Offsetting of Financial Assets and Liabilities (Tables)

9 Months Ended

Sep. 30, 2018

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, 2018
	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	$	91	$	—	$	91	$	(91	)	$	—		$	—
Total derivative instruments		91		—		91		(91	)		—			—
Total assets	$	91	$	—	$	91	$	(91	)	$	—		$	—
Liabilities:
Derivative instruments:
Interest rate swaps	$	1,124	$	—	$	1,124	$	(91	)	$	(1,033	)	$	—
10-year U.S. Treasury note futures		219		—		219		—			(219	)		—
TBA commitments		2,088		—		2,088		—			(2,088	)		—
Total derivative instruments		3,431		—		3,431		(91	)		(3,340	)		—
Repurchase agreements		4,092,251		—		4,092,251		(4,092,251	)		—			—
Total liabilities	$	4,095,682	$	—	$	4,095,682	$	(4,092,342	)	$	(3,340	)	$	—

	As of December 31, 2017
	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	$	763	$	—	$	763	$	—		$	—		$	763
Total derivative instruments		763		—		763		—			—			763
Total assets	$	763	$	—	$	763	$	—		$	—		$	763
Liabilities:
Derivative instruments:
Interest rate swaps	$	3,338	$	—	$	3,338	$	—		$	(3,338	)	$	—
U.S. Treasury note futures		1,341		—		1,341		—			(1,341	)		—
TBA commitments		154		—		154		—			(154	)		—
Total derivative instruments		4,833		—		4,833		—			(4,833	)		—
Repurchase agreements		3,667,181		—		3,667,181		(3,667,181	)		—			—
Total liabilities	$	3,672,014	$	—	$	3,672,014	$	(3,667,181	)	$	(4,833	)	$	—

⁽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 that exceeds the associated derivative liability presented in the consolidated balance sheets.