XML 86 R75.htm IDEA: XBRL DOCUMENT v3.24.3
Derivative Instruments - Narrative (Details)
$ in Thousands
3 Months Ended 9 Months Ended
Sep. 30, 2024
USD ($)
swap
Sep. 30, 2023
USD ($)
swap
Sep. 30, 2024
USD ($)
contract
swap
Sep. 30, 2023
USD ($)
contract
swap
Dec. 31, 2023
USD ($)
Derivative [Line Items]          
Realized gains (losses) on derivatives $ (4,864) $ 0 $ (22,181) $ (40,957)  
Notional amount 2,000,000   2,000,000   $ 2,500,000
Future          
Derivative [Line Items]          
Realized gains (losses) on derivatives (4,864) 0 (4,864) (6,344)  
Future | 5 Year U.S. Treasury Future, Number One          
Derivative [Line Items]          
Notional amount 139,000   $ 139,000    
Derivative contracts entered into during period | contract     1,391    
Length of contract     5 years    
Future | 5 Year U.S. Treasury Future, Number Two          
Derivative [Line Items]          
Notional amount $ 168,000   $ 168,000    
Derivative contracts entered into during period | contract     1,684    
Length of contract     5 years    
Future | 5 Year U.S. Treasury Future          
Derivative [Line Items]          
Notional amount   600,000   $ 600,000  
Derivative contracts entered into during period | contract       6,000  
Length of contract       5 years  
Future | 2 Year U.S. Treasury Future          
Derivative [Line Items]          
Notional amount   $ 375,000   $ 375,000  
Derivative contracts entered into during period | contract       1,875  
Length of contract       2 years  
Interest Rate Swaps          
Derivative [Line Items]          
Derivative weighted average pay rate 3.56%   3.56%   3.26%
Derivative weighted average receive rate 4.96%   4.96%   5.40%
Derivative remaining maturity 1 year   1 year   1 year
Number of derivative contracts terminated | swap 0 0      
Realized gains (losses) on derivatives $ 0 $ 0 $ (17,317) $ (45,226)  
Derivative, contracts matured during period | swap     1    
Payments to terminate derivatives       45,000  
Derivative, notional amount of derivative terminated       $ 2,500,000  
Notional amount $ 1,500,000   $ 1,500,000   $ 1,000,000
Derivative contracts entered into during period | contract     3    
Length of contract     1 year    
Derivative interest rate 3.56%   3.56%    
Interest Rate Swaps | Nine Months Ended          
Derivative [Line Items]          
Notional amount $ 500,000   $ 500,000    
Swaptions          
Derivative [Line Items]          
Number of derivative contracts terminated | contract       3  
Realized gains (losses) on derivatives 0 0 $ 0 $ 10,613  
Derivative, notional amount of derivative terminated       2,300,000  
Derivative contracts exercised | contract     3    
Notional amount 500,000 $ 1,000,000 $ 500,000 $ 1,000,000 $ 1,500,000
Derivative contracts entered into during period | swap       3  
Length of contract       1 year  
Derivative interest rate   3.56%   3.56%  
Strike rate   3.56%   3.56%  
Swaptions | Nine Months Ended          
Derivative [Line Items]          
Notional amount $ 500,000   $ 500,000    
Swaptions | Three Swaptions, 3 years, 3.56% strike rate          
Derivative [Line Items]          
Notional amount   $ 1,500,000   $ 1,500,000  
Options on Treasury futures          
Derivative [Line Items]          
Realized gains (losses) on derivatives       $ (187)  
Derivative contracts entered into during period | contract       400  
Options on Treasury futures | 5 Year U.S. Treasury Future          
Derivative [Line Items]          
Length of contract       5 years  
Options on Treasury futures | 2 Year U.S. Treasury Future          
Derivative [Line Items]          
Length of contract       2 years