Consolidated Condensed Schedule of Investments (Financial Derivatives)
$ in Thousands |
12 Months Ended |
|
|
|
Dec. 31, 2018
USD ($)
contract
|
Dec. 31, 2020
USD ($)
|
Dec. 31, 2019
USD ($)
|
| Investment Holdings, Other than Securities [Line Items] |
|
|
|
| Financial derivatives–assets, at fair value- |
$ 20,001
|
$ 15,479
|
$ 16,788
|
| Derivative Liability |
20,806
|
$ 24,553
|
$ 27,621
|
| Financial derivative-assets, at fair value, Net Cost |
22,526
|
|
|
| Derivatives Proceeds |
(19,019)
|
|
|
| Financial Derivatives - Assets |
|
|
|
| Investment Holdings, Other than Securities [Line Items] |
|
|
|
| Financial derivatives–assets, at fair value- |
$ 20,001
|
|
|
| Investment Owned, Percent of Net Assets |
3.36%
|
|
|
| Financial derivative-assets, at fair value, Net Cost |
$ 22,526
|
|
|
| Financial Derivatives - Liabilities |
|
|
|
| Investment Holdings, Other than Securities [Line Items] |
|
|
|
| Derivative Liability |
$ (20,806)
|
|
|
| Investment Owned, Percent of Net Assets |
(3.50%)
|
|
|
| Derivatives Proceeds |
$ (19,019)
|
|
|
| Credit default swaps on corporate bonds | Financial Derivatives - Assets | Long | North America [Member] |
|
|
|
| Investment Holdings, Other than Securities [Line Items] |
|
|
|
| Financial derivatives–assets, at fair value- |
1,003
|
|
|
| Credit default swaps on corporate bonds | Financial Derivatives - Assets | Short | North America [Member] |
|
|
|
| Investment Holdings, Other than Securities [Line Items] |
|
|
|
| Financial derivatives–assets, at fair value- |
1,470
|
|
|
| Credit default swaps on corporate bonds | Financial Derivatives - Liabilities | Long | North America [Member] |
|
|
|
| Investment Holdings, Other than Securities [Line Items] |
|
|
|
| Derivative Liability |
(2,482)
|
|
|
| Credit default swaps on corporate bonds | Financial Derivatives - Liabilities | Short | North America [Member] |
|
|
|
| Investment Holdings, Other than Securities [Line Items] |
|
|
|
| Derivative Liability |
(756)
|
|
|
| Total return swaps | Financial Derivatives - Assets | Short | North America [Member] |
|
|
|
| Investment Holdings, Other than Securities [Line Items] |
|
|
|
| Financial derivatives–assets, at fair value- |
1
|
|
|
| Swap [Member] | Financial Derivatives - Assets |
|
|
|
| Investment Holdings, Other than Securities [Line Items] |
|
|
|
| Financial derivatives–assets, at fair value- |
$ 19,995
|
|
|
| Investment Owned, Percent of Net Assets |
3.36%
|
|
|
| Financial derivative-assets, at fair value, Net Cost |
$ 22,524
|
|
|
| Swap [Member] | Financial Derivatives - Liabilities |
|
|
|
| Investment Holdings, Other than Securities [Line Items] |
|
|
|
| Derivative Liability |
$ (20,331)
|
|
|
| Investment Owned, Percent of Net Assets |
(3.42%)
|
|
|
| Derivatives Proceeds |
$ (19,019)
|
|
|
| Options | Financial Derivatives - Assets |
|
|
|
| Investment Holdings, Other than Securities [Line Items] |
|
|
|
| Financial derivatives–assets, at fair value- |
$ 0
|
|
|
| Investment Owned, Percent of Net Assets |
0.00%
|
|
|
| Financial derivative-assets, at fair value, Net Cost |
$ 2
|
|
|
| US Treasury Note Futures [Member] | Short |
|
|
|
| Investment Holdings, Other than Securities [Line Items] |
|
|
|
| Number of contracts | contract |
1,516
|
|
|
| Futures | Financial Derivatives - Assets |
|
|
|
| Investment Holdings, Other than Securities [Line Items] |
|
|
|
| Financial derivatives–assets, at fair value- |
$ 0
|
|
|
| Investment Owned, Percent of Net Assets |
0.00%
|
|
|
| Futures | Financial Derivatives - Liabilities |
|
|
|
| Investment Holdings, Other than Securities [Line Items] |
|
|
|
| Derivative Liability |
$ (355)
|
|
|
| Investment Owned, Percent of Net Assets |
(0.06%)
|
|
|
| Forwards | Financial Derivatives - Assets |
|
|
|
| Investment Holdings, Other than Securities [Line Items] |
|
|
|
| Financial derivatives–assets, at fair value- |
$ 6
|
|
|
| Investment Owned, Percent of Net Assets |
0.00%
|
|
|
| Forwards | Financial Derivatives - Liabilities |
|
|
|
| Investment Holdings, Other than Securities [Line Items] |
|
|
|
| Derivative Liability |
$ (120)
|
|
|
| Investment Owned, Percent of Net Assets |
(0.02%)
|
|
|
| Recovery swaps | Financial Derivatives - Liabilities | Long | North America [Member] |
|
|
|
| Investment Holdings, Other than Securities [Line Items] |
|
|
|
| Derivative Liability |
$ (8)
|
|
|
| Foreign Exchange Future [Member] | Short |
|
|
|
| Investment Holdings, Other than Securities [Line Items] |
|
|
|
| Number of contracts | contract |
411
|
|
|
| Credit Risk [Member] | Credit default swaps on corporate bond indices | Financial Derivatives - Assets | Long |
|
|
|
| Investment Holdings, Other than Securities [Line Items] |
|
|
|
| Derivative notional |
$ 47,815
|
|
|
| Financial derivatives–assets, at fair value- |
$ 733
|
|
|
| Credit Risk [Member] | Credit default swaps on corporate bond indices | Financial Derivatives - Assets | Long | Minimum |
|
|
|
| Investment Holdings, Other than Securities [Line Items] |
|
|
|
| Derivatives Maturity Date |
2019-06
|
|
|
| Credit Risk [Member] | Credit default swaps on corporate bond indices | Financial Derivatives - Assets | Long | Maximum |
|
|
|
| Investment Holdings, Other than Securities [Line Items] |
|
|
|
| Derivatives Maturity Date |
2023-06
|
|
|
| Credit Risk [Member] | Credit default swaps on corporate bond indices | Financial Derivatives - Liabilities | Long |
|
|
|
| Investment Holdings, Other than Securities [Line Items] |
|
|
|
| Derivative notional |
$ 2,330
|
|
|
| Derivative Liability |
$ (1,467)
|
|
|
| Derivatives Maturity Date |
2023-12
|
|
|
| Credit Risk [Member] | Credit default swaps on corporate bond indices | Financial Derivatives - Liabilities | Short |
|
|
|
| Investment Holdings, Other than Securities [Line Items] |
|
|
|
| Derivative notional |
$ (279,163)
|
|
|
| Derivative Liability |
$ (10,090)
|
|
|
| Credit Risk [Member] | Credit default swaps on corporate bond indices | Financial Derivatives - Liabilities | Short | Minimum |
|
|
|
| Investment Holdings, Other than Securities [Line Items] |
|
|
|
| Derivatives Maturity Date |
2019-06
|
|
|
| Credit Risk [Member] | Credit default swaps on corporate bond indices | Financial Derivatives - Liabilities | Short | Maximum |
|
|
|
| Investment Holdings, Other than Securities [Line Items] |
|
|
|
| Derivatives Maturity Date |
2023-12
|
|
|
| Credit Risk [Member] | Credit default swaps on asset-backed indices | Financial Derivatives - Assets | Long |
|
|
|
| Investment Holdings, Other than Securities [Line Items] |
|
|
|
| Derivative notional |
$ 689
|
|
|
| Financial derivatives–assets, at fair value- |
$ 7
|
|
|
| Credit Risk [Member] | Credit default swaps on asset-backed indices | Financial Derivatives - Assets | Long | Minimum |
|
|
|
| Investment Holdings, Other than Securities [Line Items] |
|
|
|
| Derivatives Maturity Date |
2037-12
|
|
|
| Credit Risk [Member] | Credit default swaps on asset-backed indices | Financial Derivatives - Assets | Short |
|
|
|
| Investment Holdings, Other than Securities [Line Items] |
|
|
|
| Derivative notional |
$ (56,207)
|
|
|
| Financial derivatives–assets, at fair value- |
$ 8,085
|
|
|
| Credit Risk [Member] | Credit default swaps on asset-backed indices | Financial Derivatives - Assets | Short | Minimum |
|
|
|
| Investment Holdings, Other than Securities [Line Items] |
|
|
|
| Derivatives Maturity Date |
2046-05
|
|
|
| Credit Risk [Member] | Credit default swaps on asset-backed indices | Financial Derivatives - Assets | Short | Maximum |
|
|
|
| Investment Holdings, Other than Securities [Line Items] |
|
|
|
| Derivatives Maturity Date |
2059-11
|
|
|
| Credit Risk [Member] | Credit default swaps on asset-backed indices | Financial Derivatives - Liabilities | Long |
|
|
|
| Investment Holdings, Other than Securities [Line Items] |
|
|
|
| Derivative notional |
$ 14,838
|
|
|
| Derivative Liability |
$ (2,125)
|
|
|
| Credit Risk [Member] | Credit default swaps on asset-backed indices | Financial Derivatives - Liabilities | Long | Minimum |
|
|
|
| Investment Holdings, Other than Securities [Line Items] |
|
|
|
| Derivatives Maturity Date |
2049-03
|
|
|
| Credit Risk [Member] | Credit default swaps on asset-backed indices | Financial Derivatives - Liabilities | Long | Maximum |
|
|
|
| Investment Holdings, Other than Securities [Line Items] |
|
|
|
| Derivatives Maturity Date |
2060-11
|
|
|
| Credit Risk [Member] | Credit default swaps on corporate bonds | Financial Derivatives - Assets | Long | North America [Member] | Basic Materials [Member] |
|
|
|
| Investment Holdings, Other than Securities [Line Items] |
|
|
|
| Derivative notional |
$ 4
|
|
|
| Financial derivatives–assets, at fair value- |
$ 0
|
|
|
| Derivatives Maturity Date |
2022-12
|
|
|
| Credit Risk [Member] | Credit default swaps on corporate bonds | Financial Derivatives - Assets | Long | North America [Member] | Communications [Member] |
|
|
|
| Investment Holdings, Other than Securities [Line Items] |
|
|
|
| Derivative notional |
$ 3,090
|
|
|
| Financial derivatives–assets, at fair value- |
$ 18
|
|
|
| Credit Risk [Member] | Credit default swaps on corporate bonds | Financial Derivatives - Assets | Long | North America [Member] | Communications [Member] | Minimum |
|
|
|
| Investment Holdings, Other than Securities [Line Items] |
|
|
|
| Derivatives Maturity Date |
2020-12
|
|
|
| Credit Risk [Member] | Credit default swaps on corporate bonds | Financial Derivatives - Assets | Long | North America [Member] | Communications [Member] | Maximum |
|
|
|
| Investment Holdings, Other than Securities [Line Items] |
|
|
|
| Derivatives Maturity Date |
2023-12
|
|
|
| Credit Risk [Member] | Credit default swaps on corporate bonds | Financial Derivatives - Assets | Long | North America [Member] | Consumer [Member] |
|
|
|
| Investment Holdings, Other than Securities [Line Items] |
|
|
|
| Derivative notional |
$ 10,655
|
|
|
| Financial derivatives–assets, at fair value- |
$ 868
|
|
|
| Credit Risk [Member] | Credit default swaps on corporate bonds | Financial Derivatives - Assets | Long | North America [Member] | Consumer [Member] | Minimum |
|
|
|
| Investment Holdings, Other than Securities [Line Items] |
|
|
|
| Derivatives Maturity Date |
2020-06
|
|
|
| Credit Risk [Member] | Credit default swaps on corporate bonds | Financial Derivatives - Assets | Long | North America [Member] | Consumer [Member] | Maximum |
|
|
|
| Investment Holdings, Other than Securities [Line Items] |
|
|
|
| Derivatives Maturity Date |
2023-12
|
|
|
| Credit Risk [Member] | Credit default swaps on corporate bonds | Financial Derivatives - Assets | Long | North America [Member] | Financial [Member] |
|
|
|
| Investment Holdings, Other than Securities [Line Items] |
|
|
|
| Derivative notional |
$ 930
|
|
|
| Financial derivatives–assets, at fair value- |
$ 104
|
|
|
| Derivatives Maturity Date |
2023-12
|
|
|
| Credit Risk [Member] | Credit default swaps on corporate bonds | Financial Derivatives - Assets | Long | North America [Member] | Industrial Sector [Member] |
|
|
|
| Investment Holdings, Other than Securities [Line Items] |
|
|
|
| Derivative notional |
$ 485
|
|
|
| Financial derivatives–assets, at fair value- |
$ 13
|
|
|
| Derivatives Maturity Date |
2023-12
|
|
|
| Credit Risk [Member] | Credit default swaps on corporate bonds | Financial Derivatives - Assets | Long | North America [Member] | Energy [Member] | Minimum |
|
|
|
| Investment Holdings, Other than Securities [Line Items] |
|
|
|
| Derivatives Maturity Date |
2020-06
|
|
|
| Credit Risk [Member] | Credit default swaps on corporate bonds | Financial Derivatives - Assets | Long | North America [Member] | Energy [Member] | Maximum |
|
|
|
| Investment Holdings, Other than Securities [Line Items] |
|
|
|
| Derivatives Maturity Date |
2023-06
|
|
|
| Credit Risk [Member] | Credit default swaps on corporate bonds | Financial Derivatives - Assets | Long | North America [Member] | Technology Sector [Member] | Minimum |
|
|
|
| Investment Holdings, Other than Securities [Line Items] |
|
|
|
| Derivatives Maturity Date |
2020-06
|
|
|
| Credit Risk [Member] | Credit default swaps on corporate bonds | Financial Derivatives - Assets | Long | North America [Member] | Technology Sector [Member] | Maximum |
|
|
|
| Investment Holdings, Other than Securities [Line Items] |
|
|
|
| Derivatives Maturity Date |
2023-06
|
|
|
| Credit Risk [Member] | Credit default swaps on corporate bonds | Financial Derivatives - Assets | Short | North America [Member] | Basic Materials [Member] | Minimum |
|
|
|
| Investment Holdings, Other than Securities [Line Items] |
|
|
|
| Derivatives Maturity Date |
2021-12
|
|
|
| Credit Risk [Member] | Credit default swaps on corporate bonds | Financial Derivatives - Assets | Short | North America [Member] | Basic Materials [Member] | Maximum |
|
|
|
| Investment Holdings, Other than Securities [Line Items] |
|
|
|
| Derivatives Maturity Date |
2023-12
|
|
|
| Credit Risk [Member] | Credit default swaps on corporate bonds | Financial Derivatives - Assets | Short | North America [Member] | Communications [Member] |
|
|
|
| Investment Holdings, Other than Securities [Line Items] |
|
|
|
| Derivative notional |
$ (906)
|
|
|
| Financial derivatives–assets, at fair value- |
$ 226
|
|
|
| Credit Risk [Member] | Credit default swaps on corporate bonds | Financial Derivatives - Assets | Short | North America [Member] | Communications [Member] | Minimum |
|
|
|
| Investment Holdings, Other than Securities [Line Items] |
|
|
|
| Derivatives Maturity Date |
2021-12
|
|
|
| Credit Risk [Member] | Credit default swaps on corporate bonds | Financial Derivatives - Assets | Short | North America [Member] | Communications [Member] | Maximum |
|
|
|
| Investment Holdings, Other than Securities [Line Items] |
|
|
|
| Derivatives Maturity Date |
2023-12
|
|
|
| Credit Risk [Member] | Credit default swaps on corporate bonds | Financial Derivatives - Assets | Short | North America [Member] | Consumer [Member] |
|
|
|
| Investment Holdings, Other than Securities [Line Items] |
|
|
|
| Derivative notional |
$ (2,065)
|
|
|
| Financial derivatives–assets, at fair value- |
$ 30
|
|
|
| Derivatives Maturity Date |
2020-03
|
|
|
| Credit Risk [Member] | Credit default swaps on corporate bonds | Financial Derivatives - Assets | Short | North America [Member] | Industrial Sector [Member] |
|
|
|
| Investment Holdings, Other than Securities [Line Items] |
|
|
|
| Derivative notional |
$ (2,074)
|
|
|
| Financial derivatives–assets, at fair value- |
25
|
|
|
| Credit Risk [Member] | Credit default swaps on corporate bonds | Financial Derivatives - Assets | Short | North America [Member] | Energy [Member] |
|
|
|
| Investment Holdings, Other than Securities [Line Items] |
|
|
|
| Derivative notional |
(7,610)
|
|
|
| Financial derivatives–assets, at fair value- |
$ 950
|
|
|
| Credit Risk [Member] | Credit default swaps on corporate bonds | Financial Derivatives - Assets | Short | North America [Member] | Energy [Member] | Minimum |
|
|
|
| Investment Holdings, Other than Securities [Line Items] |
|
|
|
| Derivatives Maturity Date |
2019-06
|
|
|
| Credit Risk [Member] | Credit default swaps on corporate bonds | Financial Derivatives - Assets | Short | North America [Member] | Energy [Member] | Maximum |
|
|
|
| Investment Holdings, Other than Securities [Line Items] |
|
|
|
| Derivatives Maturity Date |
2023-06
|
|
|
| Credit Risk [Member] | Credit default swaps on corporate bonds | Financial Derivatives - Assets | Short | North America [Member] | Technology Sector [Member] |
|
|
|
| Investment Holdings, Other than Securities [Line Items] |
|
|
|
| Derivative notional |
$ (4,070)
|
|
|
| Financial derivatives–assets, at fair value- |
$ 239
|
|
|
| Credit Risk [Member] | Credit default swaps on corporate bonds | Financial Derivatives - Assets | Short | North America [Member] | Technology Sector [Member] | Minimum |
|
|
|
| Investment Holdings, Other than Securities [Line Items] |
|
|
|
| Derivatives Maturity Date |
2020-06
|
|
|
| Credit Risk [Member] | Credit default swaps on corporate bonds | Financial Derivatives - Assets | Short | North America [Member] | Technology Sector [Member] | Maximum |
|
|
|
| Investment Holdings, Other than Securities [Line Items] |
|
|
|
| Derivatives Maturity Date |
2022-06
|
|
|
| Credit Risk [Member] | Credit default swaps on corporate bonds | Financial Derivatives - Liabilities | Long | North America [Member] | Basic Materials [Member] |
|
|
|
| Investment Holdings, Other than Securities [Line Items] |
|
|
|
| Derivative notional |
$ 2,000
|
|
|
| Derivative Liability |
$ (25)
|
|
|
| Derivatives Maturity Date |
2023-12
|
|
|
| Credit Risk [Member] | Credit default swaps on corporate bonds | Financial Derivatives - Liabilities | Long | North America [Member] | Communications [Member] |
|
|
|
| Investment Holdings, Other than Securities [Line Items] |
|
|
|
| Derivative notional |
$ 2,313
|
|
|
| Derivative Liability |
$ (396)
|
|
|
| Credit Risk [Member] | Credit default swaps on corporate bonds | Financial Derivatives - Liabilities | Long | North America [Member] | Communications [Member] | Minimum |
|
|
|
| Investment Holdings, Other than Securities [Line Items] |
|
|
|
| Derivatives Maturity Date |
2022-06
|
|
|
| Credit Risk [Member] | Credit default swaps on corporate bonds | Financial Derivatives - Liabilities | Long | North America [Member] | Communications [Member] | Maximum |
|
|
|
| Investment Holdings, Other than Securities [Line Items] |
|
|
|
| Derivatives Maturity Date |
2023-12
|
|
|
| Credit Risk [Member] | Credit default swaps on corporate bonds | Financial Derivatives - Liabilities | Long | North America [Member] | Consumer [Member] |
|
|
|
| Investment Holdings, Other than Securities [Line Items] |
|
|
|
| Derivative notional |
$ 3,741
|
|
|
| Derivative Liability |
$ (62)
|
|
|
| Credit Risk [Member] | Credit default swaps on corporate bonds | Financial Derivatives - Liabilities | Long | North America [Member] | Consumer [Member] | Minimum |
|
|
|
| Investment Holdings, Other than Securities [Line Items] |
|
|
|
| Derivatives Maturity Date |
2020-03
|
|
|
| Credit Risk [Member] | Credit default swaps on corporate bonds | Financial Derivatives - Liabilities | Long | North America [Member] | Consumer [Member] | Maximum |
|
|
|
| Investment Holdings, Other than Securities [Line Items] |
|
|
|
| Derivatives Maturity Date |
2021-06
|
|
|
| Credit Risk [Member] | Credit default swaps on corporate bonds | Financial Derivatives - Liabilities | Long | North America [Member] | Energy [Member] |
|
|
|
| Investment Holdings, Other than Securities [Line Items] |
|
|
|
| Derivative notional |
$ 5,144
|
|
|
| Derivative Liability |
$ (1,885)
|
|
|
| Credit Risk [Member] | Credit default swaps on corporate bonds | Financial Derivatives - Liabilities | Long | North America [Member] | Energy [Member] | Minimum |
|
|
|
| Investment Holdings, Other than Securities [Line Items] |
|
|
|
| Derivatives Maturity Date |
2020-06
|
|
|
| Credit Risk [Member] | Credit default swaps on corporate bonds | Financial Derivatives - Liabilities | Long | North America [Member] | Energy [Member] | Maximum |
|
|
|
| Investment Holdings, Other than Securities [Line Items] |
|
|
|
| Derivatives Maturity Date |
2023-06
|
|
|
| Credit Risk [Member] | Credit default swaps on corporate bonds | Financial Derivatives - Liabilities | Long | North America [Member] | Technology Sector [Member] |
|
|
|
| Investment Holdings, Other than Securities [Line Items] |
|
|
|
| Derivative notional |
$ 1,953
|
|
|
| Derivative Liability |
$ (114)
|
|
|
| Credit Risk [Member] | Credit default swaps on corporate bonds | Financial Derivatives - Liabilities | Long | North America [Member] | Technology Sector [Member] | Minimum |
|
|
|
| Investment Holdings, Other than Securities [Line Items] |
|
|
|
| Derivatives Maturity Date |
2020-06
|
|
|
| Credit Risk [Member] | Credit default swaps on corporate bonds | Financial Derivatives - Liabilities | Long | North America [Member] | Technology Sector [Member] | Maximum |
|
|
|
| Investment Holdings, Other than Securities [Line Items] |
|
|
|
| Derivatives Maturity Date |
2023-06
|
|
|
| Credit Risk [Member] | Credit default swaps on corporate bonds | Financial Derivatives - Liabilities | Short | North America [Member] | Basic Materials [Member] |
|
|
|
| Investment Holdings, Other than Securities [Line Items] |
|
|
|
| Derivative notional |
$ (1,180)
|
|
|
| Derivative Liability |
$ (57)
|
|
|
| Derivatives Maturity Date |
2019-12
|
|
|
| Credit Risk [Member] | Credit default swaps on corporate bonds | Financial Derivatives - Liabilities | Short | North America [Member] | Communications [Member] |
|
|
|
| Investment Holdings, Other than Securities [Line Items] |
|
|
|
| Derivative notional |
$ (3,910)
|
|
|
| Derivative Liability |
$ (11)
|
|
|
| Credit Risk [Member] | Credit default swaps on corporate bonds | Financial Derivatives - Liabilities | Short | North America [Member] | Communications [Member] | Minimum |
|
|
|
| Investment Holdings, Other than Securities [Line Items] |
|
|
|
| Derivatives Maturity Date |
2019-12
|
|
|
| Credit Risk [Member] | Credit default swaps on corporate bonds | Financial Derivatives - Liabilities | Short | North America [Member] | Communications [Member] | Maximum |
|
|
|
| Investment Holdings, Other than Securities [Line Items] |
|
|
|
| Derivatives Maturity Date |
2023-12
|
|
|
| Credit Risk [Member] | Credit default swaps on corporate bonds | Financial Derivatives - Liabilities | Short | North America [Member] | Consumer [Member] |
|
|
|
| Investment Holdings, Other than Securities [Line Items] |
|
|
|
| Derivative notional |
$ (12,830)
|
|
|
| Derivative Liability |
$ (567)
|
|
|
| Credit Risk [Member] | Credit default swaps on corporate bonds | Financial Derivatives - Liabilities | Short | North America [Member] | Consumer [Member] | Minimum |
|
|
|
| Investment Holdings, Other than Securities [Line Items] |
|
|
|
| Derivatives Maturity Date |
2019-06
|
|
|
| Credit Risk [Member] | Credit default swaps on corporate bonds | Financial Derivatives - Liabilities | Short | North America [Member] | Consumer [Member] | Maximum |
|
|
|
| Investment Holdings, Other than Securities [Line Items] |
|
|
|
| Derivatives Maturity Date |
2023-12
|
|
|
| Credit Risk [Member] | Credit default swaps on corporate bonds | Financial Derivatives - Liabilities | Short | North America [Member] | Financial [Member] |
|
|
|
| Investment Holdings, Other than Securities [Line Items] |
|
|
|
| Derivative notional |
$ (930)
|
|
|
| Derivative Liability |
$ (104)
|
|
|
| Derivatives Maturity Date |
2023-12
|
|
|
| Credit Risk [Member] | Credit default swaps on corporate bonds | Financial Derivatives - Liabilities | Short | North America [Member] | Industrial Sector [Member] |
|
|
|
| Investment Holdings, Other than Securities [Line Items] |
|
|
|
| Derivative notional |
$ (485)
|
|
|
| Derivative Liability |
$ (13)
|
|
|
| Derivatives Maturity Date |
2023-12
|
|
|
| Credit Risk [Member] | Credit default swaps on corporate bonds | Financial Derivatives - Liabilities | Short | North America [Member] | Technology Sector [Member] |
|
|
|
| Investment Holdings, Other than Securities [Line Items] |
|
|
|
| Derivative notional |
$ (1,160)
|
|
|
| Derivative Liability |
$ (4)
|
|
|
| Derivatives Maturity Date |
2019-06
|
|
|
| Credit Risk [Member] | Credit default swaps on asset-backed securities | Financial Derivatives - Assets | Short | North America [Member] | Mortgage-related Residential [Member] |
|
|
|
| Investment Holdings, Other than Securities [Line Items] |
|
|
|
| Derivative notional |
$ (3,186)
|
|
|
| Financial derivatives–assets, at fair value- |
$ 1,472
|
|
|
| Credit Risk [Member] | Credit default swaps on asset-backed securities | Financial Derivatives - Assets | Short | North America [Member] | Mortgage-related Residential [Member] | Minimum |
|
|
|
| Investment Holdings, Other than Securities [Line Items] |
|
|
|
| Derivatives Maturity Date |
2035-06
|
|
|
| Credit Risk [Member] | Credit default swaps on asset-backed securities | Financial Derivatives - Assets | Short | North America [Member] | Mortgage-related Residential [Member] | Maximum |
|
|
|
| Investment Holdings, Other than Securities [Line Items] |
|
|
|
| Derivatives Maturity Date |
2035-12
|
|
|
| Credit Risk [Member] | Total return swaps | Financial Derivatives - Liabilities | Short |
|
|
|
| Investment Holdings, Other than Securities [Line Items] |
|
|
|
| Derivative notional |
$ (11,230)
|
|
|
| Derivative Liability |
$ (6)
|
|
|
| Derivatives Maturity Date |
2019-03
|
|
|
| Credit Risk [Member] | Recovery swaps | Financial Derivatives - Liabilities | Long | North America [Member] | Consumer [Member] |
|
|
|
| Investment Holdings, Other than Securities [Line Items] |
|
|
|
| Derivative notional |
$ 2,600
|
|
|
| Derivative Liability |
$ (8)
|
|
|
| Derivatives Maturity Date |
2019-06
|
|
|
| Interest Rate Risk [Member] | Interest rate swaps | Financial Derivatives - Assets | Long |
|
|
|
| Investment Holdings, Other than Securities [Line Items] |
|
|
|
| Derivative notional |
$ 29,198
|
|
|
| Financial derivatives–assets, at fair value- |
$ 61
|
|
|
| Interest Rate Risk [Member] | Interest rate swaps | Financial Derivatives - Assets | Long | Minimum |
|
|
|
| Investment Holdings, Other than Securities [Line Items] |
|
|
|
| Derivatives Maturity Date |
2019-01
|
|
|
| Interest Rate Risk [Member] | Interest rate swaps | Financial Derivatives - Assets | Long | Maximum |
|
|
|
| Investment Holdings, Other than Securities [Line Items] |
|
|
|
| Derivatives Maturity Date |
2019-02
|
|
|
| Interest Rate Risk [Member] | Interest rate swaps | Financial Derivatives - Assets | Short |
|
|
|
| Investment Holdings, Other than Securities [Line Items] |
|
|
|
| Derivative notional |
$ (353,741)
|
|
|
| Financial derivatives–assets, at fair value- |
$ 7,163
|
|
|
| Interest Rate Risk [Member] | Interest rate swaps | Financial Derivatives - Assets | Short | Minimum |
|
|
|
| Investment Holdings, Other than Securities [Line Items] |
|
|
|
| Derivatives Maturity Date |
2020-03
|
|
|
| Interest Rate Risk [Member] | Interest rate swaps | Financial Derivatives - Assets | Short | Maximum |
|
|
|
| Investment Holdings, Other than Securities [Line Items] |
|
|
|
| Derivatives Maturity Date |
2045-12
|
|
|
| Interest Rate Risk [Member] | Interest rate swaps | Financial Derivatives - Liabilities | Long |
|
|
|
| Investment Holdings, Other than Securities [Line Items] |
|
|
|
| Derivative notional |
$ 113,809
|
|
|
| Derivative Liability |
$ (1,987)
|
|
|
| Interest Rate Risk [Member] | Interest rate swaps | Financial Derivatives - Liabilities | Long | Minimum |
|
|
|
| Investment Holdings, Other than Securities [Line Items] |
|
|
|
| Derivatives Maturity Date |
2021-06
|
|
|
| Interest Rate Risk [Member] | Interest rate swaps | Financial Derivatives - Liabilities | Long | Maximum |
|
|
|
| Investment Holdings, Other than Securities [Line Items] |
|
|
|
| Derivatives Maturity Date |
2029-01
|
|
|
| Interest Rate Risk [Member] | Interest rate swaps | Financial Derivatives - Liabilities | Short |
|
|
|
| Investment Holdings, Other than Securities [Line Items] |
|
|
|
| Derivative notional |
$ (71,672)
|
|
|
| Derivative Liability |
$ (1,406)
|
|
|
| Interest Rate Risk [Member] | Interest rate swaps | Financial Derivatives - Liabilities | Short | Minimum |
|
|
|
| Investment Holdings, Other than Securities [Line Items] |
|
|
|
| Derivatives Maturity Date |
2020-05
|
|
|
| Interest Rate Risk [Member] | Interest rate swaps | Financial Derivatives - Liabilities | Short | Maximum |
|
|
|
| Investment Holdings, Other than Securities [Line Items] |
|
|
|
| Derivatives Maturity Date |
2028-11
|
|
|
| Interest Rate Risk [Member] | Interest Rate Cap [Member] | Financial Derivatives - Assets | Long |
|
|
|
| Investment Holdings, Other than Securities [Line Items] |
|
|
|
| Derivative notional |
$ 51,545
|
|
|
| Financial derivatives–assets, at fair value- |
$ 0
|
|
|
| Derivatives Maturity Date |
2019-05
|
|
|
| Interest Rate Risk [Member] | US Treasury Note Futures [Member] | Financial Derivatives - Assets | Short |
|
|
|
| Investment Holdings, Other than Securities [Line Items] |
|
|
|
| Derivative notional |
$ (151,600)
|
|
|
| Financial derivatives–assets, at fair value- |
$ 0
|
|
|
| Derivatives Maturity Date |
2019-03
|
|
|
| Interest Rate Risk [Member] | Interest Rate Swaps Variable rates only [Member] | Financial Derivatives - Liabilities | Short |
|
|
|
| Investment Holdings, Other than Securities [Line Items] |
|
|
|
| Derivative notional |
$ (12,900)
|
|
|
| Derivative Liability |
$ (4)
|
|
|
| Derivatives Maturity Date |
2019-06
|
|
|
| Interest Rate Risk [Member] | Eurodollar futures | Financial Derivatives - Liabilities | Short |
|
|
|
| Investment Holdings, Other than Securities [Line Items] |
|
|
|
| Derivative notional |
$ (98,000)
|
|
|
| Derivative Liability |
$ (53)
|
|
|
| Number Of Contracts Per Every $1,000,000 In Notional Value | contract |
1
|
|
|
| Interest Rate Risk [Member] | Eurodollar futures | Financial Derivatives - Liabilities | Short | Minimum |
|
|
|
| Investment Holdings, Other than Securities [Line Items] |
|
|
|
| Derivatives Maturity Date |
2019-03
|
|
|
| Interest Rate Risk [Member] | Eurodollar futures | Financial Derivatives - Liabilities | Short | Maximum |
|
|
|
| Investment Holdings, Other than Securities [Line Items] |
|
|
|
| Derivatives Maturity Date |
2020-06
|
|
|
| Interest Rate Risk [Member] | Foreign Exchange Future [Member] | Financial Derivatives - Liabilities | Short |
|
|
|
| Investment Holdings, Other than Securities [Line Items] |
|
|
|
| Derivative notional |
$ (47,931)
|
|
|
| Derivative Liability |
$ (302)
|
|
|
| Derivatives Maturity Date |
2019-03
|
|
|
| Equity Market Risk [Member] | Total return swaps | Financial Derivatives - Assets | Short | North America [Member] | Financial [Member] |
|
|
|
| Investment Holdings, Other than Securities [Line Items] |
|
|
|
| Derivative notional |
$ (17,740)
|
|
|
| Financial derivatives–assets, at fair value- |
$ 1
|
|
|
| Equity Market Risk [Member] | Total return swaps | Financial Derivatives - Assets | Short | North America [Member] | Financial [Member] | Minimum |
|
|
|
| Investment Holdings, Other than Securities [Line Items] |
|
|
|
| Derivatives Maturity Date |
2019-07
|
|
|
| Equity Market Risk [Member] | Total return swaps | Financial Derivatives - Assets | Short | North America [Member] | Financial [Member] | Maximum |
|
|
|
| Investment Holdings, Other than Securities [Line Items] |
|
|
|
| Derivatives Maturity Date |
2019-10
|
|
|
| Currency risk [Member] | Forwards | Financial Derivatives - Assets | Short |
|
|
|
| Investment Holdings, Other than Securities [Line Items] |
|
|
|
| Derivative notional |
$ (802)
|
|
|
| Financial derivatives–assets, at fair value- |
$ 6
|
|
|
| Derivatives Maturity Date |
2019-03
|
|
|
| Currency risk [Member] | Forwards | Financial Derivatives - Liabilities | Short |
|
|
|
| Investment Holdings, Other than Securities [Line Items] |
|
|
|
| Derivative notional |
$ (16,497)
|
|
|
| Derivative Liability |
$ (120)
|
|
|
| Derivatives Maturity Date |
2019-03
|
|
|