XML 71 R59.htm IDEA: XBRL DOCUMENT v3.23.1
Note 12 - Fair Value - Schedule of Fair Value Assets and Liabilities Measured on Recurring Basis (Details) - USD ($)
$ in Thousands
Mar. 31, 2023
Dec. 31, 2022
Mortgage-backed securities, at fair value (includes pledged assets of $3,946,156 and $3,512,640, respectively) $ 3,999,906 $ 3,540,002
U.S. Treasury Notes, at fair value (includes pledged assets of $36,806 and $36,382, respectively) 36,806 36,382
Fair Value, Inputs, Level 1 [Member] | Fair Value, Recurring [Member]    
Mortgage-backed securities, at fair value (includes pledged assets of $3,946,156 and $3,512,640, respectively) 0 0
U.S. Treasury Notes, at fair value (includes pledged assets of $36,806 and $36,382, respectively) 36,806 36,382
Fair Value, Inputs, Level 1 [Member] | Fair Value, Recurring [Member] | Interest Rate Swap [Member]    
Derivative assets, at fair value 0 0
Fair Value, Inputs, Level 1 [Member] | Fair Value, Recurring [Member] | Payer Swaptions [Member]    
Derivative assets, at fair value 0 0
Fair Value, Inputs, Level 1 [Member] | Fair Value, Recurring [Member] | Interest Rate Cap [Member]    
Derivative assets, at fair value 0 0
Fair Value, Inputs, Level 1 [Member] | Fair Value, Recurring [Member] | TBA Contracts [Member]    
Derivative assets, at fair value 0 0
Fair Value, Inputs, Level 2 [Member] | Fair Value, Recurring [Member]    
Mortgage-backed securities, at fair value (includes pledged assets of $3,946,156 and $3,512,640, respectively) 3,999,906 3,540,002
U.S. Treasury Notes, at fair value (includes pledged assets of $36,806 and $36,382, respectively) 0 0
Fair Value, Inputs, Level 2 [Member] | Fair Value, Recurring [Member] | Interest Rate Swap [Member]    
Derivative assets, at fair value 13,972 4,983
Fair Value, Inputs, Level 2 [Member] | Fair Value, Recurring [Member] | Payer Swaptions [Member]    
Derivative assets, at fair value 6,321 27,416
Fair Value, Inputs, Level 2 [Member] | Fair Value, Recurring [Member] | Interest Rate Cap [Member]    
Derivative assets, at fair value 474 1,119
Fair Value, Inputs, Level 2 [Member] | Fair Value, Recurring [Member] | TBA Contracts [Member]    
Derivative assets, at fair value (11,034) (507)
Fair Value, Inputs, Level 3 [Member] | Fair Value, Recurring [Member]    
Mortgage-backed securities, at fair value (includes pledged assets of $3,946,156 and $3,512,640, respectively) 0 0
U.S. Treasury Notes, at fair value (includes pledged assets of $36,806 and $36,382, respectively) 0 0
Fair Value, Inputs, Level 3 [Member] | Fair Value, Recurring [Member] | Interest Rate Swap [Member]    
Derivative assets, at fair value 0 0
Fair Value, Inputs, Level 3 [Member] | Fair Value, Recurring [Member] | Payer Swaptions [Member]    
Derivative assets, at fair value 0 0
Fair Value, Inputs, Level 3 [Member] | Fair Value, Recurring [Member] | Interest Rate Cap [Member]    
Derivative assets, at fair value 0 0
Fair Value, Inputs, Level 3 [Member] | Fair Value, Recurring [Member] | TBA Contracts [Member]    
Derivative assets, at fair value $ 0 $ 0