OFFSETTING ASSETS AND LIABILITIES (Tables)

9 Months Ended

Sep. 30, 2021

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 September 30, 2021 and December 31, 2020.

(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

September 30, 2021

Interest rate swaps

$

16,972

$

-

$

16,972

$

-

$

-

$

16,972

Interest rate swaptions

28,051

-

28,051

-

(13,765)

14,286

Interest rate floors

2,360

-

2,360

-

-

2,360

$

47,383

$

-

$

47,383

$

-

$

(13,765)

$

33,618

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

as Collateral

Amount

September 30, 2021

Repurchase Agreements

$

5,213,869

$

-

$

5,213,869

$

(5,166,332)

$

(47,537)

$

-

Interest rate swaps

2,225

-

2,225

(2,225)

-

-

Interest rate swaptions

8,063

-

8,063

-

(1,099)

6,964

$

5,224,157

$

-

$

5,224,157

$

(5,168,557)

$

(48,636)

$

6,964

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

-

-

7,730

TBA securities

786

-

786

-

(284)

502

$

3,628,813

$

-

$

3,628,813

$

(3,536,757)

$

(78,874)

$

13,182