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Fair Value of Financial Instruments (Tables)

12 Months Ended

Dec. 31, 2023

Fair Value Disclosures [Abstract]

Schedule of Fair Value, Assets and Liabilities Measured on Recurring Basis

The following table presents the Company’s financial instruments that are measured at fair value on the Company’s consolidated balance sheet by their valuation hierarchy levels as of the dates indicated:

($s in thousands)			December 31, 2023																								December 31, 2022
			Fair Value						Level 1						Level 2						Level 3						Fair Value						Level 1						Level 2						Level 3
Assets carried at fair value:
MBS			$	6,038,948					$	—					$	6,038,845					$	103					$	3,112,705					$	—					$	3,112,553					$	152
Derivative assets:
Put options on U.S. Treasury futures			—						—						—						—						5,859						5,859						—						—
TBA securities-long position			54,361						—						54,361						—						1,243						—						1,243						—
Other assets: mortgage loans			1,793						—						—						1,793						2,617						—						—						2,617
Total assets carried at fair value			$	6,095,102					$	—					$	6,093,206					$	1,896					$	3,122,424					$	5,859					$	3,113,796					$	2,769
Liabilities carried at fair value:
TBA securities-long position			$	—					$	—					$	—					$	—					$	22,595					$	—					$	22,595					$	—
Total liabilities carried at fair value			$	—					$	—					$	—					$	—					$	22,595					$	—					$	22,595					$	—

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- References

No definition available.

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- Definition

Tabular disclosure of assets and liabilities, including [financial] instruments measured at fair value that are classified in stockholders' equity, if any, that are measured at fair value on a recurring basis. The disclosures contemplated herein include the fair value measurements at the reporting date by the level within the fair value hierarchy in which the fair value measurements in their entirety fall, segregating fair value measurements using quoted prices in active markets for identical assets (Level 1), significant other observable inputs (Level 2), and significant unobservable inputs (Level 3).

+ References

Reference 1: http://www.xbrl.org/2003/role/disclosureRef
-Topic 820
-SubTopic 10
-Name Accounting Standards Codification
-Section 50
-Paragraph 2
-Subparagraph (a)
-Publisher FASB
-URI https://asc.fasb.org//1943274/2147482106/820-10-50-2

Reference 2: http://www.xbrl.org/2003/role/disclosureRef
-Topic 820
-SubTopic 10
-Name Accounting Standards Codification
-Section 50
-Paragraph 2
-Subparagraph (b)
-Publisher FASB
-URI https://asc.fasb.org//1943274/2147482106/820-10-50-2

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