XML 33 R67.htm IDEA: XBRL DOCUMENT v3.20.1
DERIVATIVE INSTRUMENTS - Schedule of Derivatives Outstanding (Details) - USD ($)
$ in Thousands
3 Months Ended 12 Months Ended
Mar. 31, 2020
Dec. 31, 2019
Derivative [Line Items]    
Notional $ 190,971 $ 409,771
Fair value, asset [1] 950 693
Fair value, liability 0 0
1 Month LIBOR    
Derivative [Line Items]    
Notional 69,571 69,571
Fair value, asset 0 0
Fair value, liability $ 0 $ 0
Remaining maturity 1 month 9 days 4 months 9 days
5-year Swap    
Derivative [Line Items]    
Notional $ 24,400 $ 46,000
Fair value, asset 191 158
Fair value, liability $ 0 $ 0
Remaining maturity 3 months 3 months
10-year Swap    
Derivative [Line Items]    
Notional $ 76,700 $ 149,800
Fair value, asset 600 516
Fair value, liability $ 0 $ 0
Remaining maturity 3 months 3 months
5-year U.S. Treasury Note    
Derivative [Line Items]    
Notional $ 20,300 $ 1,100
Fair value, asset 159 4
Fair value, liability $ 0 $ 0
Remaining maturity 3 months 3 months
Futures    
Derivative [Line Items]    
Notional $ 121,400 $ 196,900
Fair value, asset 950 678
Fair value, liability $ 0 0
S&P 500 Put Options    
Derivative [Line Items]    
Notional   143,300
Fair value, asset   15
Fair value, liability   $ 0
Remaining maturity   18 days
Credit Derivatives    
Derivative [Line Items]    
Notional   $ 143,300
Fair value, asset   15
Fair value, liability   $ 0
[1]
Includes amounts relating to consolidated variable interest entities. See Note 1.