XML 72 R60.htm IDEA: XBRL DOCUMENT v3.22.1
Derivative Instruments - Fair value and notional amount of derivatives (Details) - USD ($)
$ in Thousands
Mar. 31, 2022
Dec. 31, 2021
Derivative offsetting    
Derivative assets subject to master netting agreements $ 123,000 $ 122,300
Derivative liabilities subject to master netting agreements 72,600 53,900
Not designated as hedging instrument    
Derivative [Line Items]    
Asset derivatives - fair value 127,153 127,121
Liability derivatives - fair value (72,655) (54,224)
Not designated as hedging instrument | Futures contracts    
Derivative [Line Items]    
Net derivatives - notional value [1] 1,759,560 2,826,564
Not designated as hedging instrument | Futures contracts | Other assets    
Derivative [Line Items]    
Asset derivatives - fair value [2] 35,734 34,999
Not designated as hedging instrument | Futures contracts | Other liabilities    
Derivative [Line Items]    
Liability derivatives - fair value [2] (28,704) (9,808)
Not designated as hedging instrument | Foreign currency forward contracts    
Derivative [Line Items]    
Net derivatives - notional value [1] 1,310,849 915,962
Not designated as hedging instrument | Foreign currency forward contracts | Other assets    
Derivative [Line Items]    
Asset derivatives - fair value [2] 13,956 7,734
Not designated as hedging instrument | Foreign currency forward contracts | Other liabilities    
Derivative [Line Items]    
Liability derivatives - fair value [2] (13,651) (11,390)
Not designated as hedging instrument | TBAs    
Derivative [Line Items]    
Net derivatives - notional value [1] 0 11,227
Not designated as hedging instrument | TBAs | Other assets    
Derivative [Line Items]    
Asset derivatives - fair value [2] 0 11,227
Not designated as hedging instrument | TBAs | Other liabilities    
Derivative [Line Items]    
Liability derivatives - fair value [2] 0 0
Not designated as hedging instrument | Other    
Derivative [Line Items]    
Net derivatives - notional value [1] 3,675,245 3,736,773
Not designated as hedging instrument | Other | Other assets    
Derivative [Line Items]    
Asset derivatives - fair value [2] 77,463 73,161
Not designated as hedging instrument | Other | Other liabilities    
Derivative [Line Items]    
Liability derivatives - fair value [2] $ (30,300) $ (33,026)
[1] Represents the absolute notional value of all outstanding contracts, consisting of long and short positions.
[2] The fair value of asset derivatives are included in ‘other assets’ and the fair value of liability derivatives are included in ‘other liabilities.’