SECURED FINANCING

9 Months Ended

Sep. 30, 2019

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 $102.7 billion and $81.1 billion of repurchase agreements with weighted average borrowing rates of 2.24% and 2.36%, after giving effect to the Company’s interest rate swaps used to hedge cost of funds, and weighted average remaining maturities of 45 days and 77 days at September 30, 2019 and December 31, 2018, respectively. The Company has select arrangements with counterparties to enter into repurchase agreements for $1.1 billion with remaining capacity of $895.4 million at September 30, 2019.

At September 30, 2019 and December 31, 2018, the repurchase agreements had the following remaining maturities, collateral types and weighted average rates:



September 30, 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	$	19,451,333	$	—	$	—	$	—	$	—	$	19,451,333	2.76	%
2 to 29 days	32,145,933		195,190		670,750		—		159,008		33,170,881		2.46	%
30 to 59 days	15,114,797		—		—		—		23,665		15,138,462		2.64	%
60 to 89 days	19,846,591		30,964		154,159		103,938		3,926		20,139,578		2.26	%
90 to 119 days	5,077,560		—		—		—		—		5,077,560		2.44	%
Over 120 days ⁽¹⁾	9,513,621		—		60,957		100,676		29,036		9,704,290		2.18	%
Total	$	101,149,835	$	226,154	$	885,866	$	204,614	$	215,635	$	102,682,104	2.48	%



December 31, 2018
	Agency Mortgage-Backed Securities		CRTs		Non-Agency Mortgage-Backed Securities		Commercial Loans		Commercial Mortgage-Backed Securities		U.S. Treasury Securities		Total Repurchase Agreements		Weighted Average Rate
	(dollars in thousands)
1 day	$	—	$	—	$	—	$	—	$	—	$	—	$	—	—	%
2 to 29 days	30,661,001		284,906		353,429		—		72,840		640,465		32,012,641		3.50	%
30 to 59 days	8,164,165		—		—		—		—		—		8,164,165		2.33	%
60 to 89 days	18,326,399		88,630		251,441		—		23,302		—		18,689,772		2.62	%
90 to 119 days	10,067,183		—		—		—		—		—		10,067,183		2.54	%
Over 120 days ⁽¹⁾	11,263,625		—		116,434		693,939		108,115		—		12,182,113		2.92	%
Total	$	78,482,373	$	373,536	$	721,304	$	693,939	$	204,257	$	640,465	$	81,115,874	2.97	%


⁽¹⁾	Less than 1% and approximately 1% of the total repurchase agreements had a remaining maturity over 1 year at September 30, 2019 and December 31, 2018, respectively.

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, 2019 and December 31, 2018. Refer to the “Derivative Instruments” Note for information related to the effect of netting arrangements on the Company’s derivative instruments.



	September 30, 2019						December 31, 2018
	Reverse Repurchase Agreements			Repurchase Agreements			Reverse Repurchase Agreements		Repurchase Agreements
	(dollars in thousands)
Gross amounts	$	550,000		$	103,232,104		$	650,040	$	81,115,874
Amounts offset	(550,000		)	(550,000		)	—		—
Netted amounts	$	—		$	102,682,104		$	650,040	$	81,115,874

The fair value of collateral received in connection with reverse repurchase agreements was $0 and $650.0 million, which the Company fully repledged, as of September 30, 2019 and December 31, 2018, respectively.

Other Secured Financing - The Company also finances 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, 2019, $90.0 million of advances from the FHLB Des Moines matures in less than one year and $3.5 billion matures between one to three years. At December 31, 2018, $3.6 billion of advances from the FHLB Des Moines matured between one to three years. The weighted average rate of the advances from the FHLB Des Moines was 2.48% and 2.78% at September 30, 2019 and December 31, 2018, respectively. The Company held $147.9 million of capital stock in the FHLB Des Moines at September 30, 2019 and December 31, 2018, which is reported at cost and included in Other assets on the Company’s Consolidated Statements of Financial Condition.

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 $113.7 billion and $367.9 million, respectively, at September 30, 2019 and $90.2 billion and $303.1 million, respectively, at December 31, 2018.

Mortgage loans payable at September 30, 2019 and December 31, 2018, were as follows:



September 30, 2019
Property	Mortgage Carrying Value		Mortgage Principal		Interest Rate	Fixed/Floating Rate	Maturity Date	Priority
(dollars in thousands)
Joint Ventures	$	316,535	$	318,625	4.03% - 4.96%	Fixed	2024 - 2029	First liens
Joint Ventures	16,003		16,325		L+2.15%	Floating	2/27/2022	First liens
Virginia	83,412		85,193		2.34% - 4.55%	Fixed	2036 - 2053	First liens
Texas	31,799		33,311		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	7,104		7,122		3.69%	Fixed	6/1/2053	First liens
Minnesota	13,292		13,326		3.69%	Fixed	6/1/2053	First liens
Wisconsin	7,806		7,827		3.69%	Fixed	6/1/2053	First liens
Total	$	485,657	$	491,435



December 31, 2018
Property	Mortgage Carrying Value		Mortgage Principal		Interest Rate	Fixed/Floating Rate	Maturity Date	Priority
(dollars in thousands)
Joint Ventures	$	316,275	$	318,664	4.03% - 4.96%	Fixed	2024 - 2029	First liens
Joint Ventures	16,125		16,125		L+2.75%	Floating	3/14/2020	First liens
Virginia	95,827		97,667		2.75% - 4.96%	Fixed	2019 - 2053	First liens
Texas	32,189		33,735		3.28%	Fixed	1/1/2053	First liens
Utah	9,703		9,706		L+3.50%	Floating	1/31/2019	First liens
Utah	7,279		7,201		3.69%	Fixed	6/1/2053	First liens
Minnesota	13,438		13,473		3.69%	Fixed	6/1/2053	First liens
Tennessee	12,328		12,350		4.01%	Fixed	9/6/2019	First liens
Wisconsin	7,892		7,913		3.69%	Fixed	6/1/2053	First liens
Total	$	511,056	$	516,834

The following table details future mortgage loan principal payments at September 30, 2019:



Mortgage Loan Principal Payments
(dollars in thousands)
2019 (remaining)	$	804
2020	12,989
2021	3,491
2022	20,034
2023	3,844
Later years	450,273
Total	$	491,435