SECURED FINANCING

3 Months Ended

Mar. 31, 2020

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 $72.6 billion and $101.7 billion of repurchase agreements with weighted average borrowing rates of 1.91% 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 48 days and 65 days at March 31, 2020 and December 31, 2019, respectively. The Company has select arrangements with counterparties to enter into repurchase agreements for $1.6 billion with remaining capacity of $1.2 billion at March 31, 2020.

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



March 31, 2020
	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	$	20,238,083	$	—	$	—	$	—	$	—	$	20,238,083	0.31	%
2 to 29 days	19,628,403		108,219		355,896		—		134,110		20,226,628		1.49	%
30 to 59 days	11,984,266		—		71,040		—		—		12,055,306		1.58	%
60 to 89 days	10,559,727		76,197		391,033		—		35,326		11,062,283		1.61	%
90 to 119 days	2,291,460		—		—		—		—		2,291,460		1.80	%
Over 119 days ⁽¹⁾	6,125,669		—		52,190		368,589		159,975		6,706,423		1.74	%
Total	$	70,827,608	$	184,416	$	870,159	$	368,589	$	329,411	$	72,580,183	1.23	%



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 1 year at March 31, 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 March 31, 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.



	March 31, 2020						December 31, 2019
	Reverse Repurchase Agreements			Repurchase Agreements			Reverse Repurchase Agreements			Repurchase Agreements
	(dollars in thousands)
Gross amounts	$	1,000,000		$	73,580,183		$	100,000		$	101,840,728
Amounts offset	(1,000,000		)	(1,000,000		)	(100,000		)	(100,000		)
Netted amounts	$	—		$	72,580,183		$	—		$	101,740,728

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 March 31, 2020, $0.9 billion of advances from the FHLB Des Moines mature in less than one year. At December 31, 2019, $1.4 billion of advances from the FHLB Des Moines matured in less than one year and $2.1 billion mature between one to three years. The weighted average rate of the advances from the FHLB Des Moines was 2.04% and 2.16% at March 31, 2020 and December 31, 2019, respectively. The Company held $38.6 million and $147.9 million of capital stock in the FHLB Des Moines at March 31, 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.

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 $80.0 billion and $254.6 million, respectively, at March 31, 2020 and $112.8 billion and $357.9 million, respectively, at December 31, 2019.

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



March 31, 2020
Property	Mortgage Carrying Value		Mortgage Principal		Interest Rate	Fixed/Floating Rate	Maturity Date	Priority
(dollars in thousands)
Joint Ventures	$	316,597	$	318,497	4.03% - 4.96%	Fixed	2024 - 2029	First liens
Joint Ventures	16,471		16,325		L+2.15%	Floating	2/27/2022	First liens
Virginia	82,461		84,206		2.34% - 4.55%	Fixed	2036 - 2053	First liens
Texas	31,535		33,023		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	7,051		7,069		3.69%	Fixed	6/1/2053	First liens
Minnesota	13,193		13,226		3.69%	Fixed	6/1/2053	First liens
Wisconsin	7,748		7,768		3.69%	Fixed	6/1/2053	First liens
Total	$	484,762	$	489,820



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 March 31, 2020:



Mortgage Loan Principal Payments
(dollars in thousands)
2020 (remaining)	$	2,472
2021	13,197
2022	20,034
2023	3,844
2024	3,980
Later years	446,293
Total	$	489,820