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v3.23.1

DERIVATIVE INSTRUMENTS - Offsetting of Derivative Assets and Liabilities (Details) - USD ($) $ in Thousands | Mar. 31, 2023 | Dec. 31, 2022
--- | --- | ---
Assets |  |  |
Gross Amounts | $ 400,139 | $ 342,064 | [1]
Liabilities |  |  |
Gross Amounts | 473,515 | 204,172 | [1]
Futures contracts, at fair value |  |  |
Assets |  |  |
Gross Amounts | 222 | 33,179 |
Financial Instruments | (222) | (2,414) |
Cash Collateral | 0 | 0 |
Net Amounts | 0 | 30,765 |
Liabilities |  |  |
Gross Amounts | 293,840 | 11,919 |
Financial Instruments | (222) | (2,414) |
Cash Collateral | (293,618) | (9,505) |
Net Amounts | 0 | 0 |
Purchase commitments |  |  |
Assets |  |  |
Gross Amounts | 2,706 | 1,832 |
Financial Instruments | 0 | 0 |
Cash Collateral | 0 | 0 |
Net Amounts | 2,706 | 1,832 |
Liabilities |  |  |
Gross Amounts | 470 | 460 |
Financial Instruments | 0 | 0 |
Cash Collateral | 0 | 0 |
Net Amounts | 470 | 460 |
Interest rate swaps, at fair value |  |  |
Assets |  |  |
Gross Amounts | 19,155 | 33,006 |
Financial Instruments | (13,593) | (24,625) |
Cash Collateral | 0 | 0 |
Net Amounts | 5,562 | 8,381 |
Liabilities |  |  |
Gross Amounts | 155,801 | 108,724 |
Financial Instruments | (13,593) | (24,625) |
Cash Collateral | 0 | (1,251) |
Net Amounts | 142,208 | 82,848 |
Interest rate swaptions, at fair value |  |  |
Assets |  |  |
Gross Amounts | 210,992 | 256,991 |
Financial Instruments | 0 | 0 |
Cash Collateral | 0 | 0 |
Net Amounts | 210,992 | 256,991 |
TBA derivatives, at fair value |  |  |
Assets |  |  |
Gross Amounts | 167,064 | 17,056 |
Financial Instruments | (3,918) | (16,875) |
Cash Collateral | 0 | 0 |
Net Amounts | 163,146 | 181 |
Liabilities |  |  |
Gross Amounts | 3,918 | 69,270 |
Financial Instruments | (3,918) | (16,875) |
Cash Collateral | 0 | 0 |
Net Amounts | 0 | 52,395 |
Credit derivatives |  |  |
Liabilities |  |  |
Gross Amounts | 19,486 | 13,799 |
Financial Instruments | 0 | 0 |
Cash Collateral | (14,046) | (9,291) |
Net Amounts | $ 5,440 | $ 4,508 |
[1] | (1)Derived from the audited consolidated financial statements at December 31, 2022.

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