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SECURED FINANCING | 9 Months Ended
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Sep. 30, 2024
Debt Disclosure [Abstract] |
SECURED FINANCING |
12. 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 secured 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 $64.3 billion and $62.2 billion of repurchase agreements with weighted average remaining maturities of 34 days and 44 days and weighted average rates of 5.23% and 5.70% at September 30, 2024 and December 31, 2023, respectively. In connection with its residential mortgage loans, the Company has select arrangements with counterparties to enter into repurchase agreements for $3.5 billion with remaining capacity of $2.2 billion at September 30, 2024. At September 30, 2024 and December 31, 2023, the repurchase agreements had the following remaining maturities and collateral types:
September 30, 2024
| Agency Mortgage-Backed Securities |  | CRTs |  | Non-Agency Mortgage-Backed Securities |  | Residential Mortgage Loans |  |  |  | Commercial Mortgage-Backed Securities |  |  |  | Total Repurchase Agreements
| (dollars in thousands)
1 day | $ | 24,998,317 |  |  | $ | 175,637 |  |  | $ | 41,503 |  |  | $ | — |  |  |  |  | $ | — |  |  |  |  | $ | 25,215,457 |
2 to 29 days | 655,425 |  |  | 275,927 |  |  | 846,860 |  |  | 221,231 |  |  |  |  | 95,291 |  |  |  |  | 2,094,734 |
30 to 59 days | 34,198,599 |  |  | — |  |  | 589,802 |  |  | 26,404 |  |  |  |  | — |  |  |  |  | 34,814,805 |
60 to 89 days | 2,594,869 |  |  | 142,486 |  |  | 611,235 |  |  | 452,799 |  |  |  |  | — |  |  |  |  | 3,801,389 |
90 to 119 days | 1,675 |  |  | 47,353 |  |  | 82,050 |  |  | — |  |  |  |  | — |  |  |  |  | 131,078 |
Over 119 days (1) | — |  |  | — |  |  | 364,920 |  |  | 566,773 |  |  |  |  | — |  |  |  |  | 931,693 |
Total | $ | 62,448,885 |  |  | $ | 641,403 |  |  | $ | 2,536,370 |  |  | $ | 1,267,207 |  |  |  |  | $ | 95,291 |  |  |  |  | $ | 66,989,156 |
Amounts offset in accordance with netting arrangements. |  |  |  | (2,678,880) |
Net amounts of Repurchase agreements as presented in the Consolidated Statements of Financial Condition. |  |  |  | $ | 64,310,276 |
December 31, 2023
| Agency Mortgage-Backed Securities |  | CRTs |  | Non-Agency Mortgage-Backed Securities |  | Residential Mortgage Loans |  |  |  | Commercial Mortgage-Backed Securities |  |  |  | Total Repurchase Agreements
| (dollars in thousands)
1 day | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  |  |  | $ | — |  |  |  |  | $ | — |
2 to 29 days | 33,492,952 |  |  | 555,568 |  |  | 840,400 |  |  | — |  |  |  |  | 191,276 |  |  |  |  | 35,080,196 |
30 to 59 days | 18,090,265 |  |  | — |  |  | 528,341 |  |  | — |  |  |  |  | — |  |  |  |  | 18,618,606 |
60 to 89 days | 6,479,206 |  |  | 139,952 |  |  | 579,611 |  |  | — |  |  |  |  | — |  |  |  |  | 7,198,769 |
90 to 119 days | — |  |  | — |  |  | 39,714 |  |  | 207,592 |  |  |  |  | — |  |  |  |  | 247,306 |
Over 119 days (1) | 2,511,003 |  |  | — |  |  | 169,697 |  |  | 644,259 |  |  |  |  | — |  |  |  |  | 3,324,959 |
Total | $ | 60,573,426 |  |  | $ | 695,520 |  |  | $ | 2,157,763 |  |  | $ | 851,851 |  |  |  |  | $ | 191,276 |  |  |  |  | $ | 64,469,836 |
Amounts offset in accordance with netting arrangements. |  |  |  | (2,268,293) |
Net amounts of Repurchase agreements as presented in the Consolidated Statements of Financial Condition. |  |  |  | $ | 62,201,543 |
(1) Less than 1% of repurchase agreements had a remaining maturity over 1 year at September 30, 2024. No repurchase agreements had a remaining maturity over 1 year at December 31, 2023.
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, 2024 and December 31, 2023. Refer to the “Derivative Instruments” Note for information related to the effect of netting arrangements on the Company’s derivative instruments.
| September 30, 2024 |  | December 31, 2023
| Reverse Repurchase Agreements |  | Repurchase Agreements |  | Reverse Repurchase Agreements |  | Repurchase Agreements
| (dollars in thousands)
Gross amounts | $ | 2,678,880 |  |  | $ | 66,989,156 |  |  | $ | 2,268,293 |  |  | $ | 64,469,836 |
Amounts offset | (2,678,880) |  |  | (2,678,880) |  |  | (2,268,293) |  |  | (2,268,293) |
Netted amounts | $ | — |  |  | $ | 64,310,276 |  |  | $ | — |  |  | $ | 62,201,543 |
The fair value of collateral received in connection with reverse repurchase agreements as of September 30, 2024 was $2.7 billion, of which the Company sold $2.0 billion. The fair value of collateral received in connection with reverse repurchase agreements as of December 31, 2023 was $2.3 billion, of which the Company sold $2.1 billion. The amount of collateral sold is reported at fair value in the Company’s Consolidated Statements of Financial Condition as U.S. Treasury securities sold, not yet purchased. Other Secured Financing - As of September 30, 2024, the Company had $1.3 billion in total committed credit facilities to finance a portion of its MSR portfolio. Outstanding borrowings under this facility as of September 30, 2024 totaled $600.0 million with maturities ranging between four months to one year. The weighted average interest rate of the borrowings was 8.05% as of September 30, 2024. Borrowings are reported in Other secured financing in the Company’s Consolidated Statements of Financial Condition. Refer to the “Variable Interest Entities” Note for additional information on the Company’s other secured financing arrangements at December 31, 2023. 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 $69.3 billion and $304.7 million, respectively, at September 30, 2024 and $68.2 billion and $279.5 million, respectively, at December 31, 2023.

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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://www.xbrl.org/2003/role/disclosureRef -Topic 470 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 6 -Subparagraph (b) -Publisher FASB -URI https://asc.fasb.org/1943274/2147481544/470-10-50-6 Reference 2: 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