Derivative Instruments (Tables)

6 Months Ended

Jun. 30, 2023

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Schedule of Notional Amounts of Outstanding Derivative Positions

The table below summarizes the location and fair value of the derivatives reported in the Consolidated Statements of Financial Condition after counterparty netting and posting of cash collateral as of June 30, 2023 and December 31, 2022.

			June 30, 2023
			Derivative Assets			Derivative Liabilities
Derivative Instruments	Notional Amount Outstanding		Location on Consolidated Statements of Financial Condition	Net Estimated Fair Value/Carrying Value		Location on Consolidated Statements of Financial Condition	Net Estimated Fair Value/Carrying Value
			(dollars in thousands)
Interest Rate Swaps	$	1,000,000	Derivatives, at fair value	$	6,107	Derivatives, at fair value	$	—
Swaptions	1,500,000		Derivatives, at fair value	221		Derivatives, at fair value	$	—
U.S. Treasury futures	—		Derivatives, at fair value, net	—		Derivatives, at fair value, net	—
Total	$	2,500,000		$	6,328		$	—

			December 31, 2022
			Derivative Assets			Derivative Liabilities
Derivative Instruments	Notional Amount Outstanding		Location on Consolidated Statements of Financial Condition	Net Estimated Fair Value/Carrying Value		Location on Consolidated Statements of Financial Condition	Net Estimated Fair Value/Carrying Value
			(dollars in thousands)
Interest Rate Swaps	$	1,485,000	Derivatives, at fair value, net	$	3,716	Derivatives, at fair value, net	$	—
Swaptions	1,000,000		Derivatives, at fair value, net	380		Derivatives, at fair value, net	$	—
Total	$	2,485,000		$	4,096		$	—

Schedule of Derivative Instruments, Gains (Losses)

The effect of the Company’s derivatives on the Consolidated Statements of Operations for the quarters ended June 30, 2023 and 2022, respectively is presented below.

		Net gains (losses) on derivatives for the quarters ended
Derivative Instruments	Location on Consolidated Statements of Operations and Comprehensive Income	June 30, 2023		June 30, 2022
		(dollars in thousands)
Interest Rate Swaps	Net unrealized gains (losses) on interest rate swaps	$	3,023	$	—
Interest Rate Swaps	Net realized gains (losses) on interest rate swaps	—		—
Interest Rate Swaps	Periodic interest cost of interest rate swaps, net	4,159		—
Treasury futures	Net unrealized gains (losses) on derivatives	6,851		—
Treasury futures	Net realized gains (losses) on derivatives	(6,822)		—
Swaptions	Net unrealized gains (losses) on derivatives	8,120		(1,618)
Swaptions	Net realized gains (losses) on derivatives	—		—
Total		$	15,331	$	(1,618)

		Net gains (losses) on derivatives for the six months ended
Derivative Instruments	Location on Consolidated Statements of Operations and Comprehensive Income	June 30, 2023		June 30, 2022
		(dollars in thousands)
Interest Rate Swaps	Net unrealized gains (losses) on interest rate swaps	$	10,931	$	—
Interest Rate Swaps	Net realized gains (losses) on interest rate swaps	(45,226)		—
Interest Rate Swaps	Periodic interest cost of interest rate swaps, net	6,977		—
Treasury futures	Net unrealized gains (losses) on derivatives	—		—
Treasury futures	Net realized gains (losses) on derivatives	(6,344)		—
Swaptions	Net unrealized gains (losses) on derivatives	(1,488)		(1,618)
Swaptions	Net realized gains (losses) on derivatives	10,613		—
Total		$	(24,537)	$	1,618