Note 5 - Derivative and Other Hedging Instruments (Tables)

9 Months Ended

Sep. 30, 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	September 30, 2023			December 31, 2022
Assets
Interest rate swaps	Derivative assets, at fair value	$	5,286		$	4,983
Payer swaptions (long positions)	Derivative assets, at fair value		1,418			33,398
Interest rate caps	Derivative assets, at fair value		704			1,119
Interest rate floors (long positions)	Derivative assets, at fair value		3,981			-
TBA securities	Derivative assets, at fair value		9,216			672
Total derivative assets, at fair value		$	20,605		$	40,172
Liabilities
Payer swaptions (short positions)	Derivative liabilities, at fair value	$	-		$	5,982
Interest rate floors (short positions)	Derivative liabilities, at fair value		2,500			-
TBA securities	Derivative liabilities, at fair value		231			1,179
Total derivative liabilities, at fair value		$	2,731		$	7,161
Margin Balances Posted to (from) Counterparties
Futures contracts	Restricted cash	$	3,067		$	16,493
TBA securities	Restricted cash		1,670			1,734
TBA securities	Other liabilities		(11,052	)		(532	)
Interest rate swaptions	Restricted cash		1,530			-
Interest rate swaptions	Other liabilities		(1,520	)		(12,489	)
Total margin balances on derivative contracts		$	(6,305	)	$	5,206

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

($ in thousands)
	September 30, 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)
December 2023 5-year T-Note futures (Dec 2023 - Feb 2028 Hedge Period)	$	471,500		4.33	%		4.78	%	$	5,414
December 2023 10-year T-Note futures (Dec 2023 - Aug 2030 Hedge Period)	$	395,000		4.24	%		4.97	%	$	9,069

($ 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)
September 30, 2023
Expiration > 1 to ≤ 5 years	$	500,000		0.84	%		5.31	%		3.0
Expiration > 5 years		2,126,500		2.84	%		5.31	%		7.4
	$	2,626,500		2.46	%		5.31	%		6.6
December 31, 2022
Expiration > 1 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

Schedule of Interest Rate Caps [Table Text Block]

($ in thousands)
					Strike
	Notional				Swap			Curve	Fair
	Amount		Cost		Rate			Spread	Value
September 30, 2023
February 8, 2024	$	200,000	$	1,450		0.09	%	2Y10Y	$	704
December 31, 2022
February 8, 2024	$	200,000	$	1,450		0.09	%	2Y10Y	$	1,119

Schedule of Interest Rate Floors [Table Text Block]

($ in thousands)
							Strike
	Notional						Swap				Fair
	Amount			Cost			Rate			Terms	Value
September 30, 2023
Long Position	$	1,000,000		$	2,500			0.13	%	2Y_2s30s	$	3,981
Short Position	$	(1,000,000	)	$	(1,358	)		(0.37	)%	2Y_2s30s	$	(2,500	)

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)
September 30, 2023
Payer Swaptions (long positions)
≤ 1 year	$	1,619		$	1,418			8.0	$	800,000			5.40	%	SOFR		1.0
	$	1,619		$	1,418			8.0	$	800,000			5.40	%			1.0
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)
September 30, 2023
15-Year TBA securities:
5.0%	$	100,000		$	97,617		$	97,386		$	(231	)
30-Year TBA securities:
3.0%		(350,000	)		(297,154	)		(290,116	)		7,038
6.0%		(100,000	)		(99,872	)		(98,766	)		1,106
6.5%		(152,500	)		(154,382	)		(153,310	)		1,072
Total	$	(502,500	)	$	(453,791	)	$	(444,806	)	$	8,985
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)
	Nine Months Ended September 30,						Three Months Ended September 30,
	2023			2022			2023			2022
T-Note futures contracts (short position)	$	66,642		$	207,165		$	42,640		$	84,543
Interest rate swaps		101,257			170,987			78,317			65,247
Payer swaptions (short positions)		4,113			(80,183	)		(718	)		(35,239	)
Payer swaptions (long positions)		(7,389	)		150,445			1,613			59,131
Interest rate caps		(415	)		988			493			(499	)
Interest rate floors (short positions)		(1,143	)		-			73			-
Interest rate floors (long positions)		2,666						137
TBA securities (short positions)		31,120			14,194			21,511			10,642
TBA securities (long positions)		(2,598	)		1,200			(2,024	)		106
Total	$	194,253		$	464,796		$	142,042		$	183,931