Note 4 - Derivative and Other Hedging Instruments (Tables)

3 Months Ended

Mar. 31, 2023

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	March 31, 2023			December 31, 2022
Assets
Interest rate swaps	Derivative assets, at fair value	$	13,972		$	4,983
Payer swaptions (long positions)	Derivative assets, at fair value		14,849			33,398
Interest rate caps	Derivative assets, at fair value		474			1,119
TBA securities	Derivative assets, at fair value		20			672
Total derivative assets, at fair value		$	29,315		$	40,172
Liabilities
Payer swaptions (short positions)	Derivative liabilities, at fair value	$	8,528		$	5,982
TBA securities	Derivative liabilities, at fair value		11,054			1,179
Total derivative liabilities, at fair value		$	19,582		$	7,161
Margin Balances Posted to (from) Counterparties
Futures contracts	Restricted cash	$	15,547		$	16,493
TBA securities	Restricted cash		9,119			1,734
TBA securities	Other liabilities		(372	)		(532	)
Interest rate swaption contracts	Other liabilities		(1,505	)		(12,489	)
Total margin balances on derivative contracts		$	22,789		$	5,206

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

($ in thousands)
	March 31, 2023
	Average		Weighted			Weighted
	Contract		Average			Average
	Notional		Entry			Effective			Open
Expiration Year	Amount		Rate			Rate			Equity(1)
Treasury Note Futures Contracts (Short Positions)(2)
June 2023 5-year T-Note futures (Jun 2023 - Jun 2028 Hedge Period)	$	926,500		4.17	%		3.89	%	$	(20,719	)
June 2023 10-year Ultra futures (Jun 2023 - Jun 2033 Hedge Period)	$	54,200		3.91	%		3.48	%	$	(2,181	)

($ in thousands)
	December 31, 2022
	Average		Weighted			Weighted
	Contract		Average			Average
	Notional		Entry			Effective			Open
Expiration Year	Amount		Rate			Rate			Equity(1)
Treasury Note Futures Contracts (Short Position)(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

Schedule of Interest Rate Swaps [Table Text Block]

($ in thousands)
			Average
			Fixed			Average			Average
	Notional		Pay			Receive			Maturity
	Amount		Rate			Rate			(Years)
March 31, 2023
Expiration > 3 to ≤ 5 years	$	500,000		0.84	%		5.02	%		3.5
Expiration > 5 years		1,174,000		2.10	%		4.88	%		7.2
	$	1,674,000		1.72	%		4.92	%		6.1
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

Derivative Swap Positions Percentage [Table Text Block]

	March 31, 2023			December 31, 2022
Overnight SOFR		58	%		50	%
Three Month LIBOR		42	%		50	%
		100	%		100	%

Schedule of Interest Rate Caps [Table Text Block]

($ in thousands)
									Net
					Strike				Estimated
	Notional				Swap			Curve	Fair
	Amount		Cost		Rate			Spread	Value
March 31, 2023
February 8, 2024	$	200,000	$	1,450		0.09	%	2Y10Y	$	474
December 31, 2022
February 8, 2024	$	200,000	$	1,450		0.09	%	2Y10Y	$	1,119

Schedule of Interest Rate Swaption Agreements [Table Text Block]

($ in thousands)
	Option								Underlying Swap
							Weighted									Weighted
							Average					Average			Average	Average
				Fair			Months to		Notional			Fixed			Adjustable	Term
Expiration	Cost			Value			Expiration		Amount			Rate			Rate	(Years)
March 31, 2023
Payer Swaptions - long
≤ 1 year	$	36,685		$	6,548			6.6	$	1,250,000			4.09	%	SOFR		10.0
>1 year		10,115			8,301			21.7		1,000,000			3.49	%	SOFR		2.0
	$	46,800		$	14,849			13.3	$	2,250,000			3.82	%			6.4
Payer Swaptions - short
>1 year	$	(12,252	)	$	(8,528	)		13.0	$	(1,917,000	)		3.91	%	SOFR		5.8
December 31, 2022
Payer Swaptions (long positions)
≤ 1 year	$	36,685		$	21,253			9.6	$	1,250,000			4.09	%	SOFR		10.0
> 10 years		11,021			12,145			239.5		120,000			2.05	%	SOFR		10.0
	$	47,706		$	33,398			29.8	$	1,370,000			3.91	%			10.0
Payer Swaptions (short positions)
≤ 1 year	$	(17,800	)	$	(5,982	)		3.6	$	(917,000	)		4.09	%	SOFR		10.0

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)
March 31, 2023
30-Year TBA securities:
2.0%	$	(175,000	)	$	(144,511	)	$	(144,526	)	$	(15	)
3.0%		(700,000	)		(616,438	)		(627,457	)		(11,019	)
Total	$	(875,000	)	$	(760,949	)	$	(771,983	)	$	(11,034	)
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	)

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

(in thousands)
	Three Months Ended March 31,
	2023			2022
T-Note futures contracts (short position)	$	(4,038	)	$	79,691
Interest rate swaps		(26,144	)		66,170
Payer swaptions (short positions)		6,585			(10,908	)
Payer swaptions (long positions)		(12,109	)		40,975
Interest rate caps		(645	)		(996	)
Interest rate floors		1,185			-
TBA securities (short positions)		(5,990	)		2,539
TBA securities (long positions)		-			27
Total	$	(41,156	)	$	177,498