Offsetting Assets and Liabilities (Tables)

12 Months Ended

Dec. 31, 2019

Schedule of gross and net information about the Company's assets and liabilities subject to master netting arrangements

The following tables present information about certain assets and liabilities that are subject to master netting agreements (or similar agreements) and can potentially be offset in the Company's Consolidated Balance Sheets at December 31, 2019 and December 31, 2018 (dollars in thousands):



	December 31, 2019
	Gross Amounts		Gross Amounts Offset in the Consolidated Balance Sheets		Net Amounts of Assets presented in the Consolidated Balance Sheets		Gross Amounts Not Offset in the Consolidated Balance Sheets
Description	Gross Amounts		Gross Amounts Offset in the Consolidated Balance Sheets				Financial Instruments⁽¹⁾			Cash Collateral⁽¹⁾			Net Amount
Derivative Assets
Agency and Non-Agency Interest-Only Strips, accounted for as derivatives included in MBS	$	8,665	$	—	$	8,665	$	(8,665	)	$	—		$	—
Derivative asset, at fair value⁽²⁾	5,111		—		5,111		(2,576		)	—			2,535
Total derivative assets	$	13,776	$	—	$	13,776	$	(11,241	)	$	—		$	2,535

Derivative Liabilities and Repurchase Agreements
Derivative liability, at fair value⁽²⁾⁽³⁾	$	6,370	$	—	$	6,370	$	(2,576	)	$	(2,819	)	$	975
Repurchase Agreements⁽⁴⁾	2,824,801		—		2,824,801		(2,824,801		)	—			—
Total derivative liability	$	2,831,171	$	—	$	2,831,171	$	(2,827,377	)	$	(2,819	)	$	975

(1)

Amounts disclosed in the Financial Instruments column of the tables above represent securities, Whole Loans and securitized commercial loan collateral pledged and derivative assets that are available to be offset against liability balances associated with repurchase agreement and derivative liabilities. Amounts disclosed in the Cash Collateral column of the tables above represents amounts pledged or received as collateral against derivative transactions.


(2)	Derivative asset, at fair value and Derivative liability, at fair value includes interest rate swaps, credit default swaps and futures contracts.


(3)	Cash collateral pledged against the Company's derivative counterparties was approximately $55.4 million as of December 31, 2019.


(4)	The carrying value of investments pledged against the Company's repurchase agreements was approximately $3.2 billion as of December 31, 2019.



	December 31, 2018
	Gross Amounts		Gross Amounts Offset in the Consolidated Balance Sheets		Net Amounts of Assets presented in the Consolidated Balance Sheets		Gross Amounts Not Offset in the Consolidated Balance Sheets
Description	Gross Amounts		Gross Amounts Offset in the Consolidated Balance Sheets				Financial Instruments⁽¹⁾			Cash Collateral⁽¹⁾			Net Amount
Derivative Assets
Agency and Non-Agency Interest-Only Strips, accounted for as derivatives included in MBS	$	11,860	$	—	$	11,860	$	(11,860	)	$	—		$	—
Derivative asset, at fair value⁽²⁾	2,606		—		2,606		(2,057		)	—			549
Total derivative assets	$	14,466	$	—	$	14,466	$	(13,917	)	$	—		$	549

Derivative Liabilities and Repurchase Agreements
Derivative liability, at fair value⁽²⁾⁽³⁾	$	10,130	$	—	$	10,130	$	(2,057	)	$	(8,073	)	$	—
Repurchase Agreements⁽⁴⁾	2,818,837		—		2,818,837		(2,818,837		)	—			—
Total derivative liability	$	2,828,967	$	—	$	2,828,967	$	(2,820,894	)	$	(8,073	)	$	—

(1)


(1)	Derivative asset, at fair value and Derivative liability, at fair value includes interest rate swaps, credit default swaps and futures contracts.


(2)	Cash collateral pledged against the Company's derivative counterparties was approximately $38.0 million as of December 31, 2018.

(3)

The carrying value of investments pledged against the Company's repurchase agreements was approximately $3.3 billion as of December 31, 2018.