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SECURED FINANCING | 9 Months Ended
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Sep. 30, 2021
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. 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 $55.5 billion and $64.8 billion of repurchase agreements with weighted average remaining maturities of 75 days and 64 days at September 30, 2021 and December 31, 2020, respectively. The Company has select arrangements with counterparties to enter into repurchase agreements for select credit assets for $1.6 billion with remaining capacity of $1.3 billion at September 30, 2021. At September 30, 2021 and December 31, 2020, the repurchase agreements had the following remaining maturities, collateral types and weighted average rates:
September 30, 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 | $ | 7,926,088 |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  |  |  | $ | — |  |  |  |  | $ | 7,926,088 |  |  | 0.07 | %
2 to 29 days | 15,853,554 |  |  | 6,911 |  |  | 228,809 |  |  | — |  |  |  |  | 64,518 |  |  |  |  | 16,153,792 |  |  | 0.13 | %
30 to 59 days | 3,965,483 |  |  | — |  |  | 117,226 |  |  | — |  |  |  |  | — |  |  |  |  | 4,082,709 |  |  | 0.18 | %
60 to 89 days | 3,134,779 |  |  | — |  |  | 91,544 |  |  | — |  |  |  |  | — |  |  |  |  | 3,226,323 |  |  | 0.17 | %
90 to 119 days | 9,884,441 |  |  | 136,909 |  |  | 37,527 |  |  | — |  |  |  |  | 138,252 |  |  |  |  | 10,197,129 |  |  | 0.18 | %
Over 119 days (2) | 13,004,874 |  |  | 56,924 |  |  | 510,501 |  |  | 317,080 |  |  |  |  | — |  |  |  |  | 13,889,379 |  |  | 0.20 | %
Total | $ | 53,769,219 |  |  | $ | 200,744 |  |  | $ | 985,607 |  |  | $ | 317,080 |  |  |  |  | $ | 202,770 |  |  |  |  | $ | 55,475,420 |  |  | 0.15 | %
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 (2) | 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 September 30, 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 September 30, 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.
| September 30, 2021 |  | December 31, 2020
| Reverse Repurchase Agreements |  | Repurchase Agreements |  | Reverse Repurchase Agreements |  | Repurchase Agreements
| (dollars in thousands)
Gross amounts | $ | — |  |  | $ | 55,475,420 |  |  | $ | 250,000 |  |  | $ | 65,075,239 |
Amounts offset | — |  |  | — |  |  | (250,000) |  |  | (250,000) |
Netted amounts | $ | — |  |  | $ | 55,475,420 |  |  | $ | — |  |  | $ | 64,825,239 |
The fair value of mortgage-backed securities received as collateral in connection with reverse repurchase agreements was approximately $250.0 million, which the Company fully repledged, at December 31, 2020. 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 $60.3 billion and $163.2 million, respectively, at September 30, 2021 and $70.6 billion and $196.9 million, respectively, at December 31, 2020.

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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 Reference 2: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 470 -SubTopic 20 -Section 50 -Paragraph 1B -Subparagraph (h) -URI http://asc.fasb.org/extlink&oid=123466505&loc=SL123495323-112611 Reference 3: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 470 -SubTopic 20 -Section 50 -Paragraph 1C -Subparagraph (c) -URI http://asc.fasb.org/extlink&oid=123466505&loc=SL123495334-112611 Reference 4: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 470 -SubTopic 20 -Section 50 -Paragraph 1I -Subparagraph (a) -URI http://asc.fasb.org/extlink&oid=123466505&loc=SL123495371-112611 Reference 5: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 470 -SubTopic 20 -Section 50 -Paragraph 1I -Subparagraph (d) -URI http://asc.fasb.org/extlink&oid=123466505&loc=SL123495371-112611 Reference 6: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 235 -SubTopic 10 -Section S99 -Paragraph 1 -Subparagraph (SX 210.4-08(c)) -URI http://asc.fasb.org/extlink&oid=120395691&loc=d3e23780-122690 Reference 7: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 470 -SubTopic 20 -Section 50 -Paragraph 1B -Subparagraph (g) -URI http://asc.fasb.org/extlink&oid=123466505&loc=SL123495323-112611 Reference 8: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 470 -SubTopic 20 -Section 50 -Paragraph 1C -Subparagraph (b) -URI http://asc.fasb.org/extlink&oid=123466505&loc=SL123495334-112611 Reference 9: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 470 -SubTopic 20 -Section 50 -Paragraph 1C -Subparagraph (a) -URI http://asc.fasb.org/extlink&oid=123466505&loc=SL123495334-112611 Reference 10: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 470 -SubTopic 20 -Section 50 -Paragraph 1E -Subparagraph (b) -URI http://asc.fasb.org/extlink&oid=123466505&loc=SL123495348-112611 Reference 11: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 470 -SubTopic 20 -Section 50 -Paragraph 1B -URI http://asc.fasb.org/extlink&oid=123466505&loc=SL123495323-112611 Reference 12: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 470 -SubTopic 20 -Section 50 -Paragraph 1I -Subparagraph (b) -URI http://asc.fasb.org/extlink&oid=123466505&loc=SL123495371-112611 Reference 13: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 470 -SubTopic 20 -Section 50 -Paragraph 1B -Subparagraph (i) -URI http://asc.fasb.org/extlink&oid=123466505&loc=SL123495323-112611 + Details
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