OFFSETTING ASSETS AND LIABILITIES

12 Months Ended

Dec. 31, 2020

Offsetting Assets And Liabilities [Abstract]

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.

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, 2020 and 2019.

(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
December 31, 2020
Interest rate swaps	$	7	$	-	$	7	$	-	$	-	$	7
Interest rate swaptions		17,433		-		17,433		-		(3,563)		13,870
TBA securities		3,559		-		3,559		-		(2,520)		1,039
	$	20,999	$	-	$	20,999	$	-	$	(6,083)	$	14,916

(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		Collateral		Amount
December 31, 2020
Repurchase Agreements	$	3,595,586	$	-	$	3,595,586	$	(3,536,757)	$	(58,829)	$	-
Interest rate swaps		24,711		-		24,711		-		(19,761)		4,950
Interest rate swaptions		7,730		-		7,730		-		-		-
TBA securities		786		-		786		-		(284)		502
	$	3,628,813	$	-	$	3,628,813	$	(3,536,757)	$	(78,874)	$	5,452
December 31, 2019
Repurchase Agreements	$	3,448,106	$	-	$	3,448,106	$	(3,382,255)	$	(65,851)	$	-
Interest rate swaps		20,146		-		20,146		-		(17,450)		2,696
TBA securities		512		-		512		-		(246)		266
	$	3,468,764	$	-	$	3,468,764	$	(3,382,255)	$	(83,547)	$	2,962

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 collateralreceived 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.