applied to pay interest and principal of the secured senior and secured subordinated notes, and to make distributions to the unsecured subordinated note holders, according to the contractual priorities set forth in the securitization cash flow waterfall. Furthermore, once the unsecured subordinated note holders have realized an annualized internal rate of return of 12% and as long as certain other criteria have been met, the CLO Manager receives, as an incentive fee, a specified percentage of any further distributions that would otherwise be made solely to the unsecured subordinated note holders. The CLO Manager is entitled to receive management and incentive fees in accordance with the management agreement between the CLO Manager and the CLO Issuer. In accordance with the Company's Management Agreement, the Manager reduces the management fees payable to the Manager by an amount equal to the portion of the management fees payable by the CLO Issuer to the CLO Manager that is allocable to the Company's participating interest in the unsecured subordinated notes issued by the CLO Issuer. Under the Risk Retention Rules, securitization sponsors are generally required to retain at least 5% of the economic interest in the credit risk of the securitized assets. The unsecured subordinated notes purchased by the Risk Retention Vehicle represent approximately 6% of the economic interest in the credit risk of the underlying corporate loans. While the Risk Retention Vehicle is generally required under the Risk Retention Rules to hold its investment in the CLO Issuer for a specified minimum amount of time, the Company is not required to hold its investment in the Risk Retention Vehicle for such minimum period. The CLO Manager has full and exclusive management and control of the business of the Risk Retention Vehicle and is required to hold its investment in the Risk Retention Vehicle for the specified minimum amount of time under the Risk Retention Rules. The CLO Issuer and the Risk Retention Vehicle are each deemed to be VIEs. Because the Company holds a variable interest in the CLO Issuer and the Risk Retention Vehicle, and as the CLO Issuer and the Risk Retention Vehicle are deemed to be VIEs, the Company is required to evaluate its interests under ASC 810. The Company does not have the power to direct the activities of either the CLO Issuer or the Risk Retention Vehicle that most significantly impact each entity's economic performance. As a result, the Company determined that it is not the primary beneficiary of either the CLO Issuer or the Risk Retention Vehicle, and therefore the Company has not consolidated the CLO Issuer or the Risk Retention Vehicle. |
Long-Term Incentive Plan Units |
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Disclosure of Compensation Related Costs, Share-based Payments [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Long-Term Incentive Plan Units | Long-Term Incentive Plan Units LTIP Units held pursuant to the Company's incentive plan are generally exercisable by the holder at any time after vesting. Each unit is convertible into one common share. Costs associated with the LTIP Units issued under the incentive plan are measured as of the grant date and expensed ratably over the vesting period. Total expense associated with LTIP Units issued under the incentive plan for each of the three month periods ended June 30, 2017 and 2016 was $0.1 million. Total expense associated with LTIP Units issued under the incentive plan for each of the six month periods ended June 30, 2017 and 2016 was $0.2 million. The below table details on the Company's unvested LTIP Units as of June 30, 2017:
The following table summarizes issuance and exercise activity of the Company's LTIP Units for the three month periods ended June 30, 2017 and 2016:
The following table summarizes issuance and exercise activity of the Company's LTIP Units for the six month periods ended June 30, 2017 and 2016:
As of June 30, 2017, there were an aggregate of 1,932,190 common shares underlying awards, including LTIP Units, available for future issuance under the Company's 2017 Equity Incentive Plan. |
Non-controlling Interests |
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Jun. 30, 2017 | |
Noncontrolling Interest [Abstract] | |
Noncontrolling Interest Disclosure [Text Block] | Non-controlling Interests Operating Partnership Non-controlling interests include the interest in the Operating Partnership owned by an affiliate of the Manager and certain related parties. On January 1, 2013, 212,000 OP Units were purchased by the initial non-controlling interest member. Income allocated to the non-controlling interest is based on the non-controlling interest owners' ownership percentage of the Operating Partnership during the quarter, calculated using a daily weighted average of all common shares and convertible units outstanding during the quarter. Holders of OP Units are entitled to receive the same distributions that holders of common shares receive, and OP Units are convertible into common shares on a one-for-one basis, subject to specified limitations. OP Units are non-voting with respect to matters as to which common shareholders are entitled to vote. As of June 30, 2017, non-controlling interest related to the outstanding 212,000 OP Units represented an interest of approximately 0.6% in the Operating Partnership. Joint Venture Interests Non-controlling interests also include the interests of joint venture partners in various consolidated subsidiaries of the Company. These subsidiaries hold the Company's investments in certain commercial mortgage loans and REO. These joint venture partners participate in these subsidiaries on a pari passu basis with the Company at a predetermined percentage, and therefore participate in all income, expense, gains and losses of such subsidiaries. These joint venture partners make capital contributions to the subsidiaries as new approved investments are purchased by the subsidiaries, and are generally entitled to distributions when investments are sold or otherwise disposed of. As of June 30, 2017 and December 31, 2016 these joint venture partners' interests in subsidiaries of the Company were $6.8 million and $3.0 million, respectively. These joint venture partners' interests are not convertible into common shares of the Company or OP Units, nor are these joint venture partners entitled to receive distributions that holders of common shares of the Company receive. |
Common Share Capitalization |
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Stockholders' Equity Note [Abstract] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Common Share Capitalization | Common Share Capitalization During the three month periods ended June 30, 2017 and 2016, the Board of Directors authorized dividends totaling $0.45 per share and $0.50 per share, respectively. Total dividends paid during the three month periods ended June 30, 2017 and 2016 were $14.8 million and $16.7 million, respectively. During the six month periods ended June 30, 2017 and 2016, the Board of Directors authorized dividends totaling $0.90 per share and $1.00 per share, respectively. Total dividends paid during the six month periods ended June 30, 2017 and 2016 were $29.6 million and $33.6 million, respectively. The following table summarizes issuance, repurchase, and other activity with respect to the Company's common shares for the three and six month periods ended June 30, 2017 and 2016:
If all LTIP and OP Units that have been previously issued were to become fully vested and exchanged for common shares as of June 30, 2017 and 2016, the Company's issued and outstanding common shares would increase to 32,794,236 and 33,405,294 shares, respectively. On March 6, 2017, the Company's Board of Directors approved the adoption of a share repurchase program under which the Company is authorized to repurchase up to 1.7 million common shares. The program, which is open-ended in duration, allows the Company to make repurchases from time to time on the open market or in negotiated transactions, including under Rule 10b5-1 plans. Repurchases are at the Company's discretion, subject to applicable law, share availability, price and its financial performance, among other considerations. This program supersedes the program that was previously adopted on August 3, 2015. During the three month period ended June 30, 2017, the Company repurchased 51,518 shares at an average price per share of $15.81 and a total cost of $0.8 million. During the six month period ended June 30, 2017, the Company repurchased 182,006 shares at an average price per share of $15.75 and a total cost of $2.9 million. |
Earnings Per Share |
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Earnings Per Share [Abstract] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Earnings Per Share | Earnings Per Share The components of the computation of basic and diluted EPS were as follows:
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Counterparty Risk |
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Risks and Uncertainties [Abstract] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Counterparty Risk | Counterparty Risk As of June 30, 2017, investments with an aggregate value of approximately $1.27 billion were held with dealers as collateral for various reverse repurchase agreements. The investments held as collateral include securities in the amount of $14.5 million that were sold prior to period end but for which such sale had not yet settled as of June 30, 2017. At June 30, 2017 no single counterparty held more than 15% of the total amount held with dealers as collateral for various reverse repurchase agreements. In addition to the below, unencumbered investments, on a settlement date basis, of approximately $83.7 million were held in custody at the Bank of New York Mellon Corporation. The following table details the percentage of collateral amounts held by dealers who hold greater than 15% of the Company's Due from Brokers, included as of June 30, 2017:
The following table details the percentage of amounts held by dealers who hold greater than 15% of the Company's Receivable for securities sold as of June 30, 2017:
In addition, the Company held cash and cash equivalents of $134.5 million and $123.3 million as of June 30, 2017 and December 31, 2016, respectively. The below table details the concentration of cash and cash equivalents held by each counterparty:
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Restricted cash |
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Restricted Cash and Investments [Abstract] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Restricted Cash Disclosure [Text Block] | Restricted Cash The Company is required to maintain certain cash balances with counterparties and/or unrelated third parties for various activities and transactions. In connection with a letter of credit with a mortgage originator in which the Company holds an equity interest, funds were deposited into an account for the benefit of the mortgage originator. This letter of credit was terminated in April 2017. The Company is required to maintain a specific cash balance in a segregated account pursuant to a flow consumer loan purchase and sale agreement. The Company is also required to maintain specific minimum cash balances in connection with certain regulated subsidiaries, including its subsidiary that holds various state mortgage origination licenses. The below table details the Company's restricted cash balances included in Restricted cash on the Consolidated Statement of Assets, Liabilities, and Equity as of June 30, 2017 and December 31, 2016.
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Offsetting of Assets and Liabilities |
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Offsetting of Assets and Liabilities [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Offsetting of Assets and Liabilities [Text Block] | Offsetting of Assets and Liabilities The Company records financial instruments at fair value as described in Note 2. All financial instruments are recorded on a gross basis on the Consolidated Statement of Assets, Liabilities, and Equity. In connection with the vast majority of its derivative, repurchase and reverse repurchase agreements, and the related trading agreements, the Company and its counterparties are required to pledge collateral. Cash or other collateral is exchanged as required with each of the Company's counterparties in connection with open derivative positions, and repurchase and reverse repurchase agreements. The following tables present information about certain assets and liabilities representing financial instruments as of June 30, 2017 and December 31, 2016. The Company has not entered into master netting agreements with any of its counterparties. Certain of the Company's repurchase and reverse repurchase agreements and financial derivative transactions are governed by underlying agreements that generally provide a right of offset in the event of default or in the event of a bankruptcy of either party to the transaction. June 30, 2017:
December 31, 2016:
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Commitments And Contingencies |
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Jun. 30, 2017 | |
Commitments and Contingencies Disclosure [Abstract] | |
Contingencies and Commitments | Commitments and Contingencies The Company provides current directors and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Company. In the normal course of business the Company may also enter into contracts that contain a variety of representations, warranties, and general indemnifications. The Company's maximum exposure under these arrangements, including future claims that may be made against the Company that have not yet occurred, is unknown. The Company has not incurred any costs to defend lawsuits or settle claims related to these indemnification agreements. The Company has no liabilities recorded for these agreements as of June 30, 2017 and December 31, 2016. Commitments and Contingencies Related to Investments in Mortgage Originators In connection with certain of its investments in mortgage originators, the Company has outstanding commitments and contingencies as described below. In connection with its equity interest in a mortgage originator, as described in Note 7, Related Party Transactions, the Company has entered into agreements whereby it guarantees the performance of the mortgage originator under a master repurchase agreement. The Company's maximum aggregate guarantee under the agreement is capped at $125.0 million. As of June 30, 2017 the mortgage originator had borrowings, for which the Company has provided a guarantee under the agreement, in the amount of $47.3 million. The Company's obligation under this arrangement is deemed to be a guarantee under ASC 460-10, Guarantees, and is carried at fair value and included in Other Liabilities on the Consolidated Statement of Assets, Liabilities, and Equity. As of both June 30, 2017 and December 31, 2016 the fair value of such guarantee was zero. As of June 30, 2017, the Company and its co-investor each had a commitment to invest an additional $5.0 million in this mortgage originator. As described in Note 7, Related Party Transactions, the Company entered into a flow mortgage loan purchase and sale agreement with another mortgage originator whereby the Company has committed to purchase eligible residential mortgage loans, to the extent they are originated in accordance with the Company's specifications, which it may modify in its sole discretion, in an amount of at least $200 million. The Company may opt to increase the amount purchased in its sole discretion based on its evaluation of mortgage loans previously purchased as well as market conditions. As of June 30, 2017, the Company purchased loans under this agreement in the amount of $168.9 million. The Company has also entered into an agreement whereby it guarantees the performance of the mortgage originator under a master repurchase agreement. The Company's maximum guarantee is capped at $15.0 million. As of June 30, 2017 the mortgage originator had no outstanding borrowings under the agreement guaranteed by the Company. The Company's obligation under this arrangement is deemed to be a guarantee under ASC 460-10, Guarantees, and is carried at fair value and included in Other Liabilities on the Consolidated Statement of Assets, Liabilities, and Equity. As of June 30, 2017 the fair value of such guarantee was zero. |
Financial Highlights |
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Financial Highlights [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Highlights | Financial Highlights Results of Operations for a Share Outstanding Throughout the Periods:
Total Return: The Company calculates its total return two ways, one based on its reported net asset value and the other based on its publicly traded share price. The following table illustrates the Company's total return for the periods presented based on net asset value: Net Asset Value Based Total Return for a Shareholder: (1)
Market Based Total Return for a Shareholder: For the three month periods ended June 30, 2017 and 2016, the Company's market based total return based on the closing price as reported by the New York Stock Exchange was 5.16% and 1.15%, respectively. For the six month periods ended June 30, 2017 and 2016, the Company's market based total return based on the closing price as reported by the New York Stock Exchange was 10.29% and 8.00%, respectively. Calculation of market based total return assumes the reinvestment of dividends at the closing price as reported by the New York Stock Exchange as of the ex-date. Net Investment Income Ratio to Average Equity: (1)(2)
Expense Ratios to Average Equity: (1)(2)
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Subsequent Events |
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Jun. 30, 2017 | |
Subsequent Events [Abstract] | |
Subsequent Events | Subsequent Events On July 31, 2017, the Company's Board of Directors approved a dividend for the second quarter of 2017 in the amount of $0.45 per share payable on September 15, 2017 to shareholders of record as of September 1, 2017. |
Significant Accounting Policies (Policy) |
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Accounting Policies [Abstract] | |||||||||||||
Basis of Presentation | Basis of Presentation: The Company's unaudited interim consolidated financial statements have been prepared in conformity with generally accepted accounting principles in the United States of America, or "U.S. GAAP," for investment companies, ASC 946, Financial Services—Investment Companies ("ASC 946"). The Company has determined that it meets the definition of an investment company under ASC 946. ASC 946 requires, among other things, that investments be reported at fair value in the financial statements. Additionally under ASC 946 the Company generally will not consolidate its interest in any company other than in its subsidiaries that qualify as investment companies under ASC 946. The consolidated financial statements include the accounts of the Company, the Operating Partnership, and its subsidiaries. All intercompany balances and transactions have been eliminated. The preparation of consolidated financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the consolidated financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates. In management's opinion, all material adjustments considered necessary for a fair statement of the Company's interim consolidated financial statements have been included and are only of a normal recurring nature. Interim results are not necessarily indicative of the results that may be expected for the entire fiscal year. The information included in this Quarterly Report on Form 10-Q should be read in conjunction with the Company's Annual Report on Form 10-K for the year ended December 31, 2016. |
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Valuation | Valuation: The Company applies ASC 820-10, Fair Value Measurement ("ASC 820-10"), to its holdings of financial instruments. ASC 820-10 establishes a three-level valuation hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the observability of inputs to the valuation of an asset or liability as of the measurement date. The three levels are defined as follows:
For certain financial instruments, the various inputs that management uses to measure fair value for such financial instrument may fall into different levels of the fair value hierarchy. In such cases, the determination of which category within the fair value hierarchy is appropriate for such financial instrument is based on the lowest level of input that is significant to the fair value measurement. ASC 820 prioritizes the various inputs that management uses to measure fair value with the highest priority to inputs that are observable and reflect quoted prices (unadjusted) for identical assets or liabilities in active markets (Level 1) and the lowest priority to inputs that are unobservable and significant to the fair value measurement (Level 3). The assessment of the significance of a particular input to the fair value measurement in its entirety requires judgment and considers factors specific to the financial instrument. The Company may use valuation techniques consistent with the market and income approaches to measure the fair value of its assets and liabilities. The market approach uses third-party valuations and information obtained from market transactions involving identical or similar assets or liabilities. The income approach uses projections of the future economic benefit of an instrument to determine its fair value, such as in the discounted cash flow methodology. The inputs or methodology used for valuing financial instruments are not necessarily an indication of the risk associated with investing in these financial instruments. The leveling of each financial instrument is reassessed at the end of each period. Transfers between levels of the fair value hierarchy are assumed to occur at the end of the reporting period. Summary Valuation Techniques For financial instruments that are traded in an "active market," the best measure of fair value is the quoted market price. However, many of the Company's financial instruments are not traded in an active market. Therefore, management generally uses third-party valuations when available. If third-party valuations are not available, management uses other valuation techniques, such as the discounted cash flow methodology. The following are summary descriptions, for various categories of financial instruments, of the valuation methodologies management uses in determining fair value of the Company's financial instruments in such categories. Management utilizes such methodologies to assign a good faith fair value (the estimated price that, in an orderly transaction at the valuation date, would be received to sell an asset, or paid to transfer a liability, as the case may be) to each such financial instrument. For mortgage-backed securities, or "MBS," including To Be Announced MBS, or "TBAs," CLOs, and distressed and non-distressed corporate debt and equity, management seeks to obtain at least one third-party valuation, and often obtains multiple valuations when available. Management has been able to obtain third-party valuations on the vast majority of these instruments and expects to continue to solicit third-party valuations in the future. Management generally values each financial instrument at the average of third-party valuations received and not rejected as described below. Third-party valuations are not binding, and while management generally does not adjust the valuations it receives, management may challenge or reject a valuation when, based on its validation criteria, management determines that such valuation is unreasonable or erroneous. Furthermore, based on its validation criteria, management may determine that the average of the third-party valuations received for a given instrument does not result in what management believes to be the fair value of such instrument, and in such circumstances management may override this average with its own good faith valuation. The validation criteria may take into account output from management's own models, recent trading activity in the same or similar instruments, and valuations received from third parties. The use of proprietary models requires the use of a significant amount of judgment and the application of various assumptions including, but not limited to, assumptions concerning future prepayment rates and default rates. Valuations for fixed-rate MBS pass-throughs issued by a U.S. government agency or government-sponsored enterprise are typically based on observable pay-up data (pay-ups are price premiums for specified categories of fixed-rate pools relative to their TBA counterparts) or models that use observable market data, such as interest rates and historical prepayment speeds, and are validated against third-party valuations. Given their relatively high level of price transparency, Agency RMBS pass-throughs are typically designated as Level 2 assets. Non-Agency MBS, Agency interest only and inverse interest only RMBS, and CLOs are generally classified as either Level 2 or Level 3 based on analysis of available market data and/or third-party valuations. The Company's investments in distressed corporate debt can be in the form of loans as well as total return swaps on loans. These investments as well as related non-listed equity investments are generally designated as Level 3 assets. Valuations for total return swaps are typically based on prices of the underlying loans received from widely used third-party pricing services. Investments in non-distressed corporate bonds are generally also valued based on prices received from third-party pricing services, and many of these bonds, because they are very liquid with readily observable data, are generally classified as Level 2 holdings. Furthermore, the methodology used by the third-party valuation providers is reviewed at least annually by management, so as to ascertain whether such providers are utilizing observable market data to determine the valuations that they provide. For residential and commercial mortgage loans, consumer loans, and real estate owned properties, or "REO," management determines fair value by taking into account both external pricing data, when available, and internal pricing models. Non-performing mortgage loans and REO are typically valued based on management's estimates of the value of the underlying real estate, using various information including general economic data, broker price opinions, or "BPOs," recent sales, property appraisals, and bids. Performing mortgage loans and consumer loans are typically valued using discounted cash flows based on market assumptions and mortgage loans that are not deemed "qualified mortgage," or "QM," loans under the rules of the Consumer Financial Protection Bureau, or "non-QM loans," are valued using matrix pricing. Cash flow assumptions typically include projected default and prepayment rates and loss severities, and may include adjustments based on appraisals and BPOs. Mortgage and consumer loans and REO properties are classified as Level 3 assets. For financial derivatives with greater price transparency, such as CDS on asset-backed indices, CDS on corporate indices, certain options on the foregoing, and total return swaps on publicly traded equities, market-standard pricing sources are used to obtain valuations; these financial derivatives are generally designated as Level 2 instruments. Interest rate swaps, swaptions, and foreign currency forwards are typically valued based on internal models that use observable market data, including applicable interest rates and foreign currency rates in effect as of the measurement date; the model-generated valuations are then typically compared to counterparty valuations for reasonableness. These financial derivatives are also generally designated as Level 2 instruments. Financial derivatives with less price transparency, such as CDS on individual ABS, are generally valued based on internal models, and are typically designated as Level 3 instruments. In the case of CDS on individual ABS, the valuation process typically starts with an estimation of the value of the underlying ABS. In valuing its derivatives, the Company also considers the creditworthiness of both the Company and its counterparties, along with collateral provisions contained in each derivative agreement. Investments in private operating entities, such as mortgage originators, are valued based on available metrics, such as relevant market multiples and comparable company valuations, company specific-financial data including actual and projected results and independent third party valuation estimates. These investments are designated as Level 3 assets. The Company's repurchase agreements are carried at fair value based on their contractual amounts as the debt is short-term in nature. The Company's reverse repurchase agreements are carried at cost, which approximates fair value. Repurchase and reverse repurchase agreements are classified as Level 2 assets and liabilities based on the adequacy of the collateral and their short term nature. The Company's valuation process, including the application of validation criteria, is overseen by the Manager's Valuation Committee ("Valuation Committee"). The Valuation Committee includes senior level executives from various departments within the Manager, and each quarter, the Valuation Committee reviews and approves the valuations of the Company's investments. The valuation process also includes a monthly review by the Company's third-party administrator. The goal of this review is to replicate various aspects of the Company's valuation process based on the Company's documented procedures. Because of the inherent uncertainty of valuation, the estimated fair value of the Company's financial instruments may differ significantly from the values that would have been used had a ready market for the financial instruments existed, and the differences could be material to the Company's consolidated financial statements. |
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Purchase and Sales of Investments and Investment Income | Purchase and Sales of Investments and Investment Income: Purchases and sales of investments are generally recorded on trade date, and realized and unrealized gains and losses are calculated based on identified cost. The Company amortizes premiums and accretes discounts on its debt investments. Coupon interest income on fixed-income investments is generally accrued based on the outstanding principal balance or notional value and the current coupon interest rate. For Agency RMBS and debt securities that are deemed to be of high credit quality at the time of purchase, premiums and discounts are amortized into interest income over the life of such securities using the effective interest method. For securities whose cash flows vary depending on prepayments, an effective yield retroactive to the time of purchase is periodically recomputed based on actual prepayments and changes in projected prepayment activity, and a catch-up adjustment is made to amortization to reflect the cumulative impact of the change in effective yield. For debt securities (including non-Agency MBS) that are deemed not to be of high credit quality at the time of purchase, interest income is recognized based on the effective interest method. For purposes of determining the effective interest rate, management estimates the future expected cash flows of its investment holdings based on assumptions including, but not limited to, assumptions for future prepayment rates, default rates, and loss severities (each of which may in turn incorporate various macro-economic assumptions, such as future housing prices). These assumptions are re-evaluated not less than quarterly. Principal write-offs are generally treated as realized losses. Changes in projected cash flows, as applied to the current amortized cost of the security, may result in a prospective change in the yield/interest income recognized on such securities. For each loan purchased with the expectation that both interest and principal will be paid in full, the Company generally amortizes or accretes any premium or discount over the life of the loan utilizing the effective interest method. However, on at least a quarterly basis based on current information and events, the Company re-assesses the collectability of interest and principal, and designates a loan as impaired either when any payments have become 90 or more days past due, or when, in the opinion of management, it is probable that the Company will be unable to collect either interest or principal in full. Once a loan is designated as impaired, as long as principal is still expected to be collectable in full, interest payments are recorded as interest income only when received (i.e., under the cash basis method); accruals of interest income are only resumed when the loan becomes contractually current and performance is demonstrated to be resumed. However, if principal is not expected to be collectable in full, the cost recovery method is used (i.e., no interest income is recognized, and all payments received—whether contractually interest or principal—are applied to cost). For each loan purchased with evidence of credit deterioration since origination and the expectation that either principal or interest will not be paid in full, interest income is generally recognized using the effective interest method for as long as the cash flows can be reasonably estimated. Here, instead of amortizing the purchase discount (i.e., the excess of the unpaid principal balance over the purchase price) over the life of the loan, the Company effectively amortizes the accretable yield (i.e., the excess of the Company's estimate of the total cash flows to be collected over the life of the loan over the purchase price). Not less than quarterly, the Company updates its estimate of the cash flows expected to be collected over the life of the loan, and revised yields are prospectively applied. To the extent that cash flows cannot be reasonably estimated, these loans are generally accounted for under the cost recovery method. For certain groups of consumer loans that the Company considers as having sufficiently homogeneous characteristics, the Company aggregates such loans into pools, and accounts for each such pool as a single asset. The pool is then treated analogously to a debt security deemed not to be of high credit quality, in that (i) the aggregate premium or discount for the pool is amortized or accreted into interest income based on the pool's effective interest rate; (ii) the effective interest rate is determined based on the net expected cash flows of the pool, taking into account estimates of prepayments, defaults, and loss severities; and (iii) estimates are updated not less than quarterly and revised yields are prospectively applied. In estimating future cash flows on the Company's debt investments, there are a number of assumptions that will be subject to significant uncertainties and contingencies, including, in the case of MBS, assumptions relating to prepayment rates, default rates, loan loss severities, and loan repurchases. These estimates require the use of a significant amount of judgment. The Company receives dividend income on certain of its equity investments and rental income on certain of its REO properties. These items of income are included on the Consolidated Statement of Operations under the heading, "Other income." |
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Cash and Cash Equivalents | Cash and Cash Equivalents: Cash and cash equivalents include cash and short term investments with original maturities of three months or less at the date of acquisition. Cash and cash equivalents typically include amounts held in an interest bearing overnight account and amounts held in money market funds, and these balances generally exceed insured limits. The Company holds its cash at institutions that it believes to be highly creditworthy. Restricted cash represents cash that the Company can use only for specific purposes. The Company's investments in money market funds are included in the Consolidated Condensed Schedule of Investments. See Note 13 for further discussion of restricted cash balances. |
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Financial Derivatives | Financial Derivatives: The Company enters into various types of financial derivatives. The Company's financial derivatives are predominantly subject to bilateral collateral arrangements or clearing in accordance with the Dodd-Frank Wall Street Reform and Consumer Protection Act of 2010. The Company may be required to deliver or receive cash or securities as collateral upon entering into derivative transactions. In addition, changes in the relative value of derivative transactions may require the Company or the counterparty to post or receive additional collateral. In the case of cleared derivatives, the clearinghouse becomes the Company's counterparty and a futures commission merchant acts as an intermediary between the Company and the clearinghouse with respect to all facets of the related transaction, including the posting and receipt of required collateral. Cash collateral received by the Company is reflected on the Consolidated Statement of Assets, Liabilities, and Equity as "Due to Brokers." Conversely, cash collateral posted by the Company is reflected as "Due from Brokers" on the Consolidated Statement of Assets, Liabilities, and Equity. The major types of derivatives utilized by the Company are swaps, futures, options, and forwards. Swaps: The Company may enter into various types of swaps, including interest rate swaps, credit default swaps, and total return swaps. The primary risk associated with the Company's interest rate swap activity is interest rate risk. The primary risk associated with the Company's credit default swaps is credit risk and the primary risks associated with the Company's total return swap activity are equity market risk and credit risk. The Company is subject to interest rate risk exposure in the normal course of pursuing its investment objectives. Primarily to help mitigate interest rate risk, the Company enters into interest rate swaps. Interest rate swaps are contractual agreements whereby one party pays a floating interest rate on a notional principal amount and receives a fixed-rate payment on the same notional principal, or vice versa, for a fixed period of time. Interest rate swaps change in value with movements in interest rates. The Company enters into credit default swaps. A credit default swap is a contract under which one party agrees to compensate another party for the financial loss associated with the occurrence of a "credit event" in relation to a "reference amount" or notional value of a credit obligation (usually a bond, loan, or a basket of bonds or loans). The definition of a credit event may vary from contract to contract. A credit event may occur (i) when the underlying reference asset(s) fails to make scheduled principal or interest payments to its holders, (ii) with respect to credit default swaps referencing mortgage/asset-backed securities and indices, when the underlying reference obligation is downgraded below a certain rating level, or (iii) with respect to credit default swaps referencing corporate entities and indices, upon the bankruptcy of the underlying reference obligor. The Company typically writes (sells) protection to take a "long" position or purchases (buys) protection to take a "short" position with respect to underlying reference assets or to hedge exposure to other investment holdings. The Company enters into total return swaps in order to take a "long" or "short" position with respect to an underlying reference asset. The Company is subject to market price volatility of the underlying reference asset. A total return swap involves commitments to pay interest in exchange for a market-linked return based on a notional value. To the extent that the total return of the corporate debt, security, group of securities or index underlying the transaction exceeds or falls short of the offsetting interest obligation, the Company will receive a payment from or make a payment to the counterparty. Swaps change in value with movements in interest rates, credit quality, or total return of the reference securities. During the term of swap contracts, changes in value are recognized as unrealized gains or losses. When a contract is terminated, the Company realizes a gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the Company's basis in the contract, if any. Periodic payments or receipts required by swap agreements are recorded as unrealized gains or losses when accrued and realized gains or losses when received or paid. Upfront payments paid and/or received by the Company to open swap contracts are recorded as an asset and/or liability on the Consolidated Statement of Assets, Liabilities, and Equity and are recorded as a realized gain or loss on the termination date. Futures Contracts: A futures contract is an exchange-traded agreement to buy or sell an asset for a set price on a future date. The Company enters into Eurodollar and/or U.S. Treasury security futures contracts to hedge its interest rate risk. The Company may also enter into various other futures contracts, including equity index futures. Initial margin deposits are made upon entering into futures contracts and can generally be either in the form of cash or securities. During the period the futures contract is open, changes in the value of the contract are recognized as unrealized gains or losses by marking-to-market to reflect the current market value of the contract. Variation margin payments are made or received periodically, depending upon whether unrealized losses or gains are incurred. When the contract is closed, the Company records a realized gain or loss equal to the difference between the proceeds of the closing transaction and the Company's basis in the contract. Options: The Company may purchase or write put or call options contracts or enter into swaptions. The Company enters into options contracts typically to help mitigate overall market, credit, or interest rate risk depending on the type of options contract. However, the Company also enters into options contracts from time to time for speculative purposes. When the Company purchases an options contract, the option asset is initially recorded at an amount equal to the premium paid, if any, and is subsequently marked-to-market. Premiums paid for purchasing options contracts that expire unexercised are recognized on the expiration date as realized losses. If an options contract is exercised, the premium paid is subtracted from the proceeds of the sale or added to the cost of the purchase to determine whether the Company has realized a gain or loss on the related transaction. When the Company writes an options contract, the option liability is initially recorded at an amount equal to the premium received, if any, and is subsequently marked-to-market. Premiums received for writing options contracts that expire unexercised are recognized on the expiration date as realized gains. If an options contract is exercised, the premium received is subtracted from the cost of the purchase or added to the proceeds of the sale to determine whether the Company has realized a gain or loss on the related investment transaction. When the Company enters into a closing transaction, the Company will realize a gain or loss depending upon whether the amount from the closing transaction is greater or less than the premiums paid or received. The Company may also enter into options contracts that contain forward-settling premiums. In this case, no money is exchanged upfront. Instead the agreed-upon premium is paid by the buyer upon expiration of the option, regardless of whether or not the option is exercised. Forward Currency Contracts: A forward currency contract is an agreement between two parties to purchase or sell a specific quantity of currency with the delivery and settlement at a specific future date and exchange rate. During the period the forward currency contract is open, changes in the value of the contract are recognized as unrealized gains or losses. When the contract is settled, the Company records a realized gain or loss equal to the difference between the proceeds of the closing transaction and the Company's basis in the contract. Commitments to Purchase Residential Mortgage Loans: The Company has entered into forward purchase commitments under flow agreements, whereby the Company commits to purchasing the loans based on pre-defined underwriting guidelines and at stated interest rates. Actual loan purchases are contingent upon successful loan closings. These commitments to purchase mortgage loans are classified as derivatives on the Company's Consolidated Statement of Assets, Liabilities, and Equity and are, therefore, recorded as assets or liabilities measured at fair value. Until the purchase commitment expires or the underlying loan closes, changes in the estimated fair value of such commitments are recognized as unrealized gains or losses in the Consolidated Statement of Operations. Financial derivatives disclosed on the Consolidated Condensed Schedule of Investments include: credit default swaps on asset-backed securities, credit default swaps on asset-backed indices, credit default swaps on corporate bond indices, credit default swaps on corporate bonds, interest rate swaps, total return swaps, futures contracts, foreign currency forwards, options contracts, warrants, and mortgage loan purchase commitments. Financial derivative assets are included in Financial derivatives—assets, at fair value on the Consolidated Statement of Assets, Liabilities, and Equity. Financial derivative liabilities are included in Financial derivatives—liabilities, at fair value on the Consolidated Statement of Assets, Liabilities, and Equity. In addition, financial derivative contracts are summarized by type on the Consolidated Condensed Schedule of Investments. |
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Investments Sold Short | Investments Sold Short: When the Company sells securities short, it typically satisfies its security delivery settlement obligation by obtaining the security sold short from the same or a different counterparty. The Company generally is required to deliver cash or securities as collateral to the counterparty for the Company's obligation to return the borrowed security. The amount by which the market value of the obligation falls short of or exceeds the proceeds from the short sale is treated as an unrealized gain or loss, respectively. A realized gain or loss will be recognized upon the termination of a short sale if the market price is less or greater than the proceeds originally received. |
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Reverse Repurchase Agreements | Reverse Repurchase Agreements: The Company enters into reverse repurchase agreements with third-party broker-dealers whereby it sells securities under agreements to be repurchased at an agreed-upon price and date. The Company accounts for reverse repurchase agreements as collateralized borrowings, with the initial sale price representing the amount borrowed, and with the future repurchase price consisting of the amount borrowed plus interest, at the implied interest rate of the reverse repurchase agreement, on the amount borrowed over the term of the reverse repurchase agreement. The interest rate on a reverse repurchase agreement is based on competitive rates (or competitive market spreads, in the case of agreements with floating interest rates) at the time such agreement is entered into. When the Company enters into a reverse repurchase agreement, the lender establishes and maintains an account containing cash and/or securities having a value not less than the repurchase price, including accrued interest, of the reverse repurchase agreement. Reverse repurchase agreements are carried at their contractual amounts, which approximate fair value as the debt is short-term in nature. |
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Repurchase Agreements | Repurchase Agreements: The Company enters into repurchase agreement transactions whereby it purchases securities under agreements to resell at an agreed-upon price and date. In general, securities received pursuant to repurchase agreements are delivered to counterparties of short sale transactions. The interest rate on a repurchase agreement is based on competitive rates (or competitive market spreads, in the case of agreements with floating interest rates) at the time such agreement is entered into. Assets held pursuant to repurchase agreements are reflected as assets on the Consolidated Statement of Assets, Liabilities, and Equity. Repurchase agreements are carried at fair value based on their contractual amounts as the debt is short-term in nature. Repurchase and reverse repurchase agreements that are conducted with the same counterparty may be reported on a net basis if they meet the requirements of ASC 210-20, Balance Sheet Offsetting. There are no repurchase and reverse repurchase agreements reported on a net basis in the Company's consolidated financial statements. |
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Transfers of Financial Assets | Transfers of Financial Assets: The Company enters into transactions whereby it transfers financial assets to third parties. Upon such a transfer of financial assets, the Company will sometimes retain or acquire interests in the related assets. The Company evaluates transferred assets pursuant to ASC 860-10, Transfers of Financial Assets, or "ASC 860-10," which requires that a determination be made as to whether a transferor has surrendered control over transferred financial assets. That determination must consider the transferor's continuing involvement in the transferred financial asset, including all arrangements or agreements made contemporaneously with, or in contemplation of, the transfer, even if they were not entered into at the time of the transfer. When a transfer of financial assets does not qualify as a sale, ASC 860-10 requires the transfer to be accounted for as a secured borrowing with a pledge of collateral. ASC 860-10 is a standard that requires the Company to exercise significant judgment in determining whether a transaction should be recorded as a "sale" or a "financing." |
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When-Issued/Delayed Delivery Securities | When-Issued/Delayed Delivery Securities: The Company may purchase or sell securities on a when-issued or delayed delivery basis. Securities purchased or sold on a when-issued basis are traded for delivery beyond the normal settlement date at a stated price or yield, and no income accrues to the purchaser prior to settlement. Purchasing or selling securities on a when-issued or delayed delivery basis involves the risk that the market price or yield at the time of settlement may be lower or higher than the agreed-upon price or yield, in which case a realized loss may be incurred. The Company transacts in the forward settling TBA market. The Company typically does not take delivery of TBAs, but rather settles the associated receivable and payable with its trading counterparties on a net basis. Transactions with the same counterparty for the same TBA that result in a reduction of the position are treated as extinguished. The market value of the securities that the Company is required to purchase pursuant to a TBA transaction may decline below the agreed-upon purchase price. Conversely, the market value of the securities that the Company is required to sell pursuant to a TBA transaction may increase above the agreed upon sale price. As part of its TBA activities, the Company may "roll" its TBA positions, whereby the Company may sell (buy) securities for delivery (receipt) in an earlier month and simultaneously contract to repurchase (sell) similar, but not identical, securities at an agreed-upon price on a fixed date in a later month (with the later-month price typically lower than the earlier-month price). The Company accounts for its TBA transactions (including those related to TBA rolls) as purchases and sales. |
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REO | REO: When the Company obtains possession of real property in connection with a foreclosure or similar action, the Company de-recognizes the associated mortgage loan according to ASU 2014-04, Reclassification of Residential Real Estate Collateralized Consumer Mortgage Loans upon Foreclosure ("ASU 2014-04"). Under the provisions of ASU 2014-04, the Company is deemed to have received physical possession of real estate property collateralizing a mortgage loan when it obtains legal title to the property upon completion of a foreclosure or when the borrower conveys all interest in the property to it through a deed in lieu of foreclosure or similar legal agreement. The Company holds all REO at fair value. |
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Investments in Operating Entities | Investments in Operating Entities: The Company has made and may in the future make non-controlling investments in operating entities such as mortgage originators. Investments in such operating entities may be in the form of preferred and/or common equity, debt, or some other form of investment. The Company carries its investments in such entities at fair value. In cases where the operating entity provides services to the Company, the Company is required to use the equity method of accounting. |
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Offering Costs/Underwriters' Discount | Offering Costs/Underwriters' Discount: Offering costs and underwriters' discount are charged against shareholders' equity. Offering costs typically include legal, accounting, printing, and other fees associated with the cost of raising capital. |
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Expenses [Policy Text Block] | Expenses: Expenses are recognized as incurred on the Consolidated Statement of Operations. |
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Other Investment Related Expenses [Policy Text Block] | Other Investment Related Expenses: Other investment related expenses consist of expenses directly related to specific financial instruments. Such expenses generally include dividend expense on common stock sold short, servicing fees and corporate and escrow advances on mortgage and consumer loans, and various other expenses and fees related directly to the Company's financial instruments. Other investment related expenses are generally recognized as incurred on the Consolidated Statement of Operations; dividend expense on common stock sold short is recognized on the ex-dividend date. |
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LTIP Units | LTIP Units: Long term incentive plan units ("LTIP Units") have been issued to the Company's dedicated or partially dedicated personnel and independent directors as well as the Manager. Costs associated with LTIP Units issued to dedicated or partially dedicated personnel, or to independent directors, are measured as of the grant date based on the closing stock price on the New York Stock Exchange and are amortized over the vesting period in accordance with ASC 718-10, Compensation—Stock Compensation. The vesting periods for LTIP Units are typically one year from issuance for independent directors, and are typically one year to two years from issuance for dedicated or partially dedicated personnel. |
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Non-controlling interest | Non-controlling interests: Non-controlling interests include the interest in the Operating Partnership owned by an affiliate of the Manager and certain related parties and consist of units convertible into the Company's common shares. Non-controlling interests also include the interests of joint venture partners in certain of our consolidated subsidiaries. The joint venture partners' interests do not consist of units convertible into the Company's common shares. The Company adjusts the non-controlling interests owned by an affiliate of the Manager and certain related parties to align their carrying value with the share of total outstanding operating partnership units ("OP Units") issued by the Operating Partnership to the non-controlling interest. Any such adjustments are reflected in "Adjustment to non-controlling interest" on the Consolidated Statement of Changes in Equity. See Note 9 for further discussion of non-controlling interests. |
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Dividends | Dividends: Dividends payable by the Company are recorded on the ex-dividend date. Dividends are typically declared and paid on a quarterly basis in arrears. |
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Shares Repurchased | Shares Repurchased: Common shares that are repurchased by the Company subsequent to issuance are immediately retired upon settlement and decrease the total number of shares outstanding and issued. |
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Earnings Per Share ("EPS") | Earnings Per Share ("EPS"): Basic EPS is computed using the two class method by dividing net increase (decrease) in shareholders' equity resulting from operations after adjusting for the impact of LTIP Units which are participating securities, by the weighted average number of common shares outstanding calculated including LTIP Units. Because the Company's LTIP Units are participating securities, they are included in the calculation of basic and diluted EPS. OP Units relating to a non-controlling interest are also participating securities and, accordingly, are included in the calculation of both basic and diluted EPS. |
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Foreign Currency | Foreign Currency: Assets and liabilities denominated in foreign currencies are translated into U.S. dollars at current exchange rates at the following dates: (i) assets, liabilities, and unrealized gains/losses—at the valuation date; and (ii) income, expenses, and realized gains/losses—at the accrual/transaction date. The Company isolates the portion of realized and change in unrealized gain (loss) resulting from changes in foreign currency exchange rates on investments and financial derivatives from the fluctuations arising from changes in fair value of investments and financial derivatives held. Changes in realized and change in unrealized gain (loss) due to foreign currency are included in Foreign currency transactions and Foreign currency translation, respectively, on the Consolidated Statement of Operations. |
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Income Taxes | Income Taxes: The Company has been and continues to expect to be treated as a partnership for U.S. federal income tax purposes. Certain of the Company's subsidiaries are not consolidated for U.S. federal income tax purposes, but are also treated as partnerships. In general, partnerships are not subject to entity-level tax on their income, but the income of a partnership is taxable to its owners on a flow-through basis. In addition, certain subsidiaries of the Company have elected to be treated as corporations for U.S. federal income tax purposes, and one has elected to be taxed as a real estate investment trust, or "REIT," beginning with the tax year ending December 31, 2015. The Company follows the authoritative guidance on accounting for and disclosure of uncertainty on tax positions, which requires management to determine whether a tax position of the Company is more likely than not to be sustained upon examination by the applicable taxing authority, including resolution of any related appeals or litigation processes, based on the technical merits of the position. For uncertain tax positions, the tax benefit to be recognized is measured as the largest amount of benefit that is greater than 50% likely of being realized upon ultimate settlement. The Company did not have any additions to unrecognized tax benefits resulting from tax positions related either to the current period or to 2016, 2015, 2014, or 2013 (its open tax years), and no reductions resulting from tax positions of prior years or due to settlements, and thus had no unrecognized tax benefits or reductions since inception. The Company does not expect any change in unrecognized tax benefits within the next fiscal year. There were no amounts accrued for tax penalties or interest as of or during the periods presented in these consolidated financial statements. The Company may take positions with respect to certain tax issues which depend on legal interpretation of facts or applicable tax regulations. Should the relevant tax regulators successfully challenge any of such positions, the Company might be found to have a tax liability that has not been recorded in the accompanying consolidated financial statements. Also, management's conclusions regarding ASC 740-10 may be subject to review and adjustment at a later date based on factors including, but not limited to, further implementation guidance from the Financial Accounting Standards Board, or "FASB," and ongoing analyses of tax laws, regulations and interpretations thereof. |
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Recent Accounting Pronouncements | Recent Accounting Pronouncements: In November 2016, the FASB issued ASU 2016-18, Statement of Cash Flows—Restricted Cash ("ASU 2016-18"). This amends ASC 230, Statement of Cash Flows, to require that the statement of cash flows explain the change during the period in the total of cash, cash equivalents, and amounts generally described as restricted cash and restricted cash equivalents. Therefore, amounts generally described as restricted cash and restricted cash equivalents should be included with cash and cash equivalents when reconciling the beginning-of-period and end-of-period total amounts shown on the statement of cash flows. ASU 2016-18 is effective for fiscal years beginning after December 15, 2017, and interim periods within those fiscal years, with early adoption permitted. The adoption of ASU 2016-18 is not expected to have a material impact on the Company's consolidated financial statements. |
Valuation (Tables) |
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Fair Value Disclosures [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule Of Financial Instruments | The table below reflects the value of the Company's Level 1, Level 2, and Level 3 financial instruments at December 31, 2016:
The table below reflects the value of the Company's Level 1, Level 2, and Level 3 financial instruments at June 30, 2017:
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Schedule Of Significant Unobservable Inputs, Qualitative Information | The following table identifies the significant unobservable inputs that affect the valuation of the Company's Level 3 assets and liabilities as of June 30, 2017:
The following table identifies the significant unobservable inputs that affect the valuation of the Company's Level 3 assets and liabilities as of December 31, 2016:
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Fair Value Measurement Using Significant Unobservable Inputs | The tables below include a roll-forward of the Company's financial instruments for the three and six month periods ended June 30, 2017 and 2016 (including the change in fair value), for financial instruments classified by the Company within Level 3 of the valuation hierarchy. Level 3—Fair Value Measurement Using Significant Unobservable Inputs: Three Month Period Ended June 30, 2017
All amounts of net realized and change in net unrealized gain (loss) in the table above are reflected in the accompanying Consolidated Statement of Operations. The table above incorporates changes in net unrealized gain (loss) for both Level 3 financial instruments held by the Company at June 30, 2017, as well as Level 3 financial instruments disposed of by the Company during the three month period ended June 30, 2017. For Level 3 financial instruments held by the Company at June 30, 2017, change in net unrealized gain (loss) of $5.1 million, $(0.7) million, and $0.01 million for the three month period ended June 30, 2017 relate to investments, financial derivatives–assets, and financial derivatives–liabilities, respectively. As of June 30, 2017, the Company modified its procedures to determine the level within the hierarchy for certain financial instruments. Under the revised procedure, the Company examines financial instruments individually rather than in cohorts of like instruments as it had previously. As of June 30, 2017, the Company transferred $92.4 million of securities from Level 3 to Level 2 and $16.1 million from Level 2 to Level 3. Transfers between these hierarchy levels were based on the availability of sufficient observable inputs to meet Level 2 versus Level 3 criteria. The leveling of each financial instrument is reassessed at the end of each period, and is based on pricing information received from multiple third-party pricing sources. Three Month Period Ended June 30, 2016
All amounts of net realized and change in net unrealized gain (loss) in the table above are reflected in the accompanying Consolidated Statement of Operations. The table above incorporates changes in net unrealized gain (loss) for both Level 3 financial instruments held by the Company at June 30, 2016, as well as Level 3 financial instruments disposed of by the Company during the three month period ended June 30, 2016. For Level 3 financial instruments held by the Company at June 30, 2016, change in net unrealized gain (loss) of $(2.2) million, $(0.03) million, $0.3 million, $(0.6) million, and $0.3 million, for the three month period ended June 30, 2016 relate to investments, investments sold short, financial derivatives–assets, financial derivatives–liabilities, and guarantees, respectively. As of June 30, 2016, the Company transferred $8.8 million of non-Agency RMBS from Level 3 to Level 2. These assets were transferred from Level 3 to Level 2 based on an increased volume of observed trading of these and similar assets. This increase in observed trading activity has led to greater price transparency for these assets, thereby making a Level 2 designation appropriate in the Company's view. In addition, as of June 30, 2016, the Company transferred $12.8 million of non-Agency RMBS from Level 2 to Level 3. Since March 31, 2016, these securities have exhibited indications of a reduced level of price transparency. Examples of such indications include wider spreads relative to similar securities and a reduction in observable transactions involving these and similar securities. Six Month Period Ended June 30, 2017
All amounts of net realized and change in net unrealized gain (loss) in the table above are reflected in the accompanying Consolidated Statement of Operations. The table above incorporates changes in net unrealized gain (loss) for both Level 3 financial instruments held by the Company at June 30, 2017, as well as Level 3 financial instruments disposed of by the Company during the six month period ended June 30, 2017. For Level 3 financial instruments held by the Company at June 30, 2017, change in net unrealized gain (loss) of $9.0 million, $(0.2) million, and $0.05 million for the six month period ended June 30, 2017 relate to investments, financial derivatives–assets, and financial derivatives–liabilities, respectively. As of June 30, 2017, the Company modified certain of its procedures to determine the level within the hierarchy for certain financial instruments. Under the revised procedure, the Company examines financial instruments individually rather than in cohorts of like instruments as it had previously. As of June 30, 2017, the Company transferred $80.2 million of securities from Level 3 to Level 2 and $11.3 million from Level 2 to Level 3. Transfers between these hierarchy levels were based on the availability of sufficient observable inputs to meet Level 2 versus Level 3 criteria. The leveling of each financial instrument is reassessed at the end of each period, and is based on pricing information received from multiple third-party pricing sources. Six Month Period Ended June 30, 2016
All amounts of net realized and change in net unrealized gain (loss) in the table above are reflected in the accompanying Consolidated Statement of Operations. The table above incorporates changes in net unrealized gain (loss) for both Level 3 financial instruments held by the Company at June 30, 2016, as well as Level 3 financial instruments disposed of by the Company during the six month period ended June 30, 2016. For Level 3 financial instruments held by the Company at June 30, 2016, change in net unrealized gain (loss) of $(10.9) million, $(0.04) million, $0.9 million, $(0.1) million, and $0.5 million, for the six month period ended June 30, 2016 relate to investments, investments sold short, financial derivatives–assets, financial derivatives–liabilities, and guarantees, respectively. As of June 30, 2016, the Company transferred $9.0 million of non-Agency RMBS from Level 3 to Level 2. These assets were transferred from Level 3 to Level 2 based on an increased volume of observed trading of these and similar assets. This increase in observed trading activity has led to greater price transparency for these assets, thereby making a Level 2 designation appropriate in the Company's view. In addition, as of June 30, 2016, the Company transferred $11.3 million of non-Agency RMBS from Level 2 to Level 3. Since December 31, 2015, these securities have exhibited indications of a reduced level of price transparency. Examples of such indications include wider spreads relative to similar securities and a reduction in observable transactions involving these and similar securities. There were no transfers of financial instruments between Level 1 and Level 2 during the three or six month periods ended June 30, 2017 and 2016. |
To Be Announced RMBS (Tables) |
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To Be Announced RMBS [Abstract] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
To Be Announced RMBS [Table Text Block] | The below table details TBA assets, liabilities, and the respective related payables and receivables as of June 30, 2017 and December 31, 2016:
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Financial Derivatives (Tables) |
6 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Jun. 30, 2017 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Gains and Losses on Derivative Contracts | Gains and losses on the Company's derivative contracts for the three and six month periods ended June 30, 2017 and 2016 are summarized in the tables below: Three and Six Month Periods Ended June 30, 2017:
Three and Six Month Periods Ended June 30, 2016:
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Derivative activity, volume | The tables below detail the average notional values of the Company's financial derivatives, using absolute value of month end notional values, for the six month period ended June 30, 2017 and the year ended December 31, 2016:
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Schedule of Credit Derivatives | Written credit derivatives held by the Company at June 30, 2017 and December 31, 2016, are summarized below:
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Borrowings (Tables) |
6 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Jun. 30, 2017 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Debt Disclosure [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Repurchase Agreements [Table Text Block] | The following table details the Company's outstanding borrowings under reverse repurchase agreements for Agency RMBS and Credit assets, which include non-Agency MBS, CLOs, consumer loans, corporate debt, residential mortgage loans, and U.S. Treasury securities, by remaining maturity as of June 30, 2017 and December 31, 2016:
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Long-Term Incentive Plan Units (Tables) |
6 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Jun. 30, 2017 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Disclosure of Compensation Related Costs, Share-based Payments [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Unvested LTIP Units | The below table details on the Company's unvested LTIP Units as of June 30, 2017:
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Roll-Forward of Company's LTIP Units Outstanding | The following table summarizes issuance and exercise activity of the Company's LTIP Units for the three month periods ended June 30, 2017 and 2016:
The following table summarizes issuance and exercise activity of the Company's LTIP Units for the six month periods ended June 30, 2017 and 2016:
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Common Share Capitalization (Tables) |
6 Months Ended | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Jun. 30, 2017 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Stockholders' Equity Note [Abstract] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Summary of Common Shares Outstanding | The following table summarizes issuance, repurchase, and other activity with respect to the Company's common shares for the three and six month periods ended June 30, 2017 and 2016:
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Earnings Per Share (Tables) |
6 Months Ended | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Jun. 30, 2017 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Earnings Per Share [Abstract] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Computation Of Basic And Diluted EPS | The components of the computation of basic and diluted EPS were as follows:
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Counterparty Risk (Tables) |
6 Months Ended | ||||||||||||||||||||||||||||||||||||||||
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Jun. 30, 2017 | |||||||||||||||||||||||||||||||||||||||||
Risks and Uncertainties [Abstract] | |||||||||||||||||||||||||||||||||||||||||
% Of Total Deposits With Dealers Held As Collateral | The following table details the percentage of collateral amounts held by dealers who hold greater than 15% of the Company's Due from Brokers, included as of June 30, 2017:
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% Of Total Receivable For Securities Sold | The following table details the percentage of amounts held by dealers who hold greater than 15% of the Company's Receivable for securities sold as of June 30, 2017:
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Schedule of Cash and Cash Equivalents [Table Text Block] | In addition, the Company held cash and cash equivalents of $134.5 million and $123.3 million as of June 30, 2017 and December 31, 2016, respectively. The below table details the concentration of cash and cash equivalents held by each counterparty:
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Restricted cash (Tables) |
6 Months Ended | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Jun. 30, 2017 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Restricted Cash and Investments [Abstract] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Restricted Cash [Table Text Block] | The below table details the Company's restricted cash balances included in Restricted cash on the Consolidated Statement of Assets, Liabilities, and Equity as of June 30, 2017 and December 31, 2016.
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Offsetting of Assets and Liabilities (Tables) |
6 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Jun. 30, 2017 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Offsetting of Assets and Liabilities [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Offsetting of Assets and Liabilities [Table Text Block] | The following tables present information about certain assets and liabilities representing financial instruments as of June 30, 2017 and December 31, 2016. The Company has not entered into master netting agreements with any of its counterparties. Certain of the Company's repurchase and reverse repurchase agreements and financial derivative transactions are governed by underlying agreements that generally provide a right of offset in the event of default or in the event of a bankruptcy of either party to the transaction. June 30, 2017:
December 31, 2016:
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Financial Highlights (Tables) |
6 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Jun. 30, 2017 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Highlights [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Results of Operations For a Share Outstanding | Results of Operations for a Share Outstanding Throughout the Periods:
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Net Asset Value Based Total Return For a Shareholder | The following table illustrates the Company's total return for the periods presented based on net asset value: Net Asset Value Based Total Return for a Shareholder: (1)
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Net Investment Income Ratio to Average Equity | Net Investment Income Ratio to Average Equity: (1)(2)
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Expense Ratios to Average Equity | Expense Ratios to Average Equity: (1)(2)
|
Organization and Investment Objective Narrative (Details) |
Jun. 30, 2017 |
---|---|
Parent [Member] | |
Organization, Consolidation and Presentation of Financial Statements [Line Items] | |
Ownership Percentage | 99.40% |
Significant Accounting Policies (Details) |
6 Months Ended |
---|---|
Jun. 30, 2017 | |
Significant Accounting Policies [Line Items] | |
Number of days to determine non-performance of loan | 90 days |
Long-Term Incentive Plan Units [Member] | Director [Member] | |
Significant Accounting Policies [Line Items] | |
Vesting period | 1 year |
Minimum [Member] | Long-Term Incentive Plan Units [Member] | Dedicated or partially dedicated personnel [Member] | |
Significant Accounting Policies [Line Items] | |
Vesting period | 1 year |
Maximum [Member] | Long-Term Incentive Plan Units [Member] | Dedicated or partially dedicated personnel [Member] | |
Significant Accounting Policies [Line Items] | |
Vesting period | 2 years |
Valuation (Schedule Of Financial Instruments) (Details) - USD ($) $ in Thousands |
Jun. 30, 2017 |
Dec. 31, 2016 |
||||||
---|---|---|---|---|---|---|---|---|
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Financial derivatives–assets, at fair value- | [1] | $ 26,602 | $ 35,595 | |||||
Fair value repurchase agreements | 266,659 | 184,819 | ||||||
Investments sold short, at fair value- | (687,234) | (584,896) | ||||||
Financial derivatives–liabilities, at fair value- | [1] | (27,003) | (18,687) | |||||
Fair Value, Measurements, Recurring [Member] | ||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Total investments and financial derivatives–assets, at fair value and repurchase agreements | 2,087,390 | 1,725,440 | ||||||
Total investments sold short and financial derivatives–liabilities, at fair value | (714,237) | (603,583) | ||||||
Fair Value, Measurements, Recurring [Member] | Investments Sold Short [Member] | ||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Investments sold short, at fair value- | (687,234) | (584,896) | ||||||
Fair Value, Measurements, Recurring [Member] | Investments Sold Short [Member] | Agency residential mortgage-backed securities [Member] | ||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Investments sold short, at fair value- | (450,055) | (404,728) | ||||||
Fair Value, Measurements, Recurring [Member] | Investments Sold Short [Member] | Government debt [Member] | ||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Investments sold short, at fair value- | (172,480) | (132,442) | ||||||
Fair Value, Measurements, Recurring [Member] | Investments Sold Short [Member] | Corporate Debt Sold Short [Member] | ||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Investments sold short, at fair value- | (61,267) | (39,572) | ||||||
Fair Value, Measurements, Recurring [Member] | Investments Sold Short [Member] | Common Stock Sold Short [Member] | ||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Investments sold short, at fair value- | (3,432) | (8,154) | ||||||
Fair Value, Measurements, Recurring [Member] | Financial Derivatives - Liabilities [Member] | ||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Financial derivatives–liabilities, at fair value- | (27,003) | (18,687) | ||||||
Fair Value, Measurements, Recurring [Member] | Financial Derivatives - Liabilities [Member] | Credit Default Swaps On Asset Backed Securities [Member] | ||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Financial derivatives–liabilities, at fair value- | (207) | (256) | ||||||
Fair Value, Measurements, Recurring [Member] | Financial Derivatives - Liabilities [Member] | Credit Default Swaps On Corporate Bond Indices [Member] | ||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Financial derivatives–liabilities, at fair value- | (7,361) | (2,840) | ||||||
Fair Value, Measurements, Recurring [Member] | Financial Derivatives - Liabilities [Member] | Credit Default Swaps On Corporate Bonds [Member] | ||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Financial derivatives–liabilities, at fair value- | (11,885) | (6,654) | ||||||
Fair Value, Measurements, Recurring [Member] | Financial Derivatives - Liabilities [Member] | Credit Default Swaps On Asset Backed Indices [Member] | ||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Financial derivatives–liabilities, at fair value- | (1,770) | (2,899) | ||||||
Fair Value, Measurements, Recurring [Member] | Financial Derivatives - Liabilities [Member] | Interest Rate Swaps [Member] | ||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Financial derivatives–liabilities, at fair value- | (4,413) | (5,162) | ||||||
Fair Value, Measurements, Recurring [Member] | Financial Derivatives - Liabilities [Member] | Total Return Swaps [Member] | ||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Financial derivatives–liabilities, at fair value- | (1) | (304) | ||||||
Fair Value, Measurements, Recurring [Member] | Financial Derivatives - Liabilities [Member] | Futures [Member] | ||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Financial derivatives–liabilities, at fair value- | (47) | (69) | ||||||
Fair Value, Measurements, Recurring [Member] | Financial Derivatives - Liabilities [Member] | Forwards [Member] | ||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Financial derivatives–liabilities, at fair value- | (1,319) | (472) | ||||||
Fair Value, Measurements, Recurring [Member] | Financial Derivatives - Liabilities [Member] | Mortgage Loan Purchase Commitments [Member] | ||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Financial derivatives–liabilities, at fair value- | (31) | |||||||
Fair Value, Measurements, Recurring [Member] | Cash Equivalents [Member] | ||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Cash Equivalents | 20,000 | 90,000 | ||||||
Fair Value, Measurements, Recurring [Member] | Investments [Member] | ||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Investments, at fair value- | 1,794,129 | 1,505,026 | ||||||
Fair Value, Measurements, Recurring [Member] | Investments [Member] | Agency residential mortgage-backed securities [Member] | ||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Investments, at fair value- | 1,013,871 | 897,967 | ||||||
Fair Value, Measurements, Recurring [Member] | Investments [Member] | US Treasury Securities [Member] | ||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Investments, at fair value- | 22,165 | 5,419 | ||||||
Fair Value, Measurements, Recurring [Member] | Investments [Member] | Private Label Residential Mortgage-Backed Securities [Member] | ||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Investments, at fair value- | 134,550 | 143,608 | ||||||
Fair Value, Measurements, Recurring [Member] | Investments [Member] | Private Label Commercial Mortgage-Backed Securities [Member] | ||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Investments, at fair value- | 33,845 | 43,268 | ||||||
Fair Value, Measurements, Recurring [Member] | Investments [Member] | Commercial Mortgage Loans [Member] | ||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Investments, at fair value- | 65,896 | 61,129 | ||||||
Fair Value, Measurements, Recurring [Member] | Investments [Member] | Residential Mortgage Loans [Member] | ||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Investments, at fair value- | 136,097 | 84,290 | ||||||
Fair Value, Measurements, Recurring [Member] | Investments [Member] | Collateralized Loan Obligations [Member] | ||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Investments, at fair value- | 122,150 | 44,956 | ||||||
Fair Value, Measurements, Recurring [Member] | Investments [Member] | Consumer loans and asset-backed securities backed by consumer loans [Member] | ||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Investments, at fair value- | 108,671 | 107,157 | [2] | |||||
Fair Value, Measurements, Recurring [Member] | Investments [Member] | Corporate Debt [Member] | ||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Investments, at fair value- | 94,584 | 80,095 | ||||||
Fair Value, Measurements, Recurring [Member] | Investments [Member] | Real Estate Owned [Member] | ||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Investments, at fair value- | 24,977 | 3,349 | ||||||
Fair Value, Measurements, Recurring [Member] | Investments [Member] | Corporate Equity Investments [Member] | ||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Investments, at fair value- | 37,323 | 33,788 | [2] | |||||
Fair Value, Measurements, Recurring [Member] | Financial Derivatives - Assets [Member] | ||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Financial derivatives–assets, at fair value- | 26,602 | 35,595 | ||||||
Fair Value, Measurements, Recurring [Member] | Financial Derivatives - Assets [Member] | Credit Default Swaps On Asset Backed Securities [Member] | ||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Financial derivatives–assets, at fair value- | 5,107 | 5,326 | ||||||
Fair Value, Measurements, Recurring [Member] | Financial Derivatives - Assets [Member] | Credit Default Swaps On Corporate Bond Indices [Member] | ||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Financial derivatives–assets, at fair value- | 880 | 2,744 | ||||||
Fair Value, Measurements, Recurring [Member] | Financial Derivatives - Assets [Member] | Credit Default Swaps On Corporate Bonds [Member] | ||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Financial derivatives–assets, at fair value- | 6,507 | 2,360 | ||||||
Fair Value, Measurements, Recurring [Member] | Financial Derivatives - Assets [Member] | Credit Default Swaps On Asset Backed Indices [Member] | ||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Financial derivatives–assets, at fair value- | 7,426 | 16,713 | ||||||
Fair Value, Measurements, Recurring [Member] | Financial Derivatives - Assets [Member] | Interest Rate Swaps [Member] | ||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Financial derivatives–assets, at fair value- | 6,611 | 8,102 | ||||||
Fair Value, Measurements, Recurring [Member] | Financial Derivatives - Assets [Member] | Total Return Swaps [Member] | ||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Financial derivatives–assets, at fair value- | 155 | |||||||
Fair Value, Measurements, Recurring [Member] | Financial Derivatives - Assets [Member] | Options [Member] | ||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Financial derivatives–assets, at fair value- | 27 | 44 | ||||||
Fair Value, Measurements, Recurring [Member] | Financial Derivatives - Assets [Member] | Futures [Member] | ||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Financial derivatives–assets, at fair value- | 44 | 29 | ||||||
Fair Value, Measurements, Recurring [Member] | Financial Derivatives - Assets [Member] | Forwards [Member] | ||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Financial derivatives–assets, at fair value- | 16 | |||||||
Fair Value, Measurements, Recurring [Member] | Financial Derivatives - Assets [Member] | Warrant [Member] | ||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Financial derivatives–assets, at fair value- | 106 | |||||||
Fair Value, Measurements, Recurring [Member] | Repurchase Agreements [Member] | ||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Fair value repurchase agreements | 266,659 | 184,819 | ||||||
Fair Value, Measurements, Recurring [Member] | Level 1 [Member] | ||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Total investments and financial derivatives–assets, at fair value and repurchase agreements | 1,694 | 4,467 | ||||||
Total investments sold short and financial derivatives–liabilities, at fair value | (3,479) | (8,223) | ||||||
Fair Value, Measurements, Recurring [Member] | Level 1 [Member] | Investments Sold Short [Member] | ||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Investments sold short, at fair value- | (3,432) | (8,154) | ||||||
Fair Value, Measurements, Recurring [Member] | Level 1 [Member] | Investments Sold Short [Member] | Agency residential mortgage-backed securities [Member] | ||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Investments sold short, at fair value- | 0 | 0 | ||||||
Fair Value, Measurements, Recurring [Member] | Level 1 [Member] | Investments Sold Short [Member] | Government debt [Member] | ||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Investments sold short, at fair value- | 0 | 0 | ||||||
Fair Value, Measurements, Recurring [Member] | Level 1 [Member] | Investments Sold Short [Member] | Corporate Debt Sold Short [Member] | ||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Investments sold short, at fair value- | 0 | 0 | ||||||
Fair Value, Measurements, Recurring [Member] | Level 1 [Member] | Investments Sold Short [Member] | Common Stock Sold Short [Member] | ||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Investments sold short, at fair value- | (3,432) | (8,154) | ||||||
Fair Value, Measurements, Recurring [Member] | Level 1 [Member] | Financial Derivatives - Liabilities [Member] | ||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Financial derivatives–liabilities, at fair value- | (47) | (69) | ||||||
Fair Value, Measurements, Recurring [Member] | Level 1 [Member] | Financial Derivatives - Liabilities [Member] | Credit Default Swaps On Asset Backed Securities [Member] | ||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Financial derivatives–liabilities, at fair value- | 0 | 0 | ||||||
Fair Value, Measurements, Recurring [Member] | Level 1 [Member] | Financial Derivatives - Liabilities [Member] | Credit Default Swaps On Corporate Bond Indices [Member] | ||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Financial derivatives–liabilities, at fair value- | 0 | 0 | ||||||
Fair Value, Measurements, Recurring [Member] | Level 1 [Member] | Financial Derivatives - Liabilities [Member] | Credit Default Swaps On Corporate Bonds [Member] | ||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Financial derivatives–liabilities, at fair value- | 0 | 0 | ||||||
Fair Value, Measurements, Recurring [Member] | Level 1 [Member] | Financial Derivatives - Liabilities [Member] | Credit Default Swaps On Asset Backed Indices [Member] | ||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Financial derivatives–liabilities, at fair value- | 0 | 0 | ||||||
Fair Value, Measurements, Recurring [Member] | Level 1 [Member] | Financial Derivatives - Liabilities [Member] | Interest Rate Swaps [Member] | ||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Financial derivatives–liabilities, at fair value- | 0 | 0 | ||||||
Fair Value, Measurements, Recurring [Member] | Level 1 [Member] | Financial Derivatives - Liabilities [Member] | Total Return Swaps [Member] | ||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Financial derivatives–liabilities, at fair value- | 0 | 0 | ||||||
Fair Value, Measurements, Recurring [Member] | Level 1 [Member] | Financial Derivatives - Liabilities [Member] | Futures [Member] | ||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Financial derivatives–liabilities, at fair value- | (47) | (69) | ||||||
Fair Value, Measurements, Recurring [Member] | Level 1 [Member] | Financial Derivatives - Liabilities [Member] | Forwards [Member] | ||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Financial derivatives–liabilities, at fair value- | 0 | 0 | ||||||
Fair Value, Measurements, Recurring [Member] | Level 1 [Member] | Financial Derivatives - Liabilities [Member] | Mortgage Loan Purchase Commitments [Member] | ||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Financial derivatives–liabilities, at fair value- | 0 | |||||||
Fair Value, Measurements, Recurring [Member] | Level 1 [Member] | Cash Equivalents [Member] | ||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Cash Equivalents | 20,000 | 90,000 | ||||||
Fair Value, Measurements, Recurring [Member] | Level 1 [Member] | Investments [Member] | ||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Investments, at fair value- | 1,625 | 4,396 | ||||||
Fair Value, Measurements, Recurring [Member] | Level 1 [Member] | Investments [Member] | Agency residential mortgage-backed securities [Member] | ||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Investments, at fair value- | 0 | 0 | ||||||
Fair Value, Measurements, Recurring [Member] | Level 1 [Member] | Investments [Member] | US Treasury Securities [Member] | ||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Investments, at fair value- | 0 | 0 | ||||||
Fair Value, Measurements, Recurring [Member] | Level 1 [Member] | Investments [Member] | Private Label Residential Mortgage-Backed Securities [Member] | ||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Investments, at fair value- | 0 | 0 | ||||||
Fair Value, Measurements, Recurring [Member] | Level 1 [Member] | Investments [Member] | Private Label Commercial Mortgage-Backed Securities [Member] | ||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Investments, at fair value- | 0 | 0 | ||||||
Fair Value, Measurements, Recurring [Member] | Level 1 [Member] | Investments [Member] | Commercial Mortgage Loans [Member] | ||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Investments, at fair value- | 0 | 0 | ||||||
Fair Value, Measurements, Recurring [Member] | Level 1 [Member] | Investments [Member] | Residential Mortgage Loans [Member] | ||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Investments, at fair value- | 0 | 0 | ||||||
Fair Value, Measurements, Recurring [Member] | Level 1 [Member] | Investments [Member] | Collateralized Loan Obligations [Member] | ||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Investments, at fair value- | 0 | 0 | ||||||
Fair Value, Measurements, Recurring [Member] | Level 1 [Member] | Investments [Member] | Consumer loans and asset-backed securities backed by consumer loans [Member] | ||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Investments, at fair value- | 0 | 0 | [2] | |||||
Fair Value, Measurements, Recurring [Member] | Level 1 [Member] | Investments [Member] | Corporate Debt [Member] | ||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Investments, at fair value- | 0 | 0 | ||||||
Fair Value, Measurements, Recurring [Member] | Level 1 [Member] | Investments [Member] | Real Estate Owned [Member] | ||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Investments, at fair value- | 0 | 0 | ||||||
Fair Value, Measurements, Recurring [Member] | Level 1 [Member] | Investments [Member] | Corporate Equity Investments [Member] | ||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Investments, at fair value- | 1,625 | 4,396 | [2] | |||||
Fair Value, Measurements, Recurring [Member] | Level 1 [Member] | Financial Derivatives - Assets [Member] | ||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Financial derivatives–assets, at fair value- | 69 | 71 | ||||||
Fair Value, Measurements, Recurring [Member] | Level 1 [Member] | Financial Derivatives - Assets [Member] | Credit Default Swaps On Asset Backed Securities [Member] | ||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Financial derivatives–assets, at fair value- | 0 | 0 | ||||||
Fair Value, Measurements, Recurring [Member] | Level 1 [Member] | Financial Derivatives - Assets [Member] | Credit Default Swaps On Corporate Bond Indices [Member] | ||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Financial derivatives–assets, at fair value- | 0 | 0 | ||||||
Fair Value, Measurements, Recurring [Member] | Level 1 [Member] | Financial Derivatives - Assets [Member] | Credit Default Swaps On Corporate Bonds [Member] | ||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Financial derivatives–assets, at fair value- | 0 | 0 | ||||||
Fair Value, Measurements, Recurring [Member] | Level 1 [Member] | Financial Derivatives - Assets [Member] | Credit Default Swaps On Asset Backed Indices [Member] | ||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Financial derivatives–assets, at fair value- | 0 | 0 | ||||||
Fair Value, Measurements, Recurring [Member] | Level 1 [Member] | Financial Derivatives - Assets [Member] | Interest Rate Swaps [Member] | ||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Financial derivatives–assets, at fair value- | 0 | 0 | ||||||
Fair Value, Measurements, Recurring [Member] | Level 1 [Member] | Financial Derivatives - Assets [Member] | Total Return Swaps [Member] | ||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Financial derivatives–assets, at fair value- | 0 | |||||||
Fair Value, Measurements, Recurring [Member] | Level 1 [Member] | Financial Derivatives - Assets [Member] | Options [Member] | ||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Financial derivatives–assets, at fair value- | 25 | 42 | ||||||
Fair Value, Measurements, Recurring [Member] | Level 1 [Member] | Financial Derivatives - Assets [Member] | Futures [Member] | ||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Financial derivatives–assets, at fair value- | 44 | 29 | ||||||
Fair Value, Measurements, Recurring [Member] | Level 1 [Member] | Financial Derivatives - Assets [Member] | Forwards [Member] | ||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Financial derivatives–assets, at fair value- | 0 | |||||||
Fair Value, Measurements, Recurring [Member] | Level 1 [Member] | Financial Derivatives - Assets [Member] | Warrant [Member] | ||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Financial derivatives–assets, at fair value- | 0 | |||||||
Fair Value, Measurements, Recurring [Member] | Level 1 [Member] | Repurchase Agreements [Member] | ||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Fair value repurchase agreements | 0 | 0 | ||||||
Fair Value, Measurements, Recurring [Member] | Level 2 [Member] | ||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Total investments and financial derivatives–assets, at fair value and repurchase agreements | 1,548,351 | 1,197,136 | ||||||
Total investments sold short and financial derivatives–liabilities, at fair value | (710,551) | (594,855) | ||||||
Fair Value, Measurements, Recurring [Member] | Level 2 [Member] | Investments Sold Short [Member] | ||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Investments sold short, at fair value- | (683,802) | (576,742) | ||||||
Fair Value, Measurements, Recurring [Member] | Level 2 [Member] | Investments Sold Short [Member] | Agency residential mortgage-backed securities [Member] | ||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Investments sold short, at fair value- | (450,055) | (404,728) | ||||||
Fair Value, Measurements, Recurring [Member] | Level 2 [Member] | Investments Sold Short [Member] | Government debt [Member] | ||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Investments sold short, at fair value- | (172,480) | (132,442) | ||||||
Fair Value, Measurements, Recurring [Member] | Level 2 [Member] | Investments Sold Short [Member] | Corporate Debt Sold Short [Member] | ||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Investments sold short, at fair value- | (61,267) | (39,572) | ||||||
Fair Value, Measurements, Recurring [Member] | Level 2 [Member] | Investments Sold Short [Member] | Common Stock Sold Short [Member] | ||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Investments sold short, at fair value- | 0 | 0 | ||||||
Fair Value, Measurements, Recurring [Member] | Level 2 [Member] | Financial Derivatives - Liabilities [Member] | ||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Financial derivatives–liabilities, at fair value- | (26,749) | (18,113) | ||||||
Fair Value, Measurements, Recurring [Member] | Level 2 [Member] | Financial Derivatives - Liabilities [Member] | Credit Default Swaps On Asset Backed Securities [Member] | ||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Financial derivatives–liabilities, at fair value- | 0 | 0 | ||||||
Fair Value, Measurements, Recurring [Member] | Level 2 [Member] | Financial Derivatives - Liabilities [Member] | Credit Default Swaps On Corporate Bond Indices [Member] | ||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Financial derivatives–liabilities, at fair value- | (7,361) | (2,840) | ||||||
Fair Value, Measurements, Recurring [Member] | Level 2 [Member] | Financial Derivatives - Liabilities [Member] | Credit Default Swaps On Corporate Bonds [Member] | ||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Financial derivatives–liabilities, at fair value- | (11,885) | (6,654) | ||||||
Fair Value, Measurements, Recurring [Member] | Level 2 [Member] | Financial Derivatives - Liabilities [Member] | Credit Default Swaps On Asset Backed Indices [Member] | ||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Financial derivatives–liabilities, at fair value- | (1,770) | (2,899) | ||||||
Fair Value, Measurements, Recurring [Member] | Level 2 [Member] | Financial Derivatives - Liabilities [Member] | Interest Rate Swaps [Member] | ||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Financial derivatives–liabilities, at fair value- | (4,413) | (5,162) | ||||||
Fair Value, Measurements, Recurring [Member] | Level 2 [Member] | Financial Derivatives - Liabilities [Member] | Total Return Swaps [Member] | ||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Financial derivatives–liabilities, at fair value- | (1) | (55) | ||||||
Fair Value, Measurements, Recurring [Member] | Level 2 [Member] | Financial Derivatives - Liabilities [Member] | Futures [Member] | ||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Financial derivatives–liabilities, at fair value- | 0 | 0 | ||||||
Fair Value, Measurements, Recurring [Member] | Level 2 [Member] | Financial Derivatives - Liabilities [Member] | Forwards [Member] | ||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Financial derivatives–liabilities, at fair value- | (1,319) | (472) | ||||||
Fair Value, Measurements, Recurring [Member] | Level 2 [Member] | Financial Derivatives - Liabilities [Member] | Mortgage Loan Purchase Commitments [Member] | ||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Financial derivatives–liabilities, at fair value- | (31) | |||||||
Fair Value, Measurements, Recurring [Member] | Level 2 [Member] | Cash Equivalents [Member] | ||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Cash Equivalents | 0 | 0 | ||||||
Fair Value, Measurements, Recurring [Member] | Level 2 [Member] | Investments [Member] | ||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Investments, at fair value- | 1,260,266 | 982,380 | ||||||
Fair Value, Measurements, Recurring [Member] | Level 2 [Member] | Investments [Member] | Agency residential mortgage-backed securities [Member] | ||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Investments, at fair value- | 1,008,975 | 868,345 | ||||||
Fair Value, Measurements, Recurring [Member] | Level 2 [Member] | Investments [Member] | US Treasury Securities [Member] | ||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Investments, at fair value- | 22,165 | 5,419 | ||||||
Fair Value, Measurements, Recurring [Member] | Level 2 [Member] | Investments [Member] | Private Label Residential Mortgage-Backed Securities [Member] | ||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Investments, at fair value- | 55,427 | 53,525 | ||||||
Fair Value, Measurements, Recurring [Member] | Level 2 [Member] | Investments [Member] | Private Label Commercial Mortgage-Backed Securities [Member] | ||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Investments, at fair value- | 20,036 | 0 | ||||||
Fair Value, Measurements, Recurring [Member] | Level 2 [Member] | Investments [Member] | Commercial Mortgage Loans [Member] | ||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Investments, at fair value- | 0 | 0 | ||||||
Fair Value, Measurements, Recurring [Member] | Level 2 [Member] | Investments [Member] | Residential Mortgage Loans [Member] | ||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Investments, at fair value- | 0 | 0 | ||||||
Fair Value, Measurements, Recurring [Member] | Level 2 [Member] | Investments [Member] | Collateralized Loan Obligations [Member] | ||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Investments, at fair value- | 79,614 | 0 | ||||||
Fair Value, Measurements, Recurring [Member] | Level 2 [Member] | Investments [Member] | Consumer loans and asset-backed securities backed by consumer loans [Member] | ||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Investments, at fair value- | 0 | 0 | [2] | |||||
Fair Value, Measurements, Recurring [Member] | Level 2 [Member] | Investments [Member] | Corporate Debt [Member] | ||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Investments, at fair value- | 74,049 | 55,091 | ||||||
Fair Value, Measurements, Recurring [Member] | Level 2 [Member] | Investments [Member] | Real Estate Owned [Member] | ||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Investments, at fair value- | 0 | 0 | ||||||
Fair Value, Measurements, Recurring [Member] | Level 2 [Member] | Investments [Member] | Corporate Equity Investments [Member] | ||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Investments, at fair value- | 0 | 0 | [2] | |||||
Fair Value, Measurements, Recurring [Member] | Level 2 [Member] | Financial Derivatives - Assets [Member] | ||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Financial derivatives–assets, at fair value- | 21,426 | 29,937 | ||||||
Fair Value, Measurements, Recurring [Member] | Level 2 [Member] | Financial Derivatives - Assets [Member] | Credit Default Swaps On Asset Backed Securities [Member] | ||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Financial derivatives–assets, at fair value- | 0 | 0 | ||||||
Fair Value, Measurements, Recurring [Member] | Level 2 [Member] | Financial Derivatives - Assets [Member] | Credit Default Swaps On Corporate Bond Indices [Member] | ||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Financial derivatives–assets, at fair value- | 880 | 2,744 | ||||||
Fair Value, Measurements, Recurring [Member] | Level 2 [Member] | Financial Derivatives - Assets [Member] | Credit Default Swaps On Corporate Bonds [Member] | ||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Financial derivatives–assets, at fair value- | 6,507 | 2,360 | ||||||
Fair Value, Measurements, Recurring [Member] | Level 2 [Member] | Financial Derivatives - Assets [Member] | Credit Default Swaps On Asset Backed Indices [Member] | ||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Financial derivatives–assets, at fair value- | 7,426 | 16,713 | ||||||
Fair Value, Measurements, Recurring [Member] | Level 2 [Member] | Financial Derivatives - Assets [Member] | Interest Rate Swaps [Member] | ||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Financial derivatives–assets, at fair value- | 6,611 | 8,102 | ||||||
Fair Value, Measurements, Recurring [Member] | Level 2 [Member] | Financial Derivatives - Assets [Member] | Total Return Swaps [Member] | ||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Financial derivatives–assets, at fair value- | 0 | |||||||
Fair Value, Measurements, Recurring [Member] | Level 2 [Member] | Financial Derivatives - Assets [Member] | Options [Member] | ||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Financial derivatives–assets, at fair value- | 2 | 2 | ||||||
Fair Value, Measurements, Recurring [Member] | Level 2 [Member] | Financial Derivatives - Assets [Member] | Futures [Member] | ||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Financial derivatives–assets, at fair value- | 0 | 0 | ||||||
Fair Value, Measurements, Recurring [Member] | Level 2 [Member] | Financial Derivatives - Assets [Member] | Forwards [Member] | ||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Financial derivatives–assets, at fair value- | 16 | |||||||
Fair Value, Measurements, Recurring [Member] | Level 2 [Member] | Financial Derivatives - Assets [Member] | Warrant [Member] | ||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Financial derivatives–assets, at fair value- | 0 | |||||||
Fair Value, Measurements, Recurring [Member] | Level 2 [Member] | Repurchase Agreements [Member] | ||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Fair value repurchase agreements | 266,659 | 184,819 | ||||||
Fair Value, Measurements, Recurring [Member] | Level 3 [Member] | ||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Total investments and financial derivatives–assets, at fair value and repurchase agreements | 537,345 | 523,837 | ||||||
Total investments sold short and financial derivatives–liabilities, at fair value | (207) | (505) | ||||||
Fair Value, Measurements, Recurring [Member] | Level 3 [Member] | Investments Sold Short [Member] | ||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Investments sold short, at fair value- | 0 | 0 | ||||||
Fair Value, Measurements, Recurring [Member] | Level 3 [Member] | Investments Sold Short [Member] | Agency residential mortgage-backed securities [Member] | ||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Investments sold short, at fair value- | 0 | 0 | ||||||
Fair Value, Measurements, Recurring [Member] | Level 3 [Member] | Investments Sold Short [Member] | Government debt [Member] | ||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Investments sold short, at fair value- | 0 | 0 | ||||||
Fair Value, Measurements, Recurring [Member] | Level 3 [Member] | Investments Sold Short [Member] | Corporate Debt Sold Short [Member] | ||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Investments sold short, at fair value- | 0 | 0 | ||||||
Fair Value, Measurements, Recurring [Member] | Level 3 [Member] | Investments Sold Short [Member] | Common Stock Sold Short [Member] | ||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Investments sold short, at fair value- | 0 | 0 | ||||||
Fair Value, Measurements, Recurring [Member] | Level 3 [Member] | Financial Derivatives - Liabilities [Member] | ||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Financial derivatives–liabilities, at fair value- | (207) | (505) | ||||||
Fair Value, Measurements, Recurring [Member] | Level 3 [Member] | Financial Derivatives - Liabilities [Member] | Credit Default Swaps On Asset Backed Securities [Member] | ||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Financial derivatives–liabilities, at fair value- | (207) | (256) | ||||||
Fair Value, Measurements, Recurring [Member] | Level 3 [Member] | Financial Derivatives - Liabilities [Member] | Credit Default Swaps On Corporate Bond Indices [Member] | ||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Financial derivatives–liabilities, at fair value- | 0 | 0 | ||||||
Fair Value, Measurements, Recurring [Member] | Level 3 [Member] | Financial Derivatives - Liabilities [Member] | Credit Default Swaps On Corporate Bonds [Member] | ||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Financial derivatives–liabilities, at fair value- | 0 | 0 | ||||||
Fair Value, Measurements, Recurring [Member] | Level 3 [Member] | Financial Derivatives - Liabilities [Member] | Credit Default Swaps On Asset Backed Indices [Member] | ||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Financial derivatives–liabilities, at fair value- | 0 | 0 | ||||||
Fair Value, Measurements, Recurring [Member] | Level 3 [Member] | Financial Derivatives - Liabilities [Member] | Interest Rate Swaps [Member] | ||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Financial derivatives–liabilities, at fair value- | 0 | 0 | ||||||
Fair Value, Measurements, Recurring [Member] | Level 3 [Member] | Financial Derivatives - Liabilities [Member] | Total Return Swaps [Member] | ||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Financial derivatives–liabilities, at fair value- | 0 | (249) | ||||||
Fair Value, Measurements, Recurring [Member] | Level 3 [Member] | Financial Derivatives - Liabilities [Member] | Futures [Member] | ||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Financial derivatives–liabilities, at fair value- | 0 | 0 | ||||||
Fair Value, Measurements, Recurring [Member] | Level 3 [Member] | Financial Derivatives - Liabilities [Member] | Forwards [Member] | ||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Financial derivatives–liabilities, at fair value- | 0 | 0 | ||||||
Fair Value, Measurements, Recurring [Member] | Level 3 [Member] | Financial Derivatives - Liabilities [Member] | Mortgage Loan Purchase Commitments [Member] | ||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Financial derivatives–liabilities, at fair value- | 0 | |||||||
Fair Value, Measurements, Recurring [Member] | Level 3 [Member] | Cash Equivalents [Member] | ||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Cash Equivalents | 0 | 0 | ||||||
Fair Value, Measurements, Recurring [Member] | Level 3 [Member] | Investments [Member] | ||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Investments, at fair value- | 532,238 | 518,250 | ||||||
Fair Value, Measurements, Recurring [Member] | Level 3 [Member] | Investments [Member] | Agency residential mortgage-backed securities [Member] | ||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Investments, at fair value- | 4,896 | 29,622 | ||||||
Fair Value, Measurements, Recurring [Member] | Level 3 [Member] | Investments [Member] | US Treasury Securities [Member] | ||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Investments, at fair value- | 0 | 0 | ||||||
Fair Value, Measurements, Recurring [Member] | Level 3 [Member] | Investments [Member] | Private Label Residential Mortgage-Backed Securities [Member] | ||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Investments, at fair value- | 79,123 | 90,083 | ||||||
Fair Value, Measurements, Recurring [Member] | Level 3 [Member] | Investments [Member] | Private Label Commercial Mortgage-Backed Securities [Member] | ||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Investments, at fair value- | 13,809 | 43,268 | ||||||
Fair Value, Measurements, Recurring [Member] | Level 3 [Member] | Investments [Member] | Commercial Mortgage Loans [Member] | ||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Investments, at fair value- | 65,896 | 61,129 | ||||||
Fair Value, Measurements, Recurring [Member] | Level 3 [Member] | Investments [Member] | Residential Mortgage Loans [Member] | ||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Investments, at fair value- | 136,097 | 84,290 | ||||||
Fair Value, Measurements, Recurring [Member] | Level 3 [Member] | Investments [Member] | Collateralized Loan Obligations [Member] | ||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Investments, at fair value- | 42,536 | 44,956 | ||||||
Fair Value, Measurements, Recurring [Member] | Level 3 [Member] | Investments [Member] | Consumer loans and asset-backed securities backed by consumer loans [Member] | ||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Investments, at fair value- | 108,671 | 107,157 | [2] | |||||
Fair Value, Measurements, Recurring [Member] | Level 3 [Member] | Investments [Member] | Corporate Debt [Member] | ||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Investments, at fair value- | 20,535 | 25,004 | ||||||
Fair Value, Measurements, Recurring [Member] | Level 3 [Member] | Investments [Member] | Real Estate Owned [Member] | ||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Investments, at fair value- | 24,977 | 3,349 | ||||||
Fair Value, Measurements, Recurring [Member] | Level 3 [Member] | Investments [Member] | Corporate Equity Investments [Member] | ||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Investments, at fair value- | 35,698 | 29,392 | [2] | |||||
Fair Value, Measurements, Recurring [Member] | Level 3 [Member] | Financial Derivatives - Assets [Member] | ||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Financial derivatives–assets, at fair value- | 5,107 | 5,587 | ||||||
Fair Value, Measurements, Recurring [Member] | Level 3 [Member] | Financial Derivatives - Assets [Member] | Credit Default Swaps On Asset Backed Securities [Member] | ||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Financial derivatives–assets, at fair value- | 5,107 | 5,326 | ||||||
Fair Value, Measurements, Recurring [Member] | Level 3 [Member] | Financial Derivatives - Assets [Member] | Credit Default Swaps On Corporate Bond Indices [Member] | ||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Financial derivatives–assets, at fair value- | 0 | 0 | ||||||
Fair Value, Measurements, Recurring [Member] | Level 3 [Member] | Financial Derivatives - Assets [Member] | Credit Default Swaps On Corporate Bonds [Member] | ||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Financial derivatives–assets, at fair value- | 0 | 0 | ||||||
Fair Value, Measurements, Recurring [Member] | Level 3 [Member] | Financial Derivatives - Assets [Member] | Credit Default Swaps On Asset Backed Indices [Member] | ||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Financial derivatives–assets, at fair value- | 0 | 0 | ||||||
Fair Value, Measurements, Recurring [Member] | Level 3 [Member] | Financial Derivatives - Assets [Member] | Interest Rate Swaps [Member] | ||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Financial derivatives–assets, at fair value- | 0 | 0 | ||||||
Fair Value, Measurements, Recurring [Member] | Level 3 [Member] | Financial Derivatives - Assets [Member] | Total Return Swaps [Member] | ||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Financial derivatives–assets, at fair value- | 155 | |||||||
Fair Value, Measurements, Recurring [Member] | Level 3 [Member] | Financial Derivatives - Assets [Member] | Options [Member] | ||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Financial derivatives–assets, at fair value- | 0 | 0 | ||||||
Fair Value, Measurements, Recurring [Member] | Level 3 [Member] | Financial Derivatives - Assets [Member] | Futures [Member] | ||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Financial derivatives–assets, at fair value- | 0 | 0 | ||||||
Fair Value, Measurements, Recurring [Member] | Level 3 [Member] | Financial Derivatives - Assets [Member] | Forwards [Member] | ||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Financial derivatives–assets, at fair value- | 0 | |||||||
Fair Value, Measurements, Recurring [Member] | Level 3 [Member] | Financial Derivatives - Assets [Member] | Warrant [Member] | ||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Financial derivatives–assets, at fair value- | 106 | |||||||
Fair Value, Measurements, Recurring [Member] | Level 3 [Member] | Repurchase Agreements [Member] | ||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Fair value repurchase agreements | $ 0 | $ 0 | ||||||
|
Valuation (Schedule Of Significant Unobservable Inputs, Qualitative Information) (Details) - Level 3 [Member] |
6 Months Ended | 12 Months Ended | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Jun. 30, 2017
USD ($)
|
Dec. 31, 2016
USD ($)
|
||||||||||||||||
Market Approach Valuation Technique [Member] | Private Label Residential Mortgage Backed Securities [Member] | |||||||||||||||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||||||||||||||
Fair value | $ 28,050,000 | $ 47,024,000 | |||||||||||||||
Market Approach Valuation Technique [Member] | Private Label Residential Mortgage Backed Securities [Member] | Minimum [Member] | |||||||||||||||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||||||||||||||
Non Binding Third-Party Valuation | 45.12 | 2.00 | |||||||||||||||
Market Approach Valuation Technique [Member] | Private Label Residential Mortgage Backed Securities [Member] | Maximum [Member] | |||||||||||||||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||||||||||||||
Non Binding Third-Party Valuation | 188.00 | 101.02 | |||||||||||||||
Market Approach Valuation Technique [Member] | Private Label Residential Mortgage Backed Securities [Member] | Weighted Average [Member] | |||||||||||||||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||||||||||||||
Non Binding Third-Party Valuation | 86.92 | 67.51 | |||||||||||||||
Market Approach Valuation Technique [Member] | Collateralized Loan Obligations [Member] | |||||||||||||||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||||||||||||||
Fair value | $ 39,195,000 | $ 37,517,000 | |||||||||||||||
Market Approach Valuation Technique [Member] | Collateralized Loan Obligations [Member] | Minimum [Member] | |||||||||||||||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||||||||||||||
Non Binding Third-Party Valuation | 37.54 | 9.42 | |||||||||||||||
Market Approach Valuation Technique [Member] | Collateralized Loan Obligations [Member] | Maximum [Member] | |||||||||||||||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||||||||||||||
Non Binding Third-Party Valuation | 438.51 | 100.25 | |||||||||||||||
Market Approach Valuation Technique [Member] | Collateralized Loan Obligations [Member] | Weighted Average [Member] | |||||||||||||||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||||||||||||||
Non Binding Third-Party Valuation | 112.64 | 83.36 | |||||||||||||||
Market Approach Valuation Technique [Member] | Corporate Debt and non-exchange traded corporate equity [Member] | |||||||||||||||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||||||||||||||
Fair value | $ 13,506,000 | $ 19,017,000 | |||||||||||||||
Market Approach Valuation Technique [Member] | Corporate Debt and non-exchange traded corporate equity [Member] | Minimum [Member] | |||||||||||||||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||||||||||||||
Non Binding Third-Party Valuation | 1.38 | 1.88 | |||||||||||||||
Market Approach Valuation Technique [Member] | Corporate Debt and non-exchange traded corporate equity [Member] | Maximum [Member] | |||||||||||||||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||||||||||||||
Non Binding Third-Party Valuation | 99.50 | 102.25 | |||||||||||||||
Market Approach Valuation Technique [Member] | Corporate Debt and non-exchange traded corporate equity [Member] | Weighted Average [Member] | |||||||||||||||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||||||||||||||
Non Binding Third-Party Valuation | 82.85 | 87.14 | |||||||||||||||
Market Approach Valuation Technique [Member] | Private Label Commercial Mortgage-Backed Securities [Member] | |||||||||||||||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||||||||||||||
Fair value | $ 7,992,000 | $ 27,283,000 | |||||||||||||||
Market Approach Valuation Technique [Member] | Private Label Commercial Mortgage-Backed Securities [Member] | Minimum [Member] | |||||||||||||||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||||||||||||||
Non Binding Third-Party Valuation | 5.38 | 5.17 | |||||||||||||||
Market Approach Valuation Technique [Member] | Private Label Commercial Mortgage-Backed Securities [Member] | Maximum [Member] | |||||||||||||||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||||||||||||||
Non Binding Third-Party Valuation | 41.43 | 77.75 | |||||||||||||||
Market Approach Valuation Technique [Member] | Private Label Commercial Mortgage-Backed Securities [Member] | Weighted Average [Member] | |||||||||||||||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||||||||||||||
Non Binding Third-Party Valuation | 23.46 | 40.88 | |||||||||||||||
Market Approach Valuation Technique [Member] | Agency Interest Only Residential Mortgage-Backed Securities [Member] | |||||||||||||||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||||||||||||||
Fair value | $ 1,644,000 | $ 23,322,000 | |||||||||||||||
Market Approach Valuation Technique [Member] | Agency Interest Only Residential Mortgage-Backed Securities [Member] | Minimum [Member] | |||||||||||||||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||||||||||||||
Non Binding Third-Party Valuation | 16.52 | 2.47 | |||||||||||||||
Market Approach Valuation Technique [Member] | Agency Interest Only Residential Mortgage-Backed Securities [Member] | Maximum [Member] | |||||||||||||||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||||||||||||||
Non Binding Third-Party Valuation | 19.74 | 20.17 | |||||||||||||||
Market Approach Valuation Technique [Member] | Agency Interest Only Residential Mortgage-Backed Securities [Member] | Weighted Average [Member] | |||||||||||||||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||||||||||||||
Non Binding Third-Party Valuation | 18.12 | 11.65 | |||||||||||||||
Income Approach Valuation Technique [Member] | Corporate debt and warrants [Member] | |||||||||||||||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||||||||||||||
Fair value | $ 10,080,000 | ||||||||||||||||
Income Approach Valuation Technique [Member] | Corporate debt and warrants [Member] | Minimum [Member] | |||||||||||||||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||||||||||||||
Yield | 19.70% | ||||||||||||||||
Income Approach Valuation Technique [Member] | Corporate debt and warrants [Member] | Maximum [Member] | |||||||||||||||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||||||||||||||
Yield | 19.70% | ||||||||||||||||
Income Approach Valuation Technique [Member] | Corporate debt and warrants [Member] | Weighted Average [Member] | |||||||||||||||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||||||||||||||
Yield | 19.70% | ||||||||||||||||
Income Approach Valuation Technique [Member] | Private Label Residential Mortgage Backed Securities [Member] | |||||||||||||||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||||||||||||||
Fair value | $ 51,073,000 | $ 43,059,000 | |||||||||||||||
Income Approach Valuation Technique [Member] | Private Label Residential Mortgage Backed Securities [Member] | Minimum [Member] | |||||||||||||||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||||||||||||||
Yield | 2.80% | 0.60% | |||||||||||||||
Projected Collateral Prepayments | 0.00% | 0.00% | |||||||||||||||
Fair Value Inputs Losses | 0.50% | 1.40% | |||||||||||||||
Fair Value Inputs Projected Collateral Recoveries | 1.40% | 0.40% | |||||||||||||||
Fair Value Inputs Projected Collateral Scheduled Amortization | 0.00% | 0.00% | |||||||||||||||
Income Approach Valuation Technique [Member] | Private Label Residential Mortgage Backed Securities [Member] | Maximum [Member] | |||||||||||||||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||||||||||||||
Yield | 39.30% | 20.50% | |||||||||||||||
Projected Collateral Prepayments | 83.30% | 81.00% | |||||||||||||||
Fair Value Inputs Losses | 54.60% | 51.20% | |||||||||||||||
Fair Value Inputs Projected Collateral Recoveries | 49.00% | 53.60% | |||||||||||||||
Fair Value Inputs Projected Collateral Scheduled Amortization | 58.10% | 90.70% | |||||||||||||||
Income Approach Valuation Technique [Member] | Private Label Residential Mortgage Backed Securities [Member] | Weighted Average [Member] | |||||||||||||||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||||||||||||||
Yield | 10.00% | 11.00% | |||||||||||||||
Projected Collateral Prepayments | 11.00% | 10.00% | |||||||||||||||
Fair Value Inputs Losses | 43.50% | 41.40% | |||||||||||||||
Fair Value Inputs Projected Collateral Recoveries | 38.90% | 41.20% | |||||||||||||||
Fair Value Inputs Projected Collateral Scheduled Amortization | 6.60% | 7.40% | |||||||||||||||
Total Outstanding Collateral | 100.00% | 100.00% | |||||||||||||||
Income Approach Valuation Technique [Member] | Collateralized Loan Obligations [Member] | |||||||||||||||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||||||||||||||
Fair value | $ 3,341,000 | $ 7,439,000 | |||||||||||||||
Income Approach Valuation Technique [Member] | Collateralized Loan Obligations [Member] | Minimum [Member] | |||||||||||||||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||||||||||||||
Yield | 12.20% | 11.20% | |||||||||||||||
Projected Collateral Prepayments | 66.80% | 11.40% | |||||||||||||||
Fair Value Inputs Losses | 18.10% | 4.50% | |||||||||||||||
Fair Value Inputs Projected Collateral Recoveries | 1.20% | 1.50% | |||||||||||||||
Fair Value Inputs Projected Collateral Scheduled Amortization | 0.10% | 29.80% | |||||||||||||||
Income Approach Valuation Technique [Member] | Collateralized Loan Obligations [Member] | Maximum [Member] | |||||||||||||||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||||||||||||||
Yield | 54.60% | 50.30% | |||||||||||||||
Projected Collateral Prepayments | 74.70% | 55.20% | |||||||||||||||
Fair Value Inputs Losses | 22.90% | 28.30% | |||||||||||||||
Fair Value Inputs Projected Collateral Recoveries | 11.80% | 27.20% | |||||||||||||||
Fair Value Inputs Projected Collateral Scheduled Amortization | 5.00% | 51.50% | |||||||||||||||
Income Approach Valuation Technique [Member] | Collateralized Loan Obligations [Member] | Weighted Average [Member] | |||||||||||||||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||||||||||||||
Yield | 31.60% | 20.50% | |||||||||||||||
Projected Collateral Prepayments | 68.90% | 45.50% | |||||||||||||||
Fair Value Inputs Losses | 20.20% | 10.70% | |||||||||||||||
Fair Value Inputs Projected Collateral Recoveries | 9.20% | 8.60% | |||||||||||||||
Fair Value Inputs Projected Collateral Scheduled Amortization | 1.70% | 35.20% | |||||||||||||||
Total Outstanding Collateral | 100.00% | 100.00% | |||||||||||||||
Income Approach Valuation Technique [Member] | Private Label Commercial Mortgage-Backed Securities [Member] | |||||||||||||||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||||||||||||||
Fair value | $ 5,817,000 | $ 15,985,000 | |||||||||||||||
Income Approach Valuation Technique [Member] | Private Label Commercial Mortgage-Backed Securities [Member] | Minimum [Member] | |||||||||||||||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||||||||||||||
Yield | 3.40% | 8.80% | |||||||||||||||
Fair Value Inputs Losses | 1.20% | 0.10% | |||||||||||||||
Fair Value Inputs Projected Collateral Recoveries | 6.60% | 0.90% | |||||||||||||||
Fair Value Inputs Projected Collateral Scheduled Amortization | 72.80% | 77.80% | |||||||||||||||
Income Approach Valuation Technique [Member] | Private Label Commercial Mortgage-Backed Securities [Member] | Maximum [Member] | |||||||||||||||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||||||||||||||
Yield | 52.70% | 57.00% | |||||||||||||||
Fair Value Inputs Losses | 8.20% | 5.30% | |||||||||||||||
Fair Value Inputs Projected Collateral Recoveries | 19.10% | 20.50% | |||||||||||||||
Fair Value Inputs Projected Collateral Scheduled Amortization | 92.10% | 99.00% | |||||||||||||||
Income Approach Valuation Technique [Member] | Private Label Commercial Mortgage-Backed Securities [Member] | Weighted Average [Member] | |||||||||||||||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||||||||||||||
Yield | 18.00% | 23.60% | |||||||||||||||
Fair Value Inputs Losses | 3.80% | 2.20% | |||||||||||||||
Fair Value Inputs Projected Collateral Recoveries | 12.40% | 10.70% | |||||||||||||||
Fair Value Inputs Projected Collateral Scheduled Amortization | 83.80% | 87.10% | |||||||||||||||
Total Outstanding Collateral | 100.00% | 100.00% | |||||||||||||||
Income Approach Valuation Technique [Member] | Agency Interest Only Residential Mortgage-Backed Securities [Member] | |||||||||||||||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||||||||||||||
Fair value | $ 3,252,000 | $ 6,300,000 | |||||||||||||||
Income Approach Valuation Technique [Member] | Agency Interest Only Residential Mortgage-Backed Securities [Member] | Minimum [Member] | |||||||||||||||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||||||||||||||
Projected Collateral Prepayments | 9.20% | 0.00% | |||||||||||||||
Fair Value Inputs Losses | 0.00% | 0.00% | |||||||||||||||
Fair Value Inputs Projected Collateral Scheduled Amortization | 0.00% | 0.00% | |||||||||||||||
LIBOR OAS | 4.17% | [1] | 1.42% | [2] | |||||||||||||
Income Approach Valuation Technique [Member] | Agency Interest Only Residential Mortgage-Backed Securities [Member] | Maximum [Member] | |||||||||||||||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||||||||||||||
Projected Collateral Prepayments | 100.00% | 100.00% | |||||||||||||||
Fair Value Inputs Losses | 7.70% | 15.70% | |||||||||||||||
Fair Value Inputs Projected Collateral Scheduled Amortization | 90.80% | 88.10% | |||||||||||||||
LIBOR OAS | 19.50% | [1] | 28.31% | [2] | |||||||||||||
Income Approach Valuation Technique [Member] | Agency Interest Only Residential Mortgage-Backed Securities [Member] | Weighted Average [Member] | |||||||||||||||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||||||||||||||
Projected Collateral Prepayments | 68.10% | 62.60% | |||||||||||||||
Fair Value Inputs Losses | 0.40% | 1.00% | |||||||||||||||
Fair Value Inputs Projected Collateral Scheduled Amortization | 31.50% | 36.40% | |||||||||||||||
Total Outstanding Collateral | 100.00% | 100.00% | |||||||||||||||
LIBOR OAS | 8.39% | [1] | 5.68% | [2] | |||||||||||||
Income Approach Valuation Technique [Member] | Corporate Debt [Member] | |||||||||||||||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||||||||||||||
Fair value | $ 6,170,000 | ||||||||||||||||
Income Approach Valuation Technique [Member] | Corporate Debt [Member] | Minimum [Member] | |||||||||||||||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||||||||||||||
Yield | 16.10% | ||||||||||||||||
Income Approach Valuation Technique [Member] | Corporate Debt [Member] | Maximum [Member] | |||||||||||||||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||||||||||||||
Yield | 16.10% | ||||||||||||||||
Income Approach Valuation Technique [Member] | Corporate Debt [Member] | Weighted Average [Member] | |||||||||||||||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||||||||||||||
Yield | 16.10% | ||||||||||||||||
Income Approach Valuation Technique [Member] | Consumer loans and asset-backed securities backed by consumer loans [Member] | |||||||||||||||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||||||||||||||
Fair value | $ 108,671,000 | $ 107,157,000 | [3] | ||||||||||||||
Income Approach Valuation Technique [Member] | Consumer loans and asset-backed securities backed by consumer loans [Member] | Minimum [Member] | |||||||||||||||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||||||||||||||
Yield | 9.00% | 9.00% | [3] | ||||||||||||||
Projected Collateral Prepayments | 0.00% | 0.00% | [3] | ||||||||||||||
Fair Value Inputs Losses | 0.00% | 3.30% | [3] | ||||||||||||||
Fair Value Inputs Projected Collateral Scheduled Amortization | 0.00% | 0.00% | [3] | ||||||||||||||
Income Approach Valuation Technique [Member] | Consumer loans and asset-backed securities backed by consumer loans [Member] | Maximum [Member] | |||||||||||||||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||||||||||||||
Yield | 16.00% | 25.00% | [3] | ||||||||||||||
Projected Collateral Prepayments | 50.30% | 45.40% | [3] | ||||||||||||||
Fair Value Inputs Losses | 97.70% | 97.40% | [3] | ||||||||||||||
Fair Value Inputs Projected Collateral Scheduled Amortization | 90.90% | 87.70% | [3] | ||||||||||||||
Income Approach Valuation Technique [Member] | Consumer loans and asset-backed securities backed by consumer loans [Member] | Weighted Average [Member] | |||||||||||||||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||||||||||||||
Yield | 10.30% | 11.00% | [3] | ||||||||||||||
Projected Collateral Prepayments | 36.10% | 25.60% | [3] | ||||||||||||||
Fair Value Inputs Losses | 8.10% | 9.40% | [3] | ||||||||||||||
Fair Value Inputs Projected Collateral Scheduled Amortization | 55.80% | 65.00% | [3] | ||||||||||||||
Total Outstanding Collateral | 100.00% | 100.00% | [3] | ||||||||||||||
Income Approach Valuation Technique [Member] | Performing Commercial Mortgage Loans [Member] | |||||||||||||||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||||||||||||||
Fair value | $ 59,289,000 | $ 32,557,000 | |||||||||||||||
Income Approach Valuation Technique [Member] | Performing Commercial Mortgage Loans [Member] | Minimum [Member] | |||||||||||||||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||||||||||||||
Yield | 8.00% | 8.00% | |||||||||||||||
Income Approach Valuation Technique [Member] | Performing Commercial Mortgage Loans [Member] | Maximum [Member] | |||||||||||||||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||||||||||||||
Yield | 15.40% | 17.20% | |||||||||||||||
Income Approach Valuation Technique [Member] | Performing Commercial Mortgage Loans [Member] | Weighted Average [Member] | |||||||||||||||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||||||||||||||
Yield | 10.90% | 11.60% | |||||||||||||||
Income Approach Valuation Technique [Member] | Performing Residential Mortgage Loans [Member] | |||||||||||||||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||||||||||||||
Fair value | $ 129,468,000 | $ 78,576,000 | |||||||||||||||
Income Approach Valuation Technique [Member] | Performing Residential Mortgage Loans [Member] | Minimum [Member] | |||||||||||||||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||||||||||||||
Yield | 0.40% | 5.00% | |||||||||||||||
Income Approach Valuation Technique [Member] | Performing Residential Mortgage Loans [Member] | Maximum [Member] | |||||||||||||||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||||||||||||||
Yield | 42.00% | 13.50% | |||||||||||||||
Income Approach Valuation Technique [Member] | Performing Residential Mortgage Loans [Member] | Weighted Average [Member] | |||||||||||||||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||||||||||||||
Yield | 5.80% | 6.60% | |||||||||||||||
Income Approach Valuation Technique [Member] | Non-performing Residential Mortgage Loans and Residential Real Estate Owned [Member] | |||||||||||||||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||||||||||||||
Fair value | $ 7,261,000 | $ 7,413,000 | |||||||||||||||
Income Approach Valuation Technique [Member] | Non-performing Residential Mortgage Loans and Residential Real Estate Owned [Member] | Minimum [Member] | |||||||||||||||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||||||||||||||
Yield | 2.60% | 5.80% | |||||||||||||||
Months to Resolution | 4 months 3 days | 1 month 24 days | |||||||||||||||
Income Approach Valuation Technique [Member] | Non-performing Residential Mortgage Loans and Residential Real Estate Owned [Member] | Maximum [Member] | |||||||||||||||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||||||||||||||
Yield | 40.70% | 39.90% | |||||||||||||||
Months to Resolution | 134 months 15 days | 162 months 27 days | |||||||||||||||
Income Approach Valuation Technique [Member] | Non-performing Residential Mortgage Loans and Residential Real Estate Owned [Member] | Weighted Average [Member] | |||||||||||||||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||||||||||||||
Yield | 11.20% | 9.70% | |||||||||||||||
Months to Resolution | 32 months 24 days | 41 months 27 days | |||||||||||||||
Income Approach Valuation Technique [Member] | Non-performing Commercial Mortgage Loans and Commercial Real Estate Owned [Member] | |||||||||||||||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||||||||||||||
Fair value | $ 30,952,000 | $ 30,222,000 | |||||||||||||||
Income Approach Valuation Technique [Member] | Non-performing Commercial Mortgage Loans and Commercial Real Estate Owned [Member] | Minimum [Member] | |||||||||||||||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||||||||||||||
Yield | 10.20% | 10.20% | |||||||||||||||
Months to Resolution | 6 months | 3 months | |||||||||||||||
Income Approach Valuation Technique [Member] | Non-performing Commercial Mortgage Loans and Commercial Real Estate Owned [Member] | Maximum [Member] | |||||||||||||||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||||||||||||||
Yield | 25.70% | 27.80% | |||||||||||||||
Months to Resolution | 15 months | 39 months 3 days | |||||||||||||||
Income Approach Valuation Technique [Member] | Non-performing Commercial Mortgage Loans and Commercial Real Estate Owned [Member] | Weighted Average [Member] | |||||||||||||||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||||||||||||||
Yield | 12.60% | 16.30% | |||||||||||||||
Months to Resolution | 10 months | 19 months 15 days | |||||||||||||||
Credit Default Swaps On Asset Backed Securities [Member] | Income Approach Valuation Technique [Member] | |||||||||||||||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||||||||||||||
Fair value | $ 4,900,000 | $ 5,070,000 | |||||||||||||||
Credit Default Swaps On Asset Backed Securities [Member] | Income Approach Valuation Technique [Member] | Minimum [Member] | |||||||||||||||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||||||||||||||
Projected Collateral Prepayments | 19.90% | 19.30% | |||||||||||||||
Fair Value Inputs Losses | 13.00% | 15.30% | |||||||||||||||
Fair Value Inputs Projected Collateral Recoveries | 5.30% | 4.70% | |||||||||||||||
Fair Value Inputs Projected Collateral Scheduled Amortization | 44.80% | 43.20% | |||||||||||||||
Credit Default Swaps On Asset Backed Securities [Member] | Income Approach Valuation Technique [Member] | Maximum [Member] | |||||||||||||||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||||||||||||||
Projected Collateral Prepayments | 27.00% | 29.80% | |||||||||||||||
Fair Value Inputs Losses | 25.70% | 27.60% | |||||||||||||||
Fair Value Inputs Projected Collateral Recoveries | 14.40% | 15.30% | |||||||||||||||
Fair Value Inputs Projected Collateral Scheduled Amortization | 54.30% | 50.20% | |||||||||||||||
Credit Default Swaps On Asset Backed Securities [Member] | Income Approach Valuation Technique [Member] | Weighted Average [Member] | |||||||||||||||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||||||||||||||
Projected Collateral Prepayments | 22.60% | 22.70% | |||||||||||||||
Fair Value Inputs Losses | 22.00% | 22.20% | |||||||||||||||
Fair Value Inputs Projected Collateral Recoveries | 9.20% | 8.70% | |||||||||||||||
Fair Value Inputs Projected Collateral Scheduled Amortization | 46.20% | 46.40% | |||||||||||||||
Total Outstanding Collateral | 100.00% | 100.00% | |||||||||||||||
Total Return Swaps [Member] | Market Approach Valuation Technique [Member] | |||||||||||||||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||||||||||||||
Financial and Nonfinancial Liabilities, Fair Value Disclosure | $ (94,000) | ||||||||||||||||
Total Return Swaps [Member] | Market Approach Valuation Technique [Member] | Minimum [Member] | |||||||||||||||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||||||||||||||
Non Binding Third-Party Valuation | [4] | 98.25 | |||||||||||||||
Total Return Swaps [Member] | Market Approach Valuation Technique [Member] | Maximum [Member] | |||||||||||||||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||||||||||||||
Non Binding Third-Party Valuation | [4] | 99.50 | |||||||||||||||
Total Return Swaps [Member] | Market Approach Valuation Technique [Member] | Weighted Average [Member] | |||||||||||||||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||||||||||||||
Non Binding Third-Party Valuation | [4] | 98.77 | |||||||||||||||
Corporate Equity Investments [Member] | Non-exchange traded equity investments in commercial mortgage-related private partnerships [Member] | Income Approach Valuation Technique [Member] | |||||||||||||||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||||||||||||||
Fair value | $ 3,090,000 | ||||||||||||||||
Corporate Equity Investments [Member] | Non-exchange traded equity investments in commercial mortgage-related private partnerships [Member] | Income Approach Valuation Technique [Member] | Minimum [Member] | |||||||||||||||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||||||||||||||
Yield | 16.50% | ||||||||||||||||
Fair Value Assumptions, Expected Term | 2 months 27 days | ||||||||||||||||
Corporate Equity Investments [Member] | Non-exchange traded equity investments in commercial mortgage-related private partnerships [Member] | Income Approach Valuation Technique [Member] | Maximum [Member] | |||||||||||||||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||||||||||||||
Yield | 16.50% | ||||||||||||||||
Fair Value Assumptions, Expected Term | 2 months 27 days | ||||||||||||||||
Corporate Equity Investments [Member] | Non-exchange traded equity investments in commercial mortgage-related private partnerships [Member] | Income Approach Valuation Technique [Member] | Weighted Average [Member] | |||||||||||||||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||||||||||||||
Yield | 16.50% | ||||||||||||||||
Fair Value Assumptions, Expected Term | 2 months 27 days | ||||||||||||||||
Corporate Equity Investments [Member] | Non-Exchange Traded Preferred and Common Equity Investment in Mortgage-Related Entities [Member] | Enterprise Value [Member] | |||||||||||||||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||||||||||||||
Fair value | $ 2,500,000 | $ 2,500,000 | |||||||||||||||
Corporate Equity Investments [Member] | Non-Exchange Traded Preferred and Common Equity Investment in Mortgage-Related Entities [Member] | Enterprise Value [Member] | Minimum [Member] | |||||||||||||||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||||||||||||||
Equity Multiple | 1.3 | [5] | 1.3 | [6] | |||||||||||||
Corporate Equity Investments [Member] | Non-Exchange Traded Preferred and Common Equity Investment in Mortgage-Related Entities [Member] | Enterprise Value [Member] | Maximum [Member] | |||||||||||||||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||||||||||||||
Equity Multiple | 1.3 | [5] | 1.3 | [6] | |||||||||||||
Corporate Equity Investments [Member] | Non-Exchange Traded Preferred and Common Equity Investment in Mortgage-Related Entities [Member] | Enterprise Value [Member] | Weighted Average [Member] | |||||||||||||||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||||||||||||||
Equity Multiple | 1.3 | [5] | 1.3 | [6] | |||||||||||||
Corporate Equity Investments [Member] | Non-Exchange Traded Preferred Equity and Debt Investment in Mortgage-Related Entities [Member] | Cash Flows [Member] | |||||||||||||||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||||||||||||||
Fair value | $ 22,500,000 | ||||||||||||||||
Corporate Equity Investments [Member] | Non-Controlling Equity Interest in Limited Liability Company [Member] | Income Approach Valuation Technique [Member] | |||||||||||||||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||||||||||||||
Fair value | $ 5,966,000 | $ 7,315,000 | [3] | ||||||||||||||
Corporate Equity Investments [Member] | Non-Controlling Equity Interest in Limited Liability Company [Member] | Income Approach Valuation Technique [Member] | Minimum [Member] | |||||||||||||||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||||||||||||||
Yield | 9.10% | 8.50% | [3] | ||||||||||||||
Corporate Equity Investments [Member] | Non-Controlling Equity Interest in Limited Liability Company [Member] | Income Approach Valuation Technique [Member] | Maximum [Member] | |||||||||||||||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||||||||||||||
Yield | 9.10% | 8.50% | [3] | ||||||||||||||
Corporate Equity Investments [Member] | Non-Controlling Equity Interest in Limited Liability Company [Member] | Income Approach Valuation Technique [Member] | Weighted Average [Member] | |||||||||||||||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||||||||||||||
Yield | 9.10% | 8.50% | [3] | ||||||||||||||
Corporate Equity Investments [Member] | Non-Controlling Equity Interest in Limited Liability Company [Member] | Cash Flows [Member] | |||||||||||||||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||||||||||||||
Fair value | $ 5,591,000 | ||||||||||||||||
Corporate Equity Investments [Member] | Non-Exchange Traded Preferred Equity Investment in Mortgage-Related Entities [Member] | Cash Flows [Member] | |||||||||||||||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||||||||||||||
Fair value | $ 12,500,000 | ||||||||||||||||
|
Valuation (Fair Value Measurement Using Significant Unobservable Inputs) (Details) - Level 3 [Member] - USD ($) $ in Thousands |
3 Months Ended | 6 Months Ended | ||||||||
---|---|---|---|---|---|---|---|---|---|---|
Jun. 30, 2017 |
Jun. 30, 2016 |
Jun. 30, 2017 |
Jun. 30, 2016 |
|||||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||||||||
Assets, Beginning Balance | $ 629,362 | $ 519,647 | $ 523,837 | $ 493,541 | ||||||
Assets, Accreted Discounts/Amortized Premiums | (9,785) | (4,295) | (13,979) | (8,533) | ||||||
Assets, Realized Gain (Loss) | 2,115 | 6,250 | 2,858 | 4,578 | ||||||
Assets, Change In Net Unrealized Gain/(Loss) | 5,455 | (3,188) | 15,656 | (9,151) | ||||||
Assets, Purchases | 156,110 | 106,972 | 353,763 | 221,133 | ||||||
Assets, Sales | (169,558) | (110,295) | (275,956) | (184,698) | ||||||
Assets, Transfers into Level 3 | 16,089 | 12,823 | 11,348 | 11,261 | ||||||
Assets, Transfers out of Level 3 | (92,443) | (8,790) | (80,182) | (9,007) | ||||||
Assets, Ending Balance | 537,345 | 519,124 | 537,345 | 519,124 | ||||||
Liabilities, Begining Balance | (4,540) | (6,159) | ||||||||
Liabilities, Accreted Discounts/Amortized Premiums | (9) | (8) | ||||||||
Liabilities, Realized Gain/(Loss) | (2,007) | (3,913) | ||||||||
Liabilities, Change In Net Unrealized Gain/(Loss) | (323) | 3,628 | ||||||||
Liabilities Purchases/Payments | 12,716 | 15,941 | ||||||||
Liabilities, Sales/Issuance | (17,346) | (20,998) | ||||||||
Liabilities, Transfers into Level 3 | 0 | 0 | ||||||||
Liabilities, Transfers out of Level 3 | 0 | 0 | ||||||||
Liabilities, Ending Balance | (11,509) | (11,509) | ||||||||
Guarantees [Member] | ||||||||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||||||||
Liabilities, Begining Balance | (616) | (828) | ||||||||
Liabilities, Accreted Discounts/Amortized Premiums | 0 | 0 | ||||||||
Liabilities, Realized Gain/(Loss) | 0 | 0 | ||||||||
Liabilities, Change In Net Unrealized Gain/(Loss) | 304 | 516 | ||||||||
Liabilities, Payments | 0 | 0 | ||||||||
Liabilities, Issuances | 0 | 0 | ||||||||
Liabilities, Transfers into Level 3 | 0 | 0 | ||||||||
Liabilities, Transfers out of Level 3 | 0 | 0 | ||||||||
Liabilities, Ending Balance | (312) | (312) | ||||||||
Unrealized Gain Loss On Guarantees Level 3 Held At End Of Period | 300 | 500 | ||||||||
Investments [Member] | ||||||||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||||||||
Assets, Beginning Balance | 623,534 | 512,246 | 518,250 | 486,974 | ||||||
Assets, Accreted Discounts/Amortized Premiums | (9,785) | (4,295) | (13,979) | (8,533) | ||||||
Assets, Realized Gain (Loss) | 1,719 | 2,465 | 2,368 | 4,267 | ||||||
Assets, Change In Net Unrealized Gain/(Loss) | 6,176 | (2,789) | 16,035 | (9,635) | ||||||
Assets, Purchases | 156,100 | 110,142 | 353,695 | 220,698 | ||||||
Assets, Sales | (169,152) | (109,670) | (275,297) | (183,893) | ||||||
Assets, Transfers into Level 3 | 16,089 | 12,823 | 11,348 | 11,261 | ||||||
Assets, Transfers out of Level 3 | (92,443) | (8,790) | (80,182) | (9,007) | ||||||
Assets, Ending Balance | 532,238 | 512,132 | 532,238 | 512,132 | ||||||
Fair Value, Assets Measured on Recurring Basis, Change in Unrealized Gain (Loss) | 5,100 | (2,200) | 9,000 | (10,900) | ||||||
Investments [Member] | Agency residential mortgage-backed securities [Member] | ||||||||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||||||||
Assets, Beginning Balance | 29,425 | 22,306 | 29,622 | 24,918 | ||||||
Assets, Accreted Discounts/Amortized Premiums | (2,320) | (1,888) | (4,913) | (3,945) | ||||||
Assets, Realized Gain (Loss) | (402) | (82) | (437) | (90) | ||||||
Assets, Change In Net Unrealized Gain/(Loss) | (163) | (133) | 65 | (679) | ||||||
Assets, Purchases | (417) | 303 | 1,785 | 302 | ||||||
Assets, Sales | (126) | 0 | (125) | 0 | ||||||
Assets, Transfers into Level 3 | 0 | 0 | 0 | 0 | ||||||
Assets, Transfers out of Level 3 | (21,101) | 0 | (21,101) | 0 | ||||||
Assets, Ending Balance | 4,896 | 20,506 | 4,896 | 20,506 | ||||||
Investments [Member] | Private Label Residential Mortgage-Backed Securities [Member] | ||||||||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||||||||
Assets, Beginning Balance | 80,332 | 113,382 | 90,083 | 116,435 | ||||||
Assets, Accreted Discounts/Amortized Premiums | (476) | 1,109 | 1,036 | 1,517 | ||||||
Assets, Realized Gain (Loss) | 1,137 | (290) | 434 | (283) | ||||||
Assets, Change In Net Unrealized Gain/(Loss) | 3,327 | (1,310) | 6,034 | (2,370) | ||||||
Assets, Purchases | 27,972 | 1,687 | 26,800 | 7,419 | ||||||
Assets, Sales | (9,733) | (6,100) | (29,349) | (12,461) | ||||||
Assets, Transfers into Level 3 | 16,089 | 12,823 | 11,348 | 11,261 | ||||||
Assets, Transfers out of Level 3 | (39,525) | (8,790) | (27,263) | (9,007) | ||||||
Assets, Ending Balance | 79,123 | 112,511 | 79,123 | 112,511 | ||||||
Investments [Member] | Private Label Commercial Mortgage-Backed Securities [Member] | ||||||||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||||||||
Assets, Beginning Balance | 41,300 | 35,350 | 43,268 | 34,145 | ||||||
Assets, Accreted Discounts/Amortized Premiums | 276 | 431 | 632 | 886 | ||||||
Assets, Realized Gain (Loss) | (3,338) | 0 | (2,996) | 322 | ||||||
Assets, Change In Net Unrealized Gain/(Loss) | 4,991 | (839) | 6,402 | (3,840) | ||||||
Assets, Purchases | 20 | 0 | 20 | 7,844 | ||||||
Assets, Sales | (16,734) | 0 | (20,811) | (4,415) | ||||||
Assets, Transfers into Level 3 | 0 | 0 | 0 | 0 | ||||||
Assets, Transfers out of Level 3 | (12,706) | 0 | (12,706) | 0 | ||||||
Assets, Ending Balance | 13,809 | 34,942 | 13,809 | 34,942 | ||||||
Investments [Member] | Commercial Mortgage Loans [Member] | ||||||||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||||||||
Assets, Beginning Balance | 62,508 | 56,365 | 61,129 | 66,399 | ||||||
Assets, Accreted Discounts/Amortized Premiums | 101 | 727 | 631 | 1,272 | ||||||
Assets, Realized Gain (Loss) | 79 | (1) | 416 | 182 | ||||||
Assets, Change In Net Unrealized Gain/(Loss) | (56) | (671) | 1,150 | 223 | ||||||
Assets, Purchases | 4,500 | 0 | 27,545 | 13,424 | ||||||
Assets, Sales | (1,236) | (6,954) | (24,975) | (32,034) | ||||||
Assets, Transfers into Level 3 | 0 | 0 | 0 | 0 | ||||||
Assets, Transfers out of Level 3 | 0 | 0 | 0 | 0 | ||||||
Assets, Ending Balance | 65,896 | 49,466 | 65,896 | 49,466 | ||||||
Investments [Member] | Residential Mortgage Loans [Member] | ||||||||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||||||||
Assets, Beginning Balance | 112,650 | 35,580 | 84,290 | 22,089 | ||||||
Assets, Accreted Discounts/Amortized Premiums | 537 | 141 | 678 | 248 | ||||||
Assets, Realized Gain (Loss) | 1,133 | 757 | 1,081 | 865 | ||||||
Assets, Change In Net Unrealized Gain/(Loss) | (481) | (147) | (77) | 127 | ||||||
Assets, Purchases | 37,048 | 17,101 | 71,186 | 32,066 | ||||||
Assets, Sales | (14,790) | (6,783) | (21,061) | (8,746) | ||||||
Assets, Transfers into Level 3 | 0 | 0 | 0 | 0 | ||||||
Assets, Transfers out of Level 3 | 0 | 0 | 0 | 0 | ||||||
Assets, Ending Balance | 136,097 | 46,649 | 136,097 | 46,649 | ||||||
Investments [Member] | Collateralized Loan Obligations [Member] | ||||||||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||||||||
Assets, Beginning Balance | 70,561 | 34,415 | 44,956 | 45,974 | ||||||
Assets, Accreted Discounts/Amortized Premiums | (4,849) | (1,942) | (6,032) | (2,869) | ||||||
Assets, Realized Gain (Loss) | 532 | (279) | 1,453 | 801 | ||||||
Assets, Change In Net Unrealized Gain/(Loss) | 479 | 145 | 3,011 | 417 | ||||||
Assets, Purchases | 18,157 | 1,178 | 56,869 | 1,178 | ||||||
Assets, Sales | (23,233) | (408) | (38,609) | (12,392) | ||||||
Assets, Transfers into Level 3 | 0 | 0 | 0 | 0 | ||||||
Assets, Transfers out of Level 3 | (19,111) | 0 | (19,112) | 0 | ||||||
Assets, Ending Balance | 42,536 | 33,109 | 42,536 | 33,109 | ||||||
Investments [Member] | Consumer loans and asset-backed securities backed by consumer loans [Member] | ||||||||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||||||||
Assets, Beginning Balance | 107,842 | [1] | 143,854 | 107,157 | [2] | 115,376 | ||||
Assets, Accreted Discounts/Amortized Premiums | (3,208) | [1] | (2,713) | (6,264) | [2] | (5,596) | ||||
Assets, Realized Gain (Loss) | 478 | [1] | 6 | (74) | [2] | 6 | ||||
Assets, Change In Net Unrealized Gain/(Loss) | (555) | [1] | (655) | 281 | [2] | (549) | ||||
Assets, Purchases | 25,594 | [1] | 37,046 | 50,012 | [2] | 88,956 | ||||
Assets, Sales | (21,480) | [1] | (23,143) | (42,441) | [2] | (43,798) | ||||
Assets, Transfers into Level 3 | 0 | [1] | 0 | 0 | [2] | 0 | ||||
Assets, Transfers out of Level 3 | 0 | [1] | 0 | 0 | [2] | 0 | ||||
Assets, Ending Balance | 108,671 | [1],[2] | 154,395 | 108,671 | [1],[2] | 154,395 | ||||
Investments [Member] | Corporate Debt [Member] | ||||||||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||||||||
Assets, Beginning Balance | 59,609 | 24,552 | 25,004 | 27,028 | ||||||
Assets, Accreted Discounts/Amortized Premiums | 154 | (160) | 253 | (46) | ||||||
Assets, Realized Gain (Loss) | 216 | 275 | 548 | 255 | ||||||
Assets, Change In Net Unrealized Gain/(Loss) | 29 | 1,874 | 187 | (2,102) | ||||||
Assets, Purchases | 36,397 | 49,353 | 83,492 | 52,320 | ||||||
Assets, Sales | (75,870) | (38,920) | (88,949) | (40,481) | ||||||
Assets, Transfers into Level 3 | 0 | 0 | 0 | 0 | ||||||
Assets, Transfers out of Level 3 | 0 | 0 | 0 | 0 | ||||||
Assets, Ending Balance | 20,535 | 36,974 | 20,535 | 36,974 | ||||||
Investments [Member] | Real Estate Owned [Member] | ||||||||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||||||||
Assets, Beginning Balance | 25,390 | 21,843 | 3,349 | 12,522 | ||||||
Assets, Accreted Discounts/Amortized Premiums | 0 | 0 | 0 | 0 | ||||||
Assets, Realized Gain (Loss) | 365 | 1,978 | 424 | 2,238 | ||||||
Assets, Change In Net Unrealized Gain/(Loss) | (401) | (1,750) | (295) | (331) | ||||||
Assets, Purchases | 54 | 884 | 24,211 | 10,672 | ||||||
Assets, Sales | (431) | (18,793) | (2,712) | (20,939) | ||||||
Assets, Transfers into Level 3 | 0 | 0 | 0 | 0 | ||||||
Assets, Transfers out of Level 3 | 0 | 0 | 0 | 0 | ||||||
Assets, Ending Balance | 24,977 | 4,162 | 24,977 | 4,162 | ||||||
Investments [Member] | Corporate Equity Investments [Member] | ||||||||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||||||||
Assets, Beginning Balance | 33,917 | [1] | 24,599 | 29,392 | [2] | 22,088 | ||||
Assets, Accreted Discounts/Amortized Premiums | 0 | [1] | 0 | 0 | [2] | 0 | ||||
Assets, Realized Gain (Loss) | 1,519 | [1] | 101 | 1,519 | [2] | (29) | ||||
Assets, Change In Net Unrealized Gain/(Loss) | (994) | [1] | 697 | (723) | [2] | (531) | ||||
Assets, Purchases | 6,775 | [1] | 2,590 | 11,775 | [2] | 6,517 | ||||
Assets, Sales | (5,519) | [1] | (8,569) | (6,265) | [2] | (8,627) | ||||
Assets, Transfers into Level 3 | 0 | [1] | 0 | 0 | [2] | 0 | ||||
Assets, Transfers out of Level 3 | 0 | [1] | 0 | 0 | [2] | 0 | ||||
Assets, Ending Balance | 35,698 | [1],[2] | 19,418 | 35,698 | [1],[2] | 19,418 | ||||
Investments Sold Short [Member] | ||||||||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||||||||
Liabilities, Begining Balance | (3,029) | (448) | ||||||||
Liabilities, Accreted Discounts/Amortized Premiums | (9) | (8) | ||||||||
Liabilities, Realized Gain/(Loss) | 171 | 531 | ||||||||
Liabilities, Change In Net Unrealized Gain/(Loss) | (309) | (558) | ||||||||
Liabilities, Purchases | 10,368 | 11,255 | ||||||||
Liabilities, Sales | (17,139) | (20,719) | ||||||||
Liabilities, Transfers into Level 3 | 0 | 0 | ||||||||
Liabilities, Transfers out of Level 3 | 0 | 0 | ||||||||
Liabilities, Ending Balance | (9,947) | (9,947) | ||||||||
Unrealized Gain (Loss) On Investments Sold Short, Level 3, Held At End Of Period | (30) | (40) | ||||||||
Investments Sold Short [Member] | Corporate Debt Sold Short [Member] | ||||||||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||||||||
Liabilities, Begining Balance | (3,029) | (448) | ||||||||
Liabilities, Accreted Discounts/Amortized Premiums | (9) | (8) | ||||||||
Liabilities, Realized Gain/(Loss) | 171 | 531 | ||||||||
Liabilities, Change In Net Unrealized Gain/(Loss) | (309) | (558) | ||||||||
Liabilities, Purchases | 10,368 | 11,255 | ||||||||
Liabilities, Sales | (17,139) | (20,719) | ||||||||
Liabilities, Transfers into Level 3 | 0 | 0 | ||||||||
Liabilities, Transfers out of Level 3 | 0 | 0 | ||||||||
Liabilities, Ending Balance | (9,947) | (9,947) | ||||||||
Financial Derivatives - Assets [Member] | ||||||||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||||||||
Assets, Beginning Balance | 5,828 | 7,401 | 5,587 | 6,567 | ||||||
Assets, Accreted Discounts/Amortized Premiums | 0 | 0 | 0 | 0 | ||||||
Assets, Realized Gain (Loss) | 396 | 3,785 | 490 | 311 | ||||||
Assets, Change In Net Unrealized Gain/(Loss) | (721) | (399) | (379) | 484 | ||||||
Assets, Purchases | 10 | (3,170) | 68 | 435 | ||||||
Assets, Sales | (406) | (625) | (659) | (805) | ||||||
Assets, Transfers into Level 3 | 0 | 0 | 0 | 0 | ||||||
Assets, Transfers out of Level 3 | 0 | 0 | 0 | 0 | ||||||
Assets, Ending Balance | 5,107 | 6,992 | 5,107 | 6,992 | ||||||
Fair Value, Assets Measured on Recurring Basis, Change in Unrealized Gain (Loss) | (700) | 300 | (200) | 900 | ||||||
Financial Derivatives - Assets [Member] | Total Return Swaps [Member] | ||||||||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||||||||
Assets, Beginning Balance | 0 | 1,074 | 155 | 85 | ||||||
Assets, Accreted Discounts/Amortized Premiums | 0 | 0 | 0 | 0 | ||||||
Assets, Realized Gain (Loss) | 65 | 3,412 | 222 | (103) | ||||||
Assets, Change In Net Unrealized Gain/(Loss) | 0 | (250) | (155) | 739 | ||||||
Assets, Purchases | 0 | (3,146) | 0 | 423 | ||||||
Assets, Sales | (65) | (266) | (222) | (320) | ||||||
Assets, Transfers into Level 3 | 0 | 0 | 0 | 0 | ||||||
Assets, Transfers out of Level 3 | 0 | 0 | 0 | 0 | ||||||
Assets, Ending Balance | 0 | 824 | 0 | 824 | ||||||
Financial Derivatives - Assets [Member] | Warrant [Member] | ||||||||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||||||||
Assets, Beginning Balance | 100 | 106 | 150 | |||||||
Assets, Accreted Discounts/Amortized Premiums | 0 | 0 | 0 | |||||||
Assets, Realized Gain (Loss) | 0 | (100) | (50) | |||||||
Assets, Change In Net Unrealized Gain/(Loss) | 0 | (6) | 0 | |||||||
Assets, Purchases | 0 | 0 | 0 | |||||||
Assets, Sales | 0 | 0 | 0 | |||||||
Assets, Transfers into Level 3 | 0 | 0 | 0 | |||||||
Assets, Transfers out of Level 3 | 0 | 0 | 0 | |||||||
Assets, Ending Balance | 0 | 100 | 0 | 100 | ||||||
Financial Derivatives - Assets [Member] | Credit Default Swaps On Asset Backed Securities [Member] | ||||||||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||||||||
Assets, Beginning Balance | 5,828 | 6,227 | 5,326 | 6,332 | ||||||
Assets, Accreted Discounts/Amortized Premiums | 0 | 0 | 0 | 0 | ||||||
Assets, Realized Gain (Loss) | 331 | 373 | 368 | 464 | ||||||
Assets, Change In Net Unrealized Gain/(Loss) | (721) | (149) | (218) | (255) | ||||||
Assets, Purchases | 10 | (24) | 68 | 12 | ||||||
Assets, Sales | (341) | (359) | (437) | (485) | ||||||
Assets, Transfers into Level 3 | 0 | 0 | 0 | 0 | ||||||
Assets, Transfers out of Level 3 | 0 | 0 | 0 | 0 | ||||||
Assets, Ending Balance | 5,107 | 6,068 | 5,107 | 6,068 | ||||||
Financial Derivatives - Liabilities [Member] | ||||||||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||||||||
Liabilities, Begining Balance | (218) | (895) | (505) | (4,883) | ||||||
Liabilities, Accreted Discounts/Amortized Premiums | 0 | 0 | 0 | 0 | ||||||
Liabilities, Realized Gain/(Loss) | (104) | (2,178) | (757) | (4,444) | ||||||
Liabilities, Change In Net Unrealized Gain/(Loss) | 12 | (318) | 727 | 3,670 | ||||||
Liabilities, Purchases | 467 | 2,348 | 769 | 4,686 | ||||||
Liabilities, Sales | (364) | (207) | (441) | (279) | ||||||
Liabilities, Transfers into Level 3 | 0 | 0 | 0 | 0 | ||||||
Liabilities, Transfers out of Level 3 | 0 | 0 | 0 | 0 | ||||||
Liabilities, Ending Balance | (207) | (1,250) | (207) | (1,250) | ||||||
Fair Value, Liabilities Measured on Recurring Basis, Change in Unrealized Gain (Loss) | 10 | (600) | 50 | (100) | ||||||
Financial Derivatives - Liabilities [Member] | Total Return Swaps [Member] | ||||||||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||||||||
Liabilities, Begining Balance | 0 | (675) | (249) | (4,662) | ||||||
Liabilities, Accreted Discounts/Amortized Premiums | 0 | 0 | 0 | 0 | ||||||
Liabilities, Realized Gain/(Loss) | (85) | (2,115) | (292) | (4,365) | ||||||
Liabilities, Change In Net Unrealized Gain/(Loss) | 0 | (342) | 250 | 3,646 | ||||||
Liabilities, Purchases | 21 | 2,348 | 304 | 4,686 | ||||||
Liabilities, Sales | 64 | (232) | (13) | (321) | ||||||
Liabilities, Transfers into Level 3 | 0 | 0 | 0 | 0 | ||||||
Liabilities, Transfers out of Level 3 | 0 | 0 | 0 | 0 | ||||||
Liabilities, Ending Balance | 0 | (1,016) | 0 | (1,016) | ||||||
Financial Derivatives - Liabilities [Member] | Credit Default Swaps On Asset Backed Securities [Member] | ||||||||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||||||||
Liabilities, Begining Balance | (218) | (220) | (256) | (221) | ||||||
Liabilities, Accreted Discounts/Amortized Premiums | 0 | 0 | 0 | 0 | ||||||
Liabilities, Realized Gain/(Loss) | (19) | (63) | (465) | (79) | ||||||
Liabilities, Change In Net Unrealized Gain/(Loss) | 12 | 24 | 477 | 24 | ||||||
Liabilities, Purchases | 446 | 0 | 465 | 0 | ||||||
Liabilities, Sales | (428) | 25 | (428) | 42 | ||||||
Liabilities, Transfers into Level 3 | 0 | 0 | 0 | 0 | ||||||
Liabilities, Transfers out of Level 3 | 0 | 0 | 0 | 0 | ||||||
Liabilities, Ending Balance | $ (207) | $ (234) | $ (207) | $ (234) | ||||||
|
To Be Announced RMBS (Details) - USD ($) $ in Thousands |
Jun. 30, 2017 |
Dec. 31, 2016 |
||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
To Be Announced Securities [Line Items] | ||||||||||||||||||||
Fair Value | $ 1,794,129 | $ 1,505,026 | ||||||||||||||||||
Financial Instruments Sold, Not yet Purchased, at Fair Value | (687,234) | (584,896) | ||||||||||||||||||
Payable for securities purchased | (224,529) | (85,168) | ||||||||||||||||||
To Be Announced Fixed Rate Agency Securities [Member] | ||||||||||||||||||||
To Be Announced Securities [Line Items] | ||||||||||||||||||||
Fair Value | 179,874 | [1],[2],[3] | 70,525 | [4],[5],[6] | ||||||||||||||||
Investment Owned, Balance, Principal Amount | 172,950 | 67,720 | ||||||||||||||||||
Receivable for securities sold | 451,667 | 406,708 | ||||||||||||||||||
TBA - Fixed Rate Agency Securities Sold Short [Member] | ||||||||||||||||||||
To Be Announced Securities [Line Items] | ||||||||||||||||||||
Financial Instruments Sold, Not yet Purchased, at Fair Value | (450,055) | [2],[7] | (404,728) | [5],[8] | ||||||||||||||||
Investment Sold, Not yet Purchased, Balance, Principal Amount | (428,424) | (384,155) | ||||||||||||||||||
Payable for securities purchased | (180,362) | (70,347) | ||||||||||||||||||
Investment Owned At Fair Value, Net | $ (270,181) | $ (334,203) | ||||||||||||||||||
|
Financial Derivatives (Schedule Of Gains And Losses On Derivative Contracts) (Details) - USD ($) $ in Thousands |
3 Months Ended | 6 Months Ended | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Jun. 30, 2017 |
Jun. 30, 2016 |
Jun. 30, 2017 |
Jun. 30, 2016 |
||||||||||||||
Derivative [Line Items] | |||||||||||||||||
Foreign currency transactions | $ 531 | $ (354) | $ 1,509 | $ 66 | |||||||||||||
Net Realized Gain/Loss on Financial Derivatives | (6,588) | [1] | (3,355) | [2] | (8,975) | [1] | (13,714) | [2] | |||||||||
Unrealized Gain (Loss) on Financial Derivatives | (3,903) | [3] | (2,805) | [4] | (4,766) | [3] | (23,113) | [4] | |||||||||
Foreign currency translation | 3,340 | (2,301) | 3,195 | 918 | |||||||||||||
Derivative [Member] | |||||||||||||||||
Derivative [Line Items] | |||||||||||||||||
Foreign currency transactions | (19) | (150) | (3) | (532) | |||||||||||||
Foreign currency translation | (90) | (122) | (126) | 1,000 | |||||||||||||
Credit Default Swaps On Asset Backed Securities [Member] | Credit Risk [Member] | |||||||||||||||||
Derivative [Line Items] | |||||||||||||||||
Net Realized Gain/Loss on Financial Derivatives | 312 | [1] | 310 | [2] | (97) | [1] | 385 | [2] | |||||||||
Unrealized Gain (Loss) on Financial Derivatives | (709) | [3] | (125) | [4] | 259 | [3] | (231) | [4] | |||||||||
Credit Default Swaps On Asset Backed Indices [Member] | Credit Risk [Member] | |||||||||||||||||
Derivative [Line Items] | |||||||||||||||||
Net Realized Gain/Loss on Financial Derivatives | (1,283) | [1] | 222 | [2] | (2,456) | [1] | 2,808 | [2] | |||||||||
Unrealized Gain (Loss) on Financial Derivatives | (488) | [3] | 2,685 | [4] | (2,610) | [3] | 1,755 | [4] | |||||||||
Credit Default Swaps On Corporate Bond Indices [Member] | Credit Risk [Member] | |||||||||||||||||
Derivative [Line Items] | |||||||||||||||||
Net Realized Gain/Loss on Financial Derivatives | (886) | [1] | (5,911) | [2] | (1,172) | [1] | (13,010) | [2] | |||||||||
Unrealized Gain (Loss) on Financial Derivatives | 45 | [3] | (7,434) | [4] | 18 | [3] | (17,831) | [4] | |||||||||
Credit Default Swaps On Corporate Bonds [Member] | Credit Risk [Member] | |||||||||||||||||
Derivative [Line Items] | |||||||||||||||||
Net Realized Gain/Loss on Financial Derivatives | (548) | [1] | 154 | [2] | 458 | [1] | 126 | [2] | |||||||||
Unrealized Gain (Loss) on Financial Derivatives | (666) | [3] | (62) | [4] | (995) | [3] | 61 | [4] | |||||||||
Total Return Swaps [Member] | Equity Market/Credit Risk [Member] | |||||||||||||||||
Derivative [Line Items] | |||||||||||||||||
Net Realized Gain/Loss on Financial Derivatives | (603) | [1] | (1,248) | [2] | (1,356) | [1] | (6,914) | [2] | |||||||||
Unrealized Gain (Loss) on Financial Derivatives | 10 | [3] | (465) | [4] | 148 | [3] | 4,382 | [4] | |||||||||
Interest Rate Swaps [Member] | Interest Rate Risk [Member] | |||||||||||||||||
Derivative [Line Items] | |||||||||||||||||
Net Realized Gain/Loss on Financial Derivatives | (834) | [1] | 2,434 | [2] | (580) | [1] | (1,349) | [2] | |||||||||
Unrealized Gain (Loss) on Financial Derivatives | (960) | [3] | (6,273) | [4] | (801) | [3] | (12,217) | [4] | |||||||||
Futures [Member] | Interest Rate Risk [Member] | |||||||||||||||||
Derivative [Line Items] | |||||||||||||||||
Net Realized Gain/Loss on Financial Derivatives | [1] | (145) | (178) | ||||||||||||||
Unrealized Gain (Loss) on Financial Derivatives | [3] | 53 | 37 | ||||||||||||||
Futures [Member] | Interest Rates/Equity Market Risk [Member] | |||||||||||||||||
Derivative [Line Items] | |||||||||||||||||
Net Realized Gain/Loss on Financial Derivatives | [2] | (201) | (736) | ||||||||||||||
Unrealized Gain (Loss) on Financial Derivatives | [4] | 20 | 146 | ||||||||||||||
Forwards [Member] | Currency risk [Member] | |||||||||||||||||
Derivative [Line Items] | |||||||||||||||||
Net Realized Gain/Loss on Financial Derivatives | (2,523) | [1] | (972) | [2] | (3,345) | [1] | (1,305) | [2] | |||||||||
Unrealized Gain (Loss) on Financial Derivatives | (1,194) | [3] | 3,500 | [4] | (864) | [3] | 454 | [4] | |||||||||
Mortgage Loan Purchase Commitments [Member] | Interest Rate Risk [Member] | |||||||||||||||||
Derivative [Line Items] | |||||||||||||||||
Net Realized Gain/Loss on Financial Derivatives | 0 | [1] | 0 | [2] | 0 | [1] | 0 | [2] | |||||||||
Unrealized Gain (Loss) on Financial Derivatives | 0 | [3] | (35) | [4] | 31 | [3] | 8 | [4] | |||||||||
Options [Member] | Credit/Interest Rates/Equity Market Risk [Member] | |||||||||||||||||
Derivative [Line Items] | |||||||||||||||||
Net Realized Gain/Loss on Financial Derivatives | (78) | [1] | 1,857 | [2] | (149) | [1] | 6,331 | [2] | |||||||||
Unrealized Gain (Loss) on Financial Derivatives | 6 | [3] | 5,384 | [4] | 17 | [3] | 360 | [4] | |||||||||
Warrant [Member] | Equity Market Risk [Member] | |||||||||||||||||
Derivative [Line Items] | |||||||||||||||||
Net Realized Gain/Loss on Financial Derivatives | 0 | [1] | 0 | [2] | (100) | [1] | (50) | [2] | |||||||||
Unrealized Gain (Loss) on Financial Derivatives | $ 0 | [3] | $ 0 | [4] | $ (6) | [3] | $ 0 | [4] | |||||||||
|
Financial Derivatives Financial Derivatives (Schedule of Derivative Activity) (Details) - USD ($) $ in Thousands |
6 Months Ended | 12 Months Ended |
---|---|---|
Jun. 30, 2017 |
Dec. 31, 2016 |
|
Interest Rate Swaps [Member] | ||
Derivative [Line Items] | ||
Average Monthly Notional Amount | $ 1,245,343 | $ 1,731,368 |
Credit Default Swap [Member] | ||
Derivative [Line Items] | ||
Average Monthly Notional Amount | 427,602 | 1,586,923 |
Total Return Swaps [Member] | ||
Derivative [Line Items] | ||
Average Monthly Notional Amount | 27,501 | 113,628 |
Futures [Member] | ||
Derivative [Line Items] | ||
Average Monthly Notional Amount | 66,857 | 371,900 |
Options [Member] | ||
Derivative [Line Items] | ||
Average Monthly Notional Amount | 78,081 | 357,260 |
Forwards [Member] | ||
Derivative [Line Items] | ||
Average Monthly Notional Amount | 70,579 | 80,513 |
Warrant [Member] | ||
Derivative [Line Items] | ||
Average Monthly Notional Amount | 702 | 1,640 |
Mortgage Loan Purchase Commitments [Member] | ||
Derivative [Line Items] | ||
Average Monthly Notional Amount | $ 2,943 | $ 6,143 |
Financial Derivatives (Schedule Of Credit Derivatives) (Details) - USD ($) $ in Thousands |
Jun. 30, 2017 |
Dec. 31, 2016 |
|||||
---|---|---|---|---|---|---|---|
Credit Default Swap, Selling Protection [Member] | |||||||
Credit Derivatives [Line Items] | |||||||
Fair Value of Written Credit Derivatives, Net | $ (5,999) | $ (1,551) | |||||
Notional value | [1] | 119,791 | 117,476 | ||||
Credit Default Swap, Buying Protection [Member] | |||||||
Credit Derivatives [Line Items] | |||||||
Fair Value of Written Credit Derivatives, Net | [2] | 2,732 | 4,552 | ||||
Notional value | [2] | $ 62,434 | $ 68,357 | ||||
|
Financial Derivatives (Narrative) (Details) - USD ($) $ in Millions |
6 Months Ended | 12 Months Ended |
---|---|---|
Jun. 30, 2017 |
Dec. 31, 2016 |
|
Derivative [Line Items] | ||
Written credit derivative spread threshold | 20.00% | 20.00% |
Credit Default Swap, Selling Protection [Member] | ||
Derivative [Line Items] | ||
Credit Risk Derivative in Excess of Threshold, at Fair Value, Net | $ (1.4) | $ (2.5) |
Total net up-front payments received | $ (5.7) | $ (3.3) |
Minimum [Member] | ||
Derivative [Line Items] | ||
Low Range Of Spread On Written Credit Derivatives | 0.251% | 0.685% |
Upfront points on written credit derivative in excess of threshold | 48.3 | 45.0 |
Maximum [Member] | ||
Derivative [Line Items] | ||
Low Range Of Spread On Written Credit Derivatives | 10.405% | 6.366% |
Upfront points on written credit derivative in excess of threshold | 72.6 | 72.6 |
Schedule of Reverse Repurchase Agreements by Maturity (Details) - USD ($) $ in Thousands |
6 Months Ended | 12 Months Ended | ||
---|---|---|---|---|
Jun. 30, 2017 |
Dec. 31, 2016 |
|||
Borrowings [Line Items] | ||||
Reverse repurchase agreements | [1] | $ 1,119,238 | $ 1,033,581 | |
Debt, Weighted Average Interest Rate | 1.65% | 1.32% | ||
Remaining Days to Maturity, Reverse Repurchase Agreements | 67 days | 56 days | ||
Agency residential mortgage-backed securities [Member] | ||||
Borrowings [Line Items] | ||||
Reverse repurchase agreements | $ 791,083 | $ 790,312 | ||
Debt, Weighted Average Interest Rate | 1.20% | 0.89% | ||
Remaining Days to Maturity, Reverse Repurchase Agreements | 52 days | 41 days | ||
Agency residential mortgage-backed securities [Member] | Maturity up to 30 days [Member] | ||||
Borrowings [Line Items] | ||||
Reverse repurchase agreements | $ 218,251 | $ 405,725 | ||
Debt, Weighted Average Interest Rate | 1.15% | 0.83% | ||
Remaining Days to Maturity, Reverse Repurchase Agreements | 15 days | 18 days | ||
Agency residential mortgage-backed securities [Member] | Maturity 31 to 60 days [Member] | ||||
Borrowings [Line Items] | ||||
Reverse repurchase agreements | $ 296,200 | $ 195,288 | ||
Debt, Weighted Average Interest Rate | 1.18% | 0.94% | ||
Remaining Days to Maturity, Reverse Repurchase Agreements | 46 days | 45 days | ||
Agency residential mortgage-backed securities [Member] | Maturity 61 to 90 days [Member] | ||||
Borrowings [Line Items] | ||||
Reverse repurchase agreements | $ 160,959 | $ 149,965 | ||
Debt, Weighted Average Interest Rate | 1.33% | 0.97% | ||
Remaining Days to Maturity, Reverse Repurchase Agreements | 76 days | 74 days | ||
Agency residential mortgage-backed securities [Member] | Maturity 91 to 120 days [Member] | ||||
Borrowings [Line Items] | ||||
Reverse repurchase agreements | $ 114,972 | $ 8,240 | ||
Debt, Weighted Average Interest Rate | 1.17% | 0.83% | ||
Remaining Days to Maturity, Reverse Repurchase Agreements | 104 days | 102 days | ||
Agency residential mortgage-backed securities [Member] | Maturity 121 to 150 days [Member] | ||||
Borrowings [Line Items] | ||||
Reverse repurchase agreements | $ 0 | $ 11,798 | ||
Debt, Weighted Average Interest Rate | 0.00% | 0.96% | ||
Remaining Days to Maturity, Reverse Repurchase Agreements | 0 days | 131 days | ||
Agency residential mortgage-backed securities [Member] | Maturity 151 to 180 days [Member] | ||||
Borrowings [Line Items] | ||||
Reverse repurchase agreements | $ 701 | $ 19,296 | ||
Debt, Weighted Average Interest Rate | 2.27% | 1.05% | ||
Remaining Days to Maturity, Reverse Repurchase Agreements | 160 days | 164 days | ||
Credit Portfolio [Member] | ||||
Borrowings [Line Items] | ||||
Reverse repurchase agreements | $ 301,061 | $ 237,841 | ||
Debt, Weighted Average Interest Rate | 2.86% | 2.75% | ||
Remaining Days to Maturity, Reverse Repurchase Agreements | 112 days | 105 days | ||
Credit Portfolio [Member] | Maturity up to 30 days [Member] | ||||
Borrowings [Line Items] | ||||
Reverse repurchase agreements | $ 66,501 | $ 94,849 | ||
Debt, Weighted Average Interest Rate | 1.70% | 2.55% | ||
Remaining Days to Maturity, Reverse Repurchase Agreements | 4 days | 16 days | ||
Credit Portfolio [Member] | Maturity 31 to 60 days [Member] | ||||
Borrowings [Line Items] | ||||
Reverse repurchase agreements | $ 35,808 | $ 26,974 | ||
Debt, Weighted Average Interest Rate | 2.29% | 2.36% | ||
Remaining Days to Maturity, Reverse Repurchase Agreements | 46 days | 47 days | ||
Credit Portfolio [Member] | Maturity 61 to 90 days [Member] | ||||
Borrowings [Line Items] | ||||
Reverse repurchase agreements | $ 71,938 | $ 41,522 | ||
Debt, Weighted Average Interest Rate | 2.60% | 2.43% | ||
Remaining Days to Maturity, Reverse Repurchase Agreements | 79 days | 77 days | ||
Credit Portfolio [Member] | Maturity 91 to 120 days [Member] | ||||
Borrowings [Line Items] | ||||
Reverse repurchase agreements | $ 7,099 | $ 10,084 | ||
Debt, Weighted Average Interest Rate | 2.94% | 2.91% | ||
Remaining Days to Maturity, Reverse Repurchase Agreements | 97 days | 97 days | ||
Credit Portfolio [Member] | Maturity 121 to 150 days [Member] | ||||
Borrowings [Line Items] | ||||
Reverse repurchase agreements | $ 6,709 | $ 1,239 | ||
Debt, Weighted Average Interest Rate | 3.60% | 2.73% | ||
Remaining Days to Maturity, Reverse Repurchase Agreements | 139 days | 124 days | ||
Credit Portfolio [Member] | Maturity 151 to 180 days [Member] | ||||
Borrowings [Line Items] | ||||
Reverse repurchase agreements | $ 9,664 | $ 12,616 | ||
Debt, Weighted Average Interest Rate | 3.56% | 3.17% | ||
Remaining Days to Maturity, Reverse Repurchase Agreements | 166 days | 165 days | ||
Credit Portfolio [Member] | Maturity 181 to 360 days [Member] | ||||
Borrowings [Line Items] | ||||
Reverse repurchase agreements | $ 103,342 | $ 50,557 | ||
Debt, Weighted Average Interest Rate | 3.87% | 3.46% | ||
Remaining Days to Maturity, Reverse Repurchase Agreements | 222 days | 316 days | ||
US Treasury Securities [Member] | ||||
Borrowings [Line Items] | ||||
Reverse repurchase agreements | $ 27,094 | $ 5,428 | ||
Debt, Weighted Average Interest Rate | 1.23% | 0.91% | ||
Remaining Days to Maturity, Reverse Repurchase Agreements | 3 days | 4 days | ||
US Treasury Securities [Member] | Maturity up to 30 days [Member] | ||||
Borrowings [Line Items] | ||||
Reverse repurchase agreements | $ 27,094 | $ 5,428 | ||
Debt, Weighted Average Interest Rate | 1.23% | 0.91% | ||
Remaining Days to Maturity, Reverse Repurchase Agreements | 3 days | 4 days | ||
|
Borrowings (Details) $ in Thousands |
6 Months Ended | 12 Months Ended | ||||
---|---|---|---|---|---|---|
Jun. 30, 2017
USD ($)
counterparties
|
Dec. 31, 2016
USD ($)
counterparties
|
|||||
Borrowings [Line Items] | ||||||
Total secured borrowings | $ 1,207,000 | $ 1,058,000 | ||||
Number of Counterparties with Outstanding Reverse Repurchase Agreements | counterparties | 19 | 21 | ||||
Concentration Risk, Reverse Repurchase Agreements | 15.00% | 15.00% | ||||
Number Counterparties With Concentration Risk, Reverse Repurchase Agreements | counterparties | 1 | 0 | ||||
Investments held with dealers as collateral | $ 1,270,000 | $ 1,150,000 | ||||
Pledged Financial Instruments, Not Separately Reported, Securities For Repurchase Agreements Unsettled | $ 14,500 | 33,400 | ||||
Repurchase Agreements amount at risk threshold | 10.00% | |||||
Other secured borrowings | $ 88,100 | $ 24,086 | ||||
Minimum [Member] | ||||||
Borrowings [Line Items] | ||||||
Reverse Repurchase Agreements Maturity | 30 days | |||||
Reverse Repurchase Agreements Remaining Terms | 3 days | 3 days | ||||
Reverse Repurchase Agreements Interest Rate | (2.75%) | 0.60% | ||||
Maximum [Member] | ||||||
Borrowings [Line Items] | ||||||
Reverse Repurchase Agreements Maturity | 180 days | |||||
Reverse Repurchase Agreements Remaining Terms | 306 days | 320 days | ||||
Reverse Repurchase Agreements Interest Rate | 4.47% | 3.76% | ||||
Reverse Repurchase Agreements [Member] | ||||||
Borrowings [Line Items] | ||||||
Cash collateral posted for securities sold under agreements to repurchase | [1],[2] | $ 17,500 | $ 39,200 | |||
Security Owned and Pledged as Collateral, Fair Value | 1,700 | 2,700 | ||||
Secured borrowing facility collateralized by unsecured loan portfolio [Member] | ||||||
Borrowings [Line Items] | ||||||
Other secured borrowings | $ 42,100 | |||||
Effective interest rate on borrowing | 4.88% | |||||
Secured borrowing facility collateralized by commercial mortgage loans and REO [Member] | ||||||
Borrowings [Line Items] | ||||||
Other secured borrowings | $ 46,000 | 24,100 | ||||
Loans and REO pledged as collateral | $ 77,200 | $ 42,000 | ||||
Effective interest rate on borrowing | 4.55% | |||||
|
Related Party Transactions (Details) - USD ($) $ in Thousands |
3 Months Ended | 6 Months Ended | |||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Jun. 30, 2017 |
Jun. 30, 2016 |
Jun. 30, 2017 |
Jun. 30, 2016 |
Dec. 31, 2016 |
|||||||||||||||||||||||||||||||
Related party transactions [Line Items] | |||||||||||||||||||||||||||||||||||
Annual base management fee percentage | 1.50% | ||||||||||||||||||||||||||||||||||
Management fee description | The Operating Partnership pays the Manager 1.50% per annum of total equity of the Operating Partnership calculated in accordance with U.S. GAAP as of the end of each fiscal quarter (before deductions for base management fees and incentive fees payable with respect to such fiscal quarter), provided that total equity is adjusted to exclude one-time events pursuant to changes in U.S. GAAP, as well as non-cash charges after discussion between the Manager and the Company's independent directors, and approval by a majority of the Company's independent directors in the case of non-cash charges. | ||||||||||||||||||||||||||||||||||
Management Fee Expense | $ 2,372 | $ 2,553 | $ 4,782 | $ 5,164 | |||||||||||||||||||||||||||||||
Incentive fee rate | 25.00% | ||||||||||||||||||||||||||||||||||
Incentive fees arrangement | The Manager is entitled to receive a quarterly incentive fee equal to the positive excess, if any, of (i) the product of (A) 25% and (B) the excess of (1) Adjusted Net Income (described below) for the Incentive Calculation Period (which means such fiscal quarter and the immediately preceding three fiscal quarters) over (2) the sum of the Hurdle Amounts (described below) for the Incentive Calculation Period, over (ii) the sum of the incentive fees already paid or payable for each fiscal quarter in the Incentive Calculation Period preceding such fiscal quarter. For purposes of calculating the incentive fee, "Adjusted Net Income" for the Incentive Calculation Period means the net increase in equity from operations of the Operating Partnership, after all base management fees but before any incentive fees for such period, and excluding any non-cash equity compensation expenses for such period, as reduced by any Loss Carryforward (as described below) as of the end of the fiscal quarter preceding the Incentive Calculation Period. For purposes of calculating the incentive fee, the "Loss Carryforward" as of the end of any fiscal quarter is calculated by determining the excess, if any, of (1) the Loss Carryforward as of the end of the immediately preceding fiscal quarter over (2) the Company's net increase in equity from operations (expressed as a positive number) or net decrease in equity from operations (expressed as a negative number) of the Operating Partnership for such fiscal quarter. As of June 30, 2017, there was no Loss Carryforward. For purposes of calculating the incentive fee, the "Hurdle Amount" means, with respect to any fiscal quarter, the product of (i) one-fourth of the greater of (A) 9% and (B) 3% plus the 10-year U.S. Treasury rate for such fiscal quarter, (ii) the sum of (A) the weighted average gross proceeds per share of all common share and OP Unit issuances since inception of the Company and up to the end of such fiscal quarter, with each issuance weighted by both the number of shares and OP Units issued in such issuance and the number of days that such issued shares and OP Units were outstanding during such fiscal quarter, using a first-in first-out basis of accounting (i.e. attributing any share and OP Unit repurchases to the earliest issuances first) and (B) the result obtained by dividing (I) retained earnings attributable to common shares and OP Units at the beginning of such fiscal quarter by (II) the average number of common shares and OP Units outstanding for each day during such fiscal quarter, (iii) the sum of the average number of common shares, LTIP Units, and OP Units outstanding for each day during such fiscal quarter. For purposes of determining the Hurdle Amount, issuances of common shares and OP Units (a) as equity incentive awards, (b) to the Manager as part of its base management fee or incentive fee and (c) to the Manager or any of its affiliates in privately negotiated transactions, are excluded from the calculation. The payment of the incentive fee will be in a combination of common shares and cash, provided that at least 10% of any quarterly payment will be made in common shares. | ||||||||||||||||||||||||||||||||||
Termination Fee, Description | The Management Agreement requires the Company to pay a termination fee to the Manager in the event of (1) the Company's termination or non-renewal of the Management Agreement without cause or (2) the Company's termination of the Management Agreement based on unsatisfactory performance by the Manager that is materially detrimental to the Company (3) the Manager's termination of the Management Agreement upon a default by the Company in the performance of any material term of the Management Agreement. Such termination fee will be equal to the amount of three times the sum of (i) the average annual Quarterly Base Management Fee Amounts paid or payable with respect to the two 12-month periods ending on the last day of the latest fiscal quarter completed on or prior to the date of the notice of termination or non-renewal and (ii) the average annual Quarterly Incentive Fee Amounts paid or payable with respect to the two 12-month periods ending on the last day of the latest fiscal quarter completed on or prior to the date of the notice of termination or non-renewal. | ||||||||||||||||||||||||||||||||||
Incentive fee hurdle rate fixed | 9.00% | ||||||||||||||||||||||||||||||||||
Incentive fee hurdle rate floating | 3.00% | ||||||||||||||||||||||||||||||||||
Minimum percentage of incentive fee to be paid in share | 10.00% | ||||||||||||||||||||||||||||||||||
Expense Reimbursement Period | 60 days | ||||||||||||||||||||||||||||||||||
Expense Reimbursement - Manager | $ 2,700 | $ 3,400 | |||||||||||||||||||||||||||||||||
Warehouse facility, monetary amount | $ 5,000 | $ 5,000 | |||||||||||||||||||||||||||||||||
Line of Credit Facility, Interest Rate at Period End | 10.00% | 10.00% | |||||||||||||||||||||||||||||||||
Advances made under warehouse facility | $ 4,500 | $ 4,500 | |||||||||||||||||||||||||||||||||
Short-term promissory note | 10,000 | ||||||||||||||||||||||||||||||||||
Fair Value | 1,794,129 | 1,794,129 | $ 1,505,026 | ||||||||||||||||||||||||||||||||
Purchase commitment principal balance | 43,300 | ||||||||||||||||||||||||||||||||||
Estimated remaining contingent purchase obligations | 225,000 | 225,000 | |||||||||||||||||||||||||||||||||
Other secured borrowings | 88,100 | 88,100 | 24,086 | ||||||||||||||||||||||||||||||||
Non-controlling interests | 11,030 | 11,030 | 7,116 | ||||||||||||||||||||||||||||||||
Outstanding debt of related party trust | 102,500 | 102,500 | |||||||||||||||||||||||||||||||||
Aggregate unpaid principal balance of loans sold | $ 124,000 | ||||||||||||||||||||||||||||||||||
Company's share of loans sold | 51.00% | ||||||||||||||||||||||||||||||||||
Co-participants share of loans sold | 49.00% | ||||||||||||||||||||||||||||||||||
Senior notes issued in securitization transaction | $ 87,000 | ||||||||||||||||||||||||||||||||||
Subordinated notes issued in securitization transaction | $ 18,700 | ||||||||||||||||||||||||||||||||||
Company's percentage ownership of jointly owned entity | 51.00% | ||||||||||||||||||||||||||||||||||
Affiliated co-participants percentage ownership of jointly owned entity | 49.00% | ||||||||||||||||||||||||||||||||||
Fair value repurchase agreements | 266,659 | $ 266,659 | 184,819 | ||||||||||||||||||||||||||||||||
Investments held with dealers as collateral | 1,270,000 | 1,270,000 | 1,150,000 | ||||||||||||||||||||||||||||||||
Notes issued by CLO securitization | $ 373,600 | ||||||||||||||||||||||||||||||||||
Percentage of unsecured subordinated notes purchased | 25.00% | ||||||||||||||||||||||||||||||||||
Principal amount of notes purchased from related party CLO securitization | $ 36,600 | ||||||||||||||||||||||||||||||||||
Cost of notes purchased from related party CLO securitization | $ 35,900 | ||||||||||||||||||||||||||||||||||
Rate of return required | 12.00% | ||||||||||||||||||||||||||||||||||
Minimum economic interest required to be retained | 5.00% | ||||||||||||||||||||||||||||||||||
Economic interest retained | 6.00% | ||||||||||||||||||||||||||||||||||
The Company [Member] | |||||||||||||||||||||||||||||||||||
Related party transactions [Line Items] | |||||||||||||||||||||||||||||||||||
Corporate loans transferred into CLO securitization | $ 62,000 | ||||||||||||||||||||||||||||||||||
Affiliated Entity [Member] | |||||||||||||||||||||||||||||||||||
Related party transactions [Line Items] | |||||||||||||||||||||||||||||||||||
Corporate loans transferred into CLO securitization | 141,700 | ||||||||||||||||||||||||||||||||||
Secured senior notes [Member] | |||||||||||||||||||||||||||||||||||
Related party transactions [Line Items] | |||||||||||||||||||||||||||||||||||
Notes issued by CLO securitization | 187,500 | ||||||||||||||||||||||||||||||||||
Secured subordinated notes [Member] | |||||||||||||||||||||||||||||||||||
Related party transactions [Line Items] | |||||||||||||||||||||||||||||||||||
Notes issued by CLO securitization | 97,300 | ||||||||||||||||||||||||||||||||||
Unsecured subordinated notes [Member] | |||||||||||||||||||||||||||||||||||
Related party transactions [Line Items] | |||||||||||||||||||||||||||||||||||
Notes issued by CLO securitization | 88,800 | ||||||||||||||||||||||||||||||||||
Secured borrowing facility collateralized by commercial mortgage loans and REO [Member] | |||||||||||||||||||||||||||||||||||
Related party transactions [Line Items] | |||||||||||||||||||||||||||||||||||
Other secured borrowings | $ 46,000 | $ 46,000 | 24,100 | ||||||||||||||||||||||||||||||||
Related Party CLO securitization [Member] | |||||||||||||||||||||||||||||||||||
Related party transactions [Line Items] | |||||||||||||||||||||||||||||||||||
Percentage non-controlling ownership of related party | 25.00% | 25.00% | |||||||||||||||||||||||||||||||||
Corporate Debt [Member] | |||||||||||||||||||||||||||||||||||
Related party transactions [Line Items] | |||||||||||||||||||||||||||||||||||
Fair Value | $ 94,584 | [1],[2] | $ 94,584 | [1],[2] | 80,095 | [3],[4] | |||||||||||||||||||||||||||||
Repurchase Agreements [Member] | |||||||||||||||||||||||||||||||||||
Related party transactions [Line Items] | |||||||||||||||||||||||||||||||||||
Fair value repurchase agreements | 266,659 | [1],[5] | 266,659 | [1],[5] | 184,819 | [3],[6] | |||||||||||||||||||||||||||||
Repurchase Agreements [Member] | Acquiror Repurchase Agreement [Member] | |||||||||||||||||||||||||||||||||||
Related party transactions [Line Items] | |||||||||||||||||||||||||||||||||||
Fair value repurchase agreements | 6,200 | 6,200 | |||||||||||||||||||||||||||||||||
Investments held with dealers as collateral | [3],[6],[7] | 9,400 | 9,400 | ||||||||||||||||||||||||||||||||
Residential mortgage loans and REO [Member] | |||||||||||||||||||||||||||||||||||
Related party transactions [Line Items] | |||||||||||||||||||||||||||||||||||
Fair value of loans held in related party trust | 136,700 | 136,700 | 86,000 | ||||||||||||||||||||||||||||||||
Commercial mortgage loans and REO [Member] | |||||||||||||||||||||||||||||||||||
Related party transactions [Line Items] | |||||||||||||||||||||||||||||||||||
Fair Value | [1],[2],[8],[9] | 23,400 | 23,400 | ||||||||||||||||||||||||||||||||
Consumer loans and asset-backed securities backed by consumer loans [Member] | |||||||||||||||||||||||||||||||||||
Related party transactions [Line Items] | |||||||||||||||||||||||||||||||||||
Fair Value | 108,671 | [1],[2],[9] | 108,671 | [1],[2],[9] | 107,157 | [3],[4],[10],[11] | |||||||||||||||||||||||||||||
Fair value of loans held in related party trust | 87,400 | 87,400 | 43,200 | ||||||||||||||||||||||||||||||||
Collateralized Loan Obligations [Member] | |||||||||||||||||||||||||||||||||||
Related party transactions [Line Items] | |||||||||||||||||||||||||||||||||||
Fair Value | 122,150 | [1],[2] | 122,150 | [1],[2] | 44,956 | [3],[4] | |||||||||||||||||||||||||||||
Collateralized Loan Obligations [Member] | Related Party CLO securitization [Member] | |||||||||||||||||||||||||||||||||||
Related party transactions [Line Items] | |||||||||||||||||||||||||||||||||||
Fair Value | [1],[2],[12] | 35,900 | 35,900 | ||||||||||||||||||||||||||||||||
Corporate Equity Investments [Member] | |||||||||||||||||||||||||||||||||||
Related party transactions [Line Items] | |||||||||||||||||||||||||||||||||||
Fair Value | 37,323 | [1],[2] | 37,323 | [1],[2] | 33,788 | [3],[4],[10] | |||||||||||||||||||||||||||||
Corporate Equity Investments [Member] | Related Party CLO securitization [Member] | |||||||||||||||||||||||||||||||||||
Related party transactions [Line Items] | |||||||||||||||||||||||||||||||||||
Fair Value | [1],[2],[13] | 5,600 | 5,600 | ||||||||||||||||||||||||||||||||
Mortgage Originator [Member] | Corporate Debt [Member] | |||||||||||||||||||||||||||||||||||
Related party transactions [Line Items] | |||||||||||||||||||||||||||||||||||
Fair Value | [1],[2],[13] | 5,000 | 5,000 | ||||||||||||||||||||||||||||||||
Related Party 1 [Member] | |||||||||||||||||||||||||||||||||||
Related party transactions [Line Items] | |||||||||||||||||||||||||||||||||||
Fair value of loans held in related party trust | 9,100 | 9,100 | $ 7,600 | ||||||||||||||||||||||||||||||||
Promissory note - issued April 2017 [Member] | |||||||||||||||||||||||||||||||||||
Related party transactions [Line Items] | |||||||||||||||||||||||||||||||||||
Short-term promissory note | $ 5,000 | ||||||||||||||||||||||||||||||||||
Interest rate on promissory note receivable | 6.00% | ||||||||||||||||||||||||||||||||||
Promissory note - issued May 2017 [Member] | |||||||||||||||||||||||||||||||||||
Related party transactions [Line Items] | |||||||||||||||||||||||||||||||||||
Short-term promissory note | $ 5,000 | ||||||||||||||||||||||||||||||||||
Interest rate on promissory note receivable | 6.00% | ||||||||||||||||||||||||||||||||||
Non-controlling interest of joint venture partner [Member] | Unrelated third party joint venture interest [Member] | Commercial mortgage loans and REO [Member] | |||||||||||||||||||||||||||||||||||
Related party transactions [Line Items] | |||||||||||||||||||||||||||||||||||
Non-controlling interests | 900 | $ 900 | |||||||||||||||||||||||||||||||||
Non-controlling interest of joint venture partner [Member] | Related party joint venture interest [Member] | Commercial mortgage loans and REO [Member] | |||||||||||||||||||||||||||||||||||
Related party transactions [Line Items] | |||||||||||||||||||||||||||||||||||
Non-controlling interests | $ 3,300 | $ 3,300 | |||||||||||||||||||||||||||||||||
|
Long-Term Incentive Plan Units (Narrative) (Details) - USD ($) $ in Thousands |
3 Months Ended | 6 Months Ended | ||
---|---|---|---|---|
Jun. 30, 2017 |
Jun. 30, 2016 |
Jun. 30, 2017 |
Jun. 30, 2016 |
|
Disclosure of Compensation Related Costs, Share-based Payments [Abstract] | ||||
Common Stock, Capital Shares Reserved for Future Issuance | 1,932,190 | 1,932,190 | ||
Share-based LTIP expense | $ 95 | $ 99 | $ 189 | $ 199 |
Long-Term Incentive Plan Units Long-Term Incentive Plan Units (Unvested LTIP Units) (Details) - Long-Term Incentive Plan Units [Member] |
6 Months Ended | |||
---|---|---|---|---|
Jun. 30, 2017
shares
| ||||
Schedule of Unvested LTIP Units [Line Items] | ||||
Share-based Compensation Arrangement by Share-based Payment Award, Options, Grants in Period, Unvested | 28,711 | |||
Director [Member] | ||||
Schedule of Unvested LTIP Units [Line Items] | ||||
Share-based Compensation Arrangement by Share-based Payment Award, Options, Grants in Period, Unvested | 8,403 | |||
LTIP Unit, Grant Date | Sep. 13, 2016 | |||
LTIP Unit, Vesting Date | Sep. 12, 2017 | [1] | ||
Vest December 13, 2017 [Member] | Dedicated or partially dedicated personnel [Member] | ||||
Schedule of Unvested LTIP Units [Line Items] | ||||
Share-based Compensation Arrangement by Share-based Payment Award, Options, Grants in Period, Unvested | 8,090 | |||
LTIP Unit, Grant Date | Dec. 13, 2016 | |||
LTIP Unit, Vesting Date | Dec. 13, 2017 | [1] | ||
Vest December 13, 2018 [Member] | Dedicated or partially dedicated personnel [Member] | ||||
Schedule of Unvested LTIP Units [Line Items] | ||||
Share-based Compensation Arrangement by Share-based Payment Award, Options, Grants in Period, Unvested | 5,583 | |||
LTIP Unit, Grant Date | Dec. 13, 2016 | |||
LTIP Unit, Vesting Date | Dec. 13, 2018 | [1] | ||
Vest December 15, 2017 [Member] | Dedicated or partially dedicated personnel [Member] | ||||
Schedule of Unvested LTIP Units [Line Items] | ||||
Share-based Compensation Arrangement by Share-based Payment Award, Options, Grants in Period, Unvested | 5,949 | |||
LTIP Unit, Grant Date | Dec. 15, 2015 | |||
LTIP Unit, Vesting Date | Dec. 15, 2017 | [1] | ||
Vest December 31, 2017 [Member] | Dedicated or partially dedicated personnel [Member] | ||||
Schedule of Unvested LTIP Units [Line Items] | ||||
Share-based Compensation Arrangement by Share-based Payment Award, Options, Grants in Period, Unvested | 686 | |||
LTIP Unit, Grant Date | Dec. 15, 2015 | |||
LTIP Unit, Vesting Date | Dec. 31, 2017 | [1] | ||
|
Long-Term Incentive Plan Units (Roll-Forward Of Company's LTIP Units Outstanding) (Details) - Long-Term Incentive Plan Units [Member] - shares |
3 Months Ended | 6 Months Ended | ||
---|---|---|---|---|
Jun. 30, 2017 |
Jun. 30, 2016 |
Jun. 30, 2017 |
Jun. 30, 2016 |
|
Share-based Compensation Arrangement by Share-based Payment Award, Non-Option Equity Instruments, Outstanding [Roll Forward] | ||||
LTIP Units Outstanding, beginning of period | 469,539 | 449,938 | 469,539 | 449,938 |
Granted | 0 | 0 | 0 | 0 |
Director LTIP Units exercised | 0 | 0 | 0 | 0 |
LTIP Units Outstanding, end of period | 469,539 | 449,938 | 469,539 | 449,938 |
LTIP Units Vested and Outstanding | 440,828 | 421,120 | 440,828 | 421,120 |
Manager [Member] | ||||
Share-based Compensation Arrangement by Share-based Payment Award, Non-Option Equity Instruments, Outstanding [Roll Forward] | ||||
LTIP Units Outstanding, beginning of period | 375,000 | 375,000 | 375,000 | 375,000 |
Granted | 0 | 0 | 0 | 0 |
Director LTIP Units exercised | 0 | 0 | 0 | 0 |
LTIP Units Outstanding, end of period | 375,000 | 375,000 | 375,000 | 375,000 |
LTIP Units Vested and Outstanding | 375,000 | 375,000 | 375,000 | 375,000 |
Non-Manager [Member] | ||||
Share-based Compensation Arrangement by Share-based Payment Award, Non-Option Equity Instruments, Outstanding [Roll Forward] | ||||
LTIP Units Outstanding, beginning of period | 94,539 | 74,938 | 94,539 | 74,938 |
Granted | 0 | 0 | 0 | 0 |
Director LTIP Units exercised | 0 | 0 | 0 | 0 |
LTIP Units Outstanding, end of period | 94,539 | 74,938 | 94,539 | 74,938 |
LTIP Units Vested and Outstanding | 65,828 | 46,120 | 65,828 | 46,120 |
Non-controlling Interests (Details) - USD ($) $ in Thousands |
6 Months Ended | ||||
---|---|---|---|---|---|
Jan. 02, 2013 |
Jun. 30, 2017 |
Dec. 31, 2016 |
Jun. 30, 2016 |
Dec. 31, 2015 |
|
Noncontrolling Interest [Line Items] | |||||
Stockholders' Equity Attributable to Noncontrolling Interest | $ 11,030 | $ 7,116 | |||
Noncontrolling Interest [Member] | |||||
Noncontrolling Interest [Line Items] | |||||
Stockholders' Equity Attributable to Noncontrolling Interest | $ 11,030 | 7,116 | $ 5,188 | $ 6,903 | |
Non-controlling interest in Operating Partnership [Member] | Noncontrolling Interest [Member] | |||||
Noncontrolling Interest [Line Items] | |||||
Operating Partnership Units Issued | 212,000 | ||||
Operating Partnership Units | 212,000 | ||||
Noncontrolling Interest, Ownership Percentage by Noncontrolling Owners | 0.60% | ||||
Non-controlling interest of joint venture partner [Member] | Noncontrolling Interest [Member] | |||||
Noncontrolling Interest [Line Items] | |||||
Stockholders' Equity Attributable to Noncontrolling Interest | $ 6,800 | $ 3,000 |
Common Share Capitalization (Narrative) (Details) - USD ($) $ / shares in Units, $ in Thousands |
3 Months Ended | 6 Months Ended | |||
---|---|---|---|---|---|
Jun. 30, 2017 |
Jun. 30, 2016 |
Jun. 30, 2017 |
Jun. 30, 2016 |
Mar. 06, 2017 |
|
Common Stock Capitalization [Line Items] | |||||
Dividends (in usd per share) | $ 0.45 | $ 0.50 | $ 0.90 | $ 1.00 | |
Payments of Dividends | $ 14,800 | $ 16,700 | $ 29,579 | $ 33,616 | |
Common Shares Issued And Outstanding Upon Conversion of All Convertible Securities | 32,794,236 | 33,405,294 | 32,794,236 | 33,405,294 | |
Stock Repurchase Program, Number of Shares Authorized to be Repurchased | 1,700,000 | ||||
Shares repurchased | 51,518 | 219,623 | 182,006 | 382,656 | |
Stock Repurchased and Retired During Period, Value | $ 800 | $ 2,868 | $ 6,624 | ||
Stock Repurchases, Average Price Per Share | $ 15.81 | $ 15.75 |
Common Share Capitalization (Summary Of Common Shares Outstanding) (Details) - shares |
3 Months Ended | 6 Months Ended | ||
---|---|---|---|---|
Jun. 30, 2017 |
Jun. 30, 2016 |
Jun. 30, 2017 |
Jun. 30, 2016 |
|
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||
Common Shares Outstanding, period begin | 32,164,215 | 32,962,979 | 32,294,703 | 33,126,012 |
Shares repurchased | (51,518) | (219,623) | (182,006) | (382,656) |
Common Shares Outstanding, period end | 32,112,697 | 32,743,356 | 32,112,697 | 32,743,356 |
Earnings Per Share (Details) - USD ($) $ / shares in Units, $ in Thousands |
3 Months Ended | 6 Months Ended | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Jun. 30, 2017 |
Jun. 30, 2016 |
Jun. 30, 2017 |
Jun. 30, 2016 |
||||||||||
Net increase (decrease) in shareholders' equity resulting from operations | |||||||||||||
Net Income (Loss) Attributable to Parent | $ 5,064 | $ 4,985 | $ 20,342 | $ (18,215) | |||||||||
Net Income (Loss) Attributable to Participating Non-controlling Interest | [1] | 33 | 32 | 132 | (115) | ||||||||
Net income (loss) attributable to parent and participating non-controlling interest | 5,097 | 5,017 | 20,474 | (18,330) | |||||||||
Dividends Paid: | |||||||||||||
Dividends | [2] | (14,757) | (16,744) | (29,579) | [3] | (33,616) | [3] | ||||||
Undistributed (Distributed in excess of) earnings: | |||||||||||||
Total undistributed (distributed in excess of) earnings | $ (9,660) | $ (11,727) | $ (9,105) | $ (51,946) | |||||||||
Basic earnings per common share: | |||||||||||||
Distributed (in usd per share) | $ 0.45 | $ 0.50 | $ 0.90 | $ 1.00 | |||||||||
Undistributed (Distributed in excess of) (in usd per share) | (0.29) | (0.35) | (0.28) | (1.54) | |||||||||
Basic earnings per common share (in usd per share) | 0.16 | 0.15 | 0.62 | (0.54) | |||||||||
Diluted earnings per common share: | |||||||||||||
Distributed (in usd per share) | 0.45 | 0.50 | 0.90 | 1.00 | |||||||||
Undistributed (Distributed in excess of) (in usd per share) | (0.29) | (0.35) | (0.28) | (1.54) | |||||||||
Diluted earnings per common share (in usd per share) | $ 0.16 | $ 0.15 | $ 0.62 | $ (0.54) | |||||||||
Net Income (Loss) Attributable to Non-Participating Non-controlling Interest | $ 300 | $ (100) | $ 700 | $ 100 | |||||||||
Common Stock [Member] | |||||||||||||
Net increase (decrease) in shareholders' equity resulting from operations | |||||||||||||
Net Income (Loss) Attributable to Parent | 4,991 | 4,918 | 20,049 | (17,970) | |||||||||
Dividends Paid: | |||||||||||||
Dividends | [2] | (14,451) | (16,413) | (28,965) | (32,954) | ||||||||
Undistributed (Distributed in excess of) earnings: | |||||||||||||
Total undistributed (distributed in excess of) earnings | $ (9,460) | $ (11,495) | $ (8,916) | $ (50,924) | |||||||||
Weighted average shares outstanding (basic and diluted): | |||||||||||||
Weighted Average Number of Shares Outstanding, Basic and Diluted | 32,117,492 | 32,840,429 | 32,182,690 | 32,962,056 | |||||||||
Long-Term Incentive Plan Units [Member] | |||||||||||||
Net increase (decrease) in shareholders' equity resulting from operations | |||||||||||||
Net Income (Loss) Attributable to Parent | $ 73 | $ 67 | $ 293 | $ (245) | |||||||||
Dividends Paid: | |||||||||||||
Dividends | [2] | (211) | (225) | (423) | (450) | ||||||||
Undistributed (Distributed in excess of) earnings: | |||||||||||||
Total undistributed (distributed in excess of) earnings | $ (138) | $ (158) | $ (130) | $ (695) | |||||||||
Weighted average shares outstanding (basic and diluted): | |||||||||||||
Weighted Average Number of Shares Outstanding, Basic and Diluted | 469,539 | 449,938 | 469,539 | 449,938 | |||||||||
Noncontrolling Interest [Member] | |||||||||||||
Dividends Paid: | |||||||||||||
Dividends | [2] | $ (95) | $ (106) | $ (191) | $ (212) | ||||||||
Undistributed (Distributed in excess of) earnings: | |||||||||||||
Total undistributed (distributed in excess of) earnings | $ (62) | $ (74) | $ (59) | $ (327) | |||||||||
Weighted average shares outstanding (basic and diluted): | |||||||||||||
Weighted Average Number of Shares Outstanding, Basic and Diluted | 212,000 | 212,000 | 212,000 | 212,000 | |||||||||
|
Counterparty Risk (Narrative) (Details) - USD ($) $ in Thousands |
6 Months Ended | |||
---|---|---|---|---|
Jun. 30, 2017 |
Dec. 31, 2016 |
Jun. 30, 2016 |
Dec. 31, 2015 |
|
Risks and Uncertainties [Abstract] | ||||
Investments held with dealers as collateral | $ 1,270,000 | $ 1,150,000 | ||
Pledged Financial Instruments, Not Separately Reported, Securities For Repurchase Agreements Unsettled | 14,500 | 33,400 | ||
Unencumbered investments held in custody | 83,700 | |||
Cash and Cash Equivalents, at Carrying Value | $ 134,515 | $ 123,274 | $ 140,358 | $ 183,909 |
Concentration risk threshold | 15.00% |
Counterparty Risk (% Of Due from Brokers) (Details) |
Jun. 30, 2017 |
---|---|
Morgan Stanley [Member] | |
Concentration Risk [Line Items] | |
% of Total Due from Brokers | 32.00% |
Counterparty Risk (% Of Total Receivable For Securities Sold) (Details) |
Jun. 30, 2017 |
---|---|
Bank of America Securities [Member] | |
Concentration Risk [Line Items] | |
% of Total Receivable for Securities Sold | 49.00% |
Barclays Capital Inc [Member] | |
Concentration Risk [Line Items] | |
% of Total Receivable for Securities Sold | 28.00% |
Counterparty Risk (Cash and Cash Equivalents) (Details) |
Jun. 30, 2017 |
Dec. 31, 2016 |
---|---|---|
Bank of New York Mellon Corporation [Member] | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage, cash and cash equivalents | 85.00% | 27.00% |
Goldman Sachs Financial Square Funds - Government Fund [Member] | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage, cash and cash equivalents | 15.00% | 16.00% |
Morgan Stanley Institutional Liquidity Fund - Government Portfolio [Member] | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage, cash and cash equivalents | 0.00% | 16.00% |
BlackRock Liquidity Funds FedFund Portfolio, Institutional Class Shares [Member] | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage, cash and cash equivalents | 0.00% | 41.00% |
Schedule of Restricted Cash (Details) - USD ($) $ in Thousands |
Jun. 30, 2017 |
Dec. 31, 2016 |
---|---|---|
Restricted Cash [Line Items] | ||
Restricted cash | $ 425 | $ 655 |
Letter of Credit [Member] | ||
Restricted Cash [Line Items] | ||
Restricted cash | 0 | 230 |
Flow purchase and sale agreement [Member] | ||
Restricted Cash [Line Items] | ||
Restricted cash | 175 | 175 |
Minimum Required Regulatory Balance [Member] | ||
Restricted Cash [Line Items] | ||
Restricted cash | $ 250 | $ 250 |
Offsetting of Assets and Liabilities (Details) - USD ($) $ in Thousands |
Jun. 30, 2017 |
Dec. 31, 2016 |
|||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Offsetting of Assets and Liabilities [Line Items] | |||||||||||||||
Financial derivatives–assets, at fair value- | [1] | $ 26,602 | $ 35,595 | ||||||||||||
Securities Purchased under Agreements to Resell | [1] | 266,659 | 184,819 | ||||||||||||
Derivative Liabilities | [1] | (27,003) | (18,687) | ||||||||||||
Reverse repurchase agreements | [1] | (1,119,238) | (1,033,581) | ||||||||||||
Derivative Liability, Not Offset, Policy Election Deduction | (16,748) | (15,082) | |||||||||||||
Securities Sold under Agreements to Repurchase, Not Offset, Policy Election Deduction | (266,659) | (184,819) | |||||||||||||
Derivative Asset, Not Offset, Policy Election Deduction | 16,748 | 15,082 | |||||||||||||
Securities Purchased under Agreements to Resell, Not Offset, Policy Election Deduction | 266,659 | 184,819 | |||||||||||||
Derivative, Collateral, Obligation to Return Cash | [2],[3] | (3,898) | (7,933) | ||||||||||||
Securities Purchased under Agreements to Resell, Collateral, Obligation to Return Cash | [2],[3] | 0 | 0 | ||||||||||||
Derivative, Collateral, Right to Reclaim Cash | [2],[3] | 10,255 | 3,574 | ||||||||||||
Securities Sold under Agreements to Repurchase, Collateral, Right to Reclaim Cash | [2],[3] | 17,501 | 39,189 | ||||||||||||
Derivative Asset, Fair Value, Offset Against Collateral, Net of Not Subject to Master Netting Arrangement, Policy Election | 5,956 | 12,580 | |||||||||||||
Securities Purchased under Agreements to Resell, Offset Against Collateral, Net of Not Subject to Master Netting Arrangement, Policy Election | 0 | 0 | |||||||||||||
Derivative Liability, Fair Value, Offset Against Collateral, Net of Not Subject to Master Netting Arrangement, Policy Election | 0 | (31) | |||||||||||||
Securities Sold under Agreements to Repurchase, Offset Against Collateral, Net of Not Subject to Master Netting Arrangement, Policy Election | 0 | 0 | |||||||||||||
Securities Collateral relating to Reverse Repurchase Agreements | 1,270,000 | 1,160,000 | |||||||||||||
Financial Derivatives - Assets [Member] | |||||||||||||||
Offsetting of Assets and Liabilities [Line Items] | |||||||||||||||
Financial derivatives–assets, at fair value- | 26,602 | [4] | 35,595 | [5] | |||||||||||
Financial Instruments, Owned and Pledged as Collateral, at Fair Value | [2],[3] | 0 | 0 | ||||||||||||
Excess cash collateral | 7,200 | 14,900 | |||||||||||||
Repurchase Agreements [Member] | |||||||||||||||
Offsetting of Assets and Liabilities [Line Items] | |||||||||||||||
Financial Instruments, Owned and Pledged as Collateral, at Fair Value | [2],[3] | 0 | 0 | ||||||||||||
Financial Derivatives - Liabilities [Member] | |||||||||||||||
Offsetting of Assets and Liabilities [Line Items] | |||||||||||||||
Derivative Liabilities | (27,003) | [4] | (18,687) | [5] | |||||||||||
Financial Instruments, Owned and Pledged as Collateral, at Fair Value | [2],[3] | 0 | 0 | ||||||||||||
Excess cash collateral | 17,200 | 14,800 | |||||||||||||
Reverse Repurchase Agreements [Member] | |||||||||||||||
Offsetting of Assets and Liabilities [Line Items] | |||||||||||||||
Financial Instruments, Owned and Pledged as Collateral, at Fair Value | [2],[3] | $ 835,078 | $ 809,573 | ||||||||||||
|
Commitments And Contingencies Commitments and Contingencies (Details) |
6 Months Ended |
---|---|
Jun. 30, 2017
USD ($)
| |
Other Commitments [Line Items] | |
Capital commitment | $ 5,000,000 |
Flow agreement March 2015 with mortgage originator [Member] | |
Other Commitments [Line Items] | |
Purchase commitment | 200,000,000 |
Purchases made in connection with purchase commitments | 168,900,000 |
Related Party A [Member] | Non-Exchange Traded Equity Investment in Mortgage Originator | |
Other Commitments [Line Items] | |
Guaranty Liabilities | 125,000,000 |
Drawn down amount being guaranteed | 47,300,000 |
Guarantor Obligations, Current Carrying Value | 0 |
Related Party B [Member] | Non-Exchange Traded Equity Investment in Mortgage Originator | |
Other Commitments [Line Items] | |
Guaranty Liabilities | 15,000,000 |
Drawn down amount being guaranteed | 0 |
Guarantor Obligations, Current Carrying Value | $ 0 |
Financial Highlights (Narrative) (Details) |
3 Months Ended | 6 Months Ended | ||
---|---|---|---|---|
Jun. 30, 2017 |
Jun. 30, 2016 |
Jun. 30, 2017 |
Jun. 30, 2016 |
|
Financial Highlights [Abstract] | ||||
Market Based Total Return | 5.16% | 1.15% | 10.29% | 8.00% |
Financial Highlights (Results Of Operations For A Share Outstanding) (Details) - $ / shares |
3 Months Ended | 6 Months Ended | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Jun. 30, 2017 |
Jun. 30, 2016 |
Jun. 30, 2017 |
Jun. 30, 2016 |
Mar. 31, 2017 |
Dec. 31, 2016 |
Mar. 31, 2016 |
Dec. 31, 2015 |
||||||||
Increase (Decrease) Equity Per Share [Roll Forward] | |||||||||||||||
Beginning Shareholders' Equity Per Share (3/31/2017, 3/31/2016, 12/31/2016, and 12/31/2015, respectively) | $ 19.78 | $ 20.91 | $ 19.75 | $ 22.10 | |||||||||||
Net Investment Income | 0.26 | 0.26 | 0.63 | 0.62 | |||||||||||
Net Realized/Unrealized Gains (Losses) | (0.09) | (0.11) | 0.03 | (1.17) | |||||||||||
Results of Operations Attributable to Equity | 0.17 | 0.15 | 0.66 | (0.55) | |||||||||||
Less: Results of Operations Attributable to Non-controlling Interests | (0.01) | 0.00 | (0.03) | 0.00 | |||||||||||
Results of Operations Attributable to Shareholders' Equity | [1] | 0.16 | 0.15 | 0.63 | (0.55) | ||||||||||
Dividends Paid to Common Shareholders | (0.45) | (0.50) | (0.90) | (1.00) | |||||||||||
Weighted Average Share Impact on Dividends Paid | [2] | (0.01) | (0.01) | (0.02) | (0.02) | ||||||||||
Accretive (Dilutive) Effect of Share Issuances (Net of Offering Costs), Share Repurchases, and Adjustments to Non-controlling Interest | 0.01 | 0.03 | 0.03 | 0.05 | |||||||||||
Ending Shareholders' Equity Per Share (6/30/2017, 6/30/2016, 6/30/2017, and 6/30/2016, respectively)(3) | [3] | $ 19.49 | $ 20.58 | $ 19.49 | $ 20.58 | ||||||||||
Shares Outstanding, end of period | 32,112,697 | 32,743,356 | 32,112,697 | 32,743,356 | 32,164,215 | 32,294,703 | 32,962,979 | 33,126,012 | |||||||
Shareholders Equity Per Share Upon Conversion Of All Convertible Units (in usd per share) | $ 19.21 | $ 20.31 | $ 19.21 | $ 20.31 | |||||||||||
|
Financial Highlights (Net Asset Value Based Total Return For A Shareholder) (Details) |
3 Months Ended | 6 Months Ended | ||||
---|---|---|---|---|---|---|
Jun. 30, 2017 |
Jun. 30, 2016 |
Jun. 30, 2017 |
Jun. 30, 2016 |
|||
Financial Highlights [Abstract] | ||||||
Total Return | [1] | 0.82% | 0.82% | 3.32% | (2.38%) | |
|
Financial Highlights (Net Investment Income Ratio To Average Equity) (Details) |
3 Months Ended | 6 Months Ended | ||||||
---|---|---|---|---|---|---|---|---|
Jun. 30, 2017 |
Jun. 30, 2016 |
Jun. 30, 2017 |
Jun. 30, 2016 |
|||||
Financial Highlights [Abstract] | ||||||||
Net Investment Income | [1],[2] | 5.24% | 4.98% | 6.31% | 5.79% | |||
|
Financial Highlights (Expense Ratios To Average Equity) (Details) |
3 Months Ended | 6 Months Ended | |||||||
---|---|---|---|---|---|---|---|---|---|
Jun. 30, 2017 |
Jun. 30, 2016 |
Jun. 30, 2017 |
Jun. 30, 2016 |
||||||
Financial Highlights [Abstract] | |||||||||
Operating expenses, before interest expense and other investment related expenses | [1],[2] | (2.83%) | (2.96%) | (2.83%) | (2.88%) | ||||
Interest expense and other investment related expenses | [1],[2] | (6.02%) | (3.76%) | (5.37%) | (3.31%) | ||||
Total Expenses | [1],[2] | (8.85%) | (6.72%) | (8.20%) | (6.19%) | ||||
|
Subsequent Events (Details) - Subsequent Event [Member] |
Jul. 31, 2017
$ / shares
|
---|---|
Subsequent Event [Line Items] | |
Dividend Per Share | $ 0.45 |
Declared date | Jul. 31, 2017 |
Payment Date | Sep. 15, 2017 |
Record Date | Sep. 01, 2017 |
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