Note 5 - Derivative and Other Hedging Instruments (Tables)

9 Months Ended

Sep. 30, 2026

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, 2026*				*December 31, 2025*
Assets
Interest rate swaps	Derivative assets, at fair value		$	7,037			$	8,237
TBA securities	Derivative assets, at fair value			13,666				1,015
Total derivative assets, at fair value			$	20,703			$	9,252

Liabilities
TBA securities	Derivative liabilities, at fair value		$	1,180			$	1,846
Total derivative liabilities, at fair value			$	1,180			$	1,846

Margin Balances Posted to (from) Counterparties
Futures contracts	Restricted cash		$	21,501			$	5,131
TBA securities (including margin paid on unsettled trades)	Restricted cash			-				2,394
TBA securities (including margin received on unsettled trades)	Other liabilities			(11,729	)			(360	)
Total margin balances on derivative contracts			$	9,772			$	7,165

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

($ in thousands)
		*September 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)
December 2026 10-year T-Note futures (Dec 2026 - Dec 2036 Hedge Period)⁽²⁾		$	858,600				4.90	%			5.24	%		$	17,763
December 2026 10-year Ultra futures (Dec 2026 - Dec 2036 Hedge Period)⁽³⁾			560,000				4.95	%			5.33	%			16,963
December 2026 30-year Ultra futures (Dec 2026 - Dec 2056 Hedge Period)⁽⁴⁾			150,000				5.69	%			5.75	%			1,313
SOFR Futures Contracts (Short Positions)
December 2026 3-Month SOFR futures (Sep 2026 - Dec 2026 Hedge Period)		$	97,500				3.27	%			3.97	%		$	681
March 2027 3-Month SOFR futures (Dec 2026 - Mar 2027 Hedge Period)			97,500				3.22	%			4.30	%			1,056
June 2027 3-Month SOFR futures (Mar 2027 - Jun 2027 Hedge Period)			97,500				3.21	%			4.61	%			1,368
ERIS SOFR Swap Futures Contracts (Short Positions)(6)
December 2026 5-Year Term, 3.75% fixed rate, (Dec 2026 - Dec 2031 Hedge Period)		$	10,000				4.52	%			4.86	%		$	145

($ 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)⁽⁵⁾		$	122,500				3.65	%			3.65	%		$	10
March 2026 10-year T-Note futures (Mar 2026 - Mar 2036 Hedge Period)⁽²⁾			90,000				3.79	%			3.91	%			739
March 2026 10-year Ultra futures (Mar 2026 - Mar 2036 Hedge Period)⁽³⁾			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)(6)
March 2026 5-Year Term, 3.75% fixed rate (Mar 2026 - Mar 2031 Hedge Period)		$	10,000				3.48	%			3.45	%		$	(13	)

Schedule of Interest Rate Swaps [Table Text Block]

($ in thousands)
						*Average*
						*Fixed*				*Average*				*Average*
		*Notional*				*Pay*				*Receive*				*Maturity*
		*Amount*				*Rate*				*Rate*				*(Years)*
September 30, 2026
Expiration > 1 to ≤ 5 years		$	5,292,800				3.47	%			3.90	%			2.9
Expiration > 5 years			2,571,400				3.97	%			3.90	%			8.3
		$	7,864,200				3.63	%			3.90	%			4.7
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

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, 2026
*15-Year TBA securities:*
5.5%			100,000				99,703				98,523				(1,180	)
*30-Year TBA securities:*
5.0%		$	(345,000	)		$	(331,555	)		$	(319,152	)		$	12,403
6.0%			(70,000	)			(69,716	)			(68,453	)			1,263
Total		$	(315,000	)		$	(301,568	)		$	(289,082	)		$	12,486
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	)

Derivative Instruments, Gain (Loss) [Table Text Block]

(in thousands)
		*Nine Months Ended September 30,*								*Three Months Ended September 30,*
		*2026*				*2025*				*2026*				*2025*
Interest rate futures contracts (short position)		$	49,495			$	(26,789	)		$	40,836			$	(3,159	)
Interest rate swaps			371,003				(102,549	)			266,648				(2,298	)
Payer swaptions (short positions)			(4,676	)			-				(5,608	)			-
Payer swaptions (long positions)			13,376				-				14,866				-
TBA securities (short positions)			17,877				(8,908	)			20,911				(4,272	)
TBA securities (long positions)			(249	)			1,529				(1,180	)			957
U.S. Treasury securities (short positions)			(2,750	)			-				(1,105	)			-
Total		$	444,076			$	(136,717	)		$	335,368			$	(8,772	)