Collateral Positions (Tables)

12 Months Ended

Dec. 31, 2021

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 pledged and held under our repurchase agreements, interest rate swaps, currency forward contracts, and TBAs as of December 31, 2021 and 2020. Refer to Note 2 - “Summary of Significant Accounting Policies - Fair Value Measurements” for a description of how we determine fair value. MBS collateral pledged is included in mortgage-backed securities on our consolidated balance sheets. Cash collateral pledged on centrally cleared interest rate swaps and currency forward contracts is classified as restricted cash on our consolidated balance sheets. Cash collateral pledged on repurchase agreements and TBAs accounted for as derivatives is classified as due from counterparties on our consolidated balance sheets.

Cash collateral held 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, 2021 and 2020, we did not recognize any non-cash collateral held on our consolidated balance sheets.

$ in thousands	As of
Collateral Pledged	December 31, 2021	December 31, 2020
Repurchase Agreements:
Agency RMBS	7,326,175	7,614,935
Cash	3,527	700
Total repurchase agreements collateral pledged	7,329,702	7,615,635
Derivative instruments:
Cash	4,458	378
Restricted cash	219,918	244,573
Total derivative instruments collateral pledged	224,376	244,951
Total collateral pledged:
Agency RMBS	7,326,175	7,614,935
Cash	7,985	1,078
Restricted cash	219,918	244,573
Total collateral pledged	7,554,078	7,860,586

Collateral Held	December 31, 2021	December 31, 2020
Repurchase Agreements:
Cash	—	1,916
Non-cash collateral	248	4,226
Total repurchase agreements collateral held	248	6,142
Derivative instruments:
Cash	280	1,630
Total derivative instruments collateral held	280	1,630
Total collateral held:
Cash	280	3,546
Non-cash collateral	248	4,226
Total collateral held	528	7,772