OFFSETTING ASSETS AND LIABILITIES

9 Months Ended

Sep. 30, 2022

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 and reverse 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 September 30, 2022 and December 31, 2021.

(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, 2022

Interest rate swaps

$

169,630

$

-

$

169,630

$

-

$

-

$

169,630

Interest rate swaptions

91,195

-

91,195

-

(27,149)

64,046

Interest rate caps

1,188

-

1,188

-

-

1,188

TBA securities

305

-

305

-

(305)

-

$

262,318

$

-

$

262,318

$

-

$

(27,454)

$

234,864

December 31, 2021

Interest rate swaps

$

29,293

$

-

$

29,293

$

-

$

-

$

29,293

Interest rate swaptions

21,493

-

21,493

-

(6,350)

15,143

$

50,786

$

-

$

50,786

$

-

$

(6,350)

$

44,436

(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, 2022

Repurchase Agreements

$

3,133,861

$

-

$

3,133,861

$

(3,084,484)

$

(49,377)

$

-

Interest rate swaptions

52,315

-

52,315

-

-

52,315

TBA securities

698

-

698

-

(698)

-

$

3,186,874

$

-

$

3,186,874

$

(3,084,484)

$

(50,075)

$

52,315

December 31, 2021

Repurchase Agreements

$

6,244,106

$

-

$

6,244,106

$

(6,186,842)

$

(57,264)

$

-

Interest rate swaps

2,862

-

2,862

(2,862)

-

-

Interest rate swaptions

4,423

-

4,423

-

-

4,423

TBA securities

304

-

304

-

-

304

$

6,251,695

$

-

$

6,251,695

$

(6,189,704)

$

(57,264)

$

4,727

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.