Offsetting Assets and Liabilties

6 Months Ended

Jun. 30, 2016

Offsetting Assets And Liabilities [Abstract]

Offsetting Assets and Liabilities [Text Block]

NOTE 6. OFFSETTING ASSETS AND LIABILITIES

The Company’s derivatives and repurchase agreements are subject to underlying agreements with master netting or similar arrangements, which provide for the right of offset in the event of default or in the event of bankruptcy of either party to the transactions. The Company reports its assets and liabilities subject to these arrangements on a gross basis.

The following table presents information regarding those assets and liabilities subject to such arrangements as if the Company had presented them on a net basis as of June 30, 2016 and December 31, 2015.

(in thousands)

Offsetting of Assets

Net Amount

Gross Amount Not Offset in the

of Assets

Consolidated Balance Sheet

Gross Amount

Presented

Financial

Gross Amount

Offset in the

in the

Instruments

Cash

of Recognized

Consolidated

Consolidated

Received as

Received as

Net

Assets

Balance Sheet

Balance Sheet

Collateral

Collateral

Amount

December 31, 2015

Receiver swaptions

$

669

$

-

$

669

$

(669)

$

-

$

-

(in thousands)
Offsetting of Liabilities
					Net Amount		Gross Amount Not Offset in the
					of Assets		Consolidated Balance Sheet
			Gross Amount		Presented		Financial
	Gross Amount		Offset in the		in the		Instruments
	of Recognized		Consolidated		Consolidated		Posted as		Cash Posted		Net
	Liabilities		Balance Sheet		Balance Sheet		Collateral		Collateral		Amount
June 30, 2016
Repurchase Agreements	$	2,060,827	$	-	$	2,060,827	$	(2,057,243)	$	(3,584)	$	-
Interest rate swaps		5,560		-		5,560		-		(5,560)		-
	$	2,066,387	$	-	$	2,066,387	$	(2,057,243)	$	(9,144)	$	-
December 31, 2015
Repurchase Agreements	$	1,798,813	$	-	$	1,798,813	$	(1,794,816)	$	(3,997)	$	-

The amounts disclosed for collateral received by or posted to the same counterparty up to and not exceeding the net amount of the asset or liability presented in the consolidated balance sheets. The fair value of the actual collateral received by or posted to the same counterparty typically exceeds the amounts presented. See Notes 3 and 4 for a discussion of collateral posted or received against or for repurchase obligations and derivative instruments.