Derivative Instruments (Tables)

9 Months Ended

Sep. 30, 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 September 30, 2024 and December 31, 2023.

			September 30, 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	$	1,500,000	Derivatives, at fair value	$	—	Derivatives, at fair value	$	—
Swaptions	500,000		Derivatives, at fair value	97		Derivatives, at fair value	—
U.S. Treasury futures	—		Derivatives, at fair value	—		Derivatives, at fair value	—
Total	$	2,000,000		$	97		$	—

			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 and nine months ended September 30, 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	September 30, 2024		September 30, 2023
		(dollars in thousands)
Interest Rate Swaps	Net unrealized gains (losses) on interest rate swaps	$	(13,051)	$	(4,422)
Interest Rate Swaps	Net realized gains (losses) on interest rate swaps	—		—
Interest Rate Swaps	Periodic interest cost of interest rate swaps, net	6,789		4,894
Treasury futures	Net unrealized gains (losses) on derivatives	2,605		—
Treasury futures	Net realized gains (losses) on derivatives	(4,864)		—
Swaptions	Net unrealized gains (losses) on derivatives	(4,011)		4,439
Swaptions	Net realized gains (losses) on derivatives	—		—
Total		$	(12,532)	$	4,911

		Net gains (losses) on derivatives for the nine months ended
Derivative Instruments	Location on Consolidated Statements of Operations and Comprehensive Income	September 30, 2024		September 30, 2023
		(dollars in thousands)
Interest Rate Swaps	Net unrealized gains (losses) on interest rate swaps	$	6,429	$	6,510
Interest Rate Swaps	Net realized gains (losses) on interest rate swaps	(17,317)		(45,226)
Interest Rate Swaps	Periodic interest cost of interest rate swaps, net	19,237		11,871
Treasury futures	Net unrealized gains (losses) on derivatives	—		—
Treasury futures	Net realized gains (losses) on derivatives	(4,864)		(6,344)
Swaptions	Net unrealized gains (losses) on derivatives	(3,742)		2,950
Swaptions	Net realized gains (losses) on derivatives	—		10,613
Total		$	(257)	$	(19,626)