v3.10.0.1
Consolidated Condensed Schedule Of Investments (Financial Derivatives)
$ in Thousands
 6 Months Ended 12 Months Ended
Jun. 30, 2018
USD ($)
contracts
Dec. 31, 2017
USD ($)
contracts
Investment Holdings, Other than Securities [Line Items]    
Financial derivatives–assets, at fair value- [1] $ 30,669 $ 28,165
Derivative Liabilities [1] (25,675) (36,273)
Net cost 24,510 31,474
Net proceeds $ (18,294) $ (27,463)
Short [Member] | US Treasury Note Futures [Member]    
Investment Holdings, Other than Securities [Line Items]    
Number of contracts | contracts 959 68
Short [Member] | Foreign Exchange Future [Member]    
Investment Holdings, Other than Securities [Line Items]    
Number of contracts | contracts 371 216
Financial Derivatives - Assets [Member]    
Investment Holdings, Other than Securities [Line Items]    
Financial derivatives–assets, at fair value- $ 30,669 [2] $ 28,165 [3]
Investment owned as a percentage of equity 5.00% [2],[4] 4.54% [3],[5]
Net cost $ 24,510 [2] $ 31,474 [3]
Financial Derivatives - Assets [Member] | Swap [Member]    
Investment Holdings, Other than Securities [Line Items]    
Financial derivatives–assets, at fair value- $ 29,926 [2] $ 28,116 [3]
Investment owned as a percentage of equity 4.88% [2],[4] 4.53% [3],[5]
Net cost $ 24,507 [2] $ 31,392 [3]
Financial Derivatives - Assets [Member] | Futures [Member]    
Investment Holdings, Other than Securities [Line Items]    
Financial derivatives–assets, at fair value- $ 674 [2] $ 45 [3]
Investment owned as a percentage of equity 0.11% [2],[4] 0.01% [3],[5]
Financial Derivatives - Assets [Member] | Options [Member]    
Investment Holdings, Other than Securities [Line Items]    
Financial derivatives–assets, at fair value- $ 0 [2] $ 4 [3]
Investment owned as a percentage of equity 0.00% [2],[4] 0.00% [3],[5]
Net cost $ 3 [2] $ 82 [3]
Financial Derivatives - Assets [Member] | Forwards [Member]    
Investment Holdings, Other than Securities [Line Items]    
Financial derivatives–assets, at fair value- [2] $ 69  
Investment owned as a percentage of equity [2],[4] 0.01%  
Financial Derivatives - Assets [Member] | North America [Member] | Credit Default Swaps On Asset Backed Securities [Member]    
Investment Holdings, Other than Securities [Line Items]    
Financial derivatives–assets, at fair value- [3],[6]   3,140
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 $ 980 [2],[7] 885 [3],[8]
Financial derivatives–assets, at fair value- $ 8 [2],[7] $ 9 [3],[8]
Investment Maturity Date [3],[8]   2037-12
Financial Derivatives - Assets [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 [2],[7] 2037-12  
Financial Derivatives - Assets [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 [2],[7] 2059-11  
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 $ 39,184 [2],[7] $ 25,338 [3],[8]
Financial derivatives–assets, at fair value- $ 816 [2],[7] $ 1,429 [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 2019-06 [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 2022-12 [2],[7] 2022-12 [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 $ 4,375 [2],[9] $ 79,347 [3],[10]
Financial derivatives–assets, at fair value- $ 59 [2],[9] $ 969 [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 2024-01 [2],[9] 2018-03 [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 2024-03 [2],[9] 2025-12 [3],[10]
Financial Derivatives - Assets [Member] | Long [Member] | Interest Rate Cap [Member] | Interest Rate Risk [Member]    
Investment Holdings, Other than Securities [Line Items]    
Derivative notional $ 90,253 [2],[11] $ 113,453 [3],[12]
Financial derivatives–assets, at fair value- $ 0 [2],[11] $ 1 [3],[12]
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 2018-10 [2],[11] 2018-03 [3],[12]
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],[11] 2019-05 [3],[12]
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 [3],[13]   $ 16
Financial derivatives–assets, at fair value- [3],[13]   $ 3
Investment Maturity Date [3],[13]   2018-01
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- $ 4,373 [2],[7] $ 3,913 [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 7,868 [2],[7] 2,070 [3],[8]
Financial derivatives–assets, at fair value- $ 428 [2],[7] $ 228 [3],[8]
Financial Derivatives - Assets [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 2022-12 [2],[7] 2021-12 [3],[8]
Financial Derivatives - Assets [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 2023-06 [2],[7] 2022-12 [3],[8]
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 $ 9,730 [2],[7] $ 10,165 [3],[8]
Financial derivatives–assets, at fair value- $ 244 [2],[7] $ 475 [3],[8]
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 2020-12 [2],[7] 2020-06 [3],[8]
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 2023-06 [2],[7] 2022-12 [3],[8]
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 $ 19,565 [2],[7] $ 41,725 [3],[8]
Financial derivatives–assets, at fair value- $ 2,858 [2],[7] $ 2,525 [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 2022-06 [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 2023-06 [2],[7] 2022-12 [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 $ 9,642 [2],[7] $ 8,250 [3],[8]
Financial derivatives–assets, at fair value- $ 304 [2],[7] $ 99 [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 2018-12 [2],[7] 2019-06 [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 2022-12 [2],[7] 2022-06 [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 $ 2,495 [2],[7] $ 1,180 [3],[8]
Financial derivatives–assets, at fair value- $ 331 [2],[7] $ 194 [3],[8]
Investment Maturity Date 2023-06 [2],[7] 2021-12 [3],[8]
Financial Derivatives - Assets [Member] | Long [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 [2],[7] $ 1,410  
Financial derivatives–assets, at fair value- [2],[7] $ 39  
Investment Maturity Date [2],[7] 2023-06  
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 $ 1,175 [2],[7] $ 3,150 [3],[8]
Financial derivatives–assets, at fair value- $ 169 [2],[7] $ 392 [3],[8]
Investment Maturity Date [2],[7] 2023-06  
Financial Derivatives - Assets [Member] | Long [Member] | North America [Member] | Credit Default Swaps On Corporate Bonds [Member] | Utilities [Member] | Minimum [Member] | Credit Risk [Member]    
Investment Holdings, Other than Securities [Line Items]    
Investment Maturity Date [3],[8]   2021-12
Financial Derivatives - Assets [Member] | Long [Member] | North America [Member] | Credit Default Swaps On Corporate Bonds [Member] | Utilities [Member] | Maximum [Member] | Credit Risk [Member]    
Investment Holdings, Other than Securities [Line Items]    
Investment Maturity Date [3],[8]   2022-06
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 $ (19,651) [2],[14] $ (28,733) [3],[6]
Financial derivatives–assets, at fair value- $ 3,712 [2],[14] $ 5,384 [3],[6]
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],[14] 2046-05 [3],[6]
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],[14] 2059-11 [3],[6]
Financial Derivatives - Assets [Member] | Short [Member] | Interest Rate Swaps [Member] | Interest Rate Risk [Member]    
Investment Holdings, Other than Securities [Line Items]    
Derivative notional $ (570,809) [2],[15] $ (866,398) [3],[16]
Financial derivatives–assets, at fair value- $ 15,711 [2],[15] $ 8,277 [3],[16]
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 2018-07 [2],[15] 2018-12 [3],[16]
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 2045-12 [2],[15] 2030-11 [3],[16]
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 [3],[17]   $ (26,600)
Financial derivatives–assets, at fair value- [3],[17]   $ 20
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 [3],[17]   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 [3],[17]   2019-06
Financial Derivatives - Assets [Member] | Short [Member] | US Treasury Note Futures [Member] | Interest Rate Risk [Member]    
Investment Holdings, Other than Securities [Line Items]    
Derivative notional $ (95,900) [2],[18] $ (6,800) [3],[19]
Financial derivatives–assets, at fair value- $ 634 [2],[18] $ 45 [3],[19]
Investment Maturity Date 2018-09 [2],[18] 2018-03 [3],[19]
Financial Derivatives - Assets [Member] | Short [Member] | Forwards [Member] | Currency risk [Member]    
Investment Holdings, Other than Securities [Line Items]    
Derivative notional [2],[20] $ (13,375)  
Financial derivatives–assets, at fair value- [2],[20] $ 69  
Investment Maturity Date [2],[20] 2018-09  
Financial Derivatives - Assets [Member] | Short [Member] | Foreign Exchange Future [Member] | Currency risk [Member]    
Investment Holdings, Other than Securities [Line Items]    
Derivative notional [2],[21] $ (8,250)  
Financial derivatives–assets, at fair value- [2],[21] $ 40  
Investment Maturity Date [2],[21] 2018-09  
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- $ 2,656 [2],[14] $ 4,975 [3],[6]
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 (695) [2],[14] (2,590) [3],[6]
Financial derivatives–assets, at fair value- $ 5 [2],[14] $ 77 [3],[6]
Investment Maturity Date [2],[14] 2022-03  
Financial Derivatives - Assets [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 [3],[6]   2021-06
Financial Derivatives - Assets [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 [3],[6]   2022-06
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 $ (20,395) [2],[14] $ (21,975) [3],[6]
Financial derivatives–assets, at fair value- $ 1,550 [2],[14] $ 3,386 [3],[6]
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 2018-12 [2],[14] 2018-12 [3],[6]
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 2022-12 [2],[14] 2022-06 [3],[6]
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 $ (10,165) [2],[14] $ (11,385) [3],[6]
Financial derivatives–assets, at fair value- $ 168 [2],[14] $ 211 [3],[6]
Financial Derivatives - Assets [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 2018-12 [2],[14] 2018-12 [3],[6]
Financial Derivatives - Assets [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 2023-06 [2],[14] 2022-12 [3],[6]
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 $ (8,563) [2],[14] $ (28,392) [3],[6]
Financial derivatives–assets, at fair value- $ 353 [2],[14] $ 849 [3],[6]
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 2018-12 [2],[14] 2018-06 [3],[6]
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 2022-12 [2],[14] 2022-12 [3],[6]
Financial Derivatives - Assets [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 [2],[14] $ (585)  
Financial derivatives–assets, at fair value- [2],[14] $ 27  
Investment Maturity Date [2],[14] 2023-06  
Financial Derivatives - Assets [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 $ (7,000) [2],[14] $ (4,025) [3],[6]
Financial derivatives–assets, at fair value- $ 553 [2],[14] $ 452 [3],[6]
Financial Derivatives - Assets [Member] | Short [Member] | North America [Member] | Credit Default Swaps On Corporate Bonds [Member] | Technology Sector [Member] | Minimum [Member] | Credit Risk [Member]    
Investment Holdings, Other than Securities [Line Items]    
Investment Maturity Date 2020-06 [2],[14] 2021-12 [3],[6]
Financial Derivatives - Assets [Member] | Short [Member] | North America [Member] | Credit Default Swaps On Corporate Bonds [Member] | Technology Sector [Member] | Maximum [Member] | Credit Risk [Member]    
Investment Holdings, Other than Securities [Line Items]    
Investment Maturity Date 2022-12 [2],[14] 2022-06 [3],[6]
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 $ (5,396) [2],[14] $ (5,688) [3],[6]
Financial derivatives–assets, at fair value- $ 2,591 [2],[14] $ 3,140 [3],[6]
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],[14] 2035-05 [3],[6]
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],[14] 2035-12 [3],[6]
Financial Derivatives - Assets [Member] | Short [Member] | North America [Member] | Total Return Swaps [Member]    
Investment Holdings, Other than Securities [Line Items]    
Financial derivatives–assets, at fair value- $ 0 [2],[22] $ 0 [3]
Financial Derivatives - Assets [Member] | Short [Member] | North America [Member] | Total Return Swaps [Member] | Financial [Member] | Credit Risk [Member]    
Investment Holdings, Other than Securities [Line Items]    
Derivative notional [2],[22] (8,018)  
Financial derivatives–assets, at fair value- [2],[22] $ 0  
Investment Maturity Date [2],[14] 2019-07  
Financial Derivatives - Assets [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 [3],[23]   (10,317)
Financial derivatives–assets, at fair value- [3],[23]   $ 0
Investment Maturity Date [3],[23]   2019-07
Financial Derivatives - Liabilities [Member]    
Investment Holdings, Other than Securities [Line Items]    
Derivative Liabilities $ (25,675) [2] $ (36,273) [3]
Investment owned as a percentage of equity (4.19%) [2],[4] (5.84%) [3],[5]
Net proceeds $ (18,294) [2] $ (27,463) [3]
Financial Derivatives - Liabilities [Member] | Swap [Member]    
Investment Holdings, Other than Securities [Line Items]    
Derivative Liabilities $ (25,462) [2] $ (35,292) [3]
Investment owned as a percentage of equity (4.15%) [2],[4] (5.68%) [3],[5]
Net proceeds $ (18,294) [2] $ (27,463) [3]
Financial Derivatives - Liabilities [Member] | Futures [Member]    
Investment Holdings, Other than Securities [Line Items]    
Derivative Liabilities $ (155) [2] $ (508) [3]
Investment owned as a percentage of equity (0.03%) [2],[4] (0.08%) [3],[5]
Financial Derivatives - Liabilities [Member] | Forwards [Member]    
Investment Holdings, Other than Securities [Line Items]    
Derivative Liabilities $ (58) [2] $ (473) [3]
Investment owned as a percentage of equity (0.01%) [2],[4] (0.08%) [3],[5]
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 $ 6,607 [2],[7] $ 6,827 [3],[8]
Derivative Liabilities $ (963) [2],[7] $ (980) [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] 2049-03 [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 2060-11 [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 $ 293,281 [2],[9] $ 374,003 [3],[10]
Derivative Liabilities $ (6,473) [2],[9] $ (5,852) [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 2018-11 [2],[9] 2018-11 [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 2024-10 [2],[9] 2027-12 [3],[10]
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 $ (4,576) [2],[7] $ (9,133) [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 [3],[8]   2,590
Derivative Liabilities [3],[8]   $ (77)
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 [3],[8]   2021-06
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 [3],[8]   2022-06
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 23,453 [2],[7] $ 26,213 [3],[8]
Derivative Liabilities $ (2,474) [2],[7] $ (5,974) [3],[8]
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 2021-06 [2],[7] 2021-06 [3],[8]
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 2023-06 [2],[7] 2022-12 [3],[8]
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 $ 8,331 [2],[7] $ 12,561 [3],[8]
Derivative Liabilities $ (346) [2],[7] $ (293) [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 2020-03 [2],[7] 2020-06 [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 2023-06 [2],[7] 2022-12 [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 $ 9,882 [2],[7] $ 33,654 [3],[8]
Derivative Liabilities $ (1,340) [2],[7] $ (2,736) [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 2020-06 [2],[7] 2021-06 [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 2023-06 [2],[7] 2022-12 [3],[8]
Financial Derivatives - Liabilities [Member] | Long [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 [2],[7] $ 6,640  
Derivative Liabilities [2],[7] $ (306)  
Investment Maturity Date [2],[7] 2023-06  
Financial Derivatives - Liabilities [Member] | Long [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 $ 980 [2],[7] $ 380 [3],[8]
Derivative Liabilities $ (110) [2],[7] $ (53) [3],[8]
Investment Maturity Date [3],[8]   2022-12
Financial Derivatives - Liabilities [Member] | Long [Member] | North America [Member] | Credit Default Swaps On Corporate Bonds [Member] | Technology Sector [Member] | Minimum [Member] | Credit Risk [Member]    
Investment Holdings, Other than Securities [Line Items]    
Investment Maturity Date [2],[7] 2022-12  
Financial Derivatives - Liabilities [Member] | Long [Member] | North America [Member] | Credit Default Swaps On Corporate Bonds [Member] | Technology Sector [Member] | Maximum [Member] | Credit Risk [Member]    
Investment Holdings, Other than Securities [Line Items]    
Investment Maturity Date [2],[7] 2023-06  
Financial Derivatives - Liabilities [Member] | Long [Member] | North America [Member] | Total Return Swaps [Member]    
Investment Holdings, Other than Securities [Line Items]    
Derivative Liabilities $ 0 [2],[22] $ 0 [3]
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 [2],[22] 59  
Derivative Liabilities [2],[22] $ 0  
Investment Maturity Date [2],[22] 2019-07  
Financial Derivatives - Liabilities [Member] | Long [Member] | North America [Member] | Total Return Swaps [Member] | Financial [Member] | Equity Market Risk [Member]    
Investment Holdings, Other than Securities [Line Items]    
Derivative notional [3],[23]   235
Derivative Liabilities [3],[23]   $ 0
Financial Derivatives - Liabilities [Member] | Long [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 [3],[23]   2019-07
Financial Derivatives - Liabilities [Member] | Long [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 [3],[23]   2022-05
Financial Derivatives - Liabilities [Member] | Long [Member] | North America [Member] | Recovery Swap [Member]    
Investment Holdings, Other than Securities [Line Items]    
Derivative Liabilities $ (8) [2],[24] $ (8) [3],[25]
Financial Derivatives - Liabilities [Member] | Long [Member] | North America [Member] | Recovery Swap [Member] | Consumer [Member] | Credit Risk [Member]    
Investment Holdings, Other than Securities [Line Items]    
Derivative notional 2,600 [2],[24] 2,600 [3],[25]
Derivative Liabilities $ (8) [2],[24] $ (8) [3],[25]
Investment Maturity Date 2019-06 [2],[24] 2019-06 [3],[25]
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 $ (216,162) [2],[14] $ (267,034) [3],[6]
Derivative Liabilities $ (7,234) [2],[14] $ (12,367) [3],[6]
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 2019-06 [2],[14] 2018-12 [3],[6]
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 2023-06 [2],[14] 2022-06 [3],[6]
Financial Derivatives - Liabilities [Member] | Short [Member] | Interest Rate Swaps [Member] | Interest Rate Risk [Member]    
Investment Holdings, Other than Securities [Line Items]    
Derivative notional $ (30,000) [2],[15] $ (59,246) [3],[16]
Derivative Liabilities $ (15) [2],[15] $ (163) [3],[16]
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 2020-05 [2],[15] 2020-09 [3],[16]
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 2020-06 [2],[15] 2045-12 [3],[16]
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 [2],[26] $ (12,900)  
Derivative Liabilities [2],[26] $ (2)  
Investment Maturity Date [2],[26] 2019-06  
Financial Derivatives - Liabilities [Member] | Short [Member] | Total Return Swaps [Member] | Credit Risk [Member]    
Investment Holdings, Other than Securities [Line Items]    
Derivative notional [2],[27] $ (56,140)  
Derivative Liabilities [2],[27] $ (314)  
Investment Maturity Date [2],[27] 2018-12  
Financial Derivatives - Liabilities [Member] | Short [Member] | Forwards [Member] | Currency risk [Member]    
Investment Holdings, Other than Securities [Line Items]    
Derivative notional $ (12,120) [2],[20] $ (42,306) [3],[28]
Derivative Liabilities $ (58) [2],[20] $ (473) [3],[28]
Investment Maturity Date 2018-09 [2],[20] 2018-03 [3],[28]
Financial Derivatives - Liabilities [Member] | Short [Member] | Foreign Exchange Future [Member] | Currency risk [Member]    
Investment Holdings, Other than Securities [Line Items]    
Derivative notional $ (29,875) [2],[21] $ (27,000) [3],[29]
Derivative Liabilities $ (155) [2],[21] $ (508) [3],[29]
Investment Maturity Date 2018-09 [2],[21] 2018-03 [3],[29]
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 $ (5,877) [2],[14] $ (6,789) [3],[6]
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 (12,660) [2],[14] (12,285) [3],[6]
Derivative Liabilities $ (933) [2],[14] $ (1,075) [3],[6]
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 2019-06 [2],[14] 2019-06 [3],[6]
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 2022-12 [2],[14] 2022-12 [3],[6]
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 $ (22,920) [2],[14] $ (7,243) [3],[6]
Derivative Liabilities $ (907) [2],[14] $ (304) [3],[6]
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 2018-12 [2],[14] 2018-12 [3],[6]
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 2023-06 [2],[14] 2022-12 [3],[6]
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 $ (57,110) [2],[14] $ (58,672) [3],[6]
Derivative Liabilities $ (3,426) [2],[14] $ (4,274) [3],[6]
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 2018-12 [2],[14] 2018-06 [3],[6]
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 2023-06 [2],[14] 2022-12 [3],[6]
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 $ (15,402) [2],[14] $ (21,750) [3],[6]
Derivative Liabilities $ (315) [2],[14] $ (374) [3],[6]
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 2018-12 [2],[14] 2018-06 [3],[6]
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 2023-06 [2],[14] 2022-06 [3],[6]
Financial Derivatives - Liabilities [Member] | Short [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 $ (355) [2],[14] $ 0 [3],[6]
Derivative Liabilities $ (54) [2],[14] $ 0 [3],[6]
Investment Maturity Date 2022-09 [2],[14] 2022-06 [3],[6]
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 $ (16,180) [2],[14] $ (4,410) [3],[6]
Derivative Liabilities $ (180) [2],[14] $ (86) [3],[6]
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],[14] 2021-06 [3],[6]
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 2023-06 [2],[14] 2021-12 [3],[6]
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 $ (3,655) [2],[14] $ (2,020) [3],[6]
Derivative Liabilities $ (10) [2],[14] $ (181) [3],[6]
Financial Derivatives - Liabilities [Member] | Short [Member] | North America [Member] | Credit Default Swaps On Corporate Bonds [Member] | Technology Sector [Member] | Minimum [Member] | Credit Risk [Member]    
Investment Holdings, Other than Securities [Line Items]    
Investment Maturity Date 2019-03 [2],[14] 2019-06 [3],[6]
Financial Derivatives - Liabilities [Member] | Short [Member] | North America [Member] | Credit Default Swaps On Corporate Bonds [Member] | Technology Sector [Member] | Maximum [Member] | Credit Risk [Member]    
Investment Holdings, Other than Securities [Line Items]    
Investment Maturity Date 2019-12 [2],[14] 2022-12 [3],[6]
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 $ (1,100) [2],[14] $ (4,455) [3],[6]
Derivative Liabilities $ (52) [2],[14] $ (495) [3],[6]
Investment Maturity Date [2],[14] 2019-06  
Financial Derivatives - Liabilities [Member] | Short [Member] | North America [Member] | Credit Default Swaps On Corporate Bonds [Member] | Utilities [Member] | Minimum [Member] | Credit Risk [Member]    
Investment Holdings, Other than Securities [Line Items]    
Investment Maturity Date [3],[6]   2019-06
Financial Derivatives - Liabilities [Member] | Short [Member] | North America [Member] | Credit Default Swaps On Corporate Bonds [Member] | Utilities [Member] | Maximum [Member] | Credit Risk [Member]    
Investment Holdings, Other than Securities [Line Items]    
Investment Maturity Date [3],[6]   2022-12
[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] See Note 2 and Note 3 in Notes to Consolidated Financial Statements.
[3] See Note 2 and Note 3 in Notes to Consolidated Financial Statements.
[4] Classification percentages are based on Total Equity.
[5] Classification percentages are based on Total Equity.
[6] For short credit default swaps, the Company purchased protection.
[7] For long credit default swaps, the Company sold protection.
[8] For long credit default swaps, the Company sold protection.
[9] For long interest rate swap contracts, the Company pays a floating rate and receives a fixed rate.
[10] For long interest rate swap contracts, the Company pays a floating rate and receives a fixed rate.
[11] 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.
[12] 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.
[13] Notional value represents the number of common shares we have the option to purchase multiplied by the strike price.
[14] For short credit default swaps, the Company purchased protection.
[15] For short interest rate swap contracts, the Company pays a fixed rate and receives a floating rate.
[16] For short interest rate swap contracts, the Company pays a fixed rate and receives a floating rate.
[17] Represents interest rate "basis" swaps whereby the Company pays one floating rate and receives a different floating rate.
[18] Notional value represents the total face amount of U.S. Treasury securities underlying all contracts held. As of June 30, 2018, a total of 959 contracts were held.
[19] Notional value represents the total face amount of U.S. Treasury Notes underlying all contracts held; as of December 31, 2017, 68 contracts were held.
[20] Notional value represents U.S. Dollars to be received by the Company at the maturity of the forward contract.
[21] Notional value represents the total face amount of foreign currency underlying all contracts held; as of June 30, 2018, 371 contracts were held.
[22] Notional value represents number of underlying shares multiplied by the closing price of the underlying security.
[23] Notional value represents number of underlying shares multiplied by the closing price of the underlying security.
[24] For long recovery swaps the Company receives a specified recovery rate in exchange for the actual recovery rate on the underlying.
[25] For long recovery swaps the Company receives a specified recovery rate in exchange for the actual recovery rate on the underlying.
[26] Represents interest rate "basis" swaps whereby the Company pays one floating rate and receives a different floating rate.
[27] Notional value represents the number of underlying index units multiplied by the reference price.
[28] Notional value represents U.S. Dollars to be received by the Company at the maturity of the forward contract.
[29] Notional value represents the total face amount of foreign currency underlying all contracts held; as of December 31, 2017, 216 contracts were held.