OFFSETTING ASSETS AND LIABILITIES (Tables)

12 Months Ended

Dec. 31, 2020

Offsetting Assets And Liabilities [Abstract]

Offsetting of Assets [Table Text Block]

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

Offsetting of Liabilties [Table Text Block]

(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