SECURED FINANCING

6 Months Ended

Jun. 30, 2023

Debt Disclosure [Abstract]

SECURED FINANCING

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 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 $61.6 billion and $59.5 billion of repurchase agreements with weighted average remaining maturities of 44 days and 27 days at June 30, 2023 and December 31, 2022, respectively. In connection with its residential mortgage loans, the Company has select arrangements with counterparties to enter into repurchase agreements for $2.0 billion with remaining capacity of $1.4 billion at June 30, 2023.

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

June 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	39,019,374		367,226		658,795		—		277,340		40,322,735		5.24	%
30 to 59 days	12,163,114		257,347		758,575		—		—		13,179,036		5.35	%
60 to 89 days	612,095		—		647,848		—		4,253		1,264,196		5.78	%
90 to 119 days	753,315		—		191,428		3,622		42,719		991,084		5.51	%
Over 119 days (1)	5,371,078		—		—		509,471		—		5,880,549		5.36	%
Total	$	57,918,976	$	624,573	$	2,256,646	$	513,093	$	324,312	$	61,637,600	5.29	%

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) No repurchase agreements had a remaining maturity over 1 year at June 30, 2023. No repurchase agreements had a remaining maturity over 1 year at December 31, 2022.

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 June 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.

	June 30, 2023				December 31, 2022
	Reverse Repurchase Agreements		Repurchase Agreements		Reverse Repurchase Agreements		Repurchase Agreements
	(dollars in thousands)
Gross amounts	$	—	$	61,637,600	$	—	$	59,512,597
Amounts offset	—		—		—		—
Netted amounts	$	—	$	61,637,600	$	—	$	59,512,597

Other Secured Financing - As of June 30, 2023, the Company had $750 million in total committed credit facilities to finance a portion of its MSR portfolio. Outstanding borrowings under this facility as of June 30, 2023 totaled $500.0 million with maturities ranging between one to three years. The weighted average interest rate of the borrowings was 7.92% as of June 30, 2023. 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, 2022.

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 $64.8 billion and $249.5 million, respectively, at June 30, 2023 and $62.2 billion and $226.4 million, respectively, at December 31, 2022.