Collateral Positions

12 Months Ended

Dec. 31, 2019

Derivative Instruments and Hedging Activities Disclosure [Abstract]

The following table summarizes the fair value of collateral that we have pledged under our repurchase agreements, secured loans, interest rate swaps, futures contracts and currency forward contracts as of December 31, 2019 and 2018. Refer to Note 2 - “Summary of Significant Accounting Policies - Fair Value Measurements” for a description of how we determine fair value. MBS and GSE CRT collateral pledged is included in mortgage-backed and credit risk transfer securities on our consolidated balance sheets. Loan participation interest collateral pledged is included in other assets on our consolidated balance sheets. Cash collateral pledged on secured loans, centrally cleared swaps, bilateral interest rate swaps and currency forward contracts is classified as restricted cash on our consolidated balance sheets. Cash collateral pledged on repurchase agreements, futures contracts and TBA securities that are accounted for as derivatives is classified as due from counterparties on our consolidated balance sheets. TBA securities that are recorded as mortgage-backed and credit risk transfer securities on our condensed consolidated balance sheets cannot be pledged as collateral until these securities settle. We held approximately $99.3 million and $131.8 million of these securities as of December 31, 2019 and 2018, respectively.

Cash collateral held on bilateral swaps and repurchase agreements that is not restricted for use is included in cash and cash equivalents on our consolidated balance sheets and the liability to return the collateral is included in collateral held payable. Non-cash collateral held is only recognized if the counterparty defaults or if we sell the pledged collateral. As of December 31, 2019 and 2018, we did not recognize any non-cash collateral held on our consolidated balance sheets.



$ in thousands	As of
Collateral Pledged	December 31, 2019	December 31, 2018
Repurchase Agreements:
Agency RMBS	10,187,555	10,158,404
Agency CMBS	4,446,384	870,702
Non-Agency CMBS	2,549,841	2,016,202
Non-Agency RMBS	943,176	1,127,911
GSE CRT	918,117	819,328
Loan participation interest	44,654	54,981
Cash	32,568	—
Total repurchase agreements collateral pledged	19,122,295	15,047,528
Secured Loans:
Agency RMBS	621,471	702,952
Non-Agency CMBS	1,276,418	1,227,412
Restricted cash	600	—
Total secured loans collateral pledged	1,898,489	1,930,364
Interest Rate Swaps, Futures Contracts and Currency Forward Contracts:
Agency RMBS	189,780	159,914
Cash	—	13,500
Restricted cash	116,395	—
Total interest rate swaps, futures contracts and currency forward contracts collateral pledged	306,175	173,414
Total collateral pledged:
Mortgage-backed and credit risk transfer securities	21,132,742	17,082,825
Loan participation interest	44,654	54,981
Cash	32,568	13,500
Restricted cash	116,995	—
Total collateral pledged	21,326,959	17,151,306



Collateral Held	December 31, 2019	December 31, 2018
Repurchase Agreements:
Cash	10	—
Non-cash collateral	181	—
Total repurchase agreements collateral held	191	—
Interest Rate Swaps:
Cash	160	18,083
Total interest rate swap collateral held	160	18,083

Total collateral held:
Cash	170	18,083
Non-cash collateral	181	—
Total collateral held	351	18,083

Repurchase Agreements

Collateral pledged with our repurchase agreement counterparties is segregated in our books and records. The repurchase agreement counterparties have the right to resell and repledge the collateral posted but have the obligation to return the pledged collateral, or substantially the same collateral if agreed to by us, upon maturity of the repurchase agreement. Under the repurchase agreements, the respective lender retains the contractual right to mark the underlying collateral to fair value. We would be required to provide additional collateral to meet margin calls if the value of pledged assets declined. We intend to maintain a level of liquidity that will enable us to meet margin calls.

Secured Loans

The ability to borrow from the FHLBI is subject to our continued creditworthiness, pledging of sufficient eligible collateral to secure advances, and compliance with FHLBI and FHFA rules. Collateral pledged with the FHLBI is held in trust for the benefit of the FHLBI and is not commingled with our other assets. The FHLBI does not have the right to resell or repledge collateral posted unless an event of default occurs. The FHLBI retains the right to mark the underlying collateral for FHLBI advances to fair value as determined by the FHLBI in its sole discretion. IAS Services LLC would be required to provide additional collateral to meet margin calls if the value of pledged assets declines.

Interest Rate Swaps

As of December 31, 2019, all of our interest rate swaps are centrally cleared by a registered clearing organization such as the Chicago Mercantile Exchange (“CME”) and LCH Limited (“LCH”) through a Futures Commission Merchant (“FCM”). We are required to pledge initial margin and daily variation margin for our centrally cleared interest rate swaps that is based on the fair value of our contracts as determined by our FCM. Collateral pledged with our FCM is segregated in our books and records and can be in the form of cash or securities. Daily variation margin for centrally cleared interest rate swaps is characterized as settlement of the derivative itself rather than collateral and is recorded as gain (loss) on derivative instruments, net in our consolidated statements of operations. Our FCM agreements include cross default provisions, and we were in compliance with all of the financial provisions of these agreements as of December 31, 2019.

Prior to December 31, 2019, we also had bilateral interest rate swaps that were governed by International Swaps and Derivatives Association agreements that provided for bilateral collateral pledging based on our counterparties' market value. The counterparties had the right to repledge the collateral posted, but had the obligation to return the pledged collateral, or substantially the same collateral, if agreed to by us, as the market value of the interest rate swaps changed.

Futures Contracts

We are required to pledge initial margin and daily variation margin for our futures contracts that is based on the fair value of our contracts as determined by our FCM. Collateral pledged with our FCM is segregated in our books and records and can be in the form of cash of securities. Daily variation margin for futures contracts is characterized as settlement of the futures contract itself rather than collateral and is recorded as gain(loss) on derivative instruments, net in our consolidated statements of operations. We had no futures contracts as of December 31, 2019.

Currency Forward Contracts

Our currency forward contract provides for bilateral collateral pledging based on market value as determined by our counterparty. Collateral pledged with our currency forward counterparty is segregated in our books and records and can be in the form of cash or securities. Our counterparty has the right to repledge the collateral posted, but has the obligation to return the pledged collateral, or substantially the same collateral, if agreed to by us, as the market value of the currency forward contract changes.