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Derivatives - Schedule of Futures and Options (Details) - USD ($) $ in Thousands |  | 9 Months Ended | 12 Months Ended |
--- | --- | --- | --- | ---
Dec. 31, 2019 | Sep. 30, 2021 | Dec. 31, 2021 | Dec. 31, 2020
Derivative [Line Items] |  |  |  |
Total derivatives assets |  |  | $ 7,969 | $ 11,342
Derivative liability, at fair value |  |  | (2,471) | (1,009)
Options on U.S. Treasury futures |  |  |  |
Derivative [Line Items] |  |  |  |
Total derivatives assets |  |  |  | 1,094
Options on U.S. Treasury futures | Not Designated as Hedging Instrument, Economic Hedge |  |  |  |
Derivative [Line Items] |  |  |  |
Notional Amount |  |  | 0 | 500,000
Total derivatives assets |  |  | $ 0 | 1,094
Average Term to Expiration | 1 month |  |  |
U.S. Treasury futures | Short position |  |  |  |
Derivative [Line Items] |  |  |  |
Derivative liability, at fair value |  |  |  | (902)
U.S. Treasury futures | Not Designated as Hedging Instrument, Economic Hedge | Short position |  |  |  |
Derivative [Line Items] |  |  |  |
Average Term to Expiration |  | 2 months | 3 months |
Derivative liability, notional amount |  |  | $ (3,890,000) | (825,000)
Derivative liability, at fair value |  |  | $ (2,471) | $ (902)

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