Note 5 - Derivative and Other Hedging Instruments (Tables)
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6 Months Ended |
Jun. 30, 2026 |
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| Notes Tables |
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| 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, 2026 | | | December 31, 2025 | |
| Assets | | | | | | | | | |
| Interest rate swaps | Derivative assets, at fair value | | $ | 11,520 | | | $ | 8,238 | |
| Payer swaptions | Derivative assets, at fair value | | | 3,542 | | | | - | |
| TBA securities | Derivative assets, at fair value | | | - | | | | 1,015 | |
| Total derivative assets, at fair value | | $ | 15,062 | | | $ | 9,253 | |
| | | | | | | | | | |
| Liabilities | | | | | | | | | |
| TBA securities | Derivative liabilities, at fair value | | $ | 4,723 | | | $ | 1,846 | |
| Total derivative liabilities, at fair value | | $ | 4,723 | | | $ | 1,846 | |
| | | | | | | | | | |
| Margin Balances Posted to (from) Counterparties | | | | | | | | | |
| Futures contracts | Restricted cash | | $ | 4,140 | | | $ | 5,131 | |
| Interest rate swaps | Restricted cash | | | 9,479 | | | | - | |
| TBA securities (including margin paid on unsettled trades) | Restricted cash | | | 5,949 | | | | 2,394 | |
| TBA securities (including margin received on unsettled trades) | Other liabilities | | | (2,020 | ) | | | (360 | ) |
| Swaption margin | Other liabilities | | | (1,120 | ) | | | - | |
| Total margin balances on derivative contracts | | $ | 16,428 | | | $ | 7,165 | |
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| Schedule of Notional Amounts of Outstanding Derivative Positions [Table Text Block] |
| ($ in thousands) | | | | | | | | | | | | | | | | |
| | | June 30, 2026 | |
| | | 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 2026 10-year T-Note futures (Sep 2026 - Sep 2036 Hedge Period) | | $ | 188,600 | | | | 4.46 | % | | | 4.31 | % | | $ | (1,773 | ) |
| September 2026 10-year Ultra futures (Sep 2026 - Sep 2036 Hedge Period) | | | 60,000 | | | | 4.62 | % | | | 4.43 | % | | | (954 | ) |
| SOFR Futures Contracts (Short Positions) | | | | | | | | | | | | | | | | |
| September 2026 3-Month SOFR futures (Jun 2026 - Sep 2026 Hedge Period) | | $ | 97,500 | | | | 3.38 | % | | | 3.70 | % | | $ | 316 | |
| December 2026 3-Month SOFR futures (Sep 2026 - Dec 2026 Hedge Period) | | | 97,500 | | | | 3.27 | % | | | 3.92 | % | | | 630 | |
| March 2027 3-Month SOFR futures (Dec 2026 - Mar 2027 Hedge Period) | | | 97,500 | | | | 3.22 | % | | | 4.04 | % | | | 802 | |
| June 2027 3-Month SOFR futures (Mar 2027 - Jun 2027 Hedge Period) | | | 97,500 | | | | 3.21 | % | | | 4.08 | % | | | 851 | |
| ERIS SOFR Swap Futures Contracts (Short Positions)(3) | | | | | | | | | | | | | | | | |
| September 2026 5-Year Term, 3.75% fixed rate, (Sep 2026 - Sep 2031 Hedge Period) | | $ | 10,000 | | | | 4.01 | % | | | 3.91 | % | | $ | (38 | ) |
| ($ in thousands) | | | | | | | | | | | | | | | | |
| | | December 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) | | | | | | | | | | | | | | | | |
| March 2026 5-year T-Note futures (Mar 2026 - Mar 2031 Hedge Period) | | $ | 122,500 | | | | 3.65 | % | | | 3.65 | % | | $ | 10 | |
| March 2026 10-year T-Note futures (Mar 2026 - Mar 2036 Hedge Period) | | | 90,000 | | | | 3.79 | % | | | 3.91 | % | | | 739 | |
| March 2026 10-year Ultra futures (Mar 2026 - Mar 2036 Hedge Period) | | | 60,000 | | | | 4.03 | % | | | 4.14 | % | | | 575 | |
| SOFR Futures Contracts (Short Positions) | | | | | | | | | | | | | | | | |
| March 2026 3-Month SOFR futures (Dec 2025 - Mar 2026 Hedge Period) | | $ | 97,500 | | | | 3.73 | % | | | 3.69 | % | | $ | (44 | ) |
| June 2026 3-Month SOFR futures (Mar 2026 - Jun 2026 Hedge Period) | | | 97,500 | | | | 3.55 | % | | | 3.52 | % | | | (33 | ) |
| September 2026 3-Month SOFR futures (Jun 2026 - Sep 2026 Hedge Period) | | | 97,500 | | | | 3.38 | % | | | 3.31 | % | | | (66 | ) |
| December 2026 3-Month SOFR futures (Sep 2026 - Dec 2026 Hedge Period) | | | 97,500 | | | | 3.27 | % | | | 3.16 | % | | | (111 | ) |
| March 2027 3-Month SOFR futures (Dec 2026 - Mar 2027 Hedge Period) | | | 97,500 | | | | 3.22 | % | | | 3.11 | % | | | (105 | ) |
| June 2027 3-Month SOFR futures (Mar 2027 - Jun 2027 Hedge Period) | | | 97,500 | | | | 3.21 | % | | | 3.11 | % | | | (90 | ) |
| ERIS SOFR Swap Futures Contracts (Short Positions)(3) | | | | | | | | | | | | | | | | |
| March 2026 5-Year Term, 3.75% fixed rate (Mar 2026 - Mar 2031 Hedge Period) | | $ | 10,000 | | | | 3.48 | % | | | 3.45 | % | | $ | (13 | ) |
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| Schedule of Interest Rate Swaps [Table Text Block] |
| ($ in thousands) | | | | | | | | | | | | | | | | |
| | | | | | | Average | | | | | | | | | |
| | | | | | | Fixed | | | Average | | | Average | |
| | | Notional | | | Pay | | | Receive | | | Maturity | |
| | | Amount | | | Rate | | | Rate | | | (Years) | |
| June 30, 2026 | | | | | | | | | | | | | | | | |
| Expiration > 1 to ≤ 5 years | | $ | 5,292,800 | | | | 3.46 | % | | | 3.68 | % | | | 3.0 | |
| Expiration > 5 years | | | 2,521,400 | | | | 3.92 | % | | | 3.68 | % | | | 8.0 | |
| | | $ | 7,814,200 | | | | 3.61 | % | | | 3.68 | % | | | 4.6 | |
| December 31, 2025 | | | | | | | | | | | | | | | | |
| Expiration > 1 to ≤ 5 years | | $ | 4,162,500 | | | | 3.38 | % | | | 3.87 | % | | | 3.2 | |
| Expiration > 5 years | | | 1,695,800 | | | | 3.87 | % | | | 3.87 | % | | | 7.1 | |
| | | $ | 5,858,300 | | | | 3.53 | % | | | 3.87 | % | | | 4.3 | |
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| Schedule of Payer Swaptions [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) | |
| June 30, 2026 | | | | | | | | | | | | | | | | | | | | | | | | | |
| Payer Swaption (long position) | | $ | 7,124 | | | $ | 5,633 | | | | 5.0 | | | $ | 1,000,000 | | | | 4.11 | % | SOFR | | | 5.0 | |
| Payer Swaption (short position) | | | (3,024 | ) | | | (2,091 | ) | | | 5.0 | | | | 1,000,000 | | | | 4.51 | % | SOFR | | | 5.0 | |
| Total | | $ | 4,100 | | | $ | 3,542 | | | | | | | $ | 2,000,000 | | | | | | | | | | |
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| 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) | |
| June 30, 2026 | | | | | | | | | | | | | | | | |
| 30-Year TBA securities: | | | | | | | | | | | | | | | | |
| 5.0% | | $ | (145,000 | ) | | $ | (141,270 | ) | | $ | (142,689 | ) | | $ | (1,419 | ) |
| 5.5% | | | (449,900 | ) | | | (448,564 | ) | | | (451,868 | ) | | | (3,304 | ) |
| Total | | $ | (594,900 | ) | | $ | (589,834 | ) | | $ | (594,557 | ) | | $ | (4,723 | ) |
| December 31, 2025 | | | | | | | | | | | | | | | | |
| 15-Year TBA securities: | | | | | | | | | | | | | | | | |
| 4.5% | | $ | 250,000 | | | $ | 249,998 | | | $ | 250,186 | | | $ | 188 | |
| 30-Year TBA securities: | | | | | | | | | | | | | | | | |
| 3.0% | | | - | | | | (343 | ) | | | - | | | | 343 | |
| 3.5% | | | - | | | | 34 | | | | - | | | | (34 | ) |
| 4.0% | | | - | | | | (215 | ) | | | - | | | | 215 | |
| 5.0% | | | - | | | | 218 | | | | - | | | | (218 | ) |
| 5.5% | | | (275,000 | ) | | | (277,696 | ) | | | (278,996 | ) | | | (1,300 | ) |
| 6.5% | | | (155,000 | ) | | | (161,103 | ) | | | (161,127 | ) | | | (24 | ) |
| Total | | $ | (180,000 | ) | | $ | (189,107 | ) | | $ | (189,937 | ) | | $ | (830 | ) |
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| Derivative Instruments, Gain (Loss) [Table Text Block] |
| (in thousands) | | | | | | | | | | | | | | | | |
| | | Six Months Ended June 30, | | | Three Months Ended June 30, | |
| | | 2026 | | | 2025 | | | 2026 | | | 2025 | |
| Interest rate futures contracts (short position) | | $ | 8,659 | | | $ | (23,630 | ) | | $ | 4,222 | | | $ | (8,688 | ) |
| Interest rate swaps | | | 104,355 | | | | (100,251 | ) | | | 63,353 | | | | (37,408 | ) |
| Payer swaptions (short positions) | | | 932 | | | | - | | | | 932 | | | | - | |
| Payer swaptions (long positions) | | | (1,490 | ) | | | - | | | | (1,490 | ) | | | - | |
| TBA securities (short positions) | | | (3,033 | ) | | | (4,636 | ) | | | (3,228 | ) | | | (7,662 | ) |
| TBA securities (long positions) | | | 930 | | | | 572 | | | | (347 | ) | | | 472 | |
| U.S. Treasury securities (short positions) | | | (1,645 | ) | | | - | | | | (1,042 | ) | | | - | |
| Total | | $ | 108,708 | | | $ | (127,945 | ) | | $ | 62,400 | | | $ | (53,286 | ) |
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