Offsetting Assets and Liabilities

12 Months Ended

Dec. 31, 2021

Offsetting Assets and Liabilities 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, 2021 and December 31, 2020 (dollars in thousands):


	December 31, 2021
	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							Financial Instruments(1)		Cash Collateral(1)		Net Amount
Derivative Assets
Agency and Non-Agency Interest-Only Strips, accounted for as derivatives included in MBS	$	1,058	$	—	$	1,058	$	(1,058)	$	—	$	—
Derivative asset, at fair value(2)	105		—		105		(105)		—		—
Total assets	$	1,163	$	—	$	1,163	$	(1,163)	$	—	$	—

Derivative Liabilities and Repurchase Agreements
Derivative liability, at fair value(2)(3)	$	602	$	—	$	602	$	(105)	$	(497)	$	—
Repurchase Agreements(4)	617,189		—		617,189		(617,189)		—		—
Total liability	$	617,791	$	—	$	617,791	$	(617,294)	$	(497)	$	—

(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 and credit default swaps.

(3)Cash collateral pledged against the Company's derivative counterparties was approximately $1.4 million as of December 31, 2021.

(4)The carrying value of investments pledged against the Company's repurchase agreements was approximately $787.1 million as of December 31, 2021.


	December 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
Description							Financial Instruments(1)		Cash Collateral(1)		Net Amount
Derivative Assets
Agency and Non-Agency Interest-Only Strips, accounted for as derivatives included in MBS	$	1,565	$	—	$	1,565	$	(1,565)	$	—	$	—
Derivative asset, at fair value(2)	161		—		161		(161)		—		—
Total derivative assets	$	1,726	$	—	$	1,726	$	(1,726)	$	—	$	—

Derivative Liabilities and Repurchase Agreements
Derivative liability, at fair value(2)(3)	$	656	$	—	$	656	$	(161)	$	(495)	$	—
Repurchase Agreements(4)	356,923		—		356,923		(356,923)		—		—
Total liability	$	357,579	$	—	$	357,579	$	(357,084)	$	(495)	$	—

(2)Derivative asset, at fair value and Derivative liability, at fair value credit default swaps.

(3)Cash collateral pledged against the Company's derivative counterparties was approximately $510 thousand as of December 31, 2020.

(4)The carrying value of investments pledged against the Company's repurchase agreements was approximately $682.9 million as of December 31, 2020.

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.