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Note 5 - Derivative and Other Hedging Instruments (Tables)

3 Months Ended

Mar. 31, 2025

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, 2025*				*December 31, 2024*
Assets
Interest rate swaps	Derivative assets, at fair value		$	6,267			$	4,574
TBA securities	Derivative assets, at fair value			443				4,703
Total derivative assets, at fair value			$	6,710			$	9,277

Liabilities
TBA securities	Derivative liabilities, at fair value		$	-			$	332
Total derivative liabilities, at fair value			$	-			$	332

Margin Balances Posted to (from) Counterparties
Futures contracts	Restricted cash		$	891			$	2,625
TBA securities	Restricted cash			-				280
TBA securities	Other liabilities			(1,403	)			(4,282	)
Total margin balances on derivative contracts			$	(512	)		$	(1,377	)

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

($ in thousands)
		*March 31, 2025*
		*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)
June 2025 5-year T-Note futures (Jun 2025 - Jun 2030 Hedge Period)		$	377,500				4.16	%			3.94	%		$	(3,371	)
June 2025 10-year T-Note futures (Jun 2025 - Jun 2035 Hedge Period)			193,500				4.23	%			4.09	%			(1,692	)
June 2025 10-year Ultra futures (Jun 2025 - Jun 2035 Hedge Period)			137,500				4.37	%			4.24	%			(1,611	)
SOFR Futures Contracts (Short Positions)
September 2025 3-Month SOFR futures (Jun 2025 - Sep 2025 Hedge Period)		$	28,750				4.05	%			4.08	%		$	9
December 2025 3-Month SOFR futures (Sep 2025 - Dec 2025 Hedge Period)			28,750				3.83	%			3.81	%			(4	)
March 2026 3-Month SOFR futures (Dec 2025 - Mar 2026 Hedge Period)			28,750				3.69	%			3.63	%			(19	)
June 2026 3-Month SOFR futures (Mar 2026 - Jun 2026 Hedge Period)			28,750				3.61	%			3.51	%			(29	)
September 2026 3-Month SOFR futures (Jun 2026 - Sep 2026 Hedge Period)			28,750				3.57	%			3.44	%			(35	)
December 2026 3-Month SOFR futures (Sep 2026 - Dec 2026 Hedge Period)			28,750				3.55	%			3.43	%			(37	)
March 2027 3-Month SOFR futures (Dec 2026 - Mar 2027 Hedge Period)			28,750				3.56	%			3.44	%			(35	)
June 2027 3-Month SOFR futures (Mar 2027 - Jun 2027 Hedge Period)			28,750				3.56	%			3.46	%			(30	)

($ 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 2025 10-year Ultra futures (Mar 2025 - Mar 2035 Hedge Period)			32,500				4.25	%			4.58	%			914

Schedule of Interest Rate Swaps [Table Text Block]

($ in thousands)
						*Average*
						*Fixed*				*Average*				*Average*
		*Notional*				*Pay*				*Receive*				*Maturity*
		*Amount*				*Rate*				*Rate*				*(Years)*
March 31, 2025
Expiration > 1 to ≤ 5 years		$	1,345,000				2.62	%			4.41	%			3.8
Expiration > 5 years			2,564,300				3.64	%			4.43	%			7.1
		$	3,909,300				3.29	%			4.42	%			6.0
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

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, 2025
*15-Year TBA securities:*
5.0%		$	200,000			$	200,330			$	200,773			$	443
Total		$	200,000			$	200,330			$	200,773			$	443
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

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

(in thousands)
		*Three Months Ended March 31,*
		*2025*				*2024*
Interest rate futures contracts (short position)		$	(14,942	)		$	19,090
Interest rate swaps			(62,843	)			59,098
Payer swaptions (long positions)			-				(58	)
Dual digital option			-				(239	)
TBA securities (short positions)			3,026				9,903
TBA securities (long positions)			100				105
Total		$	(74,659	)		$	87,899