Balance Sheet Offsetting (Tables)

3 Months Ended

Mar. 31, 2020

Balance Sheet Offsetting

Schedule of the assets subject to an enforceable master netting arrangement or repurchase agreements

The following tables present the assets and liabilities subject to enforceable master netting arrangements, repurchase agreements, or similar agreements with offsetting rights (in thousands).

							Gross Amounts Not Offset in
					Net Amounts		the Balance Sheet
	Gross Amounts		Gross Amounts		of Assets				Cash
	of Recognized		Offset in the		Presented in the		Financial		Collateral		Net
	Assets		Balance Sheet		Balance Sheet		Instruments		Pledged		Amount
March 31, 2020
Securities borrowed:
Institutional counterparties	$	1,275,774	$	—	$	1,275,774	$	(1,181,948)	$	—	$	93,826
Interest rate swaps:
Institutional counterparties		9		—		9		(9)		—		—
Reverse repurchase agreements:
Institutional counterparties		23,356		—		23,356		(23,050)		—		306
Forward MBS derivatives:
Institutional counterparties		65,666		—		65,666		(65,666)		—		—
	$	1,364,805	$	—	$	1,364,805	$	(1,270,673)	$	—	$	94,132
December 31, 2019
Securities borrowed:
Institutional counterparties	$	1,634,782	$	—	$	1,634,782	$	(1,586,820)	$	—	$	47,962
Reverse repurchase agreements:
Institutional counterparties		59,031		—		59,031		(58,619)		—		412
Forward MBS derivatives:
Institutional counterparties		3,640		—		3,640		(3,640)		—		—
	$	1,697,453	$	—	$	1,697,453	$	(1,649,079)	$	—	$	48,374

Schedule of the liabilities subject to an enforceable master netting arrangement or repurchase agreements

							Gross Amounts Not Offset in
					Net Amounts		the Balance Sheet
	Gross Amounts		Gross Amounts		of Liabilities				Cash
	of Recognized		Offset in the		Presented in the		Financial		Collateral		Net
	Liabilities		Balance Sheet		Balance Sheet		Instruments		Pledged		Amount
March 31, 2020
Securities loaned:
Institutional counterparties	$	1,167,559	$	—	$	1,167,559	$	(1,075,906)	$	—	$	91,653
Interest rate swaps:
Institutional counterparties		201		—		201		—		—		201
Repurchase agreements:
Institutional counterparties		690,178		—		690,178		(690,178)		—		—
Customer counterparties		8,255		—		8,255		(8,255)		—		—
Forward MBS derivatives:
Institutional counterparties		136,640		(2,878)		133,762		(74,608)		—		59,154
	$	2,002,833	$	(2,878)	$	1,999,955	$	(1,848,947)	$	—	$	151,008
December 31, 2019
Securities loaned:
Institutional counterparties	$	1,555,964	$	—	$	1,555,964	$	(1,509,933)	$	—	$	46,031
Interest rate swaps:
Institutional counterparties		178		—		178		(112)		—		66
Repurchase agreements:
Institutional counterparties		586,651		—		586,651		(586,651)		—		—
Customer counterparties		25,474		—		25,474		(25,474)		—		—
Forward MBS derivatives:
Institutional counterparties		6,890		(667)		6,223		(2,384)		—		3,839
	$	2,175,157	$	(667)	$	2,174,490	$	(2,124,554)	$	—	$	49,936

Schedule of contractual maturities of repurchase agreements and secured borrowing transactions

The following tables present the remaining contractual maturities of repurchase agreement and securities lending transactions accounted for as secured borrowings (in thousands). The Company had no repurchase-to-maturity transactions outstanding at both March 31, 2020 and December 31, 2019.

	Remaining Contractual Maturities
	Overnight and						Greater Than
March 31, 2020	Continuous		Up to 30 Days		30-90 Days		90 Days		Total
Repurchase agreement transactions:
U.S. Treasury and agency securities	$	16,929	$	—	$	—	$	—	$	16,929
Asset-backed securities		323,444		358,060		—		—		681,504
Securities lending transactions:
Corporate securities		113		—		—		—		113
Equity securities		1,167,446		—		—		—		1,167,446
Total	$	1,507,932	$	358,060	$	—	$	—	$	1,865,992
Gross amount of recognized liabilities for repurchase agreement and securities lending transactions in offsetting disclosure above									$	1,865,992
Amount related to agreements not included in offsetting disclosure above									$	—
	Remaining Contractual Maturities
	Overnight and						Greater Than
December 31, 2019	Continuous		Up to 30 Days		30-90 Days		90 Days		Total
Repurchase agreement transactions:
U.S. Treasury and agency securities	$	45,950	$	—	$	—	$	—	$	45,950
Asset-backed securities		257,396		12,892		295,887		—		566,175
Securities lending transactions:
Corporate securities		120		—		—		—		120
Equity securities		1,555,844		—		—		—		1,555,844
Total	$	1,859,310	$	12,892	$	295,887	$	—	$	2,168,089
Gross amount of recognized liabilities for repurchase agreement and securities lending transactions in offsetting disclosure above									$	2,168,089
Amount related to agreements not included in offsetting disclosure above									$	—