Note 5 - Derivative and Other Hedging Instruments (Tables)

3 Months Ended

Mar. 31, 2024

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, 2024			December 31, 2023
Assets
Interest rate swaps	Derivative assets, at fair value	$	11,252		$	6,348
Payer swaption (long position)	Derivative assets, at fair value		14			72
Dual digital option	Derivative assets, at fair value		261			-
TBA securities	Derivative assets, at fair value		984			-
Total derivative assets, at fair value		$	12,511		$	6,420
Liabilities
TBA securities	Derivative liabilities, at fair value	$	80		$	12,694
Total derivative liabilities, at fair value		$	80		$	12,694
Margin Balances Posted to (from) Counterparties
Futures contracts	Restricted cash	$	5,009		$	4,096
TBA securities	Restricted cash		65			23,720
TBA securities	Other liabilities		(240	)		-
Interest rate swaption contracts	Restricted cash		755			580
Total margin balances on derivative contracts		$	5,589		$	28,396

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

($ in thousands)
	March 31, 2024
	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 2024 5-year T-Note futures (Jun 2024 - Jun 2029 Hedge Period)	$	421,500		4.26	%		4.42	%	$	(1,099	)
March 2024 10-year T-Note futures (Mar 2024 - Mar 2034 Hedge Period)		320,000		4.29	%		4.64	%		(2,475	)
SOFR Futures Contracts (Short Positions)
December 2024 3-Month SOFR futures (Sep 2024 - Dec 2024 Hedge Period)	$	25,000		4.27	%		4.87	%	$	149
March 2025 3-Month SOFR futures (Dec 2024 - Mar 2025 Hedge Period)		25,000		3.90	%		4.57	%		168
June 2025 3-Month SOFR futures (Mar 2025 - Jun 2025 Hedge Period)		25,000		3.58	%		4.30	%		179
September 2025 3-Month SOFR futures (Jun 2025 - Sep 2025 Hedge Period)		25,000		3.37	%		4.07	%		175
December 2025 3-Month SOFR futures (Sep 2025 - Dec 2025 Hedge Period)		25,000		3.25	%		3.88	%		158
March 2026 3-Month SOFR futures (Dec 2025 - Mar 2026 Hedge Period)		25,000		3.21	%		3.76	%		138

($ in thousands)
	December 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)
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 T-Note 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	)

Schedule of Interest Rate Swaps [Table Text Block]

($ in thousands)
			Average
			Fixed			Average			Average
	Notional		Pay			Receive			Maturity
	Amount		Rate			Rate			(Years)
March 31, 2024
Expiration > 1 to ≤ 5 years	$	1,200,000		1.34	%		5.45	%		3.9
Expiration > 5 years		1,331,800		3.28	%		5.38	%		7.4
	$	2,531,800		2.36	%		5.41	%		5.7
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

Schedule of Interest Rate Swaption Agreements [Table Text Block]

($ in thousands)
	Option						Underlying Swap
					Weighted								Weighted
					Average				Average			Adjustable	Average
			Fair		Months to		Notional		Fixed			Rate	Term
	Cost		Value		Expiration		Amount		Rate			Index	(Years)
March 31, 2024
Payer Swaption (long position)	$	1,619	$	14		2.0	$	800,000		5.40	%	SOFR		1.0
Dual Digital Option (1)	$	500	$	261		5.7	$	9,412		n/a		n/a		n/a
December 31, 2023
Payer Swaption (long position)	$	1,619	$	72		5.0	$	800,000		5.40	%	SOFR		1.0

Schedule of To Be Announced Securities [Table Text Block]

($ in thousands)
	Notional
	Amount									Net
	Long			Cost			Market			Carrying
	(Short)(1)			Basis(2)			Value(3)			Value(4)
March 31, 2024
30-Year TBA securities:
3.0%	$	(170,700	)	$	(147,202	)	$	(147,282	)	$	(80	)
3.5%		(200,000	)		(180,219	)		(179,235	)		984
Total	$	(370,700	)	$	(327,421	)	$	(326,517	)	$	904
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	)

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

(in thousands)
	Three Months Ended March 31,
	2024			2023
Interest rate futures contracts (short position)	$	19,090		$	(4,038	)
Interest rate swaps		59,098			(26,144	)
Payer swaptions (short positions)		-			6,585
Payer swaptions (long positions)		(58	)		(12,109	)
Interest rate caps		-			(645	)
Dual digital option		(239	)		-
Interest rate floors (long positions)		-			1,185
TBA securities (short positions)		9,903			(5,990	)
TBA securities (long positions)		105			-
Total	$	87,899		$	(41,156	)