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v3.23.1

DERIVATIVE INSTRUMENTS (Tables) | 3 Months Ended
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Mar. 31, 2023
Derivative Instruments and Hedging Activities Disclosure [Abstract] |
Schedule of breakdown of the derivatives outstanding | The following is a breakdown of the derivatives outstanding as of March 31, 2023 and December 31, 2022 ($ in thousands): March 31, 2023
|  |  |  | Fair Value |  | Remaining Maturity (years)
Contract Type |  | Notional |  | Asset(1) |  | Liability(1) |
Caps |  |  |  |  |  |  |  |
1 Month Term SOFR |  | $ | 808 |  |  | $ | 1,470 |  |  | $ | — |  |  | 1.38
Futures |  |  |  |  |  |  |  |
5-year Treasury-Note Futures |  | 44,200 |  |  | $ | — |  |  | $ | 20 |  |  | 0.25
10-year Treasury-Note Futures |  | 61,400 |  |  | — |  |  | 29 |  |  | 0.25
Total futures |  | 105,600 |  |  | — |  |  | 49 |  |  |
Total derivatives |  | $ | 106,408 |  |  | $ | 1,470 |  |  | $ | 49 |  |  |
(1)Shown as derivative instruments in the accompanying consolidated balance sheets. December 31, 2022
|  |  |  | Fair Value |  | Remaining Maturity (years)
Contract Type |  | Notional |  | Asset(1) |  | Liability(1) |
Caps |  |  |  |  |  |  |  |
1 Month Term SOFR |  | $ | 90,000 |  |  | $ | 1,804 |  |  | $ | — |  |  | 1.68
Futures |  |  |  |  |  |  |  |
5-year Treasury-Note Futures |  | 44,200 |  |  | 51 |  |  | — |  |  | 0.25
10-year Treasury-Note Futures |  | 61,400 |  |  | 71 |  |  | — |  |  | 0.25
Total futures |  | 105,600 |  |  | 122 |  |  | — |  |  |
Options |  |  |  |  |  |  |  |
Options |  | 9,100 |  |  | 112 |  |  | — |  |  | 0.20
Total derivatives |  | $ | 204,700 |  |  | $ | 2,038 |  |  | $ | — |  |  |
(1)Shown as derivative instruments in the accompanying consolidated balance sheets.
Schedule of net realized gains/(losses) and unrealized appreciation/(depreciation) on derivatives | The following table indicates the net realized gains (losses) and unrealized appreciation (depreciation) on derivatives, by primary underlying risk exposure, as included in net result from derivatives transactions in the consolidated statements of income for the three months ended March 31, 2023 and 2022 ($ in thousands):
|  |  |  |  | Three Months Ended March 31, 2023
Contract Type |  |  |  |  |  |  |  |  |  |  |  |  | Unrealized Gain/(Loss) |  | Realized Gain/(Loss) |  | Net Result from Derivative Transactions
Caps |  |  |  |  |  |  |  |  |  |  |  |  | $ | (334) |  |  | $ | 237 |  |  | $ | (97) |
Futures |  |  |  |  |  |  |  |  |  |  |  |  | (171) |  |  | (1,861) |  |  | (2,032) |
Options |  |  |  |  |  |  |  |  |  |  |  |  | 131 |  |  | (244) |  |  | (113) |
Total |  |  |  |  |  |  |  |  |  |  |  |  | $ | (374) |  |  | $ | (1,868) |  |  | $ | (2,242) |
|  |  |  |  | Three Months Ended March 31, 2022
Contract Type |  |  |  |  |  |  |  |  |  |  |  |  | Unrealized Gain/(Loss) |  | Realized Gain/(Loss) |  | Net Result from Derivative Transactions
Caps |  |  |  |  |  |  |  |  |  |  |  |  | $ | (6) |  |  | $ | — |  |  | $ | (6) |
Futures |  |  |  |  |  |  |  |  |  |  |  |  | (162) |  |  | 3,303 |  |  | 3,141 |
Total |  |  |  |  |  |  |  |  |  |  |  |  | $ | (168) |  |  | $ | 3,303 |  |  | $ | 3,135 |

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- Definition Tabular disclosure of pertinent information about a derivative or group of derivatives on a disaggregated basis, such as for individual instruments, or small groups of similar instruments. May include a combination of the type of instrument, risks being hedged, notional amount, hedge designation, related hedged item, inception date, maturity date, or other relevant item. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4B -URI https://asc.fasb.org/extlink&oid=125515794&loc=SL5624163-113959 Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 1B -URI https://asc.fasb.org/extlink&oid=125515794&loc=SL5580258-113959 Reference 3: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 2 -URI https://asc.fasb.org/extlink&oid=125515794&loc=d3e41620-113959 Reference 4: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 1A -URI https://asc.fasb.org/extlink&oid=125515794&loc=SL5579245-113959 Reference 5: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4 -URI https://asc.fasb.org/extlink&oid=125515794&loc=d3e41638-113959 Reference 6: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 8 -URI https://asc.fasb.org/extlink&oid=125515794&loc=d3e41678-113959 Reference 7: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 5 -URI https://asc.fasb.org/extlink&oid=125515794&loc=d3e41641-113959 Reference 8: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4C -URI https://asc.fasb.org/extlink&oid=125515794&loc=SL5624171-113959 Reference 9: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 1 -URI https://asc.fasb.org/extlink&oid=125515794&loc=SL5579240-113959 + Details
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