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v3.23.3

Derivatives Offsetting Assets (Details) - USD ($) $ in Thousands | Sep. 30, 2023 | Dec. 31, 2022
--- | --- | ---
Offsetting Assets [Line Items] |  |  |
Gross Amount of Recognized Assets |  | $ 4,594 | $ 7,102
Gross Amount Offset in the Balance Sheet |  | 0 | 0
Net Amount of Assets Presented in the Balance Sheet |  | 4,594 | 7,102
Financial Instruments Received as Collateral | [1] | (648) | (1,243)
Cash collateral posted by counterparties | [1] | 0 | 0
Net Amount |  | 3,946 | 5,859
Options on U.S. Treasury futures | Not Designated as Hedging Instrument, Economic Hedge |  |  |
Offsetting Assets [Line Items] |  |  |
Gross Amount of Recognized Assets |  | 3,946 | 5,859
Gross Amount Offset in the Balance Sheet |  | 0 | 0
Net Amount of Assets Presented in the Balance Sheet |  | 3,946 | 5,859
Financial Instruments Received as Collateral | [1] | 0 | 0
Cash collateral posted by counterparties | [1] | 0 | 0
Net Amount |  | 3,946 | 5,859
Long position | TBA securities |  |  |
Offsetting Assets [Line Items] |  |  |
Gross Amount of Recognized Assets |  | 648 | 1,243
Gross Amount Offset in the Balance Sheet |  | 0 | 0
Net Amount of Assets Presented in the Balance Sheet |  | 648 | 1,243
Financial Instruments Received as Collateral | [1] | (648) | (1,243)
Cash collateral posted by counterparties | [1] | 0 | 0
Net Amount |  | $ 0 | $ 0
[1] | Amounts disclosed for collateral received by or posted to the same counterparty include cash and the fair value of MBS up to and not exceeding the net amount of the derivative asset or liability presented in the balance sheet. The fair value of the total collateral received by or posted to the same counterparty may exceed the amounts presented. Please refer to the consolidated balance sheets for the total fair value of financial instruments pledged as collateral for derivatives and repurchase agreements, which is shown parenthetically, and the total cash pledged or received as collateral which is disclosed in “cash collateral posted to/by counterparties.”

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