Note 6 - Offsetting Assets and Liabilities

6 Months Ended

Jun. 30, 2023

Notes to Financial Statements

Offsetting Assets and Liabilities [Text Block]

NOTE 6. OFFSETTING ASSETS AND LIABILITIES

The Company’s derivative agreements 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 in the case of repurchase agreements and for certain derivative agreements. CME and LCH rules characterize variation margin transfers as settlement payments, as opposed to adjustments to collateral. As a result, derivative assets and liabilities associated with centrally cleared derivatives for which the CME or LCH serves as the central clearing party are presented as if these derivatives had been settled as of the reporting date.

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, 2023 and December 31, 2022.

(in thousands)
Offsetting of Assets
							Gross Amount Not
					Net Amount		Offset in the Balance Sheet
					of Assets		Financial
	Gross Amount		Gross Amount		Presented		Instruments		Cash
	of Recognized		Offset in the		in the		Received as		Received as			Net
	Assets		Balance Sheet		Balance Sheet		Collateral		Collateral			Amount
June 30, 2023
Interest rate swaps	$	30,093	$	-	$	30,093	$	-	$	-		$	30,093
Interest rate swaptions		17,957		-		17,957		-		(2,150	)		15,807
Interest rate caps		211		-		211		-		-			211
Interest rate floors		3,844		-		3,844		-		-			3,844
TBA securities		219		-		219		-		(219	)		-
	$	52,324	$	-	$	52,324	$	-	$	(2,369	)	$	49,955
December 31, 2022
Interest rate swaps	$	4,983	$	-	$	4,983	$	-	$	-		$	4,983
Interest rate swaptions		33,398		-		33,398		-		(12,489	)		20,909
Interest rate caps		1,119		-		1,119		-		-			1,119
TBA securities		672		-		672		-		(532	)		140
	$	40,172	$	-	$	40,172	$	-	$	(13,021	)	$	27,151

(in thousands)
Offsetting of Liabilities
							Gross Amount Not
					Net Amount		Offset in the Balance Sheet
					of Liabilities		Financial
	Gross Amount		Gross Amount		Presented		Instruments
	of Recognized		Offset in the		in the		Posted as			Cash Posted			Net
	Liabilities		Balance Sheet		Balance Sheet		Collateral			as Collateral			Amount
June 30, 2023
Repurchase Agreements	$	4,201,717	$	-	$	4,201,717	$	(4,171,128	)	$	(30,589	)	$	-
Interest rate swaptions		10,284		-		10,284		-			-			10,284
Interest rate floors		2,573		-		2,573		-			-			2,573
TBA securities		18		-		18		-			(18	)		-
	$	4,214,592	$	-	$	4,214,592	$	(4,171,128	)	$	(30,607	)	$	12,857
December 31, 2022
Repurchase Agreements	$	3,378,445	$	-	$	3,378,445	$	(3,365,104	)	$	(13,341	)	$	-
Interest rate swaps		-		-		-		-			-			-
Interest rate swaptions		5,982		-		5,982		-			-			5,982
TBA securities		1,179		-		1,179		-			(1,179	)		-
	$	3,385,606	$	-	$	3,385,606	$	(3,365,104	)	$	(14,520	)	$	5,982

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 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 and other hedging instruments.