Derivative Instruments - Fair Value of Derivative Instruments (Details) - USD ($) $ in Thousands |
Dec. 31, 2021 |
Dec. 31, 2020 |
|---|---|---|
| Derivative Assets | $ 250 | $ 258 |
| Derivative Liabilities | (228) | (221) |
| Interest Rate Swap | ||
| Derivative Assets | 0 | 0 |
| Derivative Liabilities | (107) | (147) |
| 10-year U.S. Treasury Note Futures | ||
| Derivative Assets | 16 | 0 |
| Derivative Liabilities | 0 | 0 |
| Options on U.S. Treasury Note Futures | ||
| Derivative Assets | 4 | 0 |
| Derivative Liabilities | 0 | 0 |
| TBA Commitments | ||
| Derivative Assets | 230 | 258 |
| Derivative Liabilities | $ (121) | $ (74) |