OFFSETTING ASSETS AND LIABILITIES

12 Months Ended

Dec. 31, 2017

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 December 31, 2017 and 2016.

(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, 2017
Interest rate swaps	$	13,745	$	-	$	13,745	$	-	$	-	$	13,745
Interest rate swaptions		3,405		-		3,405		-		(3,405)		-
TBA securities		10		-		10		-		(10)		-
	$	17,160	$	-	$	17,160	$	-	$	(3,415)	$	13,745
December 31, 2016
Interest rate swaps	$	10,302	$	-	$	10,302	$	-	$	-	$	10,302
TBA securities		63		-		63		-		(63)		-
	$	10,365	$	-	$	10,365	$	-	$	(63)	$	10,302

(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
December 31, 2017
Repurchase Agreements	$	3,533,786	$	-	$	3,533,786	$	(3,508,490)	$	(25,296)	$	-
Interest rate swaps		215		-		215		-		-		215
TBA securities		1,823		-		1,823		-		(1,508)		315
	$	3,535,824	$	-	$	3,535,824	$	(3,508,490)	$	(26,804)	$	530
December 31, 2016
Repurchase Agreements	$	2,793,705	$	-	$	2,793,705	$	(2,782,870)	$	(10,835)	$	-
Interest rate swaps		802		-		802		-		(802)		-
TBA securities		1,180		-		1,180		-		(848)		332
	$	2,795,687	$	-	$	2,795,687	$	(2,782,870)	$	(12,485)	$	332

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 Note 5 for a discussion of collateral posted or received against or for repurchase obligations and derivative instruments.