Offsetting of Financial Assets and Liabilities (Tables)

9 Months Ended

Sep. 30, 2022

Offsetting [Abstract]

Offsetting of Financial Assets and Liabilities

The following tables present information, as of the dates indicated, about the Company’s derivative instruments, short-term borrowing arrangements, and associated collateral, including those subject to master netting (or similar) arrangements:

	As of September 30, 2022
	Gross Amount Recognized		Amount Offset in the Consolidated Balance Sheets		Net Amount Presented in the Consolidated Balance Sheets		Gross Amount Not Offset in the Consolidated Balance Sheets					Net Amount
							Financial Instruments (1)			Cash Collateral (2)
Assets:
Derivative instruments:
Interest rate swaps	$	260	$	—	$	260	$	—		$	—	$	260
TBA commitments		4,162		—		4,162		(139	)		—		4,023
Total derivative instruments		4,422		—		4,422		(139	)		—		4,283
Total assets	$	4,422	$	—	$	4,422	$	(139	)	$	—	$	4,283
Liabilities:
Derivative instruments:
TBA commitments	$	139	$	—	$	139	$	(139	)	$	—	$	—
Total derivative instruments		139		—		139		(139	)		—		—
Repurchase agreements		429,910		—		429,910		(429,910	)		—		—
Total liabilities	$	430,049	$	—	$	430,049	$	(430,049	)	$	—	$	—

	As of December 31, 2021
	Gross Amount Recognized		Amount Offset in the Consolidated Balance Sheets		Net Amount Presented in the Consolidated Balance Sheets		Gross Amount Not Offset in the Consolidated Balance Sheets						Net Amount
							Financial Instruments (1)			Cash Collateral (2)
Assets:
Derivative instruments:
TBA commitments	$	230	$	—	$	230	$	(105	)	$	—		$	125
10-year U.S. Treasury note futures		16		—		16		—			—			16
Options on U.S. Treasury note futures		4		—		4		—			—			4
Total derivative instruments		250		—		250		(105	)		—			145
Total assets	$	250	$	—	$	250	$	(105	)	$	—		$	145
Liabilities:
Derivative instruments:
Interest rate swaps	$	107	$	—	$	107	$	—		$	(107	)	$	—
TBA commitments		121		—		121		(105	)		—			16
Total derivative instruments		228		—		228		(105	)		(107	)		16
Repurchase agreements		446,624		—		446,624		(446,624	)		—			—
Total liabilities	$	446,852	$	—	$	446,852	$	(446,729	)	$	(107	)	$	16

(1)Does not include the fair value amount of financial instrument collateral pledged in respect of repurchase agreements that exceeds the associated liability presented in the consolidated balance sheets.

(2)Does not include the amount of cash collateral pledged in respect of derivative instruments and repurchase agreements that exceeds the associated liability presented in the consolidated balance sheets.