Derivative Financial Instruments (Tables)

6 Months Ended

Jun. 30, 2022

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Schedule of Derivative Instruments Presented on the Balance Sheet and Notional Amounts

The following table sets forth the derivative instruments presented on the condensed consolidated balance sheets and notional amounts as of June 30, 2022 and December 31, 2021:

							Notional Amounts
As of:	Derivatives Not Designated as Hedging Instruments	Number of Contracts	Assets		Liabilities		Long Exposure		Short Exposure
			($ in thousands)
June 30, 2022	Interest rate futures	12,902	$	594	$	—	$	—	$	1,290,200
June 30, 2022	TBAs	N/A	$	—	$	(8,258)	$	—	$	876,000
December 31, 2021	Interest rate futures	10,438	$	—	$	(728)	$	—	$	1,043,800
December 31, 2021	TBAs	N/A	$	2,428	$	—	$	—	$	523,938

Schedule of Derivatives Not Designated as Hedging Instruments

The gains and losses arising from these derivative instruments in the condensed consolidated statements of operations and comprehensive income (loss) for the three and six months ended June 30, 2022 and June 30, 2021 are set forth as follows:

	Derivatives Not Designated as Hedging Instruments	Net Realized Gains (Losses) on Derivative Instruments		Net Change in Unrealized Appreciation (Depreciation) on Derivative Instruments
		(in thousands)
Three Months Ended June 30, 2022	Interest rate futures	$	29,429	$	(13,413)
Three Months Ended June 30, 2022	TBAs	$	(964)	$	(9,577)
Three Months Ended June 30, 2021	Interest rate futures	$	(2,546)	$	746
Three Months Ended June 30, 2021	TBAs	$	(2,070)	$	(118)

	Derivatives Not Designated as Hedging Instruments	Net Realized Gains (Losses) on Derivative Instruments		Net Change in Unrealized Appreciation (Depreciation) on Derivative Instruments
		(in thousands)
Six Months Ended June 30, 2022	Interest rate futures	$	49,113	$	1,322
Six Months Ended June 30, 2022	TBAs	$	13,179	$	(10,686)
Six Months Ended June 30, 2021	Interest rate futures	$	(2,443)	$	2,481
Six Months Ended June 30, 2021	TBAs	$	(471)	$	(185)