|
The following tables present information, as of the dates indicated, about the Company’s derivative instruments, short-term borrowing arrangements, and associated collateral, including those subject to master netting (or similar) arrangements:
|
|
|
As of December 31, 2021 |
|
|
|
|
Gross Amount
Recognized |
|
|
Amount Offset
in the
Consolidated
Balance Sheets |
|
|
Net Amount
Presented in the
Consolidated
Balance Sheets |
|
|
Gross Amount Not Offset in the
Consolidated Balance Sheets |
|
|
Net
Amount |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financial
Instruments (1) |
|
|
Cash
Collateral (2) |
|
|
|
|
|
|
Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Derivative instruments: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TBA commitments |
|
$ |
230 |
|
|
$ |
— |
|
|
$ |
230 |
|
|
$ |
(105 |
) |
|
$ |
— |
|
|
$ |
125 |
|
|
10-year U.S. Treasury note futures |
|
|
16 |
|
|
|
— |
|
|
|
16 |
|
|
|
— |
|
|
|
— |
|
|
|
16 |
|
|
Options on U.S. Treasury note futures |
|
|
4 |
|
|
|
— |
|
|
|
4 |
|
|
|
— |
|
|
|
— |
|
|
|
4 |
|
|
Total derivative instruments |
|
|
250 |
|
|
|
— |
|
|
|
250 |
|
|
|
(105 |
) |
|
|
— |
|
|
|
145 |
|
|
Total assets |
|
$ |
250 |
|
|
$ |
— |
|
|
$ |
250 |
|
|
$ |
(105 |
) |
|
$ |
— |
|
|
$ |
145 |
|
|
Liabilities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Derivative instruments: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest rate swaps |
|
$ |
107 |
|
|
$ |
— |
|
|
$ |
107 |
|
|
$ |
— |
|
|
$ |
(107 |
) |
|
$ |
— |
|
|
TBA commitments |
|
|
121 |
|
|
|
— |
|
|
|
121 |
|
|
|
(105 |
) |
|
|
— |
|
|
|
16 |
|
|
Total derivative instruments |
|
|
228 |
|
|
|
— |
|
|
|
228 |
|
|
|
(105 |
) |
|
|
(107 |
) |
|
|
16 |
|
|
Repurchase agreements |
|
|
446,624 |
|
|
|
— |
|
|
|
446,624 |
|
|
|
(446,624 |
) |
|
|
— |
|
|
|
— |
|
|
Total liabilities |
|
$ |
446,852 |
|
|
$ |
— |
|
|
$ |
446,852 |
|
|
$ |
(446,729 |
) |
|
$ |
(107 |
) |
|
$ |
16 |
|
|
|
|
As of December 31, 2020 |
|
|
|
|
Gross Amount
Recognized |
|
|
Amount Offset
in the
Consolidated
Balance Sheets |
|
|
Net Amount
Presented in the
Consolidated
Balance Sheets |
|
|
Gross Amount Not Offset in the
Consolidated Balance Sheets |
|
|
Net
Amount |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financial
Instruments (1) |
|
|
Cash
Collateral (2) |
|
|
|
|
|
|
Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Derivative instruments: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TBA commitments |
|
$ |
258 |
|
|
$ |
— |
|
|
$ |
258 |
|
|
$ |
(74 |
) |
|
$ |
— |
|
|
$ |
184 |
|
|
Total derivative instruments |
|
|
258 |
|
|
|
— |
|
|
|
258 |
|
|
|
(74 |
) |
|
|
— |
|
|
|
184 |
|
|
Total assets |
|
$ |
258 |
|
|
$ |
— |
|
|
$ |
258 |
|
|
$ |
(74 |
) |
|
$ |
— |
|
|
$ |
184 |
|
|
Liabilities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Derivative instruments: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest rate swaps |
|
$ |
147 |
|
|
$ |
— |
|
|
$ |
147 |
|
|
$ |
— |
|
|
$ |
(147 |
) |
|
$ |
— |
|
|
TBA commitments |
|
|
74 |
|
|
|
— |
|
|
|
74 |
|
|
|
(74 |
) |
|
|
— |
|
|
|
— |
|
|
Total derivative instruments |
|
|
221 |
|
|
|
— |
|
|
|
221 |
|
|
|
(74 |
) |
|
|
(147 |
) |
|
|
— |
|
|
Repurchase agreements |
|
|
655,212 |
|
|
|
— |
|
|
|
655,212 |
|
|
|
(655,212 |
) |
|
|
— |
|
|
|
— |
|
|
Total liabilities |
|
$ |
655,433 |
|
|
$ |
— |
|
|
$ |
655,433 |
|
|
$ |
(655,286 |
) |
|
$ |
(147 |
) |
|
$ |
— |
|
|
(1) |
Does not include the fair value amount of financial instrument collateral pledged in respect of repurchase agreements that exceeds the associated liability presented in the consolidated balance sheets. |
|
(2) |
Does not include the amount of cash collateral pledged in respect of derivative instruments that exceeds the associated derivative liability presented in the consolidated balance sheets. |
|