Offsetting Assets and Liabilities

3 Months Ended

Mar. 31, 2020

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 March 31, 2020 and December 31, 2019 (dollars in thousands):


	March 31, 2020
	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								Net Amount
Description											Financial Instruments⁽¹⁾			Cash Collateral ⁽¹⁾
Derivative Assets and Receivable under Reverse Repurchase Agreements
Agency and Non-Agency Interest-Only Strips, accounted for as derivatives included in MBS	$	7,282	$	—	$	7,282	$	(7,282)	$	—		$	—
Derivative asset, at fair value	33,675		—		33,675		(18,429)		(14,809)			437
Receivable under reverse repurchase agreements	24,826		—		24,826		(20,767)		—			4,059
Total assets	$	65,783	$	—	$	65,783	$	(46,478)	$	(14,809)		$	4,496

Derivative Liabilities and Repurchase Agreements
Derivative liability, at fair value⁽²⁾	$	43,967	$	—	$	43,967	$	(18,429)	$	(25,538)		$	—
Repurchase Agreements⁽³⁾	1,553,715		—		1,553,715		(1,534,454)		(13,162)			6,099
Total liabilities	$	1,597,682	$	—	$	1,597,682	$	(1,552,883)	$	(38,700)		$	6,099

(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. In addition, the Financial Instruments column includes reverse repurchase agreement receivables that are available to be offset against repurchase agreement liabilities. Amounts disclosed in the Cash Collateral column of the tables above represents amounts pledged or received as collateral against derivative transactions.

(2)Cash collateral pledged against the Company’s derivative counterparties was approximately $27.1 million as of March 31, 2020.

(3)The carrying value of investments pledged against the Company’s repurchase agreements was approximately $1.7 billion as of March 31, 2020.


	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								Net Amount
											Financial Instruments⁽¹⁾			Cash Collateral ⁽¹⁾
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 Pledged column of the tables above represents amounts pledged 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.

Certain of the Company’s repurchase agreement and derivative transactions are governed by underlying agreements that generally provide for a right of set-off in the event of default or in the event of a bankruptcy of either party to the transaction.