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Note 4 - Derivative and Other Hedging Instruments (Tables)

12 Months Ended

Dec. 31, 2022

Notes Tables

Schedule of Derivative Instruments in Statement of Financial Position, Fair Value [Table Text Block]

(in thousands)
Derivative and Other Hedging Instruments	*Balance Sheet Location*		*December 31, 2022*				*December 31, 2021*
Assets
Interest rate swaps	Derivative assets, at fair value		$	4,983			$	29,293
Payer swaptions (long positions)	Derivative assets, at fair value			33,398				21,493
Interest rate caps	Derivative assets, at fair value			1,119				-
TBA securities	Derivative assets, at fair value			672				-
Total derivative assets, at fair value			$	40,172			$	50,786

Liabilities
Interest rate swaps	Derivative liabilities, at fair value		$	-			$	2,862
Payer swaptions (short positions)	Derivative liabilities, at fair value			5,982				4,423
TBA securities	Derivative liabilities, at fair value			1,179				304
Total derivative liabilities, at fair value			$	7,161			$	7,589

Margin Balances Posted to (from) Counterparties
Futures contracts	Restricted cash		$	16,493			$	8,035
TBA securities	Restricted cash			1,734				-
TBA securities	Other liabilities			(532	)			(856	)
Interest rate swaption contracts	Other liabilities			(12,489	)			(6,350	)
Interest rate swap contracts	Other liabilities			-				-
Total margin balances on derivative contracts			$	5,206			$	829

($ in thousands)

Net

Strike

Estimated

Notional

Swap

Curve

Fair

Expiration

Amount

Cost

Rate

Spread

Value

February 8, 2024

$

200,000

$

1,450

0.09

%

2Y10Y

$

1,119

Schedule of Notional Amounts of Outstanding Derivative Positions [Table Text Block]

($ in thousands)
		*December 31, 2022*
		*Average*				*Weighted*				*Weighted*
		*Contract*				*Average*				*Average*
		*Notional*				*Entry*				*Effective*				*Open*
Expiration Year		*Amount*				*Rate*				*Rate*				*Equity(1)*
U.S. Treasury Note Futures Contracts (Short Positions)⁽²⁾
March 2023 5-year T-Note futures (Mar 2023 - Mar 2028 Hedge Period)		$	750,500				4.20	%			4.22	%		$	(100	)
March 2023 10-year Ultra futures (Mar 2023 - Mar 2033 Hedge Period)		$	174,500				3.66	%			3.79	%		$	965

($ in thousands)
		*December 31, 2021*
		*Average*				*Weighted*				*Weighted*
		*Contract*				*Average*				*Average*
		*Notional*				*Entry*				*Effective*				*Open*
Expiration Year		*Amount*				*Rate*				*Rate*				*Equity(1)*
U.S. Treasury Note Futures Contracts (Short Position)⁽²⁾
March 2022 5-year T-Note futures (Mar 2022 - Mar 2027 Hedge Period)		$	369,000				1.56	%			1.62	%		$	1,013
March 2022 10-year Ultra futures (Mar 2022 - Mar 2032 Hedge Period)		$	220,000				1.22	%			1.09	%		$	(3,861	)

Schedule of Interest Rate Swaps [Table Text Block]

($ in thousands)
						Average
						Fixed				Average				Average
		*Notional*				*Pay*				*Receive*				*Maturity*
		*Amount*				*Rate*				*Rate*				*(Years)*
December 31, 2022
Expiration > 3 to ≤ 5 years		$	500,000				0.84	%			4.75	%			3.7
Expiration > 5 years		$	900,000				1.70	%			4.23	%			6.6
		$	1,400,000				1.39	%			4.41	%			5.6
December 31, 2021
Expiration > 3 to ≤ 5 years		$	955,000				0.64	%			0.16	%			4.0
Expiration > 5 years		$	400,000				1.16	%			0.21	%			7.3
		$	1,355,000				0.79	%			0.18	%			5.0

Schedule of Interest Rate Swaption Agreements [Table Text Block]

($ in thousands)
		*Option*												*Underlying Swap*
										*Weighted*											*Average*		*Weighted*
										*Average*								*Average*			*Adjustable*		*Average*
						*Fair*				*Months to*				*Notional*				*Fixed*			*Rate*		*Term*
Expiration		*Cost*				*Value*				*Expiration*				*Amount*				*Rate*			*(LIBOR)*		*(Years)*
December 31, 2022
Payer Swaptions (long positions)
≤ 1 year		$	36,685			$	21,253				9.6				1,250,000				4.09	%	3 Month			10.0
> 10 years		$	11,021			$	12,145				239.5				120,000				2.05	%	3 Month			10.0
		$	47,706			$	33,398				29.8			$	1,370,000				3.91	%	3 Month			10.0
Payer Swaptions (short positions)
≤ 1 year		$	(17,800	)		$	(5,982	)			3.6			$	(917,000	)			4.09	%	3 Month			10.0
December 31, 2021
Payer Swaptions (long positions)
≤ 1 year		$	4,000			$	1,575				3.2				400,000				1.66	%	3 Month			5.0
> 1 year ≤ 2 years			32,690				19,918				18.4				1,258,500				2.46	%	3 Month			14.1
		$	36,690			$	21,493				14.7			$	1,658,500				2.27	%	3 Month			11.9
Payer Swaptions (short positions)
≤ 1 year		$	(16,185	)		$	(4,423	)			5.3			$	(1,331,500	)			2.29	%	3 Month			11.4

Schedule of To Be Announced Securities [Table Text Block]

($ in thousands)
			Notional												Net
			Amount				Cost				Market				Carrying
			Long (Short)⁽¹⁾				Basis⁽²⁾				Value⁽³⁾				Value⁽⁴⁾
December 31, 2022
*30-Year TBA securities:*
2.0%			$	(175,000	)		$	(142,268	)		$	(143,145	)		$	(877	)
3.0%				(500,000	)			(440,644	)			(440,274	)			370
Total			$	(675,000	)		$	(582,912	)		$	(583,419	)		$	(507	)
December 31, 2021
*30-Year TBA securities:*
3.0%			$	(575,000	)		$	(595,630	)		$	(595,934	)		$	(304	)
Total			$	(575,000	)		$	(595,630	)		$	(595,934	)		$	(304	)

Derivative Instruments, Gain (Loss) [Table Text Block]

(in thousands)
		*2022*				*2021*				*2020*
U.S. Treasury Note futures contracts (short position)		$	207,511			$	(846	)		$	(4,707	)
Eurodollar futures contracts (short positions)			-				(10	)			(8,337	)
Interest rate swaps			170,297				23,613				(66,212	)
Payer swaptions (long positions)			152,365				(2,580	)			98
Payer swaptions (short positions)			(81,050	)			9,062				(3,070	)
Interest rate caps			919				-				-
Interest rate floors			-				2,765				-
TBA securities (short positions)			4,494				3,432				(6,719	)
TBA securities (long positions)			1,200				(8,559	)			9,950
U.S. Treasury securities (short positions)			-				-				(95	)
Total		$	455,736			$	26,877			$	(79,092	)