XML 76 R66.htm IDEA: XBRL DOCUMENT v3.23.2
Other Assets - Impact of Derivative Instruments on Earnings (Details) - USD ($)
$ in Thousands
3 Months Ended 6 Months Ended
Jun. 30, 2023
Jun. 30, 2022
Jun. 30, 2023
Jun. 30, 2022
Derivative [Line Items]        
Income on swap variable receive leg $ 37,784 $ 4,899 $ 71,635 $ 5,306
Expense on swap fixed pay leg (11,819) (9,172) (23,853) (15,108)
Net price alignment expense on margin collateral received (2,532) 0 (4,810) 0
Net gain on TBA short positions 0 20,310 0 39,186
Total Net (loss)/gain on derivatives used for risk management purposes 60,451 47,804 39,243 141,905
Agreements with mark-to-market collateral provisions        
Derivative [Line Items]        
Unrealized mark-to-market (loss)/gain $ 37,018 $ 31,767 $ (3,729) $ 112,521