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Balance Sheet Offsetting

3 Months Ended

Mar. 31, 2020

19. Balance Sheet Offsetting

Certain financial instruments, including resale and repurchase agreements, securities lending arrangements and derivatives, may be eligible for offset in the consolidated balance sheets and/or subject to master netting arrangements or similar agreements. The following tables present the assets and liabilities subject to enforceable master netting arrangements, repurchase agreements, or similar agreements with offsetting rights (in thousands).


							Gross Amounts Not Offset in
					Net Amounts		the Balance Sheet
	Gross Amounts		Gross Amounts		of Assets				Cash
	of Recognized		Offset in the		Presented in the		Financial		Collateral		Net
	Assets		Balance Sheet		Balance Sheet		Instruments		Pledged		Amount
March 31, 2020
Securities borrowed:
Institutional counterparties	$	1,275,774	$	—	$	1,275,774	$	(1,181,948)	$	—	$	93,826

Interest rate swaps:
Institutional counterparties		9		—		9		(9)		—		—

Reverse repurchase agreements:
Institutional counterparties		23,356		—		23,356		(23,050)		—		306

Forward MBS derivatives:
Institutional counterparties		65,666		—		65,666		(65,666)		—		—
	$	1,364,805	$	—	$	1,364,805	$	(1,270,673)	$	—	$	94,132
December 31, 2019
Securities borrowed:
Institutional counterparties	$	1,634,782	$	—	$	1,634,782	$	(1,586,820)	$	—	$	47,962

Reverse repurchase agreements:
Institutional counterparties		59,031		—		59,031		(58,619)		—		412

Forward MBS derivatives:
Institutional counterparties		3,640		—		3,640		(3,640)		—		—
	$	1,697,453	$	—	$	1,697,453	$	(1,649,079)	$	—	$	48,374


							Gross Amounts Not Offset in
					Net Amounts		the Balance Sheet
	Gross Amounts		Gross Amounts		of Liabilities				Cash
	of Recognized		Offset in the		Presented in the		Financial		Collateral		Net
	Liabilities		Balance Sheet		Balance Sheet		Instruments		Pledged		Amount
March 31, 2020
Securities loaned:
Institutional counterparties	$	1,167,559	$	—	$	1,167,559	$	(1,075,906)	$	—	$	91,653

Interest rate swaps:
Institutional counterparties		201		—		201		—		—		201

Repurchase agreements:
Institutional counterparties		690,178		—		690,178		(690,178)		—		—
Customer counterparties		8,255		—		8,255		(8,255)		—		—

Forward MBS derivatives:
Institutional counterparties		136,640		(2,878)		133,762		(74,608)		—		59,154
	$	2,002,833	$	(2,878)	$	1,999,955	$	(1,848,947)	$	—	$	151,008
December 31, 2019
Securities loaned:
Institutional counterparties	$	1,555,964	$	—	$	1,555,964	$	(1,509,933)	$	—	$	46,031

Interest rate swaps:
Institutional counterparties		178		—		178		(112)		—		66

Repurchase agreements:
Institutional counterparties		586,651		—		586,651		(586,651)		—		—
Customer counterparties		25,474		—		25,474		(25,474)		—		—

Forward MBS derivatives:
Institutional counterparties		6,890		(667)		6,223		(2,384)		—		3,839
	$	2,175,157	$	(667)	$	2,174,490	$	(2,124,554)	$	—	$	49,936

Secured Borrowing Arrangements

Secured Borrowings (Repurchase Agreements) — The Company participates in transactions involving securities sold under repurchase agreements, which are secured borrowings and generally mature one to thirty days from the transaction date or involve arrangements with no definite termination date. Securities sold under repurchase agreements are reflected at the amount of cash received in connection with the transactions. The Company may be required to provide additional collateral based on the fair value of the underlying securities, which is monitored on a daily basis.

Securities Lending Activities — The Company’s securities lending activities include lending securities for other broker-dealers, lending institutions and its own clearing and retail operations. These activities involve lending securities to other broker-dealers to cover short sales, to complete transactions in which there has been a failure to deliver securities by the required settlement date and as a conduit for financing activities.

When lending securities, the Company receives cash or similar collateral and generally pays interest (based on the amount of cash deposited) to the other party to the transaction. Securities lending transactions are executed pursuant to written agreements with counterparties that generally require securities loaned to be marked-to-market on a daily basis. The Company receives collateral in the form of cash in an amount generally in excess of the fair value of securities loaned. The Company monitors the fair value of securities loaned on a daily basis, with additional collateral obtained or refunded, as necessary. Collateral adjustments are made on a daily basis through the facilities of various clearinghouses. The Company is a principal in these securities lending transactions and is liable for losses in the event of a failure of any other party to honor its contractual obligation. Management sets credit limits with each counterparty and reviews these limits regularly to monitor the risk level with each counterparty. The Company is subject to credit risk through its securities lending activities if securities prices decline rapidly because the value of the Company’s collateral could fall below the amount of the indebtedness it secures. In rapidly appreciating markets, credit risk increases due to short positions. The Company’s securities lending business subjects the Company to credit risk if a counterparty fails to perform or if collateral securing its obligations is insufficient. In securities transactions, the Company is subject to credit risk during the period between the execution of a trade and the settlement by the customer.

The following tables present the remaining contractual maturities of repurchase agreement and securities lending transactions accounted for as secured borrowings (in thousands). The Company had no repurchase-to-maturity transactions outstanding at both March 31, 2020 and December 31, 2019.


	Remaining Contractual Maturities
	Overnight and						Greater Than
March 31, 2020	Continuous		Up to 30 Days		30-90 Days		90 Days		Total
Repurchase agreement transactions:
U.S. Treasury and agency securities	$	16,929	$	—	$	—	$	—	$	16,929
Asset-backed securities		323,444		358,060		—		—		681,504

Securities lending transactions:
Corporate securities		113		—		—		—		113
Equity securities		1,167,446		—		—		—		1,167,446
Total	$	1,507,932	$	358,060	$	—	$	—	$	1,865,992

Gross amount of recognized liabilities for repurchase agreement and securities lending transactions in offsetting disclosure above									$	1,865,992
Amount related to agreements not included in offsetting disclosure above									$	—

	Remaining Contractual Maturities
	Overnight and						Greater Than
December 31, 2019	Continuous		Up to 30 Days		30-90 Days		90 Days		Total
Repurchase agreement transactions:
U.S. Treasury and agency securities	$	45,950	$	—	$	—	$	—	$	45,950
Asset-backed securities		257,396		12,892		295,887		—		566,175

Securities lending transactions:
Corporate securities		120		—		—		—		120
Equity securities		1,555,844		—		—		—		1,555,844
Total	$	1,859,310	$	12,892	$	295,887	$	—	$	2,168,089

Gross amount of recognized liabilities for repurchase agreement and securities lending transactions in offsetting disclosure above									$	2,168,089
Amount related to agreements not included in offsetting disclosure above									$	—