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Offsetting Assets and Liabilities
 9 Months Ended
Sep. 30, 2021
Offsetting [Abstract]  
Offsetting Assets and Liabilities Offsetting Assets and Liabilities
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 condensed consolidated balance sheets.
The following tables present information about the assets and liabilities that are subject to master netting agreements (or similar agreements) and can potentially be offset on our condensed consolidated balance sheets at September 30, 2021 and December 31, 2020. The daily variation margin payment for centrally cleared interest rate swaps is characterized as settlement of the derivative itself rather than collateral. As of September 30, 2021, our derivative liability of $5.2 million (December 31,
2020: derivative liability of $5.5 million) related to centrally cleared interest rate swaps is not included in the table below as a result of this characterization of daily variation margin.
As of September 30, 2021
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Balance Sheets
$ in thousands
Gross
Amounts of
Recognized
Assets (Liabilities)		Gross
Amounts
Offset in the
Balance
Sheets		Net Amounts of Assets (Liabilities) Presented in the
Balance Sheets		Financial
Instruments
Cash Collateral
(Received) Pledged 		Net Amount
Assets
Derivatives (1) (2)
190 — 190 (40)— 150 
Total Assets190 — 190 (40)— 150 
Liabilities
Derivatives (1) (2)
(6,427)— (6,427)40 6,387 — 
Repurchase Agreements (3)
(7,873,798)— (7,873,798)7,873,798 — — 
Total Liabilities(7,880,225)— (7,880,225)7,873,838 6,387 — 
As of December 31, 2020
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Balance Sheets
$ in thousands
Gross
Amounts of
Recognized
Assets (Liabilities)		Gross
Amounts
Offset in the
Balance
Sheets		Net Amounts of Assets (Liabilities) Presented in the
Balance Sheets		Financial
Instruments		Cash Collateral
(Received) Pledged		Net Amount
Assets
Derivatives (1) (2)
10,004 — 10,004 (111)(1,630)8,263 
Total Assets10,004 — 10,004 (111)(1,630)8,263 
Liabilities
Derivatives (1) (2)
(807)— (807)111 610 (86)
Repurchase Agreements (3)
(7,228,699)— (7,228,699)7,228,699 — — 
Total Liabilities(7,229,506)— (7,229,506)7,228,810 610 (86)
(1)Amounts represent derivative assets and derivative liabilities which could potentially be offset against other derivative assets, derivative liabilities and cash collateral pledged or received.
(2)Cash collateral pledged by us on our currency forward contracts, TBAs and centrally cleared interest rate swaps was $305.6 million and $245.0 million as of September 30, 2021 and December 31, 2020, respectively. Cash collateral pledged on our centrally cleared interest rate swaps is settled against the fair value of these swaps and is therefore excluded from the tables above. We held cash collateral on our derivatives of $1.6 million at December 31, 2020. We did not hold cash collateral on our derivatives as of September 30, 2021.
(3)The fair value of securities pledged against our borrowings under repurchase agreements was $8.3 billion and $7.6 billion at September 30, 2021 and December 31, 2020, respectively. We pledged cash collateral of $1.1 million and $700,000 under repurchase agreements as of September 30, 2021 and December 31, 2020, respectively. We held cash collateral of $1.9 million under repurchase agreements as of December 31, 2020. We did not hold cash collateral under repurchase agreements as of September 30, 2021.