Note 5 - Derivative and Other Hedging Instruments (Tables)

12 Months Ended

Dec. 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	December 31, 2024			December 31, 2023
Assets
Interest rate swaps	Derivative assets, at fair value	$	4,574		$	6,348
Payer swaptions (long positions)	Derivative assets, at fair value		-			72
TBA securities	Derivative assets, at fair value		4,703			-
Total derivative assets, at fair value		$	9,277		$	6,420
Liabilities
TBA securities	Derivative liabilities, at fair value	$	332		$	12,694
Total derivative liabilities, at fair value		$	332		$	12,694
Margin Balances Posted to (from) Counterparties
Futures contracts	Restricted cash	$	2,625		$	4,096
TBA securities	Restricted cash		280			23,720
Interest rate swaption contracts	Restricted cash		-			580
TBA securities	Other liabilities		(4,282	)		-
Total margin balances on derivative contracts		$	(1,377	)	$	28,396

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

($ in thousands)
	December 31, 2024
	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 2025 5-year T-Note futures (Mar 2025 - Mar 2030 Hedge Period)	$	312,500		4.22	%		4.37	%	$	1,890
March 2025 10-year T-Note futures (Mar 2025 - Mar 2035 Hedge Period)		93,500		4.30	%		4.49	%		1,119
March 2024 10-year Ultra futures (Mar 2025 - Mar 2035 Hedge Period)		32,500		4.25	%		4.58	%		914

($ 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	)

Schedule of Interest Rate Swaps [Table Text Block]

($ in thousands)
			Average
			Fixed			Average			Average
	Notional		Pay			Receive			Maturity
	Amount		Rate			Rate			(Years)
December 31, 2024
Expiration > 1 to ≤ 5 years	$	1,450,000		1.69	%		4.58	%		3.4
Expiration > 5 years		2,066,800		3.55	%		4.52	%		7.0
	$	3,516,800		2.78	%		4.54	%		5.5
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

Expiration

Cost

Value

Expiration

Amount

Rate

Index

(Years)

December 31, 2023

Payer Swaptions (long positions)

≤ 1 year

$

1,619

$

72

5.0

800,000

5.40

%

SOFR

1.0

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, 2024
15-Year TBA securities:
5.0%	$	50,000		$	50,074		$	49,742		$	(332	)
30-Year TBA securities:
3.0%		(200,000	)		(174,406	)		(169,703	)		4,703
Total	$	(150,000	)	$	(124,332	)	$	(119,961	)	$	4,371
December 31, 2023
30-Year TBA securities:
2.0%	$	(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)
	2024			2023			2022
Futures contracts (short positions)	$	26,638			32,650			206,907
Interest rate swaps		101,151			19,657			167,641
Payer swaptions (long positions)		(72	)		(8,734	)		152,365
Payer swaptions (short positions)		-			4,113			(81,050	)
Interest rate caps		-			(219	)		919
Dual digital option		(500	)		-			-
Interest rate floors (long positions)		-			1,785			-
Interest rate floors (short positions)		-			(525	)		-
TBA securities (short positions)		6,567			1,370			4,494
TBA securities (long positions)		(230	)		(4,860	)		1,200
Total	$	133,554		$	45,237		$	452,476