Note 7 - Offsetting Assets and Liabilities

6 Months Ended

Jun. 30, 2026

Offsetting Assets and Liabilities [Text Block]

NOTE 7. 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 in the case of repurchase agreements and for certain derivative agreements. CME and LCH rules characterize variation margin transfers as settlement payments, as opposed to adjustments to collateral. As a result, derivative assets and liabilities associated with centrally cleared derivatives for which the CME or LCH serves as the central clearing party are presented as if these derivatives had been settled as of the reporting date.

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 June 30, 2026 and December 31, 2025.

(in thousands)
*Offsetting of Assets*
						*Net Amount*		*Gross Amount Not*
	*Gross*		*Gross*			*of Assets*		*Offset in the Balance Sheet*
	*Amount*		*Amount*			*Presented*		*Financial*
	of		*Offset in the*			*in the*		*Instruments*			*Cash*
	*Recognized*		*Balance*			*Balance*		*Received as*			*Received as*			*Net*
	*Assets*		*Sheet*			*Sheet*		*Collateral*			*Collateral*			*Amount*
June 30, 2026
Interest rate swaps	$	13,041	$	(1,521	)	$	11,520	$	-		$	(11,520	)	$	-
Payer swaptions		3,542		-			3,542		-			(1,120	)		2,422
Reverse repurchase agreements		495,828		-			495,828		(495,828	)		-			-
	$	512,411	$	(1,521	)	$	510,890	$	(495,828	)	$	(12,640	)	$	2,422
December 31, 2025
Interest rate swaps	$	8,237	$	-		$	8,237	$	-		$	-		$	8,237
TBA securities		1,015		-			1,015		-			(360	)		655
Reverse repurchase agreement		128,613		-			128,613		(128,613	)		-			-
	$	137,865	$	-		$	137,865	$	(128,613	)	$	(360	)	$	8,892

(in thousands)
*Offsetting of Liabilities*
						*Net Amount*		*Gross Amount Not*
	*Gross*		*Gross*			*of Liabilities*		*Offset in the Balance Sheet*
	*Amount*		*Amount*			*Presented*		*Financial*
	of		*Offset in the*			*in the*		*Instruments*
	*Recognized*		*Balance*			*Balance*		*Posted as*			*Cash Posted*			*Net*
	*Liabilities*		*Sheet*			*Sheet*		*Collateral*			*as Collateral*			*Amount*
June 30, 2026
Repurchase Agreements	$	11,086,915	$	-		$	11,086,915	$	(10,975,446	)	$	(111,469	)	$	-
Interest rate swaps		1,521		(1,521	)		-		-			-			-
TBA securities		4,723		-			4,723		-			(3,929	)		794
	$	11,093,159	$	(1,521	)	$	11,091,638	$	(10,975,446	)	$	(115,398	)	$	794
December 31, 2025
Repurchase Agreements	$	10,115,466	$	-		$	10,115,466	$	(10,064,295	)	$	(51,171	)	$	-
TBA securities		1,846		-			1,846		-			(1,846	)		-
	$	10,117,312	$	-		$	10,117,312	$	(10,064,295	)	$	(53,017	)	$	-

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 6 for a discussion of collateral posted or received against or for repurchase obligations and derivative and other hedging instruments.