Offsetting Assets and Liabilities

12 Months Ended

Dec. 31, 2019

Certain of our repurchase agreements and derivative transactions are governed by underlying agreements that generally provide for a right of offset under master netting arrangements (or similar agreements), in the event of default or in the event of bankruptcy of either party to the transactions. Assets and liabilities subject to such arrangements are presented on a gross basis in the consolidated balance sheets.

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, 2019 and December 31, 2018. The daily variation margin payment for centrally cleared interest rate swaps is characterized as settlement of the derivative itself rather than collateral. Our derivative asset of $18.5 million (December 31, 2018: derivative liability of $13.2 million) at December 31, 2019 related to centrally cleared interest rate swaps is not included in the table below as a result of this characterization of daily variation margin.

Offsetting of Derivative Liabilities, Repurchase Agreements and Secured Loans

As of December 31, 2019



				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⁽¹⁾		Cash Collateral Pledged		Net Amount
Derivatives ⁽²⁾	352	—	352	—		(320	)	32
Repurchase Agreements ⁽³⁾	17,532,303	—	17,532,303	(17,532,303	)	—		—
Secured Loans ⁽⁴⁾	1,650,000	—	1,650,000	(1,650,000	)	—		—
Total	19,182,655	—	19,182,655	(19,182,303	)	(320	)	32

Offsetting of Derivative Assets

As of December 31, 2018



				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 ⁽³⁾⁽⁵⁾	15,089	—	15,089	(433	)	(14,656	)	—

Offsetting of Derivative Liabilities, Repurchase Agreements and Secured Loans

As of December 31, 2018



				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 ⁽¹⁾		Cash Collateral Pledged		Net Amount
Derivatives ⁽²⁾	10,239	—	10,239	(2,058	)	(7,836	)	345
Repurchase Agreements ⁽³⁾	13,602,484	—	13,602,484	(13,602,484	)	—		—
Secured Loans ⁽⁴⁾	1,650,000	—	1,650,000	(1,650,000	)	—		—
Total	15,262,723	—	15,262,723	(15,254,542	)	(7,836	)	345


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

(2)

The fair value of securities pledged against our derivatives was $189.8 million at December 31, 2019 (December 31, 2018: $159.9 million), of which $189.8 million (December 31, 2018: $158.3 million) relates to initial margin pledged on centrally cleared interest rate swaps. Centrally cleared interest rate swaps are excluded from the tables above. Cash collateral received on our derivatives was $160,000 and $18.1 million at December 31, 2019 and December 31, 2018, respectively. Cash collateral pledged by us on our futures contracts and interest rate swaps was $116.4 million and $13.5 million at December 31, 2019 and December 31, 2018, respectively. 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, 2019 and December 31, 2018, respectively.


(3)	The fair value of securities pledged against our borrowing under repurchase agreements was $19.1 billion and $15.0 billion at December 31, 2019 and December 31, 2018, respectively. We pledged cash collateral of $32.6 million and held cash collateral of $10,000 under repurchase agreements as of December 31, 2019.


(4)	The fair value of securities pledged against IAS Services LLC's borrowings under secured loans was $1.9 billion and $1.9 billion at December 31, 2019 and December 31, 2018, respectively.

(5)

Amounts represent derivatives in an asset position which could potentially be offset against derivatives in a liability position at December 31, 2018, subject to a netting arrangement.