OFFSETTING ASSETS AND LIABILITIES (Tables)

9 Months Ended

Sep. 30, 2022

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, 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

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, 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