SECURED FINANCING

12 Months Ended

Dec. 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 $64.8 billion and $101.7 billion of repurchase agreements with weighted average borrowing rates of 0.82% 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 64 days and 65 days at December 31, 2020 and 2019, respectively. The Company has select arrangements with counterparties to enter into repurchase agreements for $2.4 billion with remaining capacity of $1.9 billion at December 31, 2020.

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


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 (1)	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	%


December 31, 2019
	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	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) Less than 1% of the total repurchase agreements had a remaining maturity over 1 year at December 31, 2020. No repurchase agreements had a remaining maturity over one year at 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 December 31, 2020 and 2019. Refer to the “Derivative Instruments” Note for information related to the effect of netting arrangements on the Company’s derivative instruments.


	December 31, 2020				December 31, 2019
	Reverse Repurchase Agreements		Repurchase Agreements		Reverse Repurchase Agreements		Repurchase Agreements
	(dollars in thousands)
Gross amounts	$	250,000	$	65,075,239	$	100,000	$	101,840,728
Amounts offset	(250,000)		(250,000)		(100,000)		(100,000)
Netted amounts	$	—	$	64,825,239	$	—	$	101,740,728

Other Secured Financing - The Company previously financed 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 December 31, 2020, the Company did not hold advances from the FHLB Des Moines. At December 31, 2019, $1.4 billion of advances from the FHLB Des Moines matured in less than one year and $2.1 billion matured between one to three years. The weighted average rate of the advances from the FHLB Des Moines was 2.16% at December 31, 2019. The Company held $4.4 million and $147.9 million of stock in the FHLB Des Moines at December 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. Refer to the Note titled “Variable Interest Entities” 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 $70.6 billion and $0.2 billion, respectively, at December 31, 2020 and $112.8 billion and $357.9 million, respectively, at December 31, 2019.

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


December 31, 2020
Property	Mortgage Carrying Value		Mortgage Principal		Interest Rate	Fixed/Floating Rate	Maturity Date	Priority
(dollars in thousands)
Joint Ventures	$	316,686	$	318,302	4.03% - 4.96%	Fixed	2024 - 2029	First liens
Joint Ventures	16,607		16,325		L+2.15%	Floating	2/27/2022	First liens

Virginia	24,464		25,000		L+2.85%	Floating	5/1/2023	First liens
Texas	31,127		32,582		3.28%	Fixed	2048 - 2053	First liens
Utah	9,706		9,706		L+2.75%	Floating	1/31/2021	First liens
Utah	6,969		6,986		3.69%	Fixed	6/1/2053	First liens
Minnesota	13,039		13,072		3.69%	Fixed	6/1/2053	First liens

Wisconsin	7,658		7,677		3.69%	Fixed	6/1/2053	First liens


Total	$	426,256	$	429,650


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	2048 - 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 December 31, 2020:


Mortgage Loan Principal Payments
(dollars in thousands)
2021	$	11,123
2022	17,890
2023	26,626
2024	105,635
2025	186,929
Later years	81,447
Total	$	429,650