v3.26.1
Note 5 - Derivative and Other Hedging Instruments - Schedule of Derivative Positions (Details) - USD ($)
$ in Thousands
Jun. 30, 2026
Dec. 31, 2025
Average contract notional amount   $ 180,000
Five Year Treasury Note Futures [Member] | Short [Member]    
Average contract notional amount [1],[2] $ 188,600 $ 122,500
Weighted average entry rate [2] 4.46% 3.65%
Average receive rate [2] 4.31% 3.65%
Open Equity [2],[3] $ (1,773) $ 10
Ten Year Ultra Futures [Member] | Short [Member]    
Average contract notional amount [2] $ 60,000 $ 60,000
Weighted average entry rate [2] 4.62% 4.03%
Average receive rate [2] 4.43% 4.14%
Open Equity [2],[3] $ (954) $ 575
Ten Year T-Note Futures [Member] | Short [Member]    
Average contract notional amount [2]   $ 90,000
Weighted average entry rate [2]   3.79%
Average receive rate [2]   3.91%
Open Equity [2],[3]   $ 739
Three Month SOFR Futures Ending in June 2026 [Member] | Short [Member]    
Average contract notional amount $ 97,500 $ 97,500
Weighted average entry rate 3.38% 3.55%
Average receive rate 3.70% 3.52%
Open Equity [3] $ 316 $ (33)
Three Month SOFR Futures Ending in September 2026 [Member] | Short [Member]    
Average contract notional amount $ 97,500 $ 97,500
Weighted average entry rate 3.27% 3.38%
Average receive rate 3.92% 3.31%
Open Equity [3] $ 630 $ (66)
Three Month SOFR Futures Ending in March 2026 [Member] | Short [Member]    
Average contract notional amount   $ 97,500
Weighted average entry rate   3.73%
Average receive rate   3.69%
Open Equity [3]   $ (44)
Three Month SOFR Futures Ending in December 2026 [Member] | Short [Member]    
Average contract notional amount $ 97,500 $ 97,500
Weighted average entry rate 3.22% 3.27%
Average receive rate 4.04% 3.16%
Open Equity [3] $ 802 $ (111)
Three Month SOFR Futures Ending in March 2027 [Member] | Short [Member]    
Average contract notional amount $ 97,500 $ 97,500
Weighted average entry rate 3.21% 3.22%
Average receive rate 4.08% 3.11%
Open Equity [3] $ 851 $ (105)
Five Year 3.75% ERIS SOFR Swap Futures Ending in June 2031 Member] | Short [Member]    
Average contract notional amount [4] $ 10,000  
Weighted average entry rate [4] 4.01%  
Average receive rate [4] 3.91%  
Open Equity [3],[4] $ (38)  
Three Month SOFR Futures Ending in June 2027 [Member] | Short [Member]    
Average contract notional amount   $ 97,500
Weighted average entry rate   3.21%
Average receive rate   3.11%
Open Equity [3]   $ (90)
Five Year 3.75% ERIS SOFR Swap Futures Ending in March 2031 Member] | Short [Member]    
Average contract notional amount [4]   $ 10,000
Weighted average entry rate [4]   3.48%
Average receive rate [4]   3.45%
Open Equity [3],[4]   $ (13)
[1] 5-Year T-Note futures contracts were valued at a price $109.30 of at December 31, 2025. The contract values of the short positions were $133.9 million at December 31, 2025. 10-Year T-Note futures contracts were valued at a price of $109.89 at June 30, 2026 and $112.44 at December 31, 2025. The contract values of the short positions were $207.3 million and $101.2 million at June 30, 2026 and December 31, 2025, respectively. 10-Year Ultra futures contracts were valued at a price of $112.47 at June 30, 2026 and $115.02 at December 31, 2025. The contract values of the short positions were $67.5 million and $69.0 million at June 30, 2026 and December 31, 2025, respectively.
[2] 5-Year T-Note futures contracts were valued at a price of $108.18 at March 31, 2026 and $109.30 at December 31, 2025. The contract values of the short positions were $194.7 million and $133.9 million at March 31, 2026 and December 31, 2025, respectively. 10-Year T-Note futures contracts were valued at a price of $111.05 at March 31, 2026 and $112.44 at December 31, 2025. The contract values of the short positions were $58.9 million and $101.2 million at March 31, 2026 and December 31, 2025, respectively. 10-Year Ultra futures contracts were valued at a price of $113.52 at March 31, 2026 and $115.02 at December 31, 2025. The contract values of the short positions were $68.1 million and $69.0 million at March 31, 2026 and December 31, 2025, respectively.
[3] Open equity represents the cumulative gains (losses) recorded on open futures positions from inception.
[4] ERIS swap futures are exchange traded futures that replicate the cash flows of an underlying swap position.