XML 94 R79.htm IDEA: XBRL DOCUMENT v3.20.1
Derivative Instruments - Net Realized and Unrealized Losses on Derivatives (Details) - USD ($)
$ in Thousands
3 Months Ended
Mar. 31, 2020
Mar. 31, 2019
Derivative Instruments, Gain (Loss) [Line Items]    
Unrealized (Gain)/Loss $ 4,836 $ 1,066
Realized (Gain)/Loss 6,669 1,458
Credit default swaps    
Derivative Instruments, Gain (Loss) [Line Items]    
Unrealized (Gain)/Loss (1,752) 112
Realized (Gain)/Loss 61 1,378
Interest rate swaps    
Derivative Instruments, Gain (Loss) [Line Items]    
Unrealized (Gain)/Loss 4,340 1,197
Realized (Gain)/Loss 2,946 (415)
Treasury note futures    
Derivative Instruments, Gain (Loss) [Line Items]    
Unrealized (Gain)/Loss 2,248 (243)
Realized (Gain)/Loss 3,627 350
Options    
Derivative Instruments, Gain (Loss) [Line Items]    
Unrealized (Gain)/Loss 0  
Realized (Gain)/Loss $ 35 $ 145