Offsetting Assets and Liabilities (Tables)

3 Months Ended

Mar. 31, 2023

Offsetting [Abstract]

Schedule of Gross and Net Information about the Company's Assets 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 March 31, 2023 and December 31, 2022 (dollars in thousands):

  

	March 31, 2023
	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
Agency and Non-Agency Interest-Only Strips, accounted for as derivatives included in MBS	$	781	$	—	$	781	$	(214)	$	—	$	567
Total assets	$	781	$	—	$	781	$	(214)	$	—	$	567
Derivative Liabilities and Repurchase Agreements
Derivative liability, at fair value(2)(3)	$	121	$	—	$	121	$	—	$	(121)	$	—
Repurchase Agreements(4)	171,290		—		171,290		(171,277)		—		13
Total liability	$	171,411	$	—	$	171,411	$	(171,277)	$	(121)	$	13

(1)Amounts disclosed in the financial instruments column of the tables above represent securities, whole loans, 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, includes interest rate swaps.

(3)Cash collateral pledged against the Company’s derivative counterparties was approximately $1.4 million as of March 31, 2023.

(4)The carrying value of investments pledged against the Company’s repurchase agreements was approximately $246.5 million as of March 31, 2023.

 

	December 31, 2022
	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
Agency and Non-Agency Interest-Only Strips, accounted for as derivatives included in MBS	$	714	$	—	$	714	$	(196)	$	—	$	518
Derivative asset, at fair value(2)	1		—		1		(1)		—		—
Total assets	$	715	$	—	$	715	$	(197)	$	—	$	518
Derivative Liabilities and Repurchase Agreements
Derivative liability, at fair value(2)(3)	$	61	$	—	$	61	$	(1)	$	(60)	$	—
Repurchase Agreements(4)	193,117		—		193,117		(193,073)		(44)		—
Total liability	$	193,178	$	—	$	193,178	$	(193,074)	$	(104)	$	—

(1)Amounts disclosed in the financial instruments column of the tables above represent securities, whole loans, 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 $3.2 million as of December 31, 2022.

(4)The carrying value of investments pledged against the Company’s repurchase agreements was approximately $288.3 million as of December 31, 2022.

Schedule of Gross and Net Information about the Company's 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 March 31, 2023 and December 31, 2022 (dollars in thousands):

  

	March 31, 2023
	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
Agency and Non-Agency Interest-Only Strips, accounted for as derivatives included in MBS	$	781	$	—	$	781	$	(214)	$	—	$	567
Total assets	$	781	$	—	$	781	$	(214)	$	—	$	567
Derivative Liabilities and Repurchase Agreements
Derivative liability, at fair value(2)(3)	$	121	$	—	$	121	$	—	$	(121)	$	—
Repurchase Agreements(4)	171,290		—		171,290		(171,277)		—		13
Total liability	$	171,411	$	—	$	171,411	$	(171,277)	$	(121)	$	13

(1)Amounts disclosed in the financial instruments column of the tables above represent securities, whole loans, 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, includes interest rate swaps.

(3)Cash collateral pledged against the Company’s derivative counterparties was approximately $1.4 million as of March 31, 2023.

(4)The carrying value of investments pledged against the Company’s repurchase agreements was approximately $246.5 million as of March 31, 2023.

 

	December 31, 2022
	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
Agency and Non-Agency Interest-Only Strips, accounted for as derivatives included in MBS	$	714	$	—	$	714	$	(196)	$	—	$	518
Derivative asset, at fair value(2)	1		—		1		(1)		—		—
Total assets	$	715	$	—	$	715	$	(197)	$	—	$	518
Derivative Liabilities and Repurchase Agreements
Derivative liability, at fair value(2)(3)	$	61	$	—	$	61	$	(1)	$	(60)	$	—
Repurchase Agreements(4)	193,117		—		193,117		(193,073)		(44)		—
Total liability	$	193,178	$	—	$	193,178	$	(193,074)	$	(104)	$	—

(1)Amounts disclosed in the financial instruments column of the tables above represent securities, whole loans, 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 $3.2 million as of December 31, 2022.

(4)The carrying value of investments pledged against the Company’s repurchase agreements was approximately $288.3 million as of December 31, 2022.