XML 40 R28.htm IDEA: XBRL DOCUMENT

Note 5 - Derivative and Other Hedging Instruments (Tables)

6 Months Ended

Jun. 30, 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*		*June 30, 2024*				*December 31, 2023*
Assets
Interest rate swaps	Derivative assets, at fair value		$	29,214			$	6,348
Payer swaption (long position)	Derivative assets, at fair value			-				72
Dual digital option	Derivative assets, at fair value			105				-
Total derivative assets, at fair value			$	29,319			$	6,420

Liabilities
TBA securities	Derivative liabilities, at fair value		$	844			$	12,694
Total derivative liabilities, at fair value			$	844			$	12,694

Margin Balances Posted to (from) Counterparties
Futures contracts	Restricted cash		$	2,098			$	4,096
TBA securities	Restricted cash			2,282				23,720
Interest rate swaption contracts	Restricted cash			403				580
Total margin balances on derivative contracts			$	4,783			$	28,396

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

($ in thousands)
		*June 30, 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⁾
September 2024 5-year T-Note futures (Sep 2024 - Sep 2029 Hedge Period)		$	421,500				4.42	%			4.52	%		$	(2,025	)
SOFR Futures Contracts (Short Positions)
December 2024 3-Month SOFR futures (Sep 2024 - Dec 2024 Hedge Period)		$	25,000				4.27	%			5.15	%		$	220
March 2025 3-Month SOFR futures (Dec 2024 - Mar 2025 Hedge Period)			25,000				3.90	%			4.86	%			239
June 2025 3-Month SOFR futures (Mar 2025 - Jun 2025 Hedge Period)			25,000				3.58	%			4.57	%			245
September 2025 3-Month SOFR futures (Jun 2025 - Sep 2025 Hedge Period)			25,000				3.37	%			4.32	%			237
December 2025 3-Month SOFR futures (Sep 2025 - Dec 2025 Hedge Period)			25,000				3.25	%			4.12	%			218
March 2026 3-Month SOFR futures (Dec 2025 - Mar 2026 Hedge Period)			25,000				3.21	%			3.97	%			191

($ 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)*
June 30, 2024
Expiration > 1 to ≤ 5 years		$	1,200,000				1.34	%			5.45	%			3.6
Expiration > 5 years			1,936,800				3.56	%			5.37	%			7.5
		$	3,136,800				2.71	%			5.40	%			6.0
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)

June 30, 2024

Dual Digital Option⁽¹⁾

$

500

$

105

2.7

$

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)
June 30, 2024
*30-Year TBA securities:*
3.0%		$	(400,000	)		$	(340,281	)		$	(341,125	)		$	(844	)
Total		$	(400,000	)		$	(340,281	)		$	(341,125	)		$	(844	)
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)
		*Six Months Ended June 30,*								*Three Months Ended June 30,*
		*2024*				*2023*				*2024*				*2023*
Interest rate futures contracts (short position)		$	30,768			$	24,002			$	11,678			$	28,040
Interest rate swaps			70,616				22,940				11,518				49,084
Payer swaptions (short positions)			-				4,831				-				(1,754	)
Payer swaptions (long positions)			(72	)			(9,002	)			(14	)			3,107
Interest rate caps			-				(908	)			-				(263	)
Dual digital option			(395	)			-				(156	)			-
Interest rate floors (short positions)			-				(1,216	)			-				(1,216	)
Interest rate floors (long positions)			-				2,529				-				1,344
TBA securities (short positions)			12,945				9,609				3,042				15,599
TBA securities (long positions)			105				(574	)			-				(574	)
Total		$	113,967			$	52,211			$	26,068			$	93,367