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Note 5 - Derivative and Other Hedging Instruments (Tables)

9 Months Ended

Sep. 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*		*September 30, 2025*				*December 31, 2024*
Assets
Interest rate swaps	Derivative assets, at fair value		$	-			$	4,574
TBA securities	Derivative assets, at fair value			548				4,703
Total derivative assets, at fair value			$	548			$	9,277

Liabilities
Interest rate swaps	Derivative liabilities, at fair value		$	2,267			$	-
TBA securities	Derivative liabilities, at fair value		$	682			$	332
Total derivative liabilities, at fair value			$	2,949			$	332

Margin Balances Posted to (from) Counterparties
Futures contracts	Restricted cash		$	6,434			$	2,625
TBA securities (including margin paid on unsettled trades)	Restricted cash			530				280
TBA securities (including margin received on unsettled trades)	Other liabilities			(330	)			(4,282	)
Total margin balances on derivative contracts			$	6,634			$	(1,377	)

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

($ in thousands)
		*September 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⁾
December 2025 5-year T-Note futures (Dec 2025 - Dec 2030 Hedge Period)		$	562,500				3.67	%			3.67	%		$	54
December 2025 10-year T-Note futures (Dec 2025 - Dec 2035 Hedge Period)			228,500				3.97	%			3.91	%			(997	)
December 2025 10-year Ultra futures (Dec 2025 - Dec 2035 Hedge Period)			197,500				4.23	%			4.13	%			(1,855	)
SOFR Futures Contracts (Short Positions)
December 2025 3-Month SOFR futures (Sep 2025 - Dec 2025 Hedge Period)		$	97,500				4.00	%			4.04	%		$	43
March 2026 3-Month SOFR futures (Dec 2025 - Mar 2026 Hedge Period)			97,500				3.73	%			3.69	%			(46	)
June 2026 3-Month SOFR futures (Mar 2026 - Jun 2026 Hedge Period)			97,500				3.55	%			3.50	%			(52	)
September 2026 3-Month SOFR futures (Jun 2026 - Sep 2026 Hedge Period)			97,500				3.38	%			3.29	%			(91	)
December 2026 3-Month SOFR futures (Sep 2026 - Dec 2026 Hedge Period)			97,500				3.27	%			3.15	%			(116	)
March 2027 3-Month SOFR futures (Dec 2026 - Mar 2027 Hedge Period)			97,500				3.22	%			3.10	%			(119	)
June 2027 3-Month SOFR futures (Mar 2027 - Jun 2027 Hedge Period)			97,500				3.21	%			3.08	%			(119	)
ERIS SOFR Swap Futures Contracts (Short Positions)⁽³⁾
December 2025 5-Year Term, 3.75% fixed rate, (Dec 2025 - Dec 2030 Hedge Period)		$	10,000				3.20	%			3.36	%		$	78

($ 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)*
September 30, 2025
Expiration > 1 to ≤ 5 years		$	1,922,500				2.90	%			4.24	%			3.7
Expiration > 5 years			2,020,800				3.69	%			4.27	%			7.0
		$	3,943,300				3.31	%			4.25	%			5.4
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)*
September 30, 2025
*15-Year TBA securities:*
5.0%		$	250,000			$	252,422			$	252,715			$	293
*30-Year TBA securities:*
5.5%			(282,000	)			(284,018	)			(284,445	)			(427	)
		$	(32,000	)		$	(31,596	)		$	(31,730	)		$	(134	)
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)
		*Nine Months Ended September 30,*								*Three Months Ended September 30,*
		*2025*				*2024*				*2025*				*2024*
Interest rate futures contracts (short position)		$	(26,789	)		$	16,100			$	(3,159	)		$	(14,668	)
Interest rate swaps			(102,549	)			(39,469	)			(2,298	)			(110,085	)
Payer swaptions (long positions)			-				(72	)			-				-
Dual digital option			-				(500	)			-				(105	)
TBA securities (short positions)			(8,908	)			(3,370	)			(4,272	)			(16,315	)
TBA securities (long positions)			1,529				453				957				348
Total		$	(136,717	)		$	(26,858	)		$	(8,772	)		$	(140,825	)