Note 5 - Derivative and Other Hedging Instruments (Tables)

12 Months Ended

Dec. 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	December 31, 2023		December 31, 2022
Assets
Interest rate swaps	Derivative assets, at fair value	$	6,348	$	4,983
Payer swaptions (long positions)	Derivative assets, at fair value		72		33,398
Interest rate caps	Derivative assets, at fair value		-		1,119
TBA securities	Derivative assets, at fair value		-		672
Total derivative assets, at fair value		$	6,420	$	40,172
Liabilities
Interest rate swaps	Derivative liabilities, at fair value	$	-	$	-
Payer swaptions (short positions)	Derivative liabilities, at fair value		-		5,982
TBA securities	Derivative liabilities, at fair value		12,694		1,179
Total derivative liabilities, at fair value		$	12,694	$	7,161
Margin Balances Posted to (from) Counterparties
Futures contracts	Restricted cash	$	4,096	$	16,493
TBA securities	Restricted cash		23,720		1,734
Interest rate swaption contracts	Restricted cash		580		-
TBA securities	Other liabilities		-		(532	)
Interest rate swaption contracts	Other liabilities		-		(12,489	)
Total margin balances on derivative contracts		$	28,396	$	5,206

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

($ in thousands)
	December 31, 2023
	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 2024 5-year T-Note futures (Mar 2024 - Mar 2029 Hedge Period)	$	421,500		4.36	%		4.04	%	$	(9,936	)
March 2024 10-year Ultra futures (Mar 2024 - Mar 2034 Hedge Period)		320,000		4.38	%		4.39	%	$	(11,393	)
SOFR Futures Contracts (Short Positions)
June 2024 3-Month SOFR futures (Mar 2024 - Jun 2024 Hedge Period)	$	25,000		5.08	%		4.99	%	$	(24	)
September 2024 3-Month SOFR futures (Jun 2024 - Sep 2024 Hedge Period)		25,000		4.67	%		4.52	%	$	(39	)
December 2024 3-Month SOFR futures (Sep 2024 - Dec 2024 Hedge Period)		25,000		4.27	%		4.10	%	$	(44	)
March 2025 3-Month SOFR futures (Dec 2024 - Mar 2025 Hedge Period)		25,000		3.90	%		3.73	%	$	(43	)
June 2025 3-Month SOFR futures (Mar 2025 - Jun 2025 Hedge Period)		25,000		3.58	%		3.42	%	$	(41	)
September 2025 3-Month SOFR futures (Jun 2025 - Sep 2025 Hedge Period)		25,000		3.37	%		3.21	%	$	(39	)
December 2025 3-Month SOFR futures (Sep 2025 - Dec 2025 Hedge Period)		25,000		3.25	%		3.10	%	$	(37	)
March 2026 3-Month SOFR futures (Dec 2025 - Mar 2026 Hedge Period)		25,000		3.21	%		3.07	%	$	(35	)

($ 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 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)
December 31, 2023
Expiration > 1 to ≤ 5 years	$	500,000		0.84	%		5.64	%		2.7
Expiration > 5 years		1,826,500		2.62	%		5.40	%		6.8
	$	2,326,500		2.24	%		5.45	%		5.9
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)
									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 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)
December 31, 2023
Payer Swaptions (long positions)
≤ 1 year	$	1,619		$	72			5.0		800,000			5.40	%	SOFR		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
> 1 year ≤ 2 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	%	SOFR		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)
December 31, 2023
30-Year TBA securities:
3.0%	$	(70,700	)	$	(59,278	)	$	(62,647	)	$	(3,369	)
5.0%		(250,000	)		(242,725	)		(247,657	)		(4,932	)
5.5%		(325,000	)		(322,410	)		(326,803	)		(4,393	)
Total	$	(645,700	)	$	(624,413	)	$	(637,107	)	$	(12,694	)
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)
	2023			2022			2021
Futures contracts (short positions)	$	32,650			206,907			(1,026	)
Interest rate swaps		19,657			167,641			23,398
Payer swaptions (long positions)		(8,734	)		152,365			(2,580	)
Payer swaptions (short positions)		4,113			(81,050	)		9,062
Interest rate caps		(219	)		919			-
Interest rate floors (long positions)		1,785			-			2,765
Interest rate floors (short positions)		(525	)		-			-
TBA securities (short positions)		1,370			4,494			3,432
TBA securities (long positions)		(4,860	)		1,200			(8,559	)
Total	$	45,237		$	452,476		$	26,492