v3.26.1
Offsetting Assets and Liabilities (Tables)
 6 Months Ended
Jun. 30, 2026
Offsetting [Abstract]  
Schedule of Offsetting Assets
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 condensed consolidated balance sheets as of June 30, 2026 and December 31, 2025. The daily variation margin payments for centrally cleared interest rate swaps and U.S. Treasury futures contracts are characterized as settlement of the derivative itself rather than collateral. Our derivative assets of $8.9 million related to centrally cleared interest rate swaps and $5.2 million related to U.S. Treasury futures contracts as of June 30, 2026 (December 31, 2025: assets of $2.2 million related to centrally cleared interest rate swaps and $2.2 million related to U.S. Treasury futures contracts) are not included in the tables below as a result of this characterization of daily variation margin.
As of June 30, 2026
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Balance Sheets
$ in thousandsGross
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)
2,347 — 2,347 (695)(1,518)134 
Total assets2,347 — 2,347 (695)(1,518)134 
Liabilities
Derivatives (1) (2)
(882)— (882)695 — (187)
Repurchase agreements (3)
(6,210,403)— (6,210,403)6,210,403 — — 
Total liabilities(6,211,285)— (6,211,285)6,211,098 — (187)
As of December 31, 2025
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Balance Sheets
$ in thousandsGross
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
Liabilities
Repurchase agreements (3)
(5,619,255)— (5,619,255)5,619,255 — — 
Total liabilities(5,619,255)— (5,619,255)5,619,255 — — 
(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 derivatives was $167.2 million as of June 30, 2026 (December 31, 2025: $110.4 million) of which $167.2 million relates to initial margin pledged on centrally cleared interest rate swaps and U.S. Treasury futures contracts (December 31, 2025: $110.4 million). Centrally cleared interest rate swaps and U.S. Treasury futures contracts are excluded from the tables above. We held $4.1 million of cash collateral on our derivatives as of June 30, 2026 (December 31, 2025: none).
(3)The fair value of securities pledged against our borrowings under repurchase agreements was $6.5 billion as of June 30, 2026 (December 31, 2025: $5.9 billion). We held $2.6 million of cash collateral under repurchase agreements as of June 30, 2026 (December 31, 2025: none). Gross amounts not offset are limited to the net amount of repurchase agreement liabilities presented sufficient to reduce the net amount to zero for each counterparty. Accordingly, cash collateral held under repurchase agreements is not shown in the tables above, but the obligation to return the cash collateral is separately reported within collateral held payable on the condensed consolidated balance sheets. Non-cash collateral held under repurchase agreements is only recognized on our condensed consolidated balance sheets if the counterparty defaults or if we sell the pledged collateral.
Schedule of Offsetting Liabilities
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 condensed consolidated balance sheets as of June 30, 2026 and December 31, 2025. The daily variation margin payments for centrally cleared interest rate swaps and U.S. Treasury futures contracts are characterized as settlement of the derivative itself rather than collateral. Our derivative assets of $8.9 million related to centrally cleared interest rate swaps and $5.2 million related to U.S. Treasury futures contracts as of June 30, 2026 (December 31, 2025: assets of $2.2 million related to centrally cleared interest rate swaps and $2.2 million related to U.S. Treasury futures contracts) are not included in the tables below as a result of this characterization of daily variation margin.
As of June 30, 2026
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Balance Sheets
$ in thousandsGross
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)
2,347 — 2,347 (695)(1,518)134 
Total assets2,347 — 2,347 (695)(1,518)134 
Liabilities
Derivatives (1) (2)
(882)— (882)695 — (187)
Repurchase agreements (3)
(6,210,403)— (6,210,403)6,210,403 — — 
Total liabilities(6,211,285)— (6,211,285)6,211,098 — (187)
As of December 31, 2025
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Balance Sheets
$ in thousandsGross
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
Liabilities
Repurchase agreements (3)
(5,619,255)— (5,619,255)5,619,255 — — 
Total liabilities(5,619,255)— (5,619,255)5,619,255 — — 
(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 derivatives was $167.2 million as of June 30, 2026 (December 31, 2025: $110.4 million) of which $167.2 million relates to initial margin pledged on centrally cleared interest rate swaps and U.S. Treasury futures contracts (December 31, 2025: $110.4 million). Centrally cleared interest rate swaps and U.S. Treasury futures contracts are excluded from the tables above. We held $4.1 million of cash collateral on our derivatives as of June 30, 2026 (December 31, 2025: none).
(3)The fair value of securities pledged against our borrowings under repurchase agreements was $6.5 billion as of June 30, 2026 (December 31, 2025: $5.9 billion). We held $2.6 million of cash collateral under repurchase agreements as of June 30, 2026 (December 31, 2025: none). Gross amounts not offset are limited to the net amount of repurchase agreement liabilities presented sufficient to reduce the net amount to zero for each counterparty. Accordingly, cash collateral held under repurchase agreements is not shown in the tables above, but the obligation to return the cash collateral is separately reported within collateral held payable on the condensed consolidated balance sheets. Non-cash collateral held under repurchase agreements is only recognized on our condensed consolidated balance sheets if the counterparty defaults or if we sell the pledged collateral.