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Note 5 - Derivative and Other Hedging Instruments (Tables)

6 Months Ended

Jun. 30, 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*		*June 30, 2025*				*December 31, 2024*
Assets
Interest rate swaps	Derivative assets, at fair value		$	-			$	4,574
TBA securities	Derivative assets, at fair value			-				4,703
Total derivative assets, at fair value			$	-			$	9,277

Liabilities
Interest rate swaps	Derivative liabilities, at fair value		$	4,359			$	-
TBA securities	Derivative liabilities, at fair value		$	-			$	332
Total derivative liabilities, at fair value			$	4,359			$	332

Margin Balances Posted to (from) Counterparties
Futures contracts	Restricted cash		$	4,487			$	2,625
TBA securities (including margin paid on unsettled trades)	Restricted cash			3,169				280
TBA securities (including margin received on unsettled trades)	Other liabilities			(3,100	)			(4,282	)
Total margin balances on derivative contracts			$	4,556			$	(1,377	)

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

($ in thousands)
		*June 30, 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⁾
September 2025 5-year T-Note futures (Sep 2025 - Sep 2030 Hedge Period)		$	487,500				4.03	%			3.72	%		$	(6,198	)
September 2025 10-year T-Note futures (Sep 2025 - Sep 2035 Hedge Period)			228,500				4.23	%			3.96	%			(3,842	)
September 2025 10-year Ultra futures (Sep 2025 - Sep 2035 Hedge Period)			197,500				4.48	%			4.20	%			(4,649	)
SOFR Futures Contracts (Short Positions)
September 2025 3-Month SOFR futures (Jun 2025 - Sep 2025 Hedge Period)		$	28,750				4.05	%			4.33	%		$	82
December 2025 3-Month SOFR futures (Sep 2025 - Dec 2025 Hedge Period)			28,750				3.83	%			4.01	%			53
March 2026 3-Month SOFR futures (Dec 2025 - Mar 2026 Hedge Period)			28,750				3.69	%			3.67	%			(6	)
June 2026 3-Month SOFR futures (Mar 2026 - Jun 2026 Hedge Period)			28,750				3.61	%			3.40	%			(59	)
September 2026 3-Month SOFR futures (Jun 2026 - Sep 2026 Hedge Period)			28,750				3.57	%			3.18	%			(111	)
December 2026 3-Month SOFR futures (Sep 2026 - Dec 2026 Hedge Period)			28,750				3.55	%			3.07	%			(141	)
March 2027 3-Month SOFR futures (Dec 2026 - Mar 2027 Hedge Period)			28,750				3.56	%			3.03	%			(151	)
June 2027 3-Month SOFR futures (Mar 2027 - Jun 2027 Hedge Period)			28,750				3.56	%			3.05	%			(148	)
ERIS SOFR Swap Futures Contracts (Short Positions)⁽³⁾
September 2025 5-Year Term, 3.75% fixed rate, (Sep 2025 - Sep 2030 Hedge Period)		$	10,000				3.71	%			3.40	%		$	(129	)

($ 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)*
June 30, 2025
Expiration > 1 to ≤ 5 years		$	1,822,500				2.87	%			4.45	%			3.9
Expiration > 5 years			2,020,800				3.69	%			4.48	%			7.2
		$	3,843,300				3.30	%			4.46	%			5.7
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)*
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)
		*Six Months Ended June 30,*								*Three Months Ended June 30,*
		*2025*				*2024*				*2025*				*2024*
Interest rate futures contracts (short position)		$	(23,630	)		$	30,768			$	(8,688	)		$	11,678
Interest rate swaps			(100,251	)			70,616				(37,408	)			11,518
Payer swaptions (long positions)			-				(72	)			-				(14	)
Dual digital option			-				(395	)			-				(156	)
TBA securities (short positions)			(4,636	)			12,945				(7,662	)			3,042
TBA securities (long positions)			572				105				472				-
Total		$	(127,945	)		$	113,967			$	(53,286	)		$	26,068