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Offsetting Assets and Liabilities (Tables)
 12 Months Ended
Dec. 31, 2021
Offsetting [Abstract]  
Schedule of Offsetting Assets
The following tables present information about the assets and liabilities that are subject to master netting arrangements (or similar agreements) and can potentially be offset on our consolidated balance sheets at December 31, 2021 and December 31, 2020. The daily variation margin payment for centrally cleared interest rate swaps is characterized as settlement of the derivative itself rather than collateral. Our derivative liability of $11.4 million at December 31, 2021 (December 31, 2020: liability of $5.5 million) related to centrally cleared interest rate swaps is not included in the table below as a result of this characterization of daily variation margin.

As of December 31, 2021
Gross Amounts Not Offset in the
Consolidated Balance Sheets
$ in thousandsGross
Amounts of
Recognized
Assets (Liabilities)		Gross
Amounts
Offset in the
Consolidated
Balance
Sheets		Net Amounts
of Assets (Liabilities)
presented
in the
Consolidated
Balance Sheets		Financial
Instruments
Cash Collateral
(Received) Pledged		Net Amount
Assets
Derivatives (1) (2)
270 — 270 — (270)— 
Total Assets270 — 270 — (270)— 
Liabilities
Derivatives (1) (2)
(2,951)— (2,951)— 2,951 — 
Repurchase Agreements (3)
(6,987,834)— (6,987,834)6,987,834 — — 
Total Liabilities(6,990,785)— (6,990,785)6,987,834 2,951 — 
As of December 31, 2020
Gross Amounts Not Offset in the
Consolidated Balance Sheets
$ in thousandsGross
Amounts of
Recognized
Assets (Liabilities)		Gross
Amounts
Offset in the
Consolidated
Balance
Sheets		Net Amounts
of Assets (Liabilities)
presented
in the
Consolidated
Balance Sheets		Financial
Instruments		Cash Collateral
(Received) Pledged		Net Amount
Assets
Derivatives (1) (2)
10,004 — 10,004 (111)(1,630)8,263 
Total Assets10,004 — 10,004 (111)(1,630)8,263 
Liabilities
Derivatives (1) (2)
(807)— (807)111 610 (86)
Repurchase Agreements (3)
(7,228,699)— (7,228,699)7,228,699 — — 
Total Liabilities(7,229,506)— (7,229,506)7,228,810 610 (86)
(1)Amounts represent derivative assets and derivative liabilities which could potentially be offset against other derivative assets, derivative liabilities and cash collateral pledged or received.
(2)Cash collateral pledged by us on our currency forward contracts, TBAs and centrally cleared interest rate swaps was $224.4 million and $245.0 million at December 31, 2021 and December 31, 2020, respectively. Cash collateral pledged on our centrally cleared interest rate swaps is settled against the fair value of these swaps and is therefore excluded from the tables above. We held cash collateral on our derivatives of $280,000 and $1.6 million as of December 31, 2021 and December 31, 2020, respectively.
(3)The fair value of securities pledged against our borrowing under repurchase agreements was $7.3 billion and $7.6 billion at December 31, 2021 and December 31, 2020, respectively. We pledged cash collateral of $3.5 million and $700,000 under repurchase agreements as of December 31, 2021 and December 31, 2020, respectively. We held no cash collateral and $1.9 million of cash collateral under repurchase agreements as of December 31, 2021 and December 31, 2020, respectively.
Schedule of Offsetting Liabilities
The following tables present information about the assets and liabilities that are subject to master netting arrangements (or similar agreements) and can potentially be offset on our consolidated balance sheets at December 31, 2021 and December 31, 2020. The daily variation margin payment for centrally cleared interest rate swaps is characterized as settlement of the derivative itself rather than collateral. Our derivative liability of $11.4 million at December 31, 2021 (December 31, 2020: liability of $5.5 million) related to centrally cleared interest rate swaps is not included in the table below as a result of this characterization of daily variation margin.

As of December 31, 2021
Gross Amounts Not Offset in the
Consolidated Balance Sheets
$ in thousandsGross
Amounts of
Recognized
Assets (Liabilities)		Gross
Amounts
Offset in the
Consolidated
Balance
Sheets		Net Amounts
of Assets (Liabilities)
presented
in the
Consolidated
Balance Sheets		Financial
Instruments
Cash Collateral
(Received) Pledged		Net Amount
Assets
Derivatives (1) (2)
270 — 270 — (270)— 
Total Assets270 — 270 — (270)— 
Liabilities
Derivatives (1) (2)
(2,951)— (2,951)— 2,951 — 
Repurchase Agreements (3)
(6,987,834)— (6,987,834)6,987,834 — — 
Total Liabilities(6,990,785)— (6,990,785)6,987,834 2,951 — 
As of December 31, 2020
Gross Amounts Not Offset in the
Consolidated Balance Sheets
$ in thousandsGross
Amounts of
Recognized
Assets (Liabilities)		Gross
Amounts
Offset in the
Consolidated
Balance
Sheets		Net Amounts
of Assets (Liabilities)
presented
in the
Consolidated
Balance Sheets		Financial
Instruments		Cash Collateral
(Received) Pledged		Net Amount
Assets
Derivatives (1) (2)
10,004 — 10,004 (111)(1,630)8,263 
Total Assets10,004 — 10,004 (111)(1,630)8,263 
Liabilities
Derivatives (1) (2)
(807)— (807)111 610 (86)
Repurchase Agreements (3)
(7,228,699)— (7,228,699)7,228,699 — — 
Total Liabilities(7,229,506)— (7,229,506)7,228,810 610 (86)
(1)Amounts represent derivative assets and derivative liabilities which could potentially be offset against other derivative assets, derivative liabilities and cash collateral pledged or received.
(2)Cash collateral pledged by us on our currency forward contracts, TBAs and centrally cleared interest rate swaps was $224.4 million and $245.0 million at December 31, 2021 and December 31, 2020, respectively. Cash collateral pledged on our centrally cleared interest rate swaps is settled against the fair value of these swaps and is therefore excluded from the tables above. We held cash collateral on our derivatives of $280,000 and $1.6 million as of December 31, 2021 and December 31, 2020, respectively.
(3)The fair value of securities pledged against our borrowing under repurchase agreements was $7.3 billion and $7.6 billion at December 31, 2021 and December 31, 2020, respectively. We pledged cash collateral of $3.5 million and $700,000 under repurchase agreements as of December 31, 2021 and December 31, 2020, respectively. We held no cash collateral and $1.9 million of cash collateral under repurchase agreements as of December 31, 2021 and December 31, 2020, respectively.