XML 62 R38.htm IDEA: XBRL DOCUMENT v3.22.0.1
Fair Value of Financial Instruments - Summary of Assets and Liabilities Measured at Fair Value on a Recurring Basis (Details) - USD ($)
$ in Thousands
Dec. 31, 2021
Dec. 31, 2020
Assets at Fair Value:    
Agency Securities $ 1,387,845 $ 1,970,902
Debt securities, trading 3,217,509 3,207,420
Derivatives, at fair value 199,073 54,686
Liabilities at Fair Value:    
Derivatives, at fair value 10,900 1,217
US Treasury Securities    
Assets at Fair Value:    
Debt securities, trading 198,833  
Fair Value, Measurements, Recurring    
Assets at Fair Value:    
Agency Securities 4,406,521 5,178,322
Derivatives, at fair value 199,073 54,686
Liabilities at Fair Value:    
Derivatives, at fair value 10,900 1,217
Fair Value, Measurements, Recurring | US Treasury Securities    
Assets at Fair Value:    
Debt securities, trading 198,833  
Fair Value, Measurements, Recurring | (Level 1)    
Assets at Fair Value:    
Agency Securities 0 0
Derivatives, at fair value 0 0
Liabilities at Fair Value:    
Derivatives, at fair value 0 0
Fair Value, Measurements, Recurring | (Level 1) | US Treasury Securities    
Assets at Fair Value:    
Debt securities, trading 198,833  
Fair Value, Measurements, Recurring | (Level 2)    
Assets at Fair Value:    
Agency Securities 4,406,521 5,178,322
Derivatives, at fair value 199,073 54,686
Liabilities at Fair Value:    
Derivatives, at fair value 10,900 1,217
Fair Value, Measurements, Recurring | (Level 2) | US Treasury Securities    
Assets at Fair Value:    
Debt securities, trading 0  
Fair Value, Measurements, Recurring | (Level 3)    
Assets at Fair Value:    
Agency Securities 0 0
Derivatives, at fair value 0 0
Liabilities at Fair Value:    
Derivatives, at fair value 0 $ 0
Fair Value, Measurements, Recurring | (Level 3) | US Treasury Securities    
Assets at Fair Value:    
Debt securities, trading $ 0