Derivative Instruments (Tables)

3 Months Ended

Mar. 31, 2024

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 March 31, 2024 and December 31, 2023.

			March 31, 2024
			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	$	2,000,000	Derivatives, at fair value	$	—	Derivatives, at fair value	$	—
Swaptions	1,000,000		Derivatives, at fair value	—		Derivatives, at fair value	$	—
Total	$	3,000,000		$	—		$	—

			December 31, 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, net	$	—	Derivatives, at fair value, net	$	—
Swaptions	1,500,000		Derivatives, at fair value, net	—		Derivatives, at fair value, net	$	—
Total	$	2,500,000		$	—		$	—

Schedule of Derivative Instruments, Gains (Losses)

The effect of the Company’s derivatives on the Consolidated Statements of Operations for the quarters ended March 31, 2024 and 2023, respectively is presented below.

		Net gains (losses) on derivatives for the quarters ended
Derivative Instruments	Location on Consolidated Statements of Operations and Comprehensive Income	March 31, 2024		March 31, 2023
		(dollars in thousands)
Interest Rate Swaps	Net unrealized gains (losses) on interest rate swaps	$	3,679	$	7,909
Interest Rate Swaps	Net realized gains (losses) on interest rate swaps	—		(45,226)
Interest Rate Swaps	Periodic interest cost of interest rate swaps, net	5,476		2,819
Treasury futures	Net unrealized gains (losses) on derivatives	—		(6,851)
Treasury futures	Net realized gains (losses) on derivatives	—		479
Swaptions	Net unrealized gains (losses) on derivatives	1,510		(9,609)
Swaptions	Net realized gains (losses) on derivatives	—		10,613
Total		$	10,665	$	(39,866)