v3.21.2

Financial Derivatives (Schedule of Gains and Losses on Derivative Contracts) (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended
--- | --- | ---
Sep. 30, 2021 | Sep. 30, 2020 | Sep. 30, 2021 | Sep. 30, 2020
Derivative [Line Items] |  |  |  |
Net Realized Gains (Losses) on Periodic Settlements of Interest Rate Swaps | $ (1,069) | $ (1,150) | $ (1,808) | $ (1,900)
Net Realized Gains (Losses) Other Than Periodic Settlements of Interest Rate Swaps | (713) | (485) | 6,264 | (23,790)
Realized gains (losses) on financial derivatives, net | (1,782) | (1,635) | 4,456 | (25,690)
Change in Net Unrealized Gains (Losses) on Accrued Periodic Settlements of Interest Rate Swaps | 252 | 516 | (47) | 541
Change in Net Unrealized Gains (Losses) Other Than on Accrued Periodic Settlements of Interest Rate Swaps | 896 | (794) | 6,192 | (2,611)
Unrealized gains (losses) on financial derivatives, net | 1,148 | (278) | 6,145 | (2,070)
Derivative [Member] |  |  |  |
Derivative [Line Items] |  |  |  |
Foreign currency transactions |  | (15) | 18 | 12
Foreign currency translation | (7) | 20 | (38) | 39
Interest rate swaps | Interest Rate Risk [Member] |  |  |  |
Derivative [Line Items] |  |  |  |
Net Realized Gains (Losses) on Periodic Settlements of Interest Rate Swaps | (1,069) | (1,150) | (1,808) | (1,900)
Net Realized Gains (Losses) Other Than Periodic Settlements of Interest Rate Swaps | (243) | (29) | (96) | (8,761)
Realized gains (losses) on financial derivatives, net | (1,312) | (1,179) | (1,904) | (10,661)
Change in Net Unrealized Gains (Losses) on Accrued Periodic Settlements of Interest Rate Swaps | 252 | 516 | (47) | 541
Change in Net Unrealized Gains (Losses) Other Than on Accrued Periodic Settlements of Interest Rate Swaps | 2,790 | 1,104 | 6,244 | (16,373)
Unrealized gains (losses) on financial derivatives, net | 3,042 | 1,620 | 6,197 | (15,832)
Credit default swaps on asset-backed securities | Credit Risk [Member] |  |  |  |
Derivative [Line Items] |  |  |  |
Net Realized Gains (Losses) Other Than Periodic Settlements of Interest Rate Swaps | (4) | 1 | 39 | (955)
Realized gains (losses) on financial derivatives, net | (4) | 1 | 39 | (955)
Change in Net Unrealized Gains (Losses) Other Than on Accrued Periodic Settlements of Interest Rate Swaps | 0 | (1) | (44) | 915
Unrealized gains (losses) on financial derivatives, net | 0 | (1) | (44) | 915
Credit default swaps on corporate bond indices | Credit Risk [Member] |  |  |  |
Derivative [Line Items] |  |  |  |
Net Realized Gains (Losses) Other Than Periodic Settlements of Interest Rate Swaps | (136) | (239) | 1,062 | 3,660
Realized gains (losses) on financial derivatives, net | (136) | (239) | 1,062 | 3,660
Change in Net Unrealized Gains (Losses) Other Than on Accrued Periodic Settlements of Interest Rate Swaps | 69 | 503 | (1,109) | 7,642
Unrealized gains (losses) on financial derivatives, net | 69 | 503 | (1,109) | 7,642
Credit default swaps on corporate bond indices | Credit Risk [Member] |  |  |  |
Derivative [Line Items] |  |  |  |
Net Realized Gains (Losses) Other Than Periodic Settlements of Interest Rate Swaps | (264) | (1,067) | (351) | (550)
Realized gains (losses) on financial derivatives, net | (264) | (1,067) | (351) | (550)
Change in Net Unrealized Gains (Losses) Other Than on Accrued Periodic Settlements of Interest Rate Swaps | 244 | (1,059) | (647) | 3,080
Unrealized gains (losses) on financial derivatives, net | 244 | (1,059) | (647) | 3,080
Credit default swaps on corporate bonds | Credit Risk [Member] |  |  |  |
Derivative [Line Items] |  |  |  |
Net Realized Gains (Losses) Other Than Periodic Settlements of Interest Rate Swaps | 184 | (93) | 265 | 356
Realized gains (losses) on financial derivatives, net | 184 | (93) | 265 | 356
Change in Net Unrealized Gains (Losses) Other Than on Accrued Periodic Settlements of Interest Rate Swaps | (192) | (334) | (346) | 711
Unrealized gains (losses) on financial derivatives, net | (192) | (334) | (346) | 711
Total return swaps | Credit Risk [Member] |  |  |  |
Derivative [Line Items] |  |  |  |
Net Realized Gains (Losses) Other Than Periodic Settlements of Interest Rate Swaps | (41) | (125) | (1,243) | (2,180)
Realized gains (losses) on financial derivatives, net | (41) | (125) | (1,243) | (2,180)
Change in Net Unrealized Gains (Losses) Other Than on Accrued Periodic Settlements of Interest Rate Swaps | (465) | (348) | 476 | 607
Unrealized gains (losses) on financial derivatives, net | (465) | (348) | 476 | 607
TBA securities | Interest Rate Risk [Member] |  |  |  |
Derivative [Line Items] |  |  |  |
Net Realized Gains (Losses) Other Than Periodic Settlements of Interest Rate Swaps | (425) | 2,367 | 4,536 | (6,778)
Realized gains (losses) on financial derivatives, net | (425) | 2,367 | 4,536 | (6,778)
Change in Net Unrealized Gains (Losses) Other Than on Accrued Periodic Settlements of Interest Rate Swaps | (2,381) | (744) | (720) | 1,280
Unrealized gains (losses) on financial derivatives, net | (2,381) | (744) | (720) | 1,280
Futures | Interest Rate Risk [Member] |  |  |  |
Derivative [Line Items] |  |  |  |
Net Realized Gains (Losses) Other Than Periodic Settlements of Interest Rate Swaps | (271) | (402) | 1,641 | (7,866)
Realized gains (losses) on financial derivatives, net | (271) | (402) | 1,641 | (7,866)
Change in Net Unrealized Gains (Losses) Other Than on Accrued Periodic Settlements of Interest Rate Swaps | 843 | 52 | 1,721 | (434)
Unrealized gains (losses) on financial derivatives, net | 843 | 52 | 1,721 | (434)
Forwards | Currency risk [Member] |  |  |  |
Derivative [Line Items] |  |  |  |
Net Realized Gains (Losses) Other Than Periodic Settlements of Interest Rate Swaps | 487 | (898) | 411 | (616)
Realized gains (losses) on financial derivatives, net | 487 | (898) | 411 | (616)
Change in Net Unrealized Gains (Losses) Other Than on Accrued Periodic Settlements of Interest Rate Swaps | (85) | 33 | 640 | 343
Unrealized gains (losses) on financial derivatives, net | (85) | $ 33 | 640 | 343
Warrants | Equity Market/Credit Risk [Member] |  |  |  |
Derivative [Line Items] |  |  |  |
Net Realized Gains (Losses) Other Than Periodic Settlements of Interest Rate Swaps | 0 |  | 0 | 0
Realized gains (losses) on financial derivatives, net | 0 |  | 0 | 0
Change in Net Unrealized Gains (Losses) Other Than on Accrued Periodic Settlements of Interest Rate Swaps | 221 |  | 187 | (382)
Unrealized gains (losses) on financial derivatives, net | 221 |  | 187 | (382)
Options | Interest Rate Risk [Member] |  |  |  |
Derivative [Line Items] |  |  |  |
Net Realized Gains (Losses) Other Than Periodic Settlements of Interest Rate Swaps |  |  |  | (100)
Realized gains (losses) on financial derivatives, net |  |  |  | (100)
Change in Net Unrealized Gains (Losses) Other Than on Accrued Periodic Settlements of Interest Rate Swaps |  |  |  | 0
Unrealized gains (losses) on financial derivatives, net |  |  |  | $ 0
Put Option [Member] | Interest Rate Risk [Member] |  |  |  |
Derivative [Line Items] |  |  |  |
Net Realized Gains (Losses) Other Than Periodic Settlements of Interest Rate Swaps | 0 |  |  |
Realized gains (losses) on financial derivatives, net | 0 |  |  |
Change in Net Unrealized Gains (Losses) Other Than on Accrued Periodic Settlements of Interest Rate Swaps | (148) |  |  |
Unrealized gains (losses) on financial derivatives, net | $ (148) |  |  |
Put Option [Member] | Credit Risk [Member] |  |  |  |
Derivative [Line Items] |  |  |  |
Net Realized Gains (Losses) Other Than Periodic Settlements of Interest Rate Swaps |  |  | 0 |
Realized gains (losses) on financial derivatives, net |  |  | 0 |
Change in Net Unrealized Gains (Losses) Other Than on Accrued Periodic Settlements of Interest Rate Swaps |  |  | (210) |
Unrealized gains (losses) on financial derivatives, net |  |  | $ (210) |

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