SECURED FINANCING

3 Months Ended

Mar. 31, 2022

Debt Disclosure [Abstract]

SECURED FINANCING

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. 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 $52.6 billion and $54.8 billion of repurchase agreements with weighted average remaining maturities of 68 days and 52 days at March 31, 2022 and December 31, 2021, respectively. The Company has select arrangements with counterparties to enter into repurchase agreements for $1.9 billion with remaining capacity of $1.5 billion at March 31, 2022.

At March 31, 2022 and December 31, 2021, the repurchase agreements had the following remaining maturities, collateral types and weighted average rates: 

March 31, 2022
	Agency Mortgage-Backed Securities		CRTs		Non-Agency Mortgage-Backed Securities		Residential Mortgage Loans		Commercial Mortgage-Backed Securities		Total Repurchase Agreements		Weighted Average Rate
	(dollars in thousands)
1 day	$	16,400,000	$	—	$	—	$	—	$	—	$	16,400,000	0.32	%
2 to 29 days	10,752,049		44,492		222,229		—		9,169		11,027,939		0.29	%
30 to 59 days	5,887,961		—		235,736		—		—		6,123,697		0.38	%
60 to 89 days	9,641,859		112,023		519,321		—		64,021		10,337,224		0.53	%
90 to 119 days	348,901		—		72,783		—		—		421,684		0.32	%
Over 119 days (2)	6,875,415		172,411		586,818		437,269		244,046		8,315,959		0.64	%
Total	$	49,906,185	$	328,926	$	1,636,887	$	437,269	$	317,236	$	52,626,503	0.41	%

December 31, 2021
	Agency Mortgage-Backed Securities		CRTs		Non-Agency Mortgage-Backed Securities		Residential Mortgage Loans		Commercial Mortgage-Backed Securities		Total Repurchase Agreements		Weighted Average Rate
	(dollars in thousands)
1 day	$	—	$	—	$	—	$	—	$	—	$	—	—	%
2 to 29 days	26,435,408		133,525		246,707		—		197,834		27,013,474		0.14	%
30 to 59 days	9,743,872		38,854		270,377		159,350		—		10,212,453		0.19	%
60 to 89 days	6,021,850		4,071		351,426		—		—		6,377,347		0.17	%
90 to 119 days	4,812,345		—		12,573		—		—		4,824,918		0.15	%
Over 119 days (2)	5,711,448		—		96,283		345,651		188,069		6,341,451		0.27	%
Total	$	52,724,923	$	176,450	$	977,366	$	505,001	$	385,903	$	54,769,643	0.17	%
(1) No repurchase agreements had a remaining maturity over 1 year at March 31, 2022 and December 31, 2021.

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, 2022 and December 31, 2021. Refer to the “Derivative Instruments” Note for information related to the effect of netting arrangements on the Company’s derivative instruments.

	March 31, 2022				December 31, 2021
	Reverse Repurchase Agreements		Repurchase Agreements		Reverse Repurchase Agreements		Repurchase Agreements
	(dollars in thousands)
Gross amounts	$	—	$	52,626,503	$	—	$	54,769,643
Amounts offset	—		—		—		—
Netted amounts	$	—	$	52,626,503	$	—	$	54,769,643

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 mortgage loans of consolidated VIEs, had an estimated fair value and accrued interest of $57.5 billion and $163.0 million, respectively, at March 31, 2022 and $59.2 billion and $160.8 million, respectively, at December 31, 2021.