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v3.23.2

Fair Value of Financial Instruments (Details) - USD ($) $ in Thousands | Jun. 30, 2023 | Dec. 31, 2022
--- | --- | ---
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |
Net Amount of Assets Presented in the Balance Sheet | $ 174 | $ 7,102
Net Amount of Liabilities Presented in the Balance Sheet | 23,621 | 22,595
Fair Value, Measurements, Recurring |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |
MBS | 5,059,308 | 3,112,705
Total assets carried at fair value | 5,059,482 | 3,119,807
Total liabilities carried at fair value | 23,621 | 22,595
Fair Value, Measurements, Recurring | Level 1 |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |
MBS | 0 | 0
Total assets carried at fair value | 0 | 5,859
Total liabilities carried at fair value | 0 | 0
Fair Value, Measurements, Recurring | Level 2 |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |
MBS | 5,059,190 | 3,112,553
Total assets carried at fair value | 5,059,364 | 3,113,796
Total liabilities carried at fair value | 23,621 | 22,595
Fair Value, Measurements, Recurring | Level 3 |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |
MBS | 118 | 152
Total assets carried at fair value | 118 | 152
Total liabilities carried at fair value | 0 | 0
Fair Value, Measurements, Recurring | Options on U.S. Treasury futures |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |
Net Amount of Assets Presented in the Balance Sheet | 0 | 5,859
Fair Value, Measurements, Recurring | Options on U.S. Treasury futures | Level 1 |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |
Net Amount of Assets Presented in the Balance Sheet | 0 | 5,859
Fair Value, Measurements, Recurring | Options on U.S. Treasury futures | Level 2 |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |
Net Amount of Assets Presented in the Balance Sheet | 0 | 0
Fair Value, Measurements, Recurring | Options on U.S. Treasury futures | Level 3 |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |
Net Amount of Assets Presented in the Balance Sheet | 0 | 0
Fair Value, Measurements, Recurring | TBA securities | Long position |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |
Net Amount of Assets Presented in the Balance Sheet | 174 | 1,243
Net Amount of Liabilities Presented in the Balance Sheet | 23,621 | 22,595
Fair Value, Measurements, Recurring | TBA securities | Level 1 | Long position |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |
Net Amount of Assets Presented in the Balance Sheet | 0 | 0
Net Amount of Liabilities Presented in the Balance Sheet | 0 | 0
Fair Value, Measurements, Recurring | TBA securities | Level 2 | Long position |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |
Net Amount of Assets Presented in the Balance Sheet | 174 | 1,243
Net Amount of Liabilities Presented in the Balance Sheet | 23,621 | 22,595
Fair Value, Measurements, Recurring | TBA securities | Level 3 | Long position |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |
Net Amount of Assets Presented in the Balance Sheet | 0 | 0
Net Amount of Liabilities Presented in the Balance Sheet | $ 0 | $ 0

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