Securities Purchased under Resale Agreements and Sold under Repurchase Agreements

6 Months Ended

Jun. 30, 2019

RESALE AND REPURCHASE AGREEMENTS [Abstract]

Securities Purchased under Resale Agreements and Sold under Repurchase Agreements

Securities Purchased under Resale Agreements and Sold under Repurchase Agreements

Resale Agreements

Resale agreements are recorded as receivables for the cash paid based on the values at which the securities are acquired. The market values of the underlying securities collateralizing the related receivables of the resale agreements, including accrued interest, are monitored. Additional collateral may be requested by the Company from the counterparties or excess collateral may be returned by the Company to the counterparties when deemed appropriate. Gross resale agreements were $1.41 billion and $1.44 billion as of June 30, 2019 and December 31, 2018, respectively. The weighted-average yields were 2.70% and 2.63% for the three months ended June 30, 2019 and 2018, respectively, and 2.75% and 2.57% for the six months ended June 30, 2019 and 2018, respectively.

Repurchase Agreements

Long-term repurchase agreements are accounted for as collateralized financing transactions and recorded as liabilities based on the values at which the securities are sold. As of June 30, 2019, the collateral for the repurchase agreements was comprised of U.S. Treasury securities and U.S. government agency and U.S. government sponsored enterprise mortgage-backed securities. The Company may have to provide additional collateral to the counterparties, or the counterparties may return excess collateral to the Company, for the repurchase agreements when deemed appropriate. Gross repurchase agreements were $450.0 million as of both June 30, 2019 and December 31, 2018. The weighted-average interest rates were 4.93% and 4.48% for the three months ended June 30, 2019 and 2018, respectively, and 4.97% and 4.21% for the six months ended June 30, 2019 and 2018, respectively.

The following table presents the gross repurchase agreements as of June 30, 2019 that will mature in the next five years and thereafter:

($ in thousands)	Repurchase Agreements
Remainder of 2019	$	—
2020	—
2021	—
2022	150,000
2023	300,000
Thereafter	—
Total	$	450,000

Balance Sheet Offsetting

The Company’s resale and repurchase agreements are transacted under legally enforceable master repurchase agreements that provide the Company, in the event of default by the counterparty, the right to liquidate securities held and to offset receivables and payables with the same counterparty. The Company nets resale and repurchase transactions with the same counterparty on the Consolidated Balance Sheet when it has a legally enforceable master netting agreement and the transactions are eligible for netting under ASC 210-20-45-11, Balance Sheet Offsetting: Repurchase and Reverse Repurchase Agreements. Collateral received includes securities that are not recognized on the Consolidated Balance Sheet. Collateral pledged consists of securities that are not netted on the Consolidated Balance Sheet against the related collateralized liability. Collateral received or pledged in resale and repurchase agreements with other financial institutions may also be sold or re-pledged by the secured party, but is usually delivered to and held by the third-party trustees. The collateral amounts received/pledged are limited for presentation purposes to the related recognized asset/liability balance for each counterparty, and accordingly, do not include excess collateral received/pledged.

The following tables present the resale and repurchase agreements included on the Consolidated Balance Sheet as of June 30, 2019 and December 31, 2018:

($ in thousands)	June 30, 2019
Assets	Gross Amounts of Recognized Assets		Gross Amounts Offset on the Consolidated Balance Sheet			Net Amounts of Assets Presented on the Consolidated Balance Sheet		Gross Amounts Not Offset on the Consolidated Balance Sheet				Net Amount
								Collateral Received
Resale agreements	$	1,410,000	$	(400,000	)	$	1,010,000	$	(1,010,000	)	(1)	$	—
Liabilities	Gross Amounts of Recognized Liabilities		Gross Amounts Offset on the Consolidated Balance Sheet			Net Amounts of Liabilities Presented on the Consolidated Balance Sheet		Gross Amounts Not Offset on the Consolidated Balance Sheet				Net Amount
								Collateral Pledged
Repurchase agreements	$	450,000	$	(400,000	)	$	50,000	$	(50,000	)	(2)	$	—

($ in thousands)	December 31, 2018
Assets	Gross Amounts of Recognized Assets		Gross Amounts Offset on the Consolidated Balance Sheet			Net Amounts of Assets Presented on the Consolidated Balance Sheet		Gross Amounts Not Offset on the Consolidated Balance Sheet				Net Amount
								Collateral Received
Resale agreements	$	1,435,000	$	(400,000	)	$	1,035,000	$	(1,025,066	)	(1)	$	9,934
Liabilities	Gross Amounts of Recognized Liabilities		Gross Amounts Offset on the Consolidated Balance Sheet			Net Amounts of Liabilities Presented on the Consolidated Balance Sheet		Gross Amounts Not Offset on the Consolidated Balance Sheet				Net Amount
								Collateral Pledged
Repurchase agreements	$	450,000	$	(400,000	)	$	50,000	$	(50,000	)	(2)	$	—

(1) Represents the fair value of securities the Company has received under resale agreements, limited for table presentation purposes to the amount of the recognized asset due from each counterparty. The application of collateral cannot reduce the net position below zero. Therefore, excess collateral, if any, is not reflected above.

(2) Represents the fair value of securities the Company has pledged under repurchase agreements, limited for table presentation purposes to the amount of the recognized liability due to each counterparty. The application of collateral cannot reduce the net position below zero. Therefore, excess collateral, if any, is not reflected above.

In addition to the amounts included in the tables above, the Company also has balance sheet netting related to derivatives. Refer to Note 7 — Derivatives to the Consolidated Financial Statements in this Form 10-Q for additional information.