Note 5 - Derivative and Other Hedging Instruments (Tables)

9 Months Ended

Sep. 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	September 30, 2024			December 31, 2023
Assets
Interest rate swaps	Derivative assets, at fair value	$	14,678		$	6,348
Payer swaption (long position)	Derivative assets, at fair value		-			72
TBA securities	Derivative assets, at fair value		2,168			-
Total derivative assets, at fair value		$	16,846		$	6,420
Liabilities
TBA securities	Derivative liabilities, at fair value	$	-		$	12,694
Total derivative liabilities, at fair value		$	-		$	12,694
Margin Balances Posted to (from) Counterparties
Futures contracts	Restricted cash	$	2,440		$	4,096
TBA securities	Restricted cash		-			23,720
TBA securities	Other liabilities		(1,593	)		-
Interest rate swaption contracts	Restricted cash		-			580
Total margin balances on derivative contracts		$	847		$	28,396

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

($ in thousands)
	September 30, 2024
	Average		Weighted			Weighted
	Contract		Average			Average
	Notional		Entry			Effective			Open
Expiration Year	Amount		Rate			Rate			Equity(1)
T-Note Futures Contracts (Short Positions)(2)
December 2024 10-year T-Note futures (Dec 2024 - Dec 2034 Hedge Period)	$	12,500		3.73	%		3.62	%	$	(88	)
SOFR Futures Contracts (Short Positions)
December 2024 3-Month SOFR futures (Sep 2024 - Dec 2024 Hedge Period)	$	241,250		4.78	%		4.73	%	$	(110	)
March 2025 3-Month SOFR futures (Dec 2024 - Mar 2025 Hedge Period)		129,250		4.23	%		4.04	%		(242	)
June 2025 3-Month SOFR futures (Mar 2025 - Jun 2025 Hedge Period)		129,000		3.77	%		3.52	%		(333	)
September 2025 3-Month SOFR futures (Jun 2025 - Sep 2025 Hedge Period)		129,000		3.49	%		3.21	%		(356	)
December 2025 3-Month SOFR futures (Sep 2025 - Dec 2025 Hedge Period)		129,000		3.31	%		3.07	%		(320	)
March 2026 3-Month SOFR futures (Dec 2025 - Mar 2026 Hedge Period)		129,000		3.21	%		3.00	%		(275	)
June 2026 3-Month SOFR futures (Mar 2026 - Jun 2026 Hedge Period)		104,000		3.15	%		2.97	%		(178	)
September 2026 3-Month SOFR futures (Jun 2026 - Sep 2026 Hedge Period)		104,000		3.11	%		2.98	%		(137	)
December 2026 3-Month SOFR futures (Sep 2026 - Dec 2026 Hedge Period)		29,000		3.34	%		3.01	%		(96	)
March 2027 3-Month SOFR futures (Dec 2026 - Mar 2027 Hedge Period)		16,250		3.10	%		3.04	%		(10	)

($ in thousands)
	December 31, 2023
	Average		Weighted			Weighted
	Contract		Average			Average
	Notional		Entry			Effective			Open
Expiration Year	Amount		Rate			Rate			Equity(1)
T-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)
September 30, 2024
Expiration > 1 to ≤ 5 years	$	1,450,000		1.69	%		5.41	%		3.6
Expiration > 5 years		2,036,800		3.55	%		5.35	%		7.2
	$	3,486,800		2.78	%		5.37	%		5.7
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)

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)
September 30, 2024
30-Year TBA securities:
3.0%	$	(300,000	)	$	(271,195	)	$	(269,027	)	$	2,168
Total	$	(300,000	)	$	(271,195	)	$	(269,027	)	$	2,168
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)
	Nine Months Ended September 30,						Three Months Ended September 30,
	2024			2023			2024			2023
Interest rate futures contracts (short position)	$	16,100		$	66,642		$	(14,668	)	$	42,640
Interest rate swaps		(39,469	)		101,257			(110,085	)		78,317
Payer swaptions (short positions)		-			4,113			-			(718	)
Payer swaptions (long positions)		(72	)		(7,389	)		-			1,613
Interest rate caps		-			(415	)		-			493
Dual digital option		(500	)		-			(105	)		-
Interest rate floors (short positions)		-			(1,143	)		-			73
Interest rate floors (long positions)		-			2,666			-			137
TBA securities (short positions)		(3,370	)		31,120			(16,315	)		21,511
TBA securities (long positions)		453			(2,598	)		348			(2,024	)
Total	$	(26,858	)	$	194,253		$	(140,825	)	$	142,042