SECURED FINANCING (Tables)

9 Months Ended

Sep. 30, 2023

Schedule of Repurchase Agreements Remaining Maturity ,Collateral Types and Weighted Average Rates

At September 30, 2023 and December 31, 2022, the repurchase agreements had the following remaining maturities, collateral types and weighted average rates:


September 30, 2023
	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	28,460,244		523,341		792,578		45,874		138,742		29,960,779		5.50	%
30 to 59 days	23,356,529		141,111		751,919		—		—		24,249,559		5.52	%
60 to 89 days	641,116		—		494,951		—		—		1,136,067		5.96	%
90 to 119 days	2,579		—		108,720		185,443		—		296,742		6.95	%
Over 119 days (1)	8,366,932		—		163,761		519,981		—		9,050,674		5.61	%
Total	$	60,827,400	$	664,452	$	2,311,929	$	751,298	$	138,742	$	64,693,821	5.54	%


December 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	$	—	$	—	$	—	$	—	$	—	$	—	—	%
2 to 29 days	30,244,050		193,069		524,432		200,931		263,711		31,426,193		4.27	%
30 to 59 days	21,200,770		149,733		632,673		—		124,390		22,107,566		4.18	%
60 to 89 days	4,410,473		—		782,905		—		68,647		5,262,025		4.59	%
90 to 119 days	—		125,893		73,251		168,656		—		367,800		5.82	%
Over 119 days (1)	—		—		—		349,013		—		349,013		6.37	%
Total	$	55,855,293	$	468,695	$	2,013,261	$	718,600	$	456,748	$	59,512,597	4.29	%

(1) 4% of repurchase agreements had a remaining maturity over 1 year at September 30, 2023. No repurchase agreements had a remaining maturity over 1 year at December 31, 2022.

Summary of Gross Amounts, Amounts Offset and Net Amounts of Repurchase Agreement and Reverse Repurchase Agreement

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, 2023 and December 31, 2022. Refer to the “Derivative Instruments” Note for information related to the effect of netting arrangements on the Company’s derivative instruments.


	September 30, 2023				December 31, 2022
	Reverse Repurchase Agreements		Repurchase Agreements		Reverse Repurchase Agreements		Repurchase Agreements
	(dollars in thousands)
Gross amounts	$	—	$	64,693,821	$	—	$	59,512,597
Amounts offset	—		—		—		—
Netted amounts	$	—	$	64,693,821	$	—	$	59,512,597