Quarterly report pursuant to Section 13 or 15(d)

Offsetting Assets and Liabilities (Tables)

v3.23.2
Offsetting Assets and Liabilities (Tables)
 6 Months Ended
Jun. 30, 2023
Offsetting [Abstract]  
Offsetting Assets
The following tables present information about the Company’s assets and liabilities that are subject to master netting arrangements or similar agreements and can potentially be offset on the Company’s condensed consolidated balance sheets as of June 30, 2023 and December 31, 2022:
June 30, 2023
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Balance Sheets (1)
(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:
Derivative assets $ 157,155  $ (140,686) $ 16,469  $ (14,976) $ —  $ 1,493 
Reverse repurchase agreements
 289,288  —  289,288  —  (186,634) 102,654 
Total Assets $ 446,443  $ (140,686) $ 305,757  $ (14,976) $ (186,634) $ 104,147 
Liabilities:
Repurchase agreements $ (9,067,824) $ —  $ (9,067,824) $ 9,067,824  $ —  $ — 
Derivative liabilities (155,662) 140,686  (14,976) 14,976  —  — 
Total Liabilities $ (9,223,486) $ 140,686  $ (9,082,800) $ 9,082,800  $ —  $ — 
December 31, 2022
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Balance Sheets (1)
(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:
Derivative assets $ 98,609  $ (72,171) $ 26,438  $ (26,438) $ —  $ — 
Reverse repurchase agreements
 1,066,935  —  1,066,935  (888,295) (178,640) — 
Total Assets $ 1,165,544  $ (72,171) $ 1,093,373  $ (914,733) $ (178,640) $ — 
Liabilities:
Repurchase agreements $ (8,603,011) $ —  $ (8,603,011) $ 8,603,011  $ —  $ — 
Derivative liabilities (106,219) 72,171  (34,048) 26,438  —  (7,610)
Total Liabilities $ (8,709,230) $ 72,171  $ (8,637,059) $ 8,629,449  $ —  $ (7,610)
____________________
(1)Amounts presented are limited in total to the net amount of assets or liabilities presented in the condensed consolidated balance sheets by instrument. Excess cash collateral or financial assets that are pledged to counterparties may exceed the financial liabilities subject to a master netting arrangement or similar agreement, or counterparties may have pledged excess cash collateral to the Company that exceed the corresponding financial assets. These excess amounts are excluded from the table above, although separately reported within restricted cash, due from counterparties, or due to counterparties in the Company’s condensed consolidated balance sheets.
Offsetting Liabilities
The following tables present information about the Company’s assets and liabilities that are subject to master netting arrangements or similar agreements and can potentially be offset on the Company’s condensed consolidated balance sheets as of June 30, 2023 and December 31, 2022:
June 30, 2023
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Balance Sheets (1)
(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:
Derivative assets $ 157,155  $ (140,686) $ 16,469  $ (14,976) $ —  $ 1,493 
Reverse repurchase agreements
 289,288  —  289,288  —  (186,634) 102,654 
Total Assets $ 446,443  $ (140,686) $ 305,757  $ (14,976) $ (186,634) $ 104,147 
Liabilities:
Repurchase agreements $ (9,067,824) $ —  $ (9,067,824) $ 9,067,824  $ —  $ — 
Derivative liabilities (155,662) 140,686  (14,976) 14,976  —  — 
Total Liabilities $ (9,223,486) $ 140,686  $ (9,082,800) $ 9,082,800  $ —  $ — 
December 31, 2022
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Balance Sheets (1)
(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:
Derivative assets $ 98,609  $ (72,171) $ 26,438  $ (26,438) $ —  $ — 
Reverse repurchase agreements
 1,066,935  —  1,066,935  (888,295) (178,640) — 
Total Assets $ 1,165,544  $ (72,171) $ 1,093,373  $ (914,733) $ (178,640) $ — 
Liabilities:
Repurchase agreements $ (8,603,011) $ —  $ (8,603,011) $ 8,603,011  $ —  $ — 
Derivative liabilities (106,219) 72,171  (34,048) 26,438  —  (7,610)
Total Liabilities $ (8,709,230) $ 72,171  $ (8,637,059) $ 8,629,449  $ —  $ (7,610)
____________________
(1)Amounts presented are limited in total to the net amount of assets or liabilities presented in the condensed consolidated balance sheets by instrument. Excess cash collateral or financial assets that are pledged to counterparties may exceed the financial liabilities subject to a master netting arrangement or similar agreement, or counterparties may have pledged excess cash collateral to the Company that exceed the corresponding financial assets. These excess amounts are excluded from the table above, although separately reported within restricted cash, due from counterparties, or due to counterparties in the Company’s condensed consolidated balance sheets.