Collateral Positions (Tables)

12 Months Ended

Dec. 31, 2019

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Schedule of Fair Value of Collateral Hold and Pledged

The following table summarizes the fair value of collateral that we have pledged under our repurchase agreements, secured loans, interest rate swaps, futures contracts and currency forward contracts as of December 31, 2019 and 2018. Refer to Note 2 - “Summary of Significant Accounting Policies - Fair Value Measurements” for a description of how we determine fair value. MBS and GSE CRT collateral pledged is included in mortgage-backed and credit risk transfer securities on our consolidated balance sheets. Loan participation interest collateral pledged is included in other assets on our consolidated balance sheets. Cash collateral pledged on secured loans, centrally cleared swaps, bilateral interest rate swaps and currency forward contracts is classified as restricted cash on our consolidated balance sheets. Cash collateral pledged on repurchase agreements, futures contracts and TBA securities that are accounted for as derivatives is classified as due from counterparties on our consolidated balance sheets. TBA securities that are recorded as mortgage-backed and credit risk transfer securities on our condensed consolidated balance sheets cannot be pledged as collateral until these securities settle. We held approximately $99.3 million and $131.8 million of these securities as of December 31, 2019 and 2018, respectively.

Cash collateral held on bilateral swaps and repurchase agreements that is not restricted for use is included in cash and cash equivalents on our consolidated balance sheets and the liability to return the collateral is included in collateral held payable. Non-cash collateral held is only recognized if the counterparty defaults or if we sell the pledged collateral. As of December 31, 2019 and 2018, we did not recognize any non-cash collateral held on our consolidated balance sheets.

$ in thousands	As of
Collateral Pledged	December 31, 2019	December 31, 2018
Repurchase Agreements:
Agency RMBS	10,187,555	10,158,404
Agency CMBS	4,446,384	870,702
Non-Agency CMBS	2,549,841	2,016,202
Non-Agency RMBS	943,176	1,127,911
GSE CRT	918,117	819,328
Loan participation interest	44,654	54,981
Cash	32,568	—
Total repurchase agreements collateral pledged	19,122,295	15,047,528
Secured Loans:
Agency RMBS	621,471	702,952
Non-Agency CMBS	1,276,418	1,227,412
Restricted cash	600	—
Total secured loans collateral pledged	1,898,489	1,930,364
Interest Rate Swaps, Futures Contracts and Currency Forward Contracts:
Agency RMBS	189,780	159,914
Cash	—	13,500
Restricted cash	116,395	—
Total interest rate swaps, futures contracts and currency forward contracts collateral pledged	306,175	173,414
Total collateral pledged:
Mortgage-backed and credit risk transfer securities	21,132,742	17,082,825
Loan participation interest	44,654	54,981
Cash	32,568	13,500
Restricted cash	116,995	—
Total collateral pledged	21,326,959	17,151,306

Collateral Held	December 31, 2019	December 31, 2018
Repurchase Agreements:
Cash	10	—
Non-cash collateral	181	—
Total repurchase agreements collateral held	191	—
Interest Rate Swaps:
Cash	160	18,083
Total interest rate swap collateral held	160	18,083
Total collateral held:
Cash	170	18,083
Non-cash collateral	181	—
Total collateral held	351	18,083