SECURED FINANCING

3 Months Ended

Mar. 31, 2021


13. SECURED FINANCING

Reverse Repurchase and Repurchase Agreements – The Company finances a significant portion of its assets with repurchase agreements. At the inception of each transaction, the Company assessed each of the specified criteria in ASC 860, Transfers and Servicing, and has determined that each of the financing agreements should be treated as a securing financing.

The Company enters into reverse repurchase agreements to earn a yield on excess cash balances. The Company receives collateral for reverse repurchase agreements and is required to post collateral for repurchase agreements. To mitigate credit exposure, the Company monitors the market value of these securities and delivers or obtains additional collateral based on changes in market value of these securities. Generally, the Company receives or posts collateral with a fair value approximately equal to or greater than the value of the secured financing.

Reverse repurchase agreements and repurchase agreements with the same counterparty and the same maturity are presented net in the Consolidated Statements of Financial Condition when the terms of the agreements meet the criteria to permit netting. The Company reports cash flows on repurchase agreements as financing activities and cash flows on reverse repurchase agreements as investing activities in the Consolidated Statements of Cash Flows.

The Company had outstanding $61.2 billion and $64.8 billion of repurchase agreements with weighted average borrowing rates of 0.72% and 0.82%, after giving effect to the Company’s interest rate swaps used to hedge cost of funds, and weighted average remaining maturities of 88 days and 64 days at March 31, 2021 and December 31, 2020, respectively. The Company has select arrangements with counterparties to enter into repurchase agreements for $1.6 billion with remaining capacity of $1.4 billion at March 31, 2021.

At March 31, 2021 and December 31, 2020, the repurchase agreements had the following remaining maturities, collateral types and weighted average rates:


March 31, 2021
	Agency Mortgage-Backed Securities		CRTs		Non-Agency Mortgage-Backed Securities		Residential Mortgage Loans		Commercial Mortgage-Backed Securities (1)		Total Repurchase Agreements		Weighted Average Rate
	(dollars in thousands)
1 day	$	7,222,420	$	—	$	—	$	—	$	—	$	7,222,420	0.06	%
2 to 29 days	15,992,325		280,544		421,388		—		298,047		16,992,304		0.19	%
30 to 59 days	7,127,492		59,558		158,556		—		14,929		7,360,535		0.20	%
60 to 89 days	9,066,985		—		179,935		239,985		—		9,486,905		0.31	%
90 to 119 days	3,781,467		—		—		—		—		3,781,467		0.24	%
Over 119 days (1)	16,210,783		—		133,604		—		14,459		16,358,846		0.21	%
Total	$	59,401,472	$	340,102	$	893,483	$	239,985	$	327,435	$	61,202,477	0.20	%


December 31, 2020
	Agency Mortgage-Backed Securities		CRTs		Non-Agency Mortgage-Backed Securities		Residential Mortgage Loans		Commercial Loans		Commercial Mortgage-Backed Securities		Total Repurchase Agreements		Weighted Average Rate
	(dollars in thousands)
1 day	$	—	$	—	$	—	$	—	$	—	$	—	$	—	—	%
2 to 29 days	30,151,875		129,993		354,904		$	76,799	—		128,267		30,841,838		0.29	%
30 to 59 days	10,247,972		16,073		161,274		$	—	—		142,336		10,567,655		0.42	%
60 to 89 days	8,181,410		99,620		259,401		$	—	—		28,406		8,568,837		0.30	%
90 to 119 days	2,154,733		—		—		$	—	—		—		2,154,733		0.23	%
Over 119 days (1)	12,008,920		—		274,860		$	107,924	271,801		28,671		12,692,176		0.36	%
Total	$	62,744,910	$	245,686	$	1,050,439	$	184,723	$	271,801	$	327,680	$	64,825,239	0.32	%

(1) Includes commercial mortgage-backed securities held for sale.

(2) No repurchase agreements had a remaining maturity over 1 year at March 31, 2021. Less than 1% of the total repurchase agreements had a remaining maturity over 1 year at December 31, 2020.

The following table summarizes the gross amounts of reverse repurchase agreements and repurchase agreements, amounts offset in accordance with netting arrangements and net amounts of repurchase agreements and reverse repurchase agreements as presented in the Consolidated Statements of Financial Condition at March 31, 2021 and December 31, 2020. Refer to the “Derivative Instruments” Note for information related to the effect of netting arrangements on the Company’s derivative instruments.


	March 31, 2021				December 31, 2020
	Reverse Repurchase Agreements		Repurchase Agreements		Reverse Repurchase Agreements		Repurchase Agreements
	(dollars in thousands)
Gross amounts	$	300,000	$	61,502,477	$	250,000	$	65,075,239
Amounts offset	(300,000)		(300,000)		(250,000)		(250,000)
Netted amounts	$	—	$	61,202,477	$	—	$	64,825,239

The fair value of mortgage-backed securities received as collateral in connection with reverse repurchase agreements was approximately $300.0 million and $250.0 million, which the Company fully repledged, at March 31, 2021 and December 31, 2020, respectively.

Other Secured Financing - Refer to the “Variable Interest Entities” Note for additional information on the Company’s other secured financing arrangements.

Investments pledged as collateral under secured financing arrangements and interest rate swaps, excluding residential and senior securitized commercial mortgage loans of consolidated VIEs, had an estimated fair value and accrued interest of $66.9 billion and $183.9 million, respectively, at March 31, 2021 and $70.6 billion and $196.9 million, respectively, at December 31, 2020.