XML 94 R84.htm IDEA: XBRL DOCUMENT v3.23.3
Financial Derivatives (Schedule of Financial Derivatives) (Details) - USD ($)
$ in Thousands
Sep. 30, 2023
Dec. 31, 2022
Derivatives, Fair Value [Line Items]    
Financial derivatives–assets, at fair value- $ 198,023 $ 132,518
Financial derivatives–liabilities, at fair value- (38,520) (54,198)
Total 159,503 78,320
TBA Securities, Purchase Contracts [Member]    
Derivatives, Fair Value [Line Items]    
Financial derivatives–liabilities, at fair value- (681) (2,007)
TBA Securities, Sale Contracts [Member]    
Derivatives, Fair Value [Line Items]    
Financial derivatives–assets, at fair value- 6,826 7,985
Financial derivatives–liabilities, at fair value- (2) 0
Interest rate swaps | Short    
Derivatives, Fair Value [Line Items]    
Financial derivatives–assets, at fair value- 176,648 116,768
Financial derivatives–liabilities, at fair value- (67) (1,408)
Interest rate swaps | Long    
Derivatives, Fair Value [Line Items]    
Financial derivatives–assets, at fair value- 640 254
Financial derivatives–liabilities, at fair value- (28,396) (48,882)
Credit default swaps on asset-backed securities    
Derivatives, Fair Value [Line Items]    
Financial derivatives–assets, at fair value- 76 76
Credit default swaps on asset-backed indices    
Derivatives, Fair Value [Line Items]    
Financial derivatives–assets, at fair value- 3,574 3,366
Financial derivatives–liabilities, at fair value- (33) (33)
Credit default swaps on corporate bonds    
Derivatives, Fair Value [Line Items]    
Financial derivatives–liabilities, at fair value- (268) (259)
Credit default swaps on corporate bond indices    
Derivatives, Fair Value [Line Items]    
Financial derivatives–assets, at fair value- 2,298 83
Financial derivatives–liabilities, at fair value- (8,891) (1,513)
Total return swaps    
Derivatives, Fair Value [Line Items]    
Financial derivatives–assets, at fair value- 16 0
Futures    
Derivatives, Fair Value [Line Items]    
Financial derivatives–assets, at fair value- 6,165 2,772
Financial derivatives–liabilities, at fair value- (163) (96)
Futures | Short    
Derivatives, Fair Value [Line Items]    
Total 6,002 2,676
Forwards    
Derivatives, Fair Value [Line Items]    
Financial derivatives–assets, at fair value- 263 77
Financial derivatives–liabilities, at fair value- 19 0
Warrants    
Derivatives, Fair Value [Line Items]    
Financial derivatives–assets, at fair value- $ 1,517 $ 1,137