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DERIVATIVE INSTRUMENTS (Tables)

3 Months Ended

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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Tabular disclosure of net realized gains/(losses) and unrealized appreciation/(depreciation) on derivatives.

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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.

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