Offsetting Assets and Liabilities (Tables)

12 Months Ended

Dec. 31, 2017

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, 2017 and December 31, 2016. As a result of rulebook changes governing central clearing activities effective January 3, 2017, the daily variation margin payment for a centrally cleared interest rate swaps is characterized as settlement of the derivative itself rather than collateral. Our derivative liability of $10.3 million at December 31, 2017 related to centrally cleared interest rate swaps is not included in the table below as a result of this change.

Offsetting of Derivative Assets

As of December 31, 2017



				Gross Amounts Not Offset in the Consolidated Balance Sheets
$ in thousands Description	Gross Amounts of Recognized Assets	Gross Amounts Offset in the Consolidated Balance Sheets	Net Amounts of Assets presented in the Consolidated Balance Sheets	Financial Instruments	Cash Collateral Received		Net Amount
Derivatives ⁽¹⁾⁽³⁾	6,896	—	6,896	—	(6,896	)	—

Offsetting of Derivative Liabilities, Repurchase Agreements and Secured Loans

As of December 31, 2017



				Gross Amounts Not Offset in the Consolidated Balance Sheets
$ in thousands Description	Gross Amounts of Recognized Liabilities	Gross Amounts Offset in the Consolidated Balance Sheets	Net Amounts of Liabilities presented in the Consolidated Balance Sheets	Financial Instruments⁽²⁾		Cash Collateral Pledged		Net Amount
Derivatives ⁽³⁾	22,445	—	22,445	(21,169	)	(620	)	656
Repurchase Agreements ⁽⁴⁾	14,080,801	—	14,080,801	(14,080,801	)	—		—
Secured Loans ⁽⁵⁾	1,650,000	—	1,650,000	(1,650,000	)	—		—
Total	15,753,246	—	15,753,246	(15,751,970	)	(620	)	656

Offsetting of Derivative Assets

As of December 31, 2016



				Gross Amounts Not Offset in the Consolidated Balance Sheets
$ in thousands Description	Gross Amounts of Recognized Assets	Gross Amounts Offset in the Consolidated Balance Sheets	Net Amounts of Assets presented in the Consolidated Balance Sheets	Financial Instruments		Cash Collateral Received		Net Amount
Derivatives ⁽¹⁾⁽³⁾	3,186	—	3,186	(1,640	)	(1,546	)	—

Offsetting of Derivative Liabilities and Repurchase Agreements

As of December 31, 2016



				Gross Amounts Not Offset in the Consolidated Balance Sheets
$ in thousands Description	Gross Amounts of Recognized Liabilities	Gross Amounts Offset in the Consolidated Balance Sheets	Net Amounts of Liabilities presented in the Consolidated Balance Sheets	Financial Instruments ⁽²⁾		Cash Collateral Pledged		Net Amount
Derivatives ⁽³⁾	134,228	—	134,228	(45,738	)	(85,787	)	2,703
Repurchase Agreements ⁽⁴⁾	11,160,669	—	11,160,669	(11,160,669	)	—		—
Secured Loans ⁽⁵⁾	1,650,000	—	1,650,000	(1,650,000	)	—		—
	12,944,897	—	12,944,897	(12,856,407	)	(85,787	)	2,703


(1)	Amounts represent derivatives in an asset position which could potentially be offset against derivatives in a liability position at December 31, 2017 and December 31, 2016, subject to a netting arrangement.


(2)	Amounts represent collateral pledged that is available to be offset against liability balances associated with repurchase agreements, secured loans and derivatives.

(3)

The fair value of securities pledged against our derivatives was $23.7 million and $46.3 million at December 31, 2017 and December 31, 2016, respectively. Cash collateral received on our derivatives was $7.3 million and $1.7 million at December 31, 2017 and December 31, 2016, respectively. Cash collateral pledged by us on our derivatives was $620,000 and $86.5 million at December 31, 2017 and December 31, 2016, respectively. As a result of rulebook changes governing central clearing activities effective January 3, 2017, cash collateral pledged on our centrally cleared interest rate swaps is settled against the fair value of these swaps and therefore excluded from the tables above at December 31, 2017.


(4)	The fair value of securities pledged against our borrowing under repurchase agreements was $15.5 billion and $12.4 billion at December 31, 2017 and December 31, 2016, respectively.


(5)	The fair value of securities pledged against IAS Services LLC's borrowing under secured loans was $1.9 billion and $1.9 billion at December 31, 2017 and December 31, 2016, respectively.

Offsetting Liabilities

Offsetting of Derivative Assets

As of December 31, 2017



				Gross Amounts Not Offset in the Consolidated Balance Sheets
$ in thousands Description	Gross Amounts of Recognized Assets	Gross Amounts Offset in the Consolidated Balance Sheets	Net Amounts of Assets presented in the Consolidated Balance Sheets	Financial Instruments	Cash Collateral Received		Net Amount
Derivatives ⁽¹⁾⁽³⁾	6,896	—	6,896	—	(6,896	)	—

Offsetting of Derivative Liabilities, Repurchase Agreements and Secured Loans

As of December 31, 2017



				Gross Amounts Not Offset in the Consolidated Balance Sheets
$ in thousands Description	Gross Amounts of Recognized Liabilities	Gross Amounts Offset in the Consolidated Balance Sheets	Net Amounts of Liabilities presented in the Consolidated Balance Sheets	Financial Instruments⁽²⁾		Cash Collateral Pledged		Net Amount
Derivatives ⁽³⁾	22,445	—	22,445	(21,169	)	(620	)	656
Repurchase Agreements ⁽⁴⁾	14,080,801	—	14,080,801	(14,080,801	)	—		—
Secured Loans ⁽⁵⁾	1,650,000	—	1,650,000	(1,650,000	)	—		—
Total	15,753,246	—	15,753,246	(15,751,970	)	(620	)	656

Offsetting of Derivative Assets

As of December 31, 2016



				Gross Amounts Not Offset in the Consolidated Balance Sheets
$ in thousands Description	Gross Amounts of Recognized Assets	Gross Amounts Offset in the Consolidated Balance Sheets	Net Amounts of Assets presented in the Consolidated Balance Sheets	Financial Instruments		Cash Collateral Received		Net Amount
Derivatives ⁽¹⁾⁽³⁾	3,186	—	3,186	(1,640	)	(1,546	)	—

Offsetting of Derivative Liabilities and Repurchase Agreements

As of December 31, 2016



				Gross Amounts Not Offset in the Consolidated Balance Sheets
$ in thousands Description	Gross Amounts of Recognized Liabilities	Gross Amounts Offset in the Consolidated Balance Sheets	Net Amounts of Liabilities presented in the Consolidated Balance Sheets	Financial Instruments ⁽²⁾		Cash Collateral Pledged		Net Amount
Derivatives ⁽³⁾	134,228	—	134,228	(45,738	)	(85,787	)	2,703
Repurchase Agreements ⁽⁴⁾	11,160,669	—	11,160,669	(11,160,669	)	—		—
Secured Loans ⁽⁵⁾	1,650,000	—	1,650,000	(1,650,000	)	—		—
	12,944,897	—	12,944,897	(12,856,407	)	(85,787	)	2,703


(1)	Amounts represent derivatives in an asset position which could potentially be offset against derivatives in a liability position at December 31, 2017 and December 31, 2016, subject to a netting arrangement.


(2)	Amounts represent collateral pledged that is available to be offset against liability balances associated with repurchase agreements, secured loans and derivatives.

(3)


(4)	The fair value of securities pledged against our borrowing under repurchase agreements was $15.5 billion and $12.4 billion at December 31, 2017 and December 31, 2016, respectively.


(5)	The fair value of securities pledged against IAS Services LLC's borrowing under secured loans was $1.9 billion and $1.9 billion at December 31, 2017 and December 31, 2016, respectively.