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SECURED FINANCING

9 Months Ended

Sep. 30, 2020

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 meet the specified criteria in this guidance.

The Company enters into reverse repurchase agreements to earn a yield on excess cash balances. The Company obtains collateral in connection with the reverse repurchase agreements in order to mitigate credit risk exposure to its counterparties.

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 $64.6 billion and $101.7 billion of repurchase agreements with weighted average borrowing rates of 0.81% and 1.99%, after giving effect to the Company’s interest rate swaps used to hedge cost of funds, and weighted average remaining maturities of 72 days and 65 days at September 30, 2020 and December 31, 2019, respectively. The Company has select arrangements with counterparties to enter into repurchase agreements for $2.4 billion with remaining capacity of $2.0 billion at September 30, 2020.

At September 30, 2020 and December 31, 2019, the repurchase agreements had the following remaining maturities, collateral types and weighted average rates: 

September 30, 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			$	2,700,000					$	—					$	—					$	—					$	—					$	—											$	2,700,000					0.13		%
2 to 29 days			23,585,476						68,994						196,748						—						—						43,213												23,894,431						0.36		%
30 to 59 days			8,463,636						60,651						73,438						—						—						46,466												8,644,191						0.51		%
60 to 89 days			9,078,487						50,871						274,454						—						269,085						29,962												9,702,859						0.33		%
90 to 119 days			5,320,952						50,758						102,189						23,407						—						31,730												5,529,036						0.73		%
Over 119 days (1)			13,656,052						—						237,980						47,235						66,026						155,637												14,162,930						0.45		%
Total			$	62,804,603					$	231,274					$	884,809					$	70,642					$	335,111					$	307,008											$	64,633,447					0.42		%

December 31, 2019
			Agency Mortgage-Backed Securities						CRTs						Non-Agency Mortgage-Backed Securities						Commercial Loans						Commercial Mortgage-Backed Securities												Total Repurchase Agreements						Weighted Average Rate
			(dollars in thousands)
1 day			$	—					$	—					$	—					$	—					$	—											$	—					—		%
2 to 29 days			36,030,104						237,897						698,091						—						416,439												37,382,531						2.15		%
30 to 59 days			15,079,989						—						115,805						—						104,363												15,300,157						2.00		%
60 to 89 days			21,931,335						30,841						151,920						—						3,639												22,117,735						1.97		%
90 to 119 days			9,992,914						—						—						—						—												9,992,914						1.97		%
Over 119 days (1)			16,557,123						—						58,712						303,078						28,478												16,947,391						1.90		%
Total			$	99,591,465					$	268,738					$	1,024,528					$	303,078					$	552,919											$	101,740,728					2.03		%

 (1)    No repurchase agreements had a remaining maturity over one year at September 30, 2020 and December 31, 2019.

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 September 30, 2020 and December 31, 2019. Refer to the “Derivative Instruments” Note for information related to the effect of netting arrangements on the Company’s derivative instruments.

			September 30, 2020												December 31, 2019
			Reverse Repurchase Agreements						Repurchase Agreements						Reverse Repurchase Agreements						Repurchase Agreements
			(dollars in thousands)
Gross amounts			$	200,000					$	64,833,447					$	100,000					$	101,840,728
Amounts offset			(200,000)						(200,000)						(100,000)						(100,000)
Netted amounts			$	—					$	64,633,447					$	—					$	101,740,728

Other Secured Financing - The Company previously financed a portion of its financial assets with advances from the Federal Home Loan Bank of Des Moines (“FHLB Des Moines”). Borrowings from FHLB Des Moines are reported in Other secured financing in the Company’s Consolidated Statements of Financial Condition. At September 30, 2020, the Company did not hold advances from the FHLB Des Moines. At December 31, 2019, $1.4 billion of advances from the FHLB Des Moines matured in less than one year and $2.1 billion matured between one to three years. The weighted average rate of the advances from the FHLB Des Moines was 2.16% at December 31, 2019. The Company held $4.4 million and $147.9 million of stock in the FHLB Des Moines at September 30, 2020 and December 31, 2019, respectively, which is reported at cost and included in Other assets on the Company’s Consolidated Statements of Financial Condition. Refer to the Note titled “Variable Interest Entities” 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 $70.6 billion and $202.7 million, respectively, at September 30, 2020 and $112.8 billion and $357.9 million, respectively, at December 31, 2019.

Mortgage loans payable at September 30, 2020 and December 31, 2019, were as follows:

September 30, 2020
Property			Mortgage Carrying Value						Mortgage Principal						Interest Rate						Fixed/Floating Rate						Maturity Date						Priority
(dollars in thousands)
Joint Ventures			$	316,661					$	318,371					4.03% - 4.96%						Fixed						2024 - 2029						First liens
Joint Ventures			16,575						16,325						L+2.15%						Floating						2/27/2022						First liens
Virginia			81,498						83,204						2.34% - 4.55%						Fixed						2036 - 2053						First liens
Virginia			24,457						25,000						L+2.85%						Floating						5/1/2023						First liens
Texas			31,263						32,730						3.28%						Fixed						1/1/2048 and 1/1/2053						First liens
Utah			9,706						9,706						L+2.75%						Floating						1/31/2021						First liens
Utah			6,996						7,014						3.69%						Fixed						6/1/2053						First liens
Minnesota			13,090						13,124						3.69%						Fixed						6/1/2053						First liens
Wisconsin			7,688						7,708						3.69%						Fixed						6/1/2053						First liens
Total			$	507,934					$	513,182

December 31, 2019
Property			Mortgage Carrying Value						Mortgage Principal						Interest Rate						Fixed/Floating Rate						Maturity Date						Priority
(dollars in thousands)
Joint Ventures			$	316,566					$	318,562					4.03% - 4.96%						Fixed						2024 - 2029						First liens
Joint Ventures			16,029						16,325						L+2.15%						Floating						2/27/2022						First liens
Virginia			82,940						84,702						2.34% - 4.55%						Fixed						2036 - 2053						First liens
Texas			31,667						33,167						3.28%						Fixed						1/1/2048 and 1/1/2053						First liens
Utah			9,706						9,706						L+3.50%						Floating						1/31/2020						First liens
Utah			7,077						7,096						3.69%						Fixed						6/1/2053						First liens
Minnesota			13,243						13,276						3.69%						Fixed						6/1/2053						First liens
Wisconsin			7,777						7,797						3.69%						Fixed						6/1/2053						First liens
Total			$	485,005					$	490,631

The following table details future mortgage loan principal payments at September 30, 2020:

Mortgage Loan Principal Payments
(dollars in thousands)
2020 (remaining)			$	833
2021			13,197
2022			20,034
2023			28,844
2024			107,929
Later years			342,345
Total			$	513,182

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- Definition

The entire disclosure for information about short-term and long-term debt arrangements, which includes amounts of borrowings under each line of credit, note payable, commercial paper issue, bonds indenture, debenture issue, own-share lending arrangements and any other contractual agreement to repay funds, and about the underlying arrangements, rationale for a classification as long-term, including repayment terms, interest rates, collateral provided, restrictions on use of assets and activities, whether or not in compliance with debt covenants, and other matters important to users of the financial statements, such as the effects of refinancing and noncompliance with debt covenants.

+ References

Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 470
-URI http://asc.fasb.org/topic&trid=2208564

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