XML 98 R88.htm IDEA: XBRL DOCUMENT v3.23.1
Financial Derivatives (TBAs) (Details) - USD ($)
$ in Thousands
Mar. 31, 2023
Dec. 31, 2022
Derivative [Line Items]    
Financial derivatives–assets, at fair value- $ 104,033 $ 132,518
Derivative Liability 24,245 54,198
Derivative Assets (Liabilities), at Fair Value, Net 79,788 78,320
TBA securities    
Derivative [Line Items]    
Notional Amount 314,466 528,441
Derivative, Cost Basis (288,116) (494,953)
Market Value Underlying (292,215) (488,975)
Derivative Assets (Liabilities), at Fair Value, Net (4,099) 5,978
TBA securities | Long    
Derivative [Line Items]    
Notional Amount 110,335 163,127
Derivative, Cost Basis 104,597 157,096
Market Value Underlying 106,064 155,089
Derivative Assets (Liabilities), at Fair Value, Net 1,467 (2,007)
TBA securities | Short    
Derivative [Line Items]    
Notional Amount 424,801 691,568
Derivative, Cost Basis (392,713) (652,049)
Market Value Underlying (398,279) (644,064)
Derivative Assets (Liabilities), at Fair Value, Net (5,566) 7,985
Financial Derivatives - Assets | TBA securities | Long    
Derivative [Line Items]    
Notional Amount 86,380 0
Derivative, Cost Basis 80,854 0
Market Value Underlying 82,336 0
Financial derivatives–assets, at fair value- 1,482 0
Financial Derivatives - Assets | TBA securities | Short    
Derivative [Line Items]    
Notional Amount 77,947 691,568
Derivative, Cost Basis (72,266) (652,049)
Market Value Underlying (72,224) (644,064)
Financial derivatives–assets, at fair value- 42 7,985
Financial Derivatives - Liabilities | TBA securities | Long    
Derivative [Line Items]    
Notional Amount 23,955 163,127
Derivative, Cost Basis 23,743 157,096
Market Value Underlying 23,728 155,089
Derivative Liability (15) (2,007)
Financial Derivatives - Liabilities | TBA securities | Short    
Derivative [Line Items]    
Notional Amount 346,854 0
Derivative, Cost Basis (320,447) 0
Market Value Underlying (326,055) 0
Derivative Liability $ (5,608) $ 0