ANNALY CAPITAL MANAGEMENT, INC. |
(Exact Name of Registrant as Specified in its Charter) |
MARYLAND (State or other jurisdiction of incorporation or organization) | 22-3479661 (IRS Employer Identification No.) | |
1211 AVENUE OF THE AMERICAS NEW YORK, NY 10036 (Address of principal executive offices) | 10036 (Zip Code) |
(212) 696-0100 |
(Registrant’s telephone number, including area code) |
Class | Outstanding at July 31, |
Common Stock, $.01 par value |
ANNALY CAPITAL MANAGEMENT, INC. | |
FORM 10-Q | |
TABLE OF CONTENTS | |
Page | |
ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES | ||||||||
CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION | ||||||||
(dollars in thousands, except per share data) | ||||||||
June 30, | December 31, | |||||||
2018 | 2017 (1) | |||||||
(Unaudited) | ||||||||
ASSETS | ||||||||
Cash and cash equivalents (including cash pledged as collateral of $1,042,671 and $579,213, respectively) (2) | $ | 1,135,329 | $ | 706,589 | ||||
Investments, at fair value: | ||||||||
Agency mortgage-backed securities (including pledged assets of $80,997,975 and $83,628,132, respectively) | 86,593,058 | 90,551,763 | ||||||
Credit risk transfer securities (including pledged assets of $417,403 and $363,944, respectively) | 563,796 | 651,764 | ||||||
Non-Agency mortgage-backed securities (including pledged assets of $435,877 and $516,078, respectively) (3) | 1,006,785 | 1,097,294 | ||||||
Residential mortgage loans (including pledged assets of $1,608,935 and $1,169,496, respectively) (4) | 1,666,157 | 1,438,322 | ||||||
Mortgage servicing rights (including pledged assets of $4,164 and $5,224, respectively) | 599,014 | 580,860 | ||||||
Commercial real estate debt investments (including pledged assets of $2,733,405 and $3,070,993, respectively) (5) | 2,857,463 | 3,089,108 | ||||||
Commercial real estate debt and preferred equity, held for investment (including pledged assets of $652,897 and $520,329, respectively) | 1,251,138 | 1,029,327 | ||||||
Loans held for sale, net | 42,458 | — | ||||||
Investments in commercial real estate | 477,887 | 485,953 | ||||||
Corporate debt (including pledged assets of $642,016 and $600,049, respectively) | 1,256,276 | 1,011,275 | ||||||
Interest rate swaps, at fair value | 82,458 | 30,272 | ||||||
Other derivatives, at fair value | 129,680 | 283,613 | ||||||
Reverse repurchase agreements | 259,762 | — | ||||||
Receivable for investments sold | 21,728 | 1,232 | ||||||
Accrued interest and dividends receivable | 323,769 | 323,526 | ||||||
Other assets | 475,230 | 384,117 | ||||||
Goodwill | 71,815 | 71,815 | ||||||
Intangible assets, net | 19,194 | 23,220 | ||||||
Total assets | $ | 98,832,997 | $ | 101,760,050 | ||||
LIABILITIES AND STOCKHOLDERS’ EQUITY | ||||||||
Liabilities: | ||||||||
Repurchase agreements | $ | 75,760,655 | $ | 77,696,343 | ||||
Other secured financing | 3,760,487 | 3,837,528 | ||||||
Securitized debt of consolidated VIEs (6) | 2,728,692 | 2,971,771 | ||||||
Mortgages payable | 309,878 | 309,686 | ||||||
Interest rate swaps, at fair value | 376,106 | 569,129 | ||||||
Other derivatives, at fair value | 117,931 | 38,725 | ||||||
Dividends payable | 349,300 | 347,876 | ||||||
Payable for investments purchased | 1,108,834 | 656,581 | ||||||
Accrued interest payable | 478,439 | 253,068 | ||||||
Accounts payable and other liabilities | 68,819 | 207,770 | ||||||
Total liabilities | 85,059,141 | 86,888,477 | ||||||
Stockholders’ Equity: | ||||||||
7.625% Series C Cumulative Redeemable Preferred Stock: 12,000,000 authorized, 7,000,000 and 12,000,0000 issued and outstanding, respectively | 169,466 | 290,514 | ||||||
7.50% Series D Cumulative Redeemable Preferred Stock: 18,400,000 authorized, issued and outstanding | 445,457 | 445,457 | ||||||
7.625% Series E Cumulative Redeemable Preferred Stock: 11,500,000 authorized, 0 and 11,500,000 issued and outstanding, respectively | — | 287,500 | ||||||
6.95% Series F Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock: 28,800,000 authorized, issued and outstanding | 696,910 | 696,910 | ||||||
6.50% Series G Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock: 19,550,000 and 0 authorized, 17,000,000 and 0 issued, and outstanding, respectively | 411,335 | — | ||||||
Common stock, par value $0.01 per share, 1,909,750,000 and 1,929,300,000 authorized, 1,164,333,831 and 1,159,585,078 issued and outstanding, respectively | 11,643 | 11,596 | ||||||
Additional paid-in capital | 17,268,596 | 17,221,265 | ||||||
Accumulated other comprehensive income (loss) | (3,434,447 | ) | (1,126,020 | ) | ||||
Accumulated deficit | (1,800,370 | ) | (2,961,749 | ) | ||||
Total stockholders’ equity | 13,768,590 | 14,865,473 | ||||||
Noncontrolling interest | 5,266 | 6,100 | ||||||
Total equity | 13,773,856 | 14,871,573 | ||||||
Total liabilities and equity | $ | 98,832,997 | $ | 101,760,050 |
CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION | ||||||||
(dollars in thousands, except per share data) | ||||||||
June 30, | December 31, | |||||||
2017 (1) | 2016 (2) | |||||||
(Unaudited) | ||||||||
ASSETS | ||||||||
Cash and cash equivalents (including cash pledged as collateral of $590,082 and $1,428,475, respectively) (3) | $ | 700,692 | $ | 1,539,746 | ||||
Investments, at fair value: | ||||||||
Agency mortgage-backed securities (including pledged assets of $67,214,815 and $70,796,872, respectively) | 73,963,998 | 75,589,873 | ||||||
Credit risk transfer securities (including pledged assets of $517,598 and $608,707, respectively) | 605,826 | 724,722 | ||||||
Non-Agency mortgage-backed securities (including pledged assets of $1,036,362 and $1,064,603, respectively) (4) | 1,234,053 | 1,401,307 | ||||||
Residential mortgage loans (including pledged assets of $679,435 and $314,746, respectively) (5) | 779,685 | 342,289 | ||||||
Mortgage servicing rights (including pledged assets of $3,408 and $5,464, respectively) | 605,653 | 652,216 | ||||||
Commercial real estate debt investments (including pledged assets of $3,972,560 and $4,321,739, respectively) (6) | 3,972,560 | 4,321,739 | ||||||
Commercial real estate debt and preferred equity, held for investment (including pledged assets of $532,724 and $506,997, respectively) | 928,181 | 970,505 | ||||||
Commercial loans held for sale, net | - | 114,425 | ||||||
Investments in commercial real estate | 474,510 | 474,567 | ||||||
Corporate debt (including pledged assets of $437,794 and $592,871, respectively) | 773,957 | 773,274 | ||||||
Interest rate swaps, at fair value | 10,472 | 68,194 | ||||||
Other derivatives, at fair value | 154,004 | 171,266 | ||||||
Receivable for investments sold | 9,784 | 51,461 | ||||||
Accrued interest and dividends receivable | 263,217 | 270,400 | ||||||
Other assets | 399,456 | 333,063 | ||||||
Goodwill | 71,815 | 71,815 | ||||||
Intangible assets, net | 28,715 | 34,184 | ||||||
Total assets | $ | 84,976,578 | $ | 87,905,046 | ||||
LIABILITIES AND STOCKHOLDERS’ EQUITY | ||||||||
Liabilities: | ||||||||
Repurchase agreements | $ | 62,497,400 | $ | 65,215,810 | ||||
Other secured financing | 3,785,543 | 3,884,708 | ||||||
Securitized debt of consolidated VIEs (7) | 3,438,675 | 3,655,802 | ||||||
Participation sold | - | 12,869 | ||||||
Mortgages payable | 311,810 | 311,636 | ||||||
Interest rate swaps, at fair value | 614,589 | 1,443,765 | ||||||
Other derivatives, at fair value | 99,380 | 86,437 | ||||||
Dividends payable | 305,709 | 305,674 | ||||||
Payable for investments purchased | 1,043,379 | 65,041 | ||||||
Accrued interest payable | 185,720 | 163,013 | ||||||
Accounts payable and other liabilities | 84,948 | 184,319 | ||||||
Total liabilities | 72,367,153 | 75,329,074 | ||||||
Stockholders’ Equity: | ||||||||
7.875% Series A Cumulative Redeemable Preferred Stock: 7,412,500 authorized, issued and outstanding | 177,088 | 177,088 | ||||||
7.625% Series C Cumulative Redeemable Preferred Stock: 12,650,000 authorized, 12,000,000 issued and outstanding | 290,514 | 290,514 | ||||||
7.50% Series D Cumulative Redeemable Preferred Stock: 18,400,000 authorized, issued and outstanding | 445,457 | 445,457 | ||||||
7.625% Series E Cumulative Redeemable Preferred Stock: 11,500,000 authorized, issued and outstanding | 287,500 | 287,500 | ||||||
Common stock, par value $0.01 per share, 1,945,437,500 authorized, 1,019,027,880 and 1,018,913,249 issued and outstanding, respectively | 10,190 | 10,189 | ||||||
Additional paid-in capital | 15,581,760 | 15,579,342 | ||||||
Accumulated other comprehensive income (loss) | (850,767 | ) | (1,085,893 | ) | ||||
Accumulated deficit | (3,339,228 | ) | (3,136,017 | ) | ||||
Total stockholders’ equity | 12,602,514 | 12,568,180 | ||||||
Noncontrolling interest | 6,911 | 7,792 | ||||||
Total equity | 12,609,425 | 12,575,972 | ||||||
Total liabilities and equity | $ | 84,976,578 | $ | 87,905,046 |
Derived from the audited consolidated financial statements at December 31, |
Includes cash of consolidated |
Includes securitized residential mortgage loans |
Includes senior securitized commercial mortgage loans of consolidated VIEs carried at fair value of |
Includes securitized debt of consolidated VIEs carried at fair value of |
CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS) | ||||||||||||||||
(dollars in thousands, except per share data) | ||||||||||||||||
(Unaudited) | ||||||||||||||||
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
2017 | 2016 | 2017 | 2016 | |||||||||||||
Net interest income: | ||||||||||||||||
Interest income | $ | 537,426 | $ | 457,118 | $ | 1,125,153 | $ | 845,261 | ||||||||
Interest expense | 222,281 | 152,755 | 420,706 | 300,202 | ||||||||||||
Net interest income | 315,145 | 304,363 | 704,447 | 545,059 | ||||||||||||
Realized and unrealized gains (losses): | ||||||||||||||||
Realized gains (losses) on interest rate swaps(1) | (96,470 | ) | (130,762 | ) | (200,626 | ) | (278,237 | ) | ||||||||
Realized gains (losses) on termination of interest rate swaps | (58 | ) | (60,064 | ) | (58 | ) | (60,064 | ) | ||||||||
Unrealized gains (losses) on interest rate swaps | (177,567 | ) | (373,220 | ) | (28,383 | ) | (1,404,940 | ) | ||||||||
Subtotal | (274,095 | ) | (564,046 | ) | (229,067 | ) | (1,743,241 | ) | ||||||||
Net gains (losses) on disposal of investments | (5,516 | ) | 12,535 | (281 | ) | 10,860 | ||||||||||
Net gains (losses) on trading assets | (14,423 | ) | 81,880 | (14,104 | ) | 207,069 | ||||||||||
Net unrealized gains (losses) on investments measured at fair value through earnings | 16,240 | (54,154 | ) | 39,923 | (54,026 | ) | ||||||||||
Subtotal | (3,699 | ) | 40,261 | 25,538 | 163,903 | |||||||||||
Total realized and unrealized gains (losses) | (277,794 | ) | (523,785 | ) | (203,529 | ) | (1,579,338 | ) | ||||||||
Other income (loss): | ||||||||||||||||
Other income (loss) | 30,865 | (9,930 | ) | 62,511 | (16,045 | ) | ||||||||||
Total other income (loss) | 30,865 | (9,930 | ) | 62,511 | (16,045 | ) | ||||||||||
General and administrative expenses: | ||||||||||||||||
Compensation and management fee | 38,938 | 36,048 | 78,200 | 73,045 | ||||||||||||
Other general and administrative expenses | 15,085 | 13,173 | 29,651 | 24,121 | ||||||||||||
Total general and administrative expenses | 54,023 | 49,221 | 107,851 | 97,166 | ||||||||||||
Income (loss) before income taxes | 14,193 | (278,573 | ) | 455,578 | (1,147,490 | ) | ||||||||||
Income taxes | (329 | ) | (76 | ) | 648 | (913 | ) | |||||||||
Net income (loss) | 14,522 | (278,497 | ) | 454,930 | (1,146,577 | ) | ||||||||||
Net income (loss) attributable to noncontrolling interest | (102 | ) | (385 | ) | (205 | ) | (547 | ) | ||||||||
Net income (loss) attributable to Annaly | 14,624 | (278,112 | ) | 455,135 | (1,146,030 | ) | ||||||||||
Dividends on preferred stock | 23,473 | 17,992 | 46,946 | 35,984 | ||||||||||||
Net income (loss) available (related) to common stockholders | $ | (8,849 | ) | $ | (296,104 | ) | $ | 408,189 | $ | (1,182,014 | ) | |||||
Net income (loss) per share available (related) to common stockholders: | ||||||||||||||||
Basic | $ | (0.01 | ) | $ | (0.32 | ) | $ | 0.40 | $ | (1.28 | ) | |||||
Diluted | $ | (0.01 | ) | $ | (0.32 | ) | $ | 0.40 | $ | (1.28 | ) | |||||
Weighted average number of common shares outstanding: | ||||||||||||||||
Basic | 1,019,000,817 | 924,887,316 | 1,018,971,942 | 925,850,452 | ||||||||||||
Diluted | 1,019,000,817 | 924,887,316 | 1,019,357,697 | 925,850,452 | ||||||||||||
Dividends declared per share of common stock | $ | 0.30 | $ | 0.30 | $ | 0.60 | $ | 0.60 | ||||||||
Net income (loss) | $ | 14,522 | $ | (278,497 | ) | $ | 454,930 | $ | (1,146,577 | ) | ||||||
Other comprehensive income (loss): | ||||||||||||||||
Unrealized gains (losses) on available-for-sale securities | 261,964 | 483,930 | 202,349 | 1,501,637 | ||||||||||||
Reclassification adjustment for net (gains) losses included in net income (loss) | 13,360 | (7,250 | ) | 32,777 | (6,995 | ) | ||||||||||
Other comprehensive income (loss) | 275,324 | 476,680 | 235,126 | 1,494,642 | ||||||||||||
Comprehensive income (loss) | $ | 289,846 | $ | 198,183 | $ | 690,056 | $ | 348,065 | ||||||||
Comprehensive income (loss) attributable to noncontrolling interest | (102 | ) | (385 | ) | (205 | ) | (547 | ) | ||||||||
Comprehensive income (loss) attributable to Annaly | 289,948 | 198,568 | 690,261 | 348,612 | ||||||||||||
Dividends on preferred stock | 23,473 | 17,992 | 46,946 | 35,984 | ||||||||||||
Comprehensive income (loss) attributable to common stockholders | $ | 266,475 | $ | 180,576 | $ | 643,315 | $ | 312,628 |
CONSOLIDATED STATEMENTS OF STOCKHOLDERS’ EQUITY | ||||||||||||||||||||||||||||||||||||||||||||
Six Months Ended June 30, 2017 and 2016 | ||||||||||||||||||||||||||||||||||||||||||||
(dollars in thousands, except per share data) | ||||||||||||||||||||||||||||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||||||||||||||||||||||
7.875% Series A Cumulative Redeemable Preferred Stock | 7.625% Series C Cumulative Redeemable Preferred Stock | 7.50% Series D Cumulative Redeemable Preferred Stock | 7.625% Series E Cumulative Redeemable Preferred Stock | Common stock par value | Additional paid-in capital | Accumulated other comprehensive income (loss) | Accumulated deficit | Total stockholders’ equity | Noncontrolling interest | Total | ||||||||||||||||||||||||||||||||||
BALANCE, December 31, 2015 | $ | 177,088 | $ | 290,514 | $ | 445,457 | $ | - | $ | 9,359 | $ | 14,675,768 | $ | (377,596 | ) | $ | (3,324,616 | ) | $ | 11,895,974 | $ | 9,948 | $ | 11,905,922 | ||||||||||||||||||||
Net income (loss) attributable to Annaly | - | - | - | - | - | - | - | (1,146,030 | ) | (1,146,030 | ) | - | (1,146,030 | ) | ||||||||||||||||||||||||||||||
Net income (loss) attributable to noncontrolling interest | - | - | - | - | - | - | - | - | - | (547 | ) | (547 | ) | |||||||||||||||||||||||||||||||
Unrealized gains (losses) on available-for-sale securities | - | - | - | - | - | - | 1,501,637 | - | 1,501,637 | - | 1,501,637 | |||||||||||||||||||||||||||||||||
Reclassification adjustment for net (gains) losses included in net income (loss) | - | - | - | - | - | - | (6,995 | ) | - | (6,995 | ) | - | (6,995 | ) | ||||||||||||||||||||||||||||||
Stock compensation expense | - | - | - | - | - | 1,084 | - | - | 1,084 | - | 1,084 | |||||||||||||||||||||||||||||||||
Net proceeds from direct purchase and dividend reinvestment | - | - | - | - | 1 | 1,175 | - | - | 1,176 | - | 1,176 | |||||||||||||||||||||||||||||||||
Buyback of common stock | - | - | - | - | (111 | ) | (102,601 | ) | - | - | (102,712 | ) | - | (102,712 | ) | |||||||||||||||||||||||||||||
Equity contributions from (distributions to) noncontrolling interest | - | - | - | - | - | - | - | - | - | (743 | ) | (743 | ) | |||||||||||||||||||||||||||||||
Preferred Series A dividends, declared $0.984 per share | - | - | - | - | - | - | - | (7,296 | ) | (7,296 | ) | - | (7,296 | ) | ||||||||||||||||||||||||||||||
Preferred Series C dividends, declared $0.953 per share | - | - | - | - | - | - | - | (11,438 | ) | (11,438 | ) | - | (11,438 | ) | ||||||||||||||||||||||||||||||
Preferred Series D dividends, declared $0.938 per share | - | - | - | - | - | - | - | (17,250 | ) | (17,250 | ) | - | (17,250 | ) | ||||||||||||||||||||||||||||||
Common dividends declared, $0.60 per share | - | - | - | - | - | - | - | (554,935 | ) | (554,935 | ) | - | (554,935 | ) | ||||||||||||||||||||||||||||||
BALANCE, June 30, 2016 | $ | 177,088 | $ | 290,514 | $ | 445,457 | $ | - | $ | 9,249 | $ | 14,575,426 | $ | 1,117,046 | $ | (5,061,565 | ) | $ | 11,553,215 | $ | 8,658 | $ | 11,561,873 | |||||||||||||||||||||
BALANCE, December 31, 2016 | $ | 177,088 | $ | 290,514 | $ | 445,457 | $ | 287,500 | $ | 10,189 | $ | 15,579,342 | $ | (1,085,893 | ) | $ | (3,136,017 | ) | $ | 12,568,180 | $ | 7,792 | $ | 12,575,972 | ||||||||||||||||||||
Net income (loss) attributable to Annaly | - | - | - | - | - | - | - | 455,135 | 455,135 | - | 455,135 | |||||||||||||||||||||||||||||||||
Net income (loss) attributable to noncontrolling interest | - | - | - | - | - | - | - | - | - | (205 | ) | (205 | ) | |||||||||||||||||||||||||||||||
Unrealized gains (losses) on available-for-sale securities | - | - | - | - | - | - | 202,349 | - | 202,349 | - | 202,349 | |||||||||||||||||||||||||||||||||
Reclassification adjustment for net (gains) losses included in net income (loss) | - | - | - | - | - | - | 32,777 | - | 32,777 | - | 32,777 | |||||||||||||||||||||||||||||||||
Stock compensation expense | - | - | - | - | - | 1,149 | - | - | 1,149 | - | 1,149 | |||||||||||||||||||||||||||||||||
Net proceeds from direct purchase and dividend reinvestment | - | - | - | - | 1 | 1,269 | - | - | 1,270 | - | 1,270 | |||||||||||||||||||||||||||||||||
Equity contributions from (distributions to) noncontrolling interest | - | - | - | - | - | - | - | - | - | (676 | ) | (676 | ) | |||||||||||||||||||||||||||||||
Preferred Series A dividends, declared $0.984 per share | - | - | - | - | - | - | - | (7,296 | ) | (7,296 | ) | - | (7,296 | ) | ||||||||||||||||||||||||||||||
Preferred Series C dividends, declared $0.953 per share | - | - | - | - | - | - | - | (11,438 | ) | (11,438 | ) | - | (11,438 | ) | ||||||||||||||||||||||||||||||
Preferred Series D dividends, declared $0.938 per share | - | - | - | - | - | - | - | (17,250 | ) | (17,250 | ) | - | (17,250 | ) | ||||||||||||||||||||||||||||||
Preferred Series E dividends, declared $0.953 per share | - | - | - | - | - | - | - | (10,962 | ) | (10,962 | ) | - | (10,962 | ) | ||||||||||||||||||||||||||||||
Common dividends declared, $0.60 per share | - | - | - | - | - | - | - | (611,400 | ) | (611,400 | ) | - | (611,400 | ) | ||||||||||||||||||||||||||||||
BALANCE, June 30, 2017 | $ | 177,088 | $ | 290,514 | $ | 445,457 | $ | 287,500 | $ | 10,190 | $ | 15,581,760 | $ | (850,767 | ) | $ | (3,339,228 | ) | $ | 12,602,514 | $ | 6,911 | $ | 12,609,425 |
ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES | ||||||||||||||||
CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS) | ||||||||||||||||
(dollars in thousands, except per share data) | ||||||||||||||||
(Unaudited) | ||||||||||||||||
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
2018 | 2017 | 2018 | 2017 | |||||||||||||
Net interest income: | ||||||||||||||||
Interest income | $ | 776,806 | $ | 537,426 | $ | 1,656,293 | $ | 1,125,153 | ||||||||
Interest expense | 442,692 | 222,281 | 810,113 | 420,706 | ||||||||||||
Net interest income | 334,114 | 315,145 | 846,180 | 704,447 | ||||||||||||
Realized and unrealized gains (losses): | ||||||||||||||||
Net interest component of interest rate swaps | 31,475 | (96,470 | ) | (16,685 | ) | (200,626 | ) | |||||||||
Realized gains (losses) on termination or maturity of interest rate swaps | — | (58 | ) | 834 | (58 | ) | ||||||||||
Unrealized gains (losses) on interest rate swaps | 343,475 | (177,567 | ) | 1,320,760 | (28,383 | ) | ||||||||||
Subtotal | 374,950 | (274,095 | ) | 1,304,909 | (229,067 | ) | ||||||||||
Net gains (losses) on disposal of investments | (66,117 | ) | (5,516 | ) | (52,649 | ) | (281 | ) | ||||||||
Net gains (losses) on other derivatives | 34,189 | (14,423 | ) | (12,956 | ) | (14,104 | ) | |||||||||
Net unrealized gains (losses) on instruments measured at fair value through earnings | (48,376 | ) | 16,240 | (99,969 | ) | 39,923 | ||||||||||
Subtotal | (80,304 | ) | (3,699 | ) | (165,574 | ) | 25,538 | |||||||||
Total realized and unrealized gains (losses) | 294,646 | (277,794 | ) | 1,139,335 | (203,529 | ) | ||||||||||
Other income (loss): | ||||||||||||||||
Other income (loss) | 34,170 | 30,865 | 68,193 | 62,511 | ||||||||||||
Total other income (loss) | 34,170 | 30,865 | 68,193 | 62,511 | ||||||||||||
General and administrative expenses: | ||||||||||||||||
Compensation and management fee | 45,579 | 38,938 | 90,108 | 78,200 | ||||||||||||
Other general and administrative expenses | 18,202 | 15,085 | 36,183 | 29,651 | ||||||||||||
Total general and administrative expenses | 63,781 | 54,023 | 126,291 | 107,851 | ||||||||||||
Income (loss) before income taxes | 599,149 | 14,193 | 1,927,417 | 455,578 | ||||||||||||
Income taxes | 3,262 | (329 | ) | 3,826 | 648 | |||||||||||
Net income (loss) | 595,887 | 14,522 | 1,923,591 | 454,930 | ||||||||||||
Net income (loss) attributable to noncontrolling interest | (32 | ) | (102 | ) | (128 | ) | (205 | ) | ||||||||
Net income (loss) attributable to Annaly | 595,919 | 14,624 | 1,923,719 | 455,135 | ||||||||||||
Dividends on preferred stock | 31,377 | 23,473 | 65,143 | 46,946 | ||||||||||||
Net income (loss) available (related) to common stockholders | $ | 564,542 | $ | (8,849 | ) | $ | 1,858,576 | $ | 408,189 | |||||||
Net income (loss) per share available (related) to common stockholders: | ||||||||||||||||
Basic | $ | 0.49 | $ | (0.01 | ) | $ | 1.60 | $ | 0.40 | |||||||
Diluted | $ | 0.49 | $ | (0.01 | ) | $ | 1.60 | $ | 0.40 | |||||||
Weighted average number of common shares outstanding: | ||||||||||||||||
Basic | 1,160,436,777 | 1,019,000,817 | 1,160,029,575 | 1,018,971,942 | ||||||||||||
Diluted | 1,160,979,451 | 1,019,000,817 | 1,160,543,580 | 1,019,357,697 | ||||||||||||
Dividends declared per share of common stock | $ | 0.30 | $ | 0.30 | $ | 0.60 | $ | 0.60 | ||||||||
Net income (loss) | $ | 595,887 | $ | 14,522 | $ | 1,923,591 | $ | 454,930 | ||||||||
Other comprehensive income (loss): | ||||||||||||||||
Unrealized gains (losses) on available-for-sale securities | (505,130 | ) | 261,964 | (2,384,609 | ) | 202,349 | ||||||||||
Reclassification adjustment for net (gains) losses included in net income (loss) | 70,763 | 13,360 | 76,182 | 32,777 | ||||||||||||
Other comprehensive income (loss) | (434,367 | ) | 275,324 | (2,308,427 | ) | 235,126 | ||||||||||
Comprehensive income (loss) | 161,520 | 289,846 | (384,836 | ) | 690,056 | |||||||||||
Comprehensive income (loss) attributable to noncontrolling interest | (32 | ) | (102 | ) | (128 | ) | (205 | ) | ||||||||
Comprehensive income (loss) attributable to Annaly | 161,552 | 289,948 | (384,708 | ) | 690,261 | |||||||||||
Dividends on preferred stock | 31,377 | 23,473 | 65,143 | 46,946 | ||||||||||||
Comprehensive income (loss) attributable to common stockholders | $ | 130,175 | $ | 266,475 | $ | (449,851 | ) | $ | 643,315 |
CONSOLIDATED STATEMENTS OF CASH FLOWS | ||||||||
(dollars in thousands) | ||||||||
(Unaudited) | ||||||||
Six Months Ended June 30, | ||||||||
2017 | 2016 | |||||||
Cash flows from operating activities: | ||||||||
Net income (loss) | $ | 454,930 | $ | (1,146,577 | ) | |||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | ||||||||
Amortization of Residential Investment Securities premiums and discounts, net | 454,718 | 621,146 | ||||||
Amortization of Residential Mortgage Loans premiums and discounts, net | 624 | - | ||||||
Amortization of securitized debt premiums and discounts, net | (20 | ) | - | |||||
Amortization of commercial real estate investment premiums and discounts, net | (3,116 | ) | (1,552 | ) | ||||
Amortization of intangibles | 4,531 | 7,621 | ||||||
Amortization of deferred financing costs | 809 | 1,019 | ||||||
Amortization of net origination fees and costs, net | (2,195 | ) | (2,868 | ) | ||||
Depreciation expense | 9,166 | 10,684 | ||||||
Net (gains) losses on sale of commercial real estate | (5,050 | ) | (821 | ) | ||||
Net (gains) losses on sale of commercial loans held for sale | 3 | 67 | ||||||
Net (gains) losses on sale of commercial real estate debt investments | - | 165 | ||||||
Net (gains) losses on sales of Residential Investment Securities | 4,014 | (10,271 | ) | |||||
Net (gains) losses on sales of residential mortgage loans | 1,314 | - | ||||||
Stock compensation expense | 1,149 | 1,084 | ||||||
Unrealized (gains) losses on interest rate swaps | 28,383 | 1,404,940 | ||||||
Net unrealized (gains) losses on investments measured at fair value through earnings | (39,923 | ) | 54,026 | |||||
Equity in net income from unconsolidated joint ventures | 1,192 | 4,417 | ||||||
Distributions of cumulative earnings from unconsolidated joint venture | 459 | - | ||||||
Net (gains) losses on trading assets | 14,104 | (207,069 | ) | |||||
Proceeds from sale of commercial loans held for sale | 114,422 | 114,358 | ||||||
Payments on purchase of residential mortgage loans | (49,599 | ) | - | |||||
Proceeds from repayments from residential mortgage loans | 42,894 | - | ||||||
Payment on purchase of corporate debt held for sale | (19,494 | ) | - | |||||
Proceeds from sale of corporate debt held for sale | 19,605 | - | ||||||
Proceeds from repurchase agreements of RCap | 1,513,657,385 | 1,076,600,000 | ||||||
Payments on repurchase agreements of RCap | (1,513,832,385 | ) | (1,075,750,000 | ) | ||||
Proceeds from reverse repurchase agreements of RCap | 38,955,000 | 29,700,000 | ||||||
Payments on reverse repurchase agreements of RCap | (38,955,000 | ) | (29,700,000 | ) | ||||
Net payments on derivatives | (797,580 | ) | 196,016 | |||||
Net change in: | ||||||||
Due to / from brokers | (16 | ) | (5 | ) | ||||
Other assets | (65,037 | ) | (65,653 | ) | ||||
Accrued interest and dividends receivable | 8,475 | 3,202 | ||||||
Accrued interest payable | 22,707 | 7,592 | ||||||
Accounts payable and other liabilities | (88,818 | ) | 24,331 | |||||
Net cash provided by (used in) operating activities | $ | (62,349 | ) | $ | 1,865,852 | |||
Cash flows from investing activities: | ||||||||
Payments on purchases of Residential Investment Securities | (7,682,326 | ) | (7,088,346 | ) | ||||
Proceeds from sales of Residential Investment Securities | 4,629,227 | 4,008,291 | ||||||
Principal payments on Residential Investment Securities | 5,846,683 | 4,615,505 | ||||||
Purchase of MSRs | (10,000 | ) | - | |||||
Payments on purchases of corporate debt | (252,452 | ) | (245,447 | ) | ||||
Principal payments on corporate debt | 254,318 | 65,804 | ||||||
Purchases of commercial real estate debt investments | (38,410 | ) | (76,862 | ) | ||||
Purchase of securitized loans at fair value | - | (1,489,268 | ) | |||||
Origination of commercial real estate investments, net | (110,026 | ) | (189,020 | ) | ||||
Proceeds from sale of commercial real estate investments | 11,960 | 12,750 | ||||||
Principal payments on commercial real estate debt investments | 163,914 | 61,601 | ||||||
Principal payments on securitized loans at fair value | 271,054 | 52,407 | ||||||
Principal payments on commercial real estate investments | 154,531 | 402,459 | ||||||
Purchase of investments in real estate | (1,132 | ) | (1,187 | ) | ||||
Investment in unconsolidated joint venture | (19,433 | ) | (559 | ) | ||||
Distributions in excess of cumulative earnings from unconsolidated joint ventures | 4,227 | 2,117 | ||||||
Payments on purchase of residential mortgage loans held for investment | (512,146 | ) | - | |||||
Proceeds from repayments from residential mortgage loans held for investment | 85,643 | - | ||||||
Purchase of equity securities | (2,104 | ) | (88,062 | ) | ||||
Proceeds from sales of equity securities | - | 16,112 | ||||||
Net cash provided by (used in) investing activities | $ | 2,793,528 | $ | 58,295 |
ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES | |||||||||||||||||||||||||||||||||||||||
CONSOLIDATED STATEMENTS OF STOCKHOLDERS' EQUITY | |||||||||||||||||||||||||||||||||||||||
Six Months Ended June 30, 2018 and 2017 | |||||||||||||||||||||||||||||||||||||||
(dollars in thousands, except per share data) | |||||||||||||||||||||||||||||||||||||||
(Unaudited) | |||||||||||||||||||||||||||||||||||||||
7.875% Series A Cumulative Redeemable Preferred Stock | 7.625% Series C Cumulative Redeemable Preferred Stock | 7.50% Series D Cumulative Redeemable Preferred Stock | 7.625% Series E Cumulative Redeemable Preferred Stock | 6.95% Series F Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | 6.50% Series G Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | Common stock par value | Additional paid-in capital | Accumulated other comprehensive income (loss) | Accumulated deficit | Total stockholders' equity | Noncontrolling interest | Total | |||||||||||||||||||||||||||
BALANCE, December 31, 2016 | $ | 177,088 | $ | 290,514 | $ | 445,457 | $ | 287,500 | $ | — | $ | — | $ | 10,189 | $ | 15,579,342 | $ | (1,085,893 | ) | $ | (3,136,017 | ) | $ | 12,568,180 | $ | 7,792 | $ | 12,575,972 | |||||||||||
Net income (loss) attributable to Annaly | — | — | — | — | — | — | — | — | — | 455,135 | 455,135 | — | 455,135 | ||||||||||||||||||||||||||
Net income (loss) attributable to noncontrolling interest | — | — | — | — | — | — | — | — | — | — | — | (205 | ) | (205 | ) | ||||||||||||||||||||||||
Unrealized gains (losses) on available-for-sale securities | — | — | — | — | — | — | — | — | 202,349 | — | 202,349 | — | 202,349 | ||||||||||||||||||||||||||
Reclassification adjustment for net (gains) losses included in net income (loss) | — | — | — | — | — | — | — | — | 32,777 | — | 32,777 | — | 32,777 | ||||||||||||||||||||||||||
Stock compensation expense | — | — | — | — | — | — | — | 1,149 | — | — | 1,149 | — | 1,149 | ||||||||||||||||||||||||||
Net proceeds from direct purchase and dividend reinvestment | — | — | — | — | — | — | 1 | 1,269 | — | — | 1,270 | — | 1,270 | ||||||||||||||||||||||||||
Equity contributions from (distributions to) noncontrolling interest | — | — | — | — | — | — | — | — | — | — | — | (676 | ) | (676 | ) | ||||||||||||||||||||||||
Preferred Series A dividends, declared $0.984 per share | — | — | — | — | — | — | — | — | — | (7,296 | ) | (7,296 | ) | — | (7,296 | ) | |||||||||||||||||||||||
Preferred Series C dividends, declared $0.953 per share | — | — | — | — | — | — | — | — | — | (11,438 | ) | (11,438 | ) | — | (11,438 | ) | |||||||||||||||||||||||
Preferred Series D dividends, declared $0.938 per share | — | — | — | — | — | — | — | — | — | (17,250 | ) | (17,250 | ) | — | (17,250 | ) | |||||||||||||||||||||||
Preferred Series E dividends, declared $0.953 per share | — | — | — | — | — | — | — | — | — | (10,962 | ) | (10,962 | ) | (10,962 | ) | ||||||||||||||||||||||||
Common dividends declared, $0.60 per share | — | — | — | — | — | — | — | — | — | (611,400 | ) | (611,400 | ) | — | (611,400 | ) | |||||||||||||||||||||||
BALANCE, June 30, 2017 | $ | 177,088 | $ | 290,514 | $ | 445,457 | $ | 287,500 | $ | — | $ | — | $ | 10,190 | $ | 15,581,760 | $ | (850,767 | ) | $ | (3,339,228 | ) | $ | 12,602,514 | $ | 6,911 | $ | 12,609,425 | |||||||||||
BALANCE, December 31, 2017 | $ | — | $ | 290,514 | $ | 445,457 | $ | 287,500 | $ | 696,910 | $ | — | $ | 11,596 | $ | 17,221,265 | $ | (1,126,020 | ) | $ | (2,961,749 | ) | $ | 14,865,473 | $ | 6,100 | $ | 14,871,573 | |||||||||||
Net income (loss) attributable to Annaly | — | — | — | — | — | — | — | — | — | 1,923,719 | 1,923,719 | — | 1,923,719 | ||||||||||||||||||||||||||
Net income (loss) attributable to noncontrolling interest | — | — | — | — | — | — | — | — | — | — | — | (128 | ) | (128 | ) | ||||||||||||||||||||||||
Unrealized gains (losses) on available-for-sale securities | — | — | — | — | — | �� | — | — | (2,384,609 | ) | — | (2,384,609 | ) | — | (2,384,609 | ) | |||||||||||||||||||||||
Reclassification adjustment for net (gains) losses included in net income (loss) | — | — | — | — | — | — | — | — | 76,182 | — | 76,182 | — | 76,182 | ||||||||||||||||||||||||||
Stock compensation expense | — | — | — | — | — | — | — | 1,621 | — | — | 1,621 | — | 1,621 | ||||||||||||||||||||||||||
Redemption of Preferred Stock | — | (121,048 | ) | — | (287,500 | ) | — | — | — | (3,952 | ) | — | — | (412,500 | ) | — | (412,500 | ) | |||||||||||||||||||||
Net proceeds from direct purchase and dividend reinvestment | — | — | — | — | — | — | 1 | 1,545 | — | — | 1,546 | — | 1,546 | ||||||||||||||||||||||||||
Net proceeds from issuance of common stock | — | — | — | — | — | — | 46 | 48,117 | — | — | 48,163 | — | 48,163 | ||||||||||||||||||||||||||
Net proceeds from issuance of preferred stock | — | — | — | — | — | 411,335 | — | — | — | — | 411,335 | — | 411,335 | ||||||||||||||||||||||||||
Equity contributions from (distributions to) noncontrolling interest | — | — | — | — | — | — | — | — | — | — | — | (706 | ) | (706 | ) | ||||||||||||||||||||||||
Preferred Series C dividends, declared $0.953 per share (1) | — | — | — | — | — | — | — | — | — | (7,652 | ) | (7,652 | ) | — | (7,652 | ) | |||||||||||||||||||||||
Preferred Series D dividends, declared $0.938 per share | — | — | — | — | — | — | — | — | — | (17,250 | ) | (17,250 | ) | — | (17,250 | ) | |||||||||||||||||||||||
Preferred Series E dividends, declared $0.196 per share | — | — | — | — | — | — | — | — | — | (2,253 | ) | (2,253 | ) | — | (2,253 | ) | |||||||||||||||||||||||
Preferred Series F dividends, declared $0.869 per share | — | — | — | — | — | — | — | — | — | (25,020 | ) | (25,020 | ) | — | (25,020 | ) | |||||||||||||||||||||||
Preferred Series G dividends, declared $0.763 per share | — | — | — | — | — | — | — | — | — | (12,968 | ) | (12,968 | ) | — | (12,968 | ) | |||||||||||||||||||||||
Common dividends declared, $0.60 per share | — | — | — | — | — | — | — | — | — | (697,197 | ) | (697,197 | ) | — | (697,197 | ) | |||||||||||||||||||||||
BALANCE, June 30, 2018 | $ | — | $ | 169,466 | $ | 445,457 | $ | — | $ | 696,910 | $ | 411,335 | $ | 11,643 | $ | 17,268,596 | $ | (3,434,447 | ) | $ | (1,800,370 | ) | $ | 13,768,590 | $ | 5,266 | $ | 13,773,856 |
(1) | Represents dividends declared per share for shares outstanding at June 30, 2018. |
Cash flows from financing activities: | ||||||||
Proceeds from repurchase agreements | 99,863,445 | 85,723,588 | ||||||
Principal payments on repurchase agreements | (102,406,855 | ) | (88,936,063 | ) | ||||
Proceeds from other secured financing | 6,801 | 2,146,084 | ||||||
Payments on other secured financing | (106,038 | ) | (402,806 | ) | ||||
Proceeds from issuance of securitized debt | - | 1,381,640 | ||||||
Principal repayments on securitized debt | (255,927 | ) | (163,472 | ) | ||||
Payment of deferred financing cost | (1,079 | ) | (3,076 | ) | ||||
Net proceeds from direct purchases and dividend reinvestments | 1,270 | 1,176 | ||||||
Principal payments on participation sold | (12,827 | ) | (153 | ) | ||||
Principal payments on mortgages payable | (36 | ) | (7,399 | ) | ||||
Distributions to noncontrolling interests | (676 | ) | (743 | ) | ||||
Net payment on share repurchase | - | (102,712 | ) | |||||
Dividends paid | (658,311 | ) | (594,219 | ) | ||||
Net cash provided by (used in) financing activities | $ | (3,570,233 | ) | $ | (958,155 | ) | ||
Net (decrease) increase in cash and cash equivalents | $ | (839,054 | ) | $ | 965,992 | |||
Cash and cash equivalents, beginning of period | 1,539,746 | 1,769,258 | ||||||
Cash and cash equivalents, end of period | $ | 700,692 | $ | 2,735,250 | ||||
Supplemental disclosure of cash flow information: | ||||||||
Interest received | $ | 1,582,650 | $ | 1,456,076 | ||||
Dividends received | $ | 2,511 | $ | - | ||||
Interest paid (excluding interest paid on interest rate swaps) | $ | 454,110 | $ | 282,146 | ||||
Net interest paid on interest rate swaps | $ | 195,973 | $ | 281,120 | ||||
Taxes paid | $ | 1,336 | $ | 591 | ||||
Noncash investing activities: | ||||||||
Receivable for investments sold | $ | 9,784 | $ | 697,943 | ||||
Payable for investments purchased | $ | 1,043,379 | $ | 746,090 | ||||
Net change in unrealized gains (losses) on available-for-sale securities, net of reclassification adjustment | $ | 235,126 | $ | 1,494,642 | ||||
Noncash financing activities: | ||||||||
Dividends declared, not yet paid | $ | 305,709 | $ | 277,479 | ||||
See notes to consolidated financial statements. |
ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES | ||||||||
CONSOLIDATED STATEMENTS OF CASH FLOWS | ||||||||
(dollars in thousands) | ||||||||
(Unaudited) | ||||||||
Six Months Ended June 30, | ||||||||
2018 | 2017 | |||||||
Cash flows from operating activities: | ||||||||
Net income (loss) | $ | 1,923,591 | $ | 454,930 | ||||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | ||||||||
Amortization of premiums and discounts of investments, net | 289,693 | 450,031 | ||||||
Amortization of securitized debt premiums and discounts and deferred financing costs | (202 | ) | 789 | |||||
Depreciation, amortization and other noncash expenses | 12,907 | 14,846 | ||||||
Net (gains) losses on disposals of investments | 52,649 | 281 | ||||||
Net (gains) losses on investments and derivatives | (1,207,835 | ) | 2,564 | |||||
Income from unconsolidated joint ventures | 5,067 | 1,651 | ||||||
Payments on purchases of loans held for sale | (110,350 | ) | (69,093 | ) | ||||
Proceeds of sales and repayments of loans held for sale | 46,721 | 176,921 | ||||||
Net payments on derivatives | 1,286,408 | (797,580 | ) | |||||
Net change in: | ||||||||
Other assets | (98,456 | ) | (65,053 | ) | ||||
Accrued interest and dividends receivable | 759 | 8,475 | ||||||
Accrued interest payable | 225,371 | 22,707 | ||||||
Accounts payable and other liabilities | (136,273 | ) | (88,818 | ) | ||||
Net cash provided by (used in) operating activities | $ | 2,290,050 | $ | 112,651 | ||||
Cash flows from investing activities: | ||||||||
Payments on purchases of Residential Investment Securities | $ | (7,309,307 | ) | $ | (7,682,326 | ) | ||
Proceeds from sales of Residential Investment Securities | 3,365,971 | 4,629,227 | ||||||
Principal payments on Residential Investment Securities | 5,664,811 | 5,846,683 | ||||||
Purchase of MSRs | (381 | ) | (10,000 | ) | ||||
Payments on purchases of corporate debt | (464,496 | ) | (252,452 | ) | ||||
Principal payments on corporate debt | 226,723 | 254,318 | ||||||
Originations and purchases of commercial real estate related assets | (358,179 | ) | (169,001 | ) | ||||
Proceeds from sales on commercial real estate related assets | 28,079 | 11,960 | ||||||
Principal repayments on commercial real estate related assets | 395,325 | 589,499 | ||||||
Proceeds from reverse repurchase agreements | 41,248,786 | 38,955,000 | ||||||
Payments on reverse repurchase agreements | (41,508,548 | ) | (38,955,000 | ) | ||||
Distributions in excess of cumulative earnings from unconsolidated joint ventures | 4,133 | 4,227 | ||||||
Payments on purchases of residential mortgage loans held for investment | (373,051 | ) | (512,146 | ) | ||||
Proceeds from repayments from residential mortgage loans held for investment | 153,722 | 85,643 | ||||||
Payments on purchases of equity securities | — | (2,104 | ) | |||||
Net cash provided by (used in) investing activities | $ | 1,073,588 | $ | 2,793,528 |
Cash flows from financing activities: | ||||||||
Proceeds from repurchase agreements and other secured financing | $ | 2,727,664,289 | $ | 1,613,527,631 | ||||
Principal payments on repurchase agreements and other secured financing | (2,729,676,977 | ) | (1,616,345,278 | ) | ||||
Proceeds from issuance of securitized debt | 279,203 | — | ||||||
Principal repayments on securitized debt | (488,335 | ) | (255,927 | ) | ||||
Payment of deferred financing cost | — | (1,079 | ) | |||||
Net proceeds from stock offerings, direct purchases and dividend reinvestments | 461,044 | 1,270 | ||||||
Redemption of preferred stock | (412,500 | ) | — | |||||
Principal payments on participation sold | — | (12,827 | ) | |||||
Principal payments on mortgages payable | — | (36 | ) | |||||
Net contributions/(distributions) from/(to) noncontrolling interests | (706 | ) | (676 | ) | ||||
Dividends paid | (760,916 | ) | (658,311 | ) | ||||
Net cash provided by (used in) financing activities | $ | (2,934,898 | ) | $ | (3,745,233 | ) | ||
Net (decrease) increase in cash and cash equivalents | $ | 428,740 | $ | (839,054 | ) | |||
Cash and cash equivalents including cash pledged as collateral, beginning of period | 706,589 | 1,539,746 | ||||||
Cash and cash equivalents including cash pledged as collateral, end of period | $ | 1,135,329 | $ | 700,692 | ||||
Supplemental disclosure of cash flow information: | ||||||||
Interest received | $ | 1,879,931 | $ | 1,582,650 | ||||
Dividends received | $ | 3,355 | $ | 2,511 | ||||
Interest paid (excluding interest paid on interest rate swaps) | $ | 740,186 | $ | 454,110 | ||||
Net interest paid (received) on interest rate swaps | $ | (141,772 | ) | $ | 195,973 | |||
Taxes paid | $ | 136 | $ | 1,336 | ||||
Noncash investing activities: | ||||||||
Receivable for investments sold | $ | 21,728 | $ | 9,784 | ||||
Payable for investments purchased | $ | 1,108,834 | $ | 1,043,379 | ||||
Net change in unrealized gains (losses) on available-for-sale securities, net of reclassification adjustment | $ | (2,308,427 | ) | $ | 235,126 | |||
Noncash financing activities: | ||||||||
Dividends declared, not yet paid | $ | 349,300 | $ | 305,709 |
The Annaly Commercial Real Estate Group (“ACREG”) originates and invests in commercial mortgage loans, securities and other commercial real estate debt and equity investments. |
2. | BASIS OF PRESENTATION |
3. | SIGNIFICANT ACCOUNTING POLICIES |
Interest Income Methodology | |
Agency | |
Fixed-rate pass-through(1) | Effective yield(3) |
Adjustable-rate pass-through(1) | Effective yield(3) |
Multifamily (1) | Contractual Cash Flows |
Collateralized Mortgage Obligation (“CMO”)(1) | Effective yield(3) |
Prospective | |
Interest-only (2) | Prospective |
Residential Credit | |
CRT(2) | Prospective |
Prospective | |
Prospective | |
Prospective | |
Prospective | |
Prime Jumbo (2) | Prospective |
Prime Jumbo interest-only (2) | Prospective |
(1) | Changes in fair value are recognized in Other comprehensive income (loss) on the accompanying Consolidated Statements of Comprehensive Income (Loss). |
(2) | Changes in fair value are recognized in Net unrealized gains (losses) on instruments measured at fair value through earnings on the accompanying Consolidated Statements of Comprehensive Income (Loss). |
(3) | Effective yield is recalculated for differences between estimated and actual prepayments and the amortized cost is adjusted as if the new effective yield had been applied since inception. |
Category | Term |
Building | 30 - 40 years |
Site improvements | 1 - 28 years |
Standard | Description | Effective Date | Effect on the |
Standards that are not yet adopted | |||
ASU 2016-13 Financial Instruments - Credit Losses (Topic 326): Measurement of Credit Losses on Financial Instruments | This ASU updates the existing incurred loss model to a current expected credit loss (“CECL”) model for financial assets and net investments in leases that are not accounted for at fair value through earnings. The amendments affect loans, held-to-maturity debt securities, trade receivables, net investments in leases, off-balance sheet credit exposures and any other financial assets not excluded from the scope. There are also limited amendments to the impairment model for available-for-sale debt securities. | January 1, 2020 (early adoption permitted) | The Company currently plans to adopt the new standard on its effective •will be required to use an allowance approach to recognize credit impairment, with the allowance to be limited to the amount by which the security’s fair value is less than its amortized cost basis; • may not consider the length of time fair value has been below amortized cost, and •may not consider recoveries of fair value after the balance sheet date when assessing whether a credit loss exists. |
Standard | Description | Effective Date | Effect on the Financial Statements or Other Significant Matters |
Standards that were adopted | |||
ASU 2017-01 Business Combinations (Topic 805): Clarifying the Definition of a Business | This update provides a screen to determine and a framework to evaluate when a set of assets and activities is a business. | January 1, 2018 | The amendments are expected to result in fewer transactions being accounted for as business combinations. |
ASU 2016-15 Statement of Cash Flows (Topic 230): Classification of Certain Cash Receipts and Cash Payments | This update provides specific guidance on certain cash flow classification issues, including classification of cash receipts and payments that have aspects of more than one class of cash flows. If cash flows cannot be separated by source or use, the appropriate classification should depend on the activity that is likely to be the predominant source or use of cash flows. | January 1, 2018 | As a result of adopting this standard, the Company reclassified its cash flows on reverse repurchase and repurchase agreements entered into by Arcola from operating activities to investing and financing activities, respectively, in the Consolidated Statements of Cash Flows. The Company applied the retrospective transition method, which resulted in reclassification of comparative periods. |
4. | FINANCIAL INSTRUMENTS |
July 12, 2016 | ||||
Consideration Transferred: | (dollars in thousands) | |||
Cash | $ | 521,082 | ||
Common equity | 997,707 | |||
Preferred shares: | ||||
Exchange of Hatteras preferred stock for Annaly preferred stock | 278,252 | |||
Preferred stock fair value adjustment | 9,248 | |||
Preferred shares | 287,500 | |||
Total consideration | $ | 1,806,289 | ||
Net Assets: | ||||
Cash | $ | 562,780 | ||
Agency mortgage-backed securities, at fair value | 10,863,070 | |||
Credit risk transfer securities, at fair value | 116,770 | |||
Residential mortgage loans | 360,447 | |||
Mortgage servicing rights | 355,820 | |||
Other derivatives, at fair value | 8,677 | |||
Principal receivable | 438,005 | |||
Accrued interest and dividend receivable | 83,814 | |||
Other assets | 57,250 | |||
Total assets acquired | $ | 12,846,633 | ||
Repurchase agreements | $ | 10,422,757 | ||
Other secured financing | 35,769 | |||
Securitized debt of consolidated VIEs | 54,135 | |||
Other derivatives, at fair value | 349,922 | |||
Dividends payable | 670 | |||
Payable for investments purchased | 2,643 | |||
Accrued interest payable | 4,833 | |||
Accounts payable and other liabilities | 97,039 | |||
Total liabilities assumed | 10,967,768 | |||
Net assets acquired | $ | 1,878,865 | ||
Bargain purchase gain | $ | 72,576 |
Financial Instruments (1) | ||||||||
Balance Sheet Location | Form | Measurement Basis | June 30, 2018 | December 31, 2017 | ||||
Assets | (dollars in thousands) | |||||||
Agency mortgage-backed securities | Securities | Fair value, with unrealized gains (losses) through other comprehensive income | $ | 85,593,158 | $ | 89,426,437 | ||
Agency mortgage-backed securities | Securities | Fair value, with unrealized gains (losses) through earnings | 999,900 | 1,125,326 | ||||
Total agency mortgage-backed securities | 86,593,058 | 90,551,763 | ||||||
Credit risk transfer securities | Securities | Fair value, with unrealized gains (losses) through earnings | 563,796 | 651,764 | ||||
Non-agency mortgage-backed securities | Securities | Fair value, with unrealized gains (losses) through earnings | 1,006,785 | 1,097,294 | ||||
Residential mortgage loans | Loans | Fair value, with unrealized gains (losses) through earnings | 1,666,157 | 1,438,322 | ||||
Commercial real estate debt investments | Loans | Fair value, with unrealized gains (losses) through earnings | 2,542,413 | 2,826,357 | ||||
Commercial real estate debt investments | Securities | Fair value, with unrealized gains (losses) through other comprehensive income | 204,319 | 244,636 | ||||
Commercial real estate debt investments | Securities | Fair value, with unrealized gains (losses) through earnings | 110,731 | 18,115 | ||||
Total commercial real estate debt investments | 2,857,463 | 3,089,108 | ||||||
Commercial real estate debt and preferred equity, held for investment | Loans | Amortized cost | 1,251,138 | 1,029,327 | ||||
Loans held for sale, net | Loans | Lower of amortized cost or fair value | 42,458 | — | ||||
Corporate debt | Loans | Amortized cost | 1,256,276 | 1,011,275 | ||||
Reverse repurchase agreements | Reverse repurchase agreements | Amortized cost | 259,762 | — | ||||
Liabilities | ||||||||
Repurchase agreements | Repurchase agreements | Amortized cost | 75,760,655 | 77,696,343 | ||||
Other secured financing | Loans | Amortized cost | 3,760,487 | 3,837,528 | ||||
Securitized debt of consolidated VIEs | Securities | Fair value, with unrealized gains (losses) through earnings | 2,728,692 | 2,971,771 | ||||
Mortgages payable | Loans | Amortized cost | 309,878 | 309,686 |
(1) | Receivable for investments sold, Accrued interest and dividends receivable, Dividends payable, Payable for investments purchased and Accrued interest payable are accounted for at cost. |
5. | RESIDENTIAL INVESTMENT SECURITIES |
June 30, 2017 | June 30, 2018 | ||||||||||||||||||||||||||||||||||||||||||||||||
Principal / Notional | Remaining Premium | Remaining Discount | Amortized Cost | Unrealized Gains(1) | Unrealized Losses(1) | Estimated Fair Value | Principal / Notional | Remaining Premium | Remaining Discount | Amortized Cost | Unrealized Gains | Unrealized Losses | Estimated Fair Value | ||||||||||||||||||||||||||||||||||||
Agency | (dollars in thousands) | (dollars in thousands) | |||||||||||||||||||||||||||||||||||||||||||||||
Fixed-rate pass-through | $ | 61,627,012 | $ | 3,671,722 | $ | (1,416 | ) | $ | 65,297,318 | $ | 220,370 | $ | (1,045,902 | ) | $ | 64,471,787 | $ | 77,646,763 | $ | 4,442,937 | $ | (1,556 | ) | $ | 82,088,144 | $ | 43,095 | $ | (3,309,253 | ) | $ | 78,821,986 | |||||||||||||||||
Adjustable-rate pass-through | 8,092,902 | 307,181 | (2,939 | ) | 8,397,144 | 26,753 | (55,019 | ) | 8,368,878 | 5,847,337 | 277,049 | (1,100 | ) | 6,123,286 | 10,478 | (156,983 | ) | 5,976,781 | |||||||||||||||||||||||||||||||
Interest-only | 7,051,876 | 1,305,067 | - | 1,305,067 | 3,351 | (185,085 | ) | 1,123,333 | 6,537,051 | 1,273,388 | — | 1,273,388 | 2,447 | (315,482 | ) | 960,353 | |||||||||||||||||||||||||||||||||
Multifamily | 816,976 | 4,872 | (7,237 | ) | 814,611 | 1,065 | (21,285 | ) | 794,391 | ||||||||||||||||||||||||||||||||||||||||
Reverse mortgages | 35,392 | 4,341 | — | 39,733 | 33 | (219 | ) | 39,547 | |||||||||||||||||||||||||||||||||||||||||
Total Agency investments | $ | 76,771,790 | $ | 5,283,970 | $ | (4,355 | ) | $ | 74,999,529 | $ | 250,474 | $ | (1,286,006 | ) | $ | 73,963,998 | $ | 90,883,519 | $ | 6,002,587 | $ | (9,893 | ) | $ | 90,339,162 | $ | 57,118 | $ | (3,803,222 | ) | $ | 86,593,058 | |||||||||||||||||
Residential Credit | |||||||||||||||||||||||||||||||||||||||||||||||||
CRT | $ | 550,302 | $ | 15,364 | $ | (5,915 | ) | $ | 559,751 | $ | 46,077 | $ | (2 | ) | $ | 605,826 | $ | 528,869 | $ | 18,234 | $ | (1,079 | ) | $ | 546,024 | $ | 18,429 | $ | (657 | ) | $ | 563,796 | |||||||||||||||||
Alt-A | 215,364 | 1,255 | (34,464 | ) | 182,155 | 11,475 | (149 | ) | 193,481 | 191,939 | 378 | (32,845 | ) | 159,472 | 11,539 | (89 | ) | 170,922 | |||||||||||||||||||||||||||||||
Prime | 198,358 | 264 | (26,268 | ) | 172,355 | 16,497 | - | 188,852 | 270,226 | 1,926 | (23,127 | ) | 249,025 | 15,588 | (122 | ) | 264,491 | ||||||||||||||||||||||||||||||||
Subprime | 630,337 | 1,560 | (80,889 | ) | 551,008 | 43,683 | (65 | ) | 594,627 | 449,644 | 1,827 | (71,425 | ) | 380,046 | 46,511 | (108 | ) | 426,449 | |||||||||||||||||||||||||||||||
NPL/RPL | 128,766 | 168 | (92 | ) | 128,841 | 815 | (36 | ) | 129,620 | 3,431 | — | (44 | ) | 3,387 | 60 | — | 3,447 | ||||||||||||||||||||||||||||||||
Prime Jumbo (>= 2010 Vintage) | 110,465 | 675 | - | 111,140 | 1,356 | - | 112,496 | 130,544 | 598 | (4,113 | ) | 127,029 | 107 | (2,995 | ) | 124,141 | |||||||||||||||||||||||||||||||||
Prime Jumbo (>= 2010 Vintage) Interest-Only | 793,031 | 12,832 | - | 12,832 | 2,145 | - | 14,977 | 910,065 | 13,731 | — | 13,731 | 3,616 | (12 | ) | 17,335 | ||||||||||||||||||||||||||||||||||
Total residential credit investments | $ | 2,626,623 | $ | 32,118 | $ | (147,628 | ) | $ | 1,718,082 | $ | 122,048 | $ | (252 | ) | $ | 1,839,879 | $ | 2,484,718 | $ | 36,694 | $ | (132,633 | ) | $ | 1,478,714 | $ | 95,850 | $ | (3,983 | ) | $ | 1,570,581 | |||||||||||||||||
Total Residential Investment Securities | $ | 79,398,413 | $ | 5,316,088 | $ | (151,983 | ) | $ | 76,717,611 | $ | 372,522 | $ | (1,286,258 | ) | $ | 75,803,877 | $ | 93,368,237 | $ | 6,039,281 | $ | (142,526 | ) | $ | 91,817,876 | $ | 152,968 | $ | (3,807,205 | ) | $ | 88,163,639 | |||||||||||||||||
December 31, 2016 | December 31, 2017 | ||||||||||||||||||||||||||||||||||||||||||||||||
Principal / Notional | Remaining Premium | Remaining Discount | Amortized Cost | Unrealized Gains(1) | Unrealized Losses(1) | Estimated Fair Value | Principal / Notional | Remaining Premium | Remaining Discount | Amortized Cost | Unrealized Gains | Unrealized Losses | Estimated Fair Value | ||||||||||||||||||||||||||||||||||||
Agency | (dollars in thousands) | (dollars in thousands) | |||||||||||||||||||||||||||||||||||||||||||||||
Fixed-rate pass-through | $ | 60,759,317 | $ | 3,633,354 | $ | (1,956 | ) | $ | 64,390,715 | $ | 228,430 | $ | (1,307,771 | ) | $ | 63,311,373 | $ | 78,509,335 | $ | 4,514,815 | $ | (1,750 | ) | $ | 83,022,400 | $ | 140,115 | $ | (1,178,673 | ) | $ | 81,983,842 | |||||||||||||||||
Adjustable-rate pass-through | 10,653,109 | 391,267 | (4,081 | ) | 11,040,295 | 47,250 | (53,795 | ) | 11,033,751 | 6,760,991 | 277,212 | (1,952 | ) | 7,036,251 | 15,776 | (103,121 | ) | 6,948,906 | |||||||||||||||||||||||||||||||
Interest-only | 8,133,805 | 1,436,192 | - | 1,436,192 | 4,225 | (195,668 | ) | 1,244,749 | 6,804,715 | 1,326,761 | — | 1,326,761 | 1,863 | (242,862 | ) | 1,085,762 | |||||||||||||||||||||||||||||||||
Multifamily | 490,753 | 5,038 | (341 | ) | 495,450 | 84 | (1,845 | ) | 493,689 | ||||||||||||||||||||||||||||||||||||||||
Reverse mortgages | 35,000 | 4,527 | — | 39,527 | 37 | — | 39,564 | ||||||||||||||||||||||||||||||||||||||||||
Total Agency investments | $ | 79,546,231 | $ | 5,460,813 | $ | (6,037 | ) | $ | 76,867,202 | $ | 279,905 | $ | (1,557,234 | ) | $ | 75,589,873 | $ | 92,600,794 | $ | 6,128,353 | $ | (4,043 | ) | $ | 91,920,389 | $ | 157,875 | $ | (1,526,501 | ) | $ | 90,551,763 | |||||||||||||||||
Residential Credit | |||||||||||||||||||||||||||||||||||||||||||||||||
CRT | $ | 690,491 | $ | 11,113 | $ | (10,907 | ) | $ | 690,697 | $ | 34,046 | $ | (21 | ) | $ | 724,722 | $ | 593,027 | $ | 25,463 | $ | (3,456 | ) | $ | 615,034 | $ | 36,730 | $ | — | $ | 651,764 | ||||||||||||||||||
Alt-A | 173,108 | 1,068 | (23,039 | ) | 151,137 | 3,721 | (685 | ) | 154,173 | 204,213 | 499 | (34,000 | ) | 170,712 | 13,976 | (802 | ) | 183,886 | |||||||||||||||||||||||||||||||
Prime | 248,176 | 287 | (35,068 | ) | 213,395 | 7,050 | (253 | ) | 220,192 | 197,756 | 358 | (24,158 | ) | 173,956 | 18,804 | — | 192,760 | ||||||||||||||||||||||||||||||||
Subprime | 697,983 | 380 | (96,331 | ) | 602,032 | 12,578 | (1,061 | ) | 613,549 | 554,470 | 2,037 | (78,561 | ) | 477,946 | 56,024 | (90 | ) | 533,880 | |||||||||||||||||||||||||||||||
NPL/RPL | 269,802 | 670 | (209 | ) | 270,263 | 1,004 | (429 | ) | 270,838 | 42,585 | 14 | (117 | ) | 42,482 | 506 | — | 42,988 | ||||||||||||||||||||||||||||||||
Prime Jumbo (>= 2010 Vintage) | 129,453 | 852 | (345 | ) | 129,960 | 267 | (308 | ) | 129,919 | 130,025 | 627 | (3,956 | ) | 126,696 | 1,038 | (1,112 | ) | 126,622 | |||||||||||||||||||||||||||||||
Prime Jumbo (>= 2010 Vintage) Interest-Only | 863,370 | 15,129 | - | 15,129 | - | (2,493 | ) | 12,636 | 989,052 | 15,287 | — | 15,287 | 1,871 | — | 17,158 | ||||||||||||||||||||||||||||||||||
Total residential credit investments | $ | 3,072,383 | $ | 29,499 | $ | (165,899 | ) | $ | 2,072,613 | $ | 58,666 | $ | (5,250 | ) | $ | 2,126,029 | $ | 2,711,128 | $ | 44,285 | $ | (144,248 | ) | $ | 1,622,113 | $ | 128,949 | $ | (2,004 | ) | $ | 1,749,058 | |||||||||||||||||
Total Residential Investment Securities | $ | 82,618,614 | $ | 5,490,312 | $ | (171,936 | ) | $ | 78,939,815 | $ | 338,571 | $ | (1,562,484 | ) | $ | 77,715,902 | $ | 95,311,922 | $ | 6,172,638 | $ | (148,291 | ) | $ | 93,542,502 | $ | 286,824 | $ | (1,528,505 | ) | $ | 92,300,821 |
Investment Type | June 30, 2017 | December 31, 2016 | ||||||
(dollars in thousands) | ||||||||
Fannie Mae | $ | 51,216,573 | $ | 51,658,391 | ||||
Freddie Mac | 22,680,257 | 23,858,110 | ||||||
Ginnie Mae | 67,168 | 73,372 | ||||||
Total | $ | 73,963,998 | $ | 75,589,873 |
Investment Type | June 30, 2018 | December 31, 2017 | ||||||
(dollars in thousands) | ||||||||
Fannie Mae | $ | 61,012,468 | $ | 63,361,415 | ||||
Freddie Mac | 25,490,083 | 27,091,978 | ||||||
Ginnie Mae | 90,507 | 98,370 | ||||||
Total | $ | 86,593,058 | $ | 90,551,763 |
June 30, 2017 | December 31, 2016 | |||||||||||||||
Weighted Average Life | Estimated Fair Value | Amortized Cost | Estimated Fair Value | Amortized Cost | ||||||||||||
(dollars in thousands) | ||||||||||||||||
Less than one year | $ | 158,935 | $ | 159,970 | $ | 63,510 | $ | 61,775 | ||||||||
Greater than one year through five years | 17,006,028 | 16,987,965 | 12,626,932 | 12,666,394 | ||||||||||||
Greater than five years through ten years | 58,139,230 | 59,089,002 | 56,785,601 | 57,738,588 | ||||||||||||
Greater than ten years | 499,684 | 480,674 | 8,239,859 | 8,473,058 | ||||||||||||
Total | $ | 75,803,877 | $ | 76,717,611 | $ | 77,715,902 | $ | 78,939,815 |
June 30, 2018 | December 31, 2017 | |||||||||||||||
Weighted Average Life | Estimated Fair Value | Amortized Cost | Estimated Fair Value | Amortized Cost | ||||||||||||
(dollars in thousands) | ||||||||||||||||
Less than one year | $ | 6,224 | $ | 6,304 | $ | 471,977 | $ | 476,538 | ||||||||
Greater than one year through five years | 10,712,094 | 10,950,207 | 13,838,890 | 13,925,749 | ||||||||||||
Greater than five years through ten years | 76,435,458 | 79,830,605 | 77,273,833 | 78,431,852 | ||||||||||||
Greater than ten years | 1,009,863 | 1,030,760 | 716,121 | 708,363 | ||||||||||||
Total | $ | 88,163,639 | $ | 91,817,876 | $ | 92,300,821 | $ | 93,542,502 |
June 30, 2018 | December 31, 2017 | |||||||||||||||||||||
Estimated Fair Value (1) | Gross Unrealized Losses (1) | Number of Securities (1) | Estimated Fair Value (1) | Gross Unrealized Losses (1) | Number of Securities (1) | |||||||||||||||||
(dollars in thousands) | ||||||||||||||||||||||
Less than 12 Months | $ | 43,845,297 | $ | (1,386,377 | ) | 1,360 | $ | 39,878,158 | $ | (272,234 | ) | 1,114 | ||||||||||
12 Months or More | 38,372,979 | (2,101,144 | ) | 1,102 | 39,491,238 | (1,011,405 | ) | 911 | ||||||||||||||
Total | $ | 82,218,276 | $ | (3,487,521 | ) | 2,462 | $ | 79,369,396 | $ | (1,283,639 | ) | 2,025 |
June 30, 2017 | December 31, 2016 | |||||||||||||||||||||||
Estimated Fair Value(1) | Gross Unrealized Losses(1) | Number of Securities(1) | Estimated Fair Value(1) | Gross Unrealized Losses(1) | Number of Securities(1) | |||||||||||||||||||
(dollars in thousands) | ||||||||||||||||||||||||
Less than 12 Months | $ | 50,551,597 | $ | (871,480 | ) | 1,432 | $ | 52,465,045 | $ | (1,094,957 | ) | 1,368 | ||||||||||||
12 Months or More | 5,823,250 | (229,441 | ) | 55 | 6,277,814 | (266,609 | ) | 54 | ||||||||||||||||
Total | $ | 56,374,847 | $ | (1,100,921 | ) | 1,487 | $ | 58,742,859 | $ | (1,361,566 | ) | 1,422 |
(1) | Excludes interest-only mortgage-backed |
6. | RESIDENTIAL MORTGAGE LOANS |
June 30, 2017 | December 31, 2016 | June 30, 2018 | December 31, 2017 | |||||||||||||
(dollars in thousands) | (dollars in thousands) | |||||||||||||||
Fair value | $ | 779,685 | $ | 342,289 | $ | 1,666,157 | $ | 1,438,322 | ||||||||
Unpaid principal balance | $ | 763,850 | $ | 338,323 | $ | 1,658,358 | $ | 1,419,807 |
Three Months Ended | Six Months Ended | |||||||||||||||
June 30, 2018 | June 30, 2017 | June 30, 2018 | June 30, 2017 | |||||||||||||
(dollars in thousands) | ||||||||||||||||
Net interest income | $ | 15,784 | $ | 7,120 | $ | 29,279 | $ | 10,709 | ||||||||
Net gains (losses) on disposal of investments | (3,191 | ) | (321 | ) | (4,949 | ) | (1,314 | ) | ||||||||
Net unrealized gains (losses) on instruments measured at fair value through earnings | (1,305 | ) | 5,310 | (11,169 | ) | 6,125 | ||||||||||
Total included in net income (loss) | $ | 11,288 | $ | 12,109 | $ | 13,161 | $ | 15,520 |
For the Three Months Ended | For the Six Months Ended | |||||||
June 30, 2017 | June 30, 2017 | |||||||
(dollars in thousands) | ||||||||
Net gains (losses) on disposal of investments | $ | (321 | ) | $ | (1,314 | ) | ||
Net unrealized gains (losses) on investments measured at fair value through earnings | 5,310 | 6,125 | ||||||
Net interest income | 7,120 | 10,709 | ||||||
Total included in net income (loss) | $ | 12,109 | $ | 15,520 |
Geographic Concentrations of Residential Mortgage Loans | |||||||||
June 30, 2017 | December 31, 2016 | ||||||||
Property Location | % of Balance | Property Location | % of Balance | ||||||
California | 57.9 | % | California | 46.3 | % | ||||
New York | 7.2 | % | Texas | 9.6 | % | ||||
Texas | 5.0 | % | Illinois | 5.7 | % | ||||
All other (none individually greater than 5%) | 29.9 | % | Florida | 5.2 | % | ||||
Washington | 5.1 | % | |||||||
All other (none individually greater than 5%) | 28.1 | % | |||||||
Total | 100.0 | % | Total | 100.0 | % |
Geographic Concentrations of Residential Mortgage Loans | ||||||
June 30, 2018 | December 31, 2017 | |||||
Property Location | % of Balance | Property Location | % of Balance | |||
California | 53.1 | % | California | 49.8 | % | |
New York | 9.3 | % | Florida | 9.3 | % | |
Florida | 7.2 | % | New York | 7.1 | % | |
All other (none individually greater than 5%) | 30.4 | % | All other (none individually greater than 5%) | 33.8 | % | |
Total | 100.0 | % | Total | 100.0 | % |
June 30, 2018 | December 31, 2017 | |||||||
Portfolio Range | Portfolio Weighted Average | Portfolio Range | Portfolio Weighted Average | |||||
(dollars in thousands) | (dollars in thousands) | |||||||
Unpaid principal balance | $0 - $3,635 | $539 | $1 - $3,663 | $514 | ||||
Interest rate | 2.00% - 7.50% | 4.53% | 1.63% - 7.50% | 4.25% | ||||
Maturity | 1/1/2028 - 6/1/2058 | 2/5/2044 | 1/1/2028 - 5/1/2057 | 2/1/2043 | ||||
FICO score at loan origination | 498 - 823 | 750 | 468 - 823 | 748 | ||||
Loan-to-value ratio at loan origination | 11% - 100% | 67% | 11% - 100% | 68% |
June 30, 2017 | December 31, 2016 | |||||||||||||||
Portfolio Range | Portfolio Weighted Average | Portfolio Range | Portfolio Weighted Average | |||||||||||||
(dollars in thousands) | (dollars in thousands) | |||||||||||||||
Unpaid principal balance | $20 - $3,686 | $709 | $22 - $1,905 | $691 | ||||||||||||
Interest rate | 2.50% - 6.88% | 4.35% | 2.50% - 6.75% | 3.72% | ||||||||||||
Maturity | 8/1/2029 - 6/1/2047 | 10/20/2045 | 4/8/2044 - 11/1/2046 | 8/20/2045 | ||||||||||||
FICO score at loan origination | 620 - 823 | 753 | 665 - 814 | 761 | ||||||||||||
Loan-to-value ratio at loan origination | 20% - 90% | 68% | 24% - 90% | 71% |
For the Three Months Ended | For the Six Months Ended | |||||||
June 30, 2017 | June 30, 2017 | |||||||
(dollars in thousands) | ||||||||
Fair value, beginning of period | $ | 632,166 | $ | 652,216 | ||||
Purchases (1) | (210 | ) | 3 | |||||
Change in fair value due to: | ||||||||
Changes in valuation inputs or assumptions (2) | (9,205 | ) | (15,438 | ) | ||||
Other changes, including realization of expected cash flows | (17,098 | ) | (31,128 | ) | ||||
Fair value, end of period | $ | 605,653 | $ | 605,653 | ||||
(1) Includes adjustments to original purchase price from early payoffs, defaults, or loans that were delivered but were deemed to not be acceptable. | ||||||||
(2) Principally represent changes in discount rates and prepayment speed inputs used in valuation model, primarily due to changes in interest rates. |
Three Months Ended | Six Months Ended | ||||||||||||||
June 30, 2018 | June 30, 2017 | June 30, 2018 | June 30, 2017 | ||||||||||||
(dollars in thousands) | |||||||||||||||
Fair value, beginning of period | $ | 596,378 | $ | 632,166 | $ | 580,860 | $ | 652,216 | |||||||
Purchases (1) | — | (210 | ) | — | 3 | ||||||||||
Change in fair value due to: | |||||||||||||||
Changes in valuation inputs or assumptions (2) | 22,578 | (9,205 | ) | 59,252 | (15,438 | ) | |||||||||
Other changes, including realization of expected cash flows | (19,942 | ) | (17,098 | ) | (41,098 | ) | (31,128 | ) | |||||||
Fair value, end of period | $ | 599,014 | $ | 605,653 | $ | 599,014 | $ | 605,653 |
(1) | Includes adjustments to original purchase price from early payoffs, defaults, or loans that were delivered but were deemed to be not acceptable. |
(2) | Principally represents changes in discount rates and prepayment speed inputs used in valuation model, primarily due to changes in interest rates. |
8. | COMMERCIAL REAL ESTATE INVESTMENTS |
June 30, 2017 | December 31, 2016 | |||||||||||||||||||||||
Outstanding Principal | Carrying Value(1) | Percentage of Loan Portfolio(2) | Outstanding Principal | Carrying Value(1) | Percentage of Loan Portfolio(2) | |||||||||||||||||||
(dollars in thousands) | ||||||||||||||||||||||||
Senior mortgages | $ | 528,659 | $ | 526,535 | 56.7 | % | $ | 512,322 | $ | 510,071 | 52.6 | % | ||||||||||||
Mezzanine loans | 393,810 | 392,670 | 42.3 | % | 453,693 | 451,467 | 46.5 | % | ||||||||||||||||
Preferred equity | 9,000 | 8,976 | 1.0 | % | 9,000 | 8,967 | 0.9 | % | ||||||||||||||||
Total (3) | $ | 931,469 | $ | 928,181 | 100.0 | % | $ | 975,015 | $ | 970,505 | 100.0 | % | ||||||||||||
(1) Carrying value includes unamortized origination fees of $3.3 million and $4.5 million as of June 30, 2017 and December 31, 2016, respectively. | ||||||||||||||||||||||||
(2) Based on outstanding principal. | ||||||||||||||||||||||||
(3) Excludes Loans held for sale, net. |
June 30, 2018 | December 31, 2017 | |||||||||||||||||||||
Outstanding Principal | Carrying Value (1) | Percentage of Loan Portfolio (2) | Outstanding Principal | Carrying Value (1) | Percentage of Loan Portfolio (2) | |||||||||||||||||
(dollars in thousands) | ||||||||||||||||||||||
Senior mortgages | $ | 887,728 | $ | 882,570 | 70.6 | % | $ | 629,143 | $ | 625,900 | 60.9 | % | ||||||||||
Mezzanine loans | 360,095 | 359,574 | 28.7 | % | 395,015 | 394,442 | 38.2 | % | ||||||||||||||
Preferred equity | 9,000 | 8,994 | 0.7 | % | 9,000 | 8,985 | 0.9 | % | ||||||||||||||
Total | $ | 1,256,823 | $ | 1,251,138 | 100.0 | % | $ | 1,033,158 | $ | 1,029,327 | 100.0 | % |
(1) | Carrying value includes unamortized origination fees of $5.7 million and $3.8 million at June 30, 2018 and December 31, 2017, respectively. |
(2) | Based on outstanding principal. |
June 30, 2018 | ||||||||||||||||
Senior Mortgages | Mezzanine Loans | Preferred Equity | Total | |||||||||||||
(dollars in thousands) | ||||||||||||||||
Beginning balance (January 1, 2018) | $ | 625,900 | $ | 394,442 | $ | 8,985 | $ | 1,029,327 | ||||||||
Originations & advances (principal) | 286,017 | 24,193 | — | 310,210 | ||||||||||||
Principal payments | (27,432 | ) | (59,113 | ) | — | (86,545 | ) | |||||||||
Net (increase) decrease in origination fees | (3,130 | ) | (147 | ) | — | (3,277 | ) | |||||||||
Amortization of net origination fees | 1,215 | 199 | 9 | 1,423 | ||||||||||||
Net carrying value (June 30, 2018) | $ | 882,570 | $ | 359,574 | $ | 8,994 | $ | 1,251,138 |
June 30, 2017 | ||||||||||||||||
Senior Mortgages | Mezzanine Loans | Preferred Equity | Total | |||||||||||||
(dollars in thousands) | ||||||||||||||||
Beginning balance | $ | 510,071 | $ | 451,467 | $ | 8,967 | $ | 970,505 | ||||||||
Originations & advances (principal) | 74,945 | 36,039 | - | 110,984 | ||||||||||||
Principal payments | (58,608 | ) | (95,923 | ) | - | (154,531 | ) | |||||||||
Amortization & accretion of (premium) discounts | (44 | ) | 30 | - | (14 | ) | ||||||||||
Net (increase) decrease in origination fees | (741 | ) | (217 | ) | - | (958 | ) | |||||||||
Amortization of net origination fees | 912 | 1,274 | 9 | 2,195 | ||||||||||||
Net carrying value | $ | 526,535 | $ | 392,670 | $ | 8,976 | $ | 928,181 |
December 31, 2017 | ||||||||||||||||
Senior Mortgages | Mezzanine Loans | Preferred Equity | Total | |||||||||||||
(dollars in thousands) | ||||||||||||||||
Beginning balance (January 1, 2017) | $ | 510,071 | $ | 451,467 | $ | 8,967 | $ | 970,505 | ||||||||
Originations & advances (principal) | 338,242 | 69,121 | — | 407,363 | ||||||||||||
Principal payments | (221,421 | ) | (127,799 | ) | — | (349,220 | ) | |||||||||
Amortization & accretion of (premium) discounts | (44 | ) | 28 | — | (16 | ) | ||||||||||
Net (increase) decrease in origination fees | (3,317 | ) | (605 | ) | — | (3,922 | ) | |||||||||
Amortization of net origination fees | 2,369 | 2,230 | 18 | 4,617 | ||||||||||||
Net carrying value (December 31, 2017) | $ | 625,900 | $ | 394,442 | $ | 8,985 | $ | 1,029,327 |
December 31, 2016 | ||||||||||||||||||||
Senior Mortgages | Senior Securitized Mortgages(1) | Mezzanine Loans | Preferred Equity | Total | ||||||||||||||||
(dollars in thousands) | ||||||||||||||||||||
Beginning balance | $ | 385,838 | $ | 262,703 | $ | 578,503 | $ | 121,773 | $ | 1,348,817 | ||||||||||
Originations & advances (principal) | 211,318 | - | 62,390 | - | 273,708 | |||||||||||||||
Principal payments | (86,310 | ) | (263,072 | ) | (191,291 | ) | (113,444 | ) | (654,117 | ) | ||||||||||
Amortization & accretion of (premium) discounts | (136 | ) | - | (178 | ) | - | (314 | ) | ||||||||||||
Net (increase) decrease in origination fees | (2,086 | ) | - | (472 | ) | - | (2,558 | ) | ||||||||||||
Amortization of net origination fees | 1,447 | 369 | 2,515 | 638 | 4,969 | |||||||||||||||
Net carrying value (2) | $ | 510,071 | $ | - | $ | 451,467 | $ | 8,967 | $ | 970,505 | ||||||||||
(1) Assets of consolidated VIE. | ||||||||||||||||||||
(2) Excludes Loans held for sale, net. |
June 30, 2018 | |||||||||||||||||||||||||||||||||||
Outstanding Principal | Percentage of CRE Debt and Preferred Equity Portfolio | Internal Ratings | |||||||||||||||||||||||||||||||||
Investment Type | Performing | Performing - Closely Monitored | Performing - Special Mention | Substandard (1) | Doubtful | Loss | Total | ||||||||||||||||||||||||||||
(dollars in thousands) | |||||||||||||||||||||||||||||||||||
Senior mortgages | $ | 887,728 | 70.6 | % | $ | 513,610 | $ | 272,928 | $ | 36,800 | $ | 64,390 | $ | — | $ | — | $ | 887,728 | |||||||||||||||||
Mezzanine loans | 360,095 | 28.7 | % | 160,173 | 51,608 | 111,711 | 36,603 | — | — | 360,095 | |||||||||||||||||||||||||
Preferred equity | 9,000 | 0.7 | % | — | — | 9,000 | — | — | — | 9,000 | |||||||||||||||||||||||||
Total | $ | 1,256,823 | 100.0 | % | $ | 673,783 | $ | 324,536 | $ | 157,511 | $ | 100,993 | $ | — | $ | — | $ | 1,256,823 |
December 31, 2017 | |||||||||||||||||||||||||||||||||||
Outstanding Principal | Percentage of CRE Debt and Preferred Equity Portfolio | Internal Ratings | |||||||||||||||||||||||||||||||||
Investment Type | Performing | Performing - Closely Monitored | Performing - Special Mention | Substandard (1) | Doubtful | Loss | Total | ||||||||||||||||||||||||||||
(dollars in thousands) | |||||||||||||||||||||||||||||||||||
Senior mortgages | $ | 629,143 | 60.9 | % | $ | 409,878 | $ | 115,075 | $ | 36,800 | $ | 67,390 | $ | — | $ | — | $ | 629,143 | |||||||||||||||||
Mezzanine loans | 395,015 | 38.2 | % | 206,169 | 66,498 | 122,348 | — | — | — | 395,015 | |||||||||||||||||||||||||
Preferred equity | 9,000 | 0.9 | % | — | — | 9,000 | — | — | — | 9,000 | |||||||||||||||||||||||||
Total | $ | 1,033,158 | 100.0 | % | $ | 616,047 | $ | 181,573 | $ | 168,148 | $ | 67,390 | $ | — | $ | — | $ | 1,033,158 |
(1) | The Company rated two loans as Substandard as of June 30, 2018. The Company evaluated whether an impairment exists and determined in each case that, based on quantitative and qualitative factors, the Company expects repayment of contractual amounts due. |
June 30, 2017 | ||||||||||||||||||||||||||||||||||||
Outstanding Principal | Percentage of CRE Debt and Preferred Equity Portfolio | Internal Ratings | ||||||||||||||||||||||||||||||||||
Investment Type | Performing | Performing - Closely Monitored | Performing - Special Mention | Substandard | Doubtful | Loss | Total | |||||||||||||||||||||||||||||
(dollars in thousands) | ||||||||||||||||||||||||||||||||||||
Senior mortgages | $ | 528,659 | 56.7 | % | $ | 175,394 | $ | 249,075 | $ | 104,190 | $ | - | $ | - | $ | - | $ | 528,659 | ||||||||||||||||||
Mezzanine loans | 393,810 | 42.3 | % | 195,435 | 179,188 | 19,187 | - | - | - | 393,810 | ||||||||||||||||||||||||||
Preferred equity | 9,000 | 1.0 | % | - | - | 9,000 | - | - | - | 9,000 | ||||||||||||||||||||||||||
$ | 931,469 | 100.0 | % | $ | 370,829 | $ | 428,263 | $ | 132,377 | $ | - | $ | - | $ | - | $ | 931,469 |
December 31, 2016 | ||||||||||||||||||||||||||||||||||||
Outstanding Principal (1) | Percentage of CRE Debt and Preferred Equity Portfolio | Internal Ratings | ||||||||||||||||||||||||||||||||||
Investment Type | Performing | Performing - Closely Monitored | Performing - Special Mention | Substandard | Doubtful | Loss | Total | |||||||||||||||||||||||||||||
(dollars in thousands) | ||||||||||||||||||||||||||||||||||||
Senior mortgages | $ | 512,322 | 52.6 | % | $ | 144,434 | $ | 243,448 | $ | 124,440 | $ | - | $ | - | $ | - | $ | 512,322 | ||||||||||||||||||
Mezzanine loans | 453,693 | 46.5 | % | 254,337 | 170,039 | 29,317 | - | - | - | 453,693 | ||||||||||||||||||||||||||
Preferred equity | 9,000 | 0.9 | % | - | - | 9,000 | - | - | - | 9,000 | ||||||||||||||||||||||||||
$ | 975,015 | 100.0 | % | $ | 398,771 | $ | 413,487 | $ | 162,757 | $ | - | $ | - | $ | - | $ | 975,015 | |||||||||||||||||||
(1) Excludes Loans held for sale, net. |
June 30, 2017 | December 31, 2016 | |||||||
(dollars in thousands) | ||||||||
Real estate held for investment, at amortized cost | ||||||||
Land | $ | 111,012 | $ | 112,675 | ||||
Buildings and improvements | 330,837 | 335,945 | ||||||
Subtotal | 441,849 | 448,620 | ||||||
Less: accumulated depreciation | (41,062 | ) | (34,221 | ) | ||||
Total real estate held for investment, at amortized cost, net | 400,787 | 414,399 | ||||||
Equity in unconsolidated joint ventures | 73,723 | 60,168 | ||||||
Investments in commercial real estate, net | $ | 474,510 | $ | 474,567 |
June 30, 2018 | December 31, 2017 | |||||||
(dollars in thousands) | ||||||||
Real estate held for investment, at amortized cost | ||||||||
Land | $ | 111,012 | $ | 111,012 | ||||
Buildings and improvements | 331,879 | 330,959 | ||||||
Subtotal | 442,891 | 441,971 | ||||||
Less: accumulated depreciation | (56,315 | ) | (48,920 | ) | ||||
Total real estate held for investment, at amortized cost, net | 386,576 | 393,051 | ||||||
Equity in unconsolidated joint ventures | 91,311 | 92,902 | ||||||
Investments in commercial real estate, net | $ | 477,887 | $ | 485,953 |
June 30, 2017 | |||||||
(dollars in thousands) | |||||||
2017 (remaining) | $ | 15,511 | |||||
2018 | 28,240 | ||||||
June 30, 2018 | |||||||
(dollars in thousands) | |||||||
2018 (remaining) | $ | 14,895 | |||||
2019 | 24,446 | 27,384 | |||||
2020 | 19,749 | 22,653 | |||||
2021 | 15,566 | 18,271 | |||||
2022 | 13,278 | ||||||
Later years | 28,649 | 22,002 | |||||
$ | 132,161 | ||||||
Total | $ | 118,483 |
June 30, 2017 | |||||||||||||||
Property | Mortgage Carrying Value | Mortgage Principal | Interest Rate | Fixed/Floating Rate | Maturity Date | Priority | |||||||||
(dollars in thousands) | |||||||||||||||
Joint Ventures | $ | 286,186 | $ | 289,125 | 4.03% - 4.61% | Fixed | 2024 and 2025 | First liens | |||||||
Tennessee | 12,278 | 12,350 | 4.01% | Fixed | 9/6/2019 | First liens | |||||||||
Virginia | 11,017 | 11,025 | 3.58% | Fixed | 6/6/2019 | First liens | |||||||||
Nevada (1) | 2,329 | 2,329 | L+200 | Floating | 9/29/2017 | First liens | |||||||||
$ | 311,810 | $ | 314,829 | ||||||||||||
(1) The mortgage agreement contained an interest rate swap with an expiration date of March 29, 2017. Effective on March 29, 2017, the interest rate swap expired and the Company extended the maturity date of the mortgage debt to September 29, 2017. | |||||||||||||||
December 31, 2016 | |||||||||||||||
Property | Mortgage Carrying Value | Mortgage Principal | Interest Rate | Fixed/Floating Rate | Maturity Date | Priority | |||||||||
(dollars in thousands) | |||||||||||||||
Joint Ventures | $ | 285,993 | $ | 289,125 | 4.03% - 4.61% | Fixed | 2024 and 2025 | First liens | |||||||
Tennessee | 12,261 | 12,350 | 4.01% | Fixed | 9/6/2019 | First liens | |||||||||
Virginia | 11,015 | 11,025 | 3.58% | Fixed | 6/6/2019 | First liens | |||||||||
Nevada | 2,367 | 2,365 | L+200 | Floating (1) | 3/29/2017 | First liens | |||||||||
$ | 311,636 | $ | 314,865 | ||||||||||||
(1) Includes a mortgage with a fixed rate via an interest rate swap (pay fixed 3.45%, receive floating rate of L+200). |
Mortgage Loan Principal Payments | ||||
(dollars in thousands) | ||||
2017 (remaining) | $ | 2,329 | ||
2018 | - | |||
2019 | 23,375 | |||
2020 | - | |||
2021 | - | |||
Later years | 289,125 | |||
$ | 314,829 |
June 30, 2018 | ||||||||||||||||
Property | Mortgage Carrying Value | Mortgage Principal | Interest Rate | Fixed/Floating Rate | Maturity Date | Priority | ||||||||||
(dollars in thousands) | ||||||||||||||||
Joint Ventures | $ | 286,546 | $ | 289,125 | 4.03% - 4.61% | Fixed | 2024 and 2025 | First liens | ||||||||
Tennessee | 12,311 | 12,350 | 4.01% | Fixed | 9/6/2019 | First liens | ||||||||||
Virginia | 11,021 | 11,025 | 3.58% | Fixed | 6/6/2019 | First liens | ||||||||||
Total | $ | 309,878 | $ | 312,500 |
December 31, 2017 | ||||||||||||||||
Property | Mortgage Carrying Value | Mortgage Principal | Interest Rate | Fixed/Floating Rate | Maturity Date | Priority | ||||||||||
(dollars in thousands) | ||||||||||||||||
Joint Ventures | $ | 286,373 | $ | 289,125 | 4.03% - 4.61% | Fixed | 2024 and 2025 | First liens | ||||||||
Tennessee | 12,294 | 12,350 | 4.01% | Fixed | 9/6/2019 | First liens | ||||||||||
Virginia | 11,019 | 11,025 | 3.58% | Fixed | 6/6/2019 | First liens | ||||||||||
Total | $ | 309,686 | $ | 312,500 |
Mortgage Loan Principal Payments | |||
(dollars in thousands) | |||
2018 (remaining) | $ | — | |
2019 | 23,375 | ||
2020 | — | ||
2021 | — | ||
2022 | — | ||
Later years | 289,125 | ||
Total | $ | 312,500 |
9. | CORPORATE DEBT |
Industry Dispersion | Industry Dispersion | |||||||||||||||||||||||||||||||||||||||||||||||
June 30, 2017 | December 31, 2016 | June 30, 2018 | December 31, 2017 | |||||||||||||||||||||||||||||||||||||||||||||
Fixed Rate | Floating Rate | Total | Fixed Rate | Floating Rate | Total | Fixed Rate | Floating Rate | Total | Fixed Rate | Floating Rate | Total | |||||||||||||||||||||||||||||||||||||
(dollars in thousands) | (dollars in thousands) | |||||||||||||||||||||||||||||||||||||||||||||||
Aircraft and Parts | $ | - | $ | 34,892 | $ | 34,892 | $ | - | $ | 32,067 | $ | 32,067 | $ | — | $ | 38,022 | $ | 38,022 | $ | — | $ | 34,814 | $ | 34,814 | ||||||||||||||||||||||||
Commercial Fishing | - | 38,828 | 38,828 | - | 40,600 | 40,600 | ||||||||||||||||||||||||||||||||||||||||||
Coating, Engraving and Allied Services | — | 60,049 | 60,049 | — | 64,034 | 64,034 | ||||||||||||||||||||||||||||||||||||||||||
Computer Programming, Data Processing & Other Computer Related Services | - | 132,323 | 132,323 | - | 146,547 | 146,547 | — | 212,750 | 212,750 | — | 209,624 | 209,624 | ||||||||||||||||||||||||||||||||||||
Drugs | - | 33,642 | 33,642 | - | 34,042 | 34,042 | — | 38,730 | 38,730 | — | 38,708 | 38,708 | ||||||||||||||||||||||||||||||||||||
Electrical Work | — | 39,457 | 39,457 | — | — | — | ||||||||||||||||||||||||||||||||||||||||||
Electronic Components & Accessories | — | 23,995 | 23,995 | — | 23,916 | 23,916 | ||||||||||||||||||||||||||||||||||||||||||
Engineering, Architectural & Surveying | — | 10,635 | 10,635 | — | — | — | ||||||||||||||||||||||||||||||||||||||||||
Groceries and Related Products | - | 14,838 | 14,838 | - | 14,856 | 14,856 | — | 14,745 | 14,745 | — | 14,794 | 14,794 | ||||||||||||||||||||||||||||||||||||
Grocery Stores | - | 23,618 | 23,618 | - | 23,761 | 23,761 | — | 23,486 | 23,486 | — | 23,531 | 23,531 | ||||||||||||||||||||||||||||||||||||
Home Health Care Services | - | 24,033 | 24,033 | - | 39,205 | 39,205 | — | — | — | — | 23,779 | 23,779 | ||||||||||||||||||||||||||||||||||||
Insurance Agents, Brokers and services | 4,414 | 72,973 | 77,387 | 4,391 | 73,267 | 77,658 | ||||||||||||||||||||||||||||||||||||||||||
Insurance Agents, Brokers and Services | — | 49,480 | 49,480 | — | 28,872 | 28,872 | ||||||||||||||||||||||||||||||||||||||||||
Mailing, Reproduction, Commercial Art and Photography, and Stenographic | — | 14,863 | 14,863 | — | — | — | ||||||||||||||||||||||||||||||||||||||||||
Management and Public Relations Services | - | 94,481 | 94,481 | - | 16,493 | 16,493 | — | 210,511 | 210,511 | — | 94,871 | 94,871 | ||||||||||||||||||||||||||||||||||||
Medical and Dental Laboratories | - | 26,039 | 26,039 | - | 17,292 | 17,292 | — | 26,904 | 26,904 | — | 26,956 | 26,956 | ||||||||||||||||||||||||||||||||||||
Miscellaneous Business Services | - | 19,797 | 19,797 | 84,486 | - | 84,486 | — | 19,677 | 19,677 | — | 19,723 | 19,723 | ||||||||||||||||||||||||||||||||||||
Miscellaneous Equipment Rental and Leasing | - | 19,630 | 19,630 | - | - | - | — | 49,375 | 49,375 | — | 49,129 | 49,129 | ||||||||||||||||||||||||||||||||||||
Miscellaneous Health and Allied Services, not elsewhere classified | - | 25,241 | 25,241 | - | 9,791 | 9,791 | — | 54,196 | 54,196 | — | 25,963 | 25,963 | ||||||||||||||||||||||||||||||||||||
Miscellaneous Nonmetallic Minerals, except Fuels | - | 24,674 | 24,674 | - | 24,688 | 24,688 | — | — | — | — | 25,992 | 25,992 | ||||||||||||||||||||||||||||||||||||
Miscellaneous Plastic Products | - | 9,914 | 9,914 | - | 27,036 | 27,036 | — | 9,937 | 9,937 | — | 9,879 | 9,879 | ||||||||||||||||||||||||||||||||||||
Motor Vehicles and Motor Vehicle Equipment | — | 17,138 | 17,138 | — | — | — | ||||||||||||||||||||||||||||||||||||||||||
Motor Vehicles and Motor Vehicle Parts and Supplies | - | 12,259 | 12,259 | - | 12,319 | 12,319 | — | 23,546 | 23,546 | — | 12,212 | 12,212 | ||||||||||||||||||||||||||||||||||||
Offices and Clinics of Doctors of Medicine | - | 48,274 | 48,274 | - | 83,386 | 83,386 | — | 97,722 | 97,722 | — | 60,000 | 60,000 | ||||||||||||||||||||||||||||||||||||
Offices and Clinics of Health Practitioners, not elsewhere classified | - | 7,444 | 7,444 | - | - | - | ||||||||||||||||||||||||||||||||||||||||||
Personnel Supply Services | - | - | - | - | 36,921 | 36,921 | ||||||||||||||||||||||||||||||||||||||||||
Offices and Clinics of Other Health Practitioners | — | 20,053 | 20,053 | — | 18,979 | 18,979 | ||||||||||||||||||||||||||||||||||||||||||
Public Warehousing and Storage | - | 37,121 | 37,121 | - | - | - | — | 55,057 | 55,057 | — | 48,890 | 48,890 | ||||||||||||||||||||||||||||||||||||
Research, Development and Testing Services | - | 17,717 | 17,717 | - | 17,744 | 17,744 | — | 33,282 | 33,282 | — | 33,155 | 33,155 | ||||||||||||||||||||||||||||||||||||
Schools and Educational Services, not elsewhere classified | - | 20,890 | 20,890 | - | 20,979 | 20,979 | — | 19,806 | 19,806 | — | 20,625 | 20,625 | ||||||||||||||||||||||||||||||||||||
Services Allied with the Exchange of Securities | — | 14,909 | 14,909 | — | 13,960 | 13,960 | ||||||||||||||||||||||||||||||||||||||||||
Surgical, Medical, and Dental Instruments and Supplies | - | 13,041 | 13,041 | - | 13,403 | 13,403 | — | 16,658 | 16,658 | — | 29,687 | 29,687 | ||||||||||||||||||||||||||||||||||||
Telephone Communications | - | 17,874 | 17,874 | - | - | - | — | 61,293 | 61,293 | — | 59,182 | 59,182 | ||||||||||||||||||||||||||||||||||||
Total | $ | 4,414 | $ | 769,543 | $ | 773,957 | $ | 88,877 | $ | 684,397 | $ | 773,274 | $ | — | $ | 1,256,276 | $ | 1,256,276 | $ | — | $ | 1,011,275 | $ | 1,011,275 |
June 30, 2017 | December 31, 2016 | |||||||
(dollars in thousands) | ||||||||
First lien loans | $ | 496,953 | $ | 505,956 | ||||
Second lien loans | 272,590 | 178,441 | ||||||
Second lien notes | - | 84,486 | ||||||
Subordinated notes | 4,414 | 4,391 | ||||||
Total | $ | 773,957 | $ | 773,274 |
June 30, 2018 | December 31, 2017 | |||||||
(dollars in thousands) | ||||||||
First lien loans | $ | 753,373 | $ | 582,724 | ||||
Second lien loans | 502,903 | 428,551 | ||||||
Total | $ | 1,256,276 | $ | 1,011,275 |
10. | VARIABLE INTEREST ENTITIES |
June 30, 2017 | ||||||||||||
FREMF Trusts | Residential Mortgage Loan Trust | MSR Silos | ||||||||||
(dollars in thousands) | ||||||||||||
Assets | ||||||||||||
Cash and cash equivalents | $ | - | $ | - | $ | 37,901 | ||||||
Commercial real estate debt investments | 3,664,092 | - | - | |||||||||
Residential mortgages loans | - | 150,859 | 13,979 | |||||||||
Mortgage servicing rights | - | - | 605,653 | |||||||||
Accrued interest receivable | 9,661 | 754 | - | |||||||||
Other assets | - | - | 32,721 | |||||||||
Total assets | $ | 3,673,753 | $ | 151,613 | $ | 690,254 | ||||||
Liabilities | ||||||||||||
Securitized debt (non-recourse) at fair value | $ | 3,396,885 | $ | 41,790 | $ | - | ||||||
Other secured financing | - | - | 7,659 | |||||||||
Other derivatives, at fair value | - | - | 11 | |||||||||
Accrued interest payable | 4,588 | 95 | - | |||||||||
Accounts payable and other liabilities | - | 71 | 4,017 | |||||||||
Total liabilities | $ | 3,401,473 | $ | 41,956 | $ | 11,687 | ||||||
December 31, 2016 | ||||||||||||
FREMF Trusts | Residential Mortgage Loan Trust | MSR Silos | ||||||||||
(dollars in thousands) | ||||||||||||
Assets | ||||||||||||
Cash and cash equivalents | $ | - | $ | - | $ | 23,198 | ||||||
Commercial real estate debt investments | 3,890,807 | - | - | |||||||||
Residential mortgages loans | - | 165,869 | 8,309 | |||||||||
Mortgage servicing rights | - | - | 652,216 | |||||||||
Accrued interest receivable | 8,690 | 836 | - | |||||||||
Other derivatives, at fair value | - | - | 9 | |||||||||
Other assets | 138 | - | 35,540 | |||||||||
Total assets | $ | 3,899,635 | $ | 166,705 | $ | 719,272 | ||||||
Liabilities | ||||||||||||
Securitized debt (non-recourse) at fair value | $ | 3,609,164 | $ | 46,638 | $ | - | ||||||
Other secured financing | - | - | 3,825 | |||||||||
Other derivatives, at fair value | - | - | 9 | |||||||||
Accrued interest payable | 4,350 | 107 | - | |||||||||
Accounts payable and other liabilities | - | 662 | 14,007 | |||||||||
Total liabilities | $ | 3,613,514 | $ | 47,407 | $ | 17,841 |
June 30, 2018 | ||||||||||||
FREMF Trusts | Residential Mortgage Loan Trusts | MSR Silo | ||||||||||
(dollars in thousands) | ||||||||||||
Assets | ||||||||||||
Cash and cash equivalents | $ | — | $ | — | $ | 32,443 | ||||||
Commercial real estate debt investments | 2,542,413 | — | — | |||||||||
Residential mortgage loans | — | 214,694 | 37,842 | |||||||||
Mortgage servicing rights | — | — | 599,014 | |||||||||
Accrued interest receivable | 10,951 | 918 | — | |||||||||
Other assets | — | 87 | 33,642 | |||||||||
Total assets | $ | 2,553,364 | $ | 215,699 | $ | 702,941 | ||||||
Liabilities | ||||||||||||
Securitized debt (non-recourse) at fair value | $ | 2,354,380 | $ | 117,864 | $ | — | ||||||
Other secured financing | — | — | 26,369 | |||||||||
Accrued interest payable | 4,572 | 330 | — | |||||||||
Accounts payable and other liabilities | — | 140 | 1,693 | |||||||||
Total liabilities | $ | 2,358,952 | $ | 118,334 | $ | 28,062 | ||||||
December 31, 2017 | ||||||||||||
FREMF Trusts | Residential Mortgage Loan Trusts | MSR Silo | ||||||||||
(dollars in thousands) | ||||||||||||
Assets | ||||||||||||
Cash and cash equivalents | $ | — | $ | — | $ | 42,293 | ||||||
Commercial real estate debt investments | 2,826,357 | — | — | |||||||||
Residential mortgage loans | — | 478,811 | 19,667 | |||||||||
Mortgage servicing rights | — | — | 580,860 | |||||||||
Accrued interest receivable | 10,339 | 1,599 | — | |||||||||
Other derivatives, at fair value | — | — | 1 | |||||||||
Other assets | — | 1,418 | 32,354 | |||||||||
Total assets | $ | 2,836,696 | $ | 481,828 | $ | 675,175 | ||||||
Liabilities | ||||||||||||
Securitized debt (non-recourse) at fair value | $ | 2,620,952 | $ | 350,819 | $ | — | ||||||
Other secured financing | — | — | 10,496 | |||||||||
Accrued interest payable | 4,554 | 931 | — | |||||||||
Accounts payable and other liabilities | — | 112 | 4,856 | |||||||||
Total liabilities | $ | 2,625,506 | $ | 351,862 | $ | 15,352 |
For the Three Months Ended | ||||||||||||||||||||||||
June 30, 2017 | ||||||||||||||||||||||||
FREMF Trusts | Residential Mortgage Loan Trust | MSR Silos | ||||||||||||||||||||||
(dollars in thousands) | ||||||||||||||||||||||||
Net interest income: | ||||||||||||||||||||||||
Interest income | $ | 24,948 | $ | 1,171 | $ | 491 | ||||||||||||||||||
Interest expense | 11,679 | 298 | 57 | |||||||||||||||||||||
Net interest income | 13,269 | 873 | 434 | |||||||||||||||||||||
Realized gain (loss) on disposal of investments | - | (121 | ) | 24 | ||||||||||||||||||||
Unrealized gain (loss) on investments at fair value (1) | 4,387 | 720 | (26,848 | ) | ||||||||||||||||||||
Other income (loss) | (6,224 | ) | (94 | ) | 33,338 | |||||||||||||||||||
General and administration expenses | 1 | 17 | 838 | |||||||||||||||||||||
Net income (loss) | $ | 11,431 | $ | 1,361 | $ | 6,110 | ||||||||||||||||||
(1) Included in Net unrealized gains (losses) on investments measured at fair value through earnings. | ||||||||||||||||||||||||
For the Six Months Ended | ||||||||||||||||||||||||
June 30, 2017 | Three Months Ended June 30, 2018 | |||||||||||||||||||||||
FREMF Trusts | Residential Mortgage Loan Trust | MSR Silos | FREMF Trusts | Residential Mortgage Loan Trusts | MSR Silo | |||||||||||||||||||
(dollars in thousands) | (dollars in thousands) | |||||||||||||||||||||||
Net interest income: | ||||||||||||||||||||||||
Interest income | $ | 52,667 | $ | 2,540 | $ | 491 | $ | 25,100 | $ | 2,184 | $ | 813 | ||||||||||||
Interest expense | 26,255 | 572 | 122 | 15,363 | 1,089 | 245 | ||||||||||||||||||
Net interest income | 26,412 | 1,968 | 369 | 9,737 | 1,095 | 568 | ||||||||||||||||||
Realized gain (loss) on disposal of investments | - | (382 | ) | (485 | ) | — | (140 | ) | (739 | ) | ||||||||||||||
Unrealized gain (loss) on investments at fair value (1) | 5,089 | 1,702 | (47,112 | ) | ||||||||||||||||||||
Net gains (losses) on other derivatives | — | — | 1 | |||||||||||||||||||||
Net unrealized gains (losses) on instruments measured at fair value through earnings | 820 | (351 | ) | 1,850 | ||||||||||||||||||||
Other income (loss) | (12,522 | ) | (191 | ) | 67,926 | (4,292 | ) | (74 | ) | 28,342 | ||||||||||||||
General and administration expenses | 1 | 37 | 1,940 | |||||||||||||||||||||
Less: General and administration expenses | — | 15 | 455 | |||||||||||||||||||||
Net income (loss) | $ | 18,978 | $ | 3,060 | $ | 18,758 | $ | 6,265 | $ | 515 | $ | 29,567 | ||||||||||||
(1) Included in Net unrealized gains (losses) on investments measured at fair value through earnings. |
Three Months Ended June 30, 2017 | ||||||||||||
FREMF Trusts | Residential Mortgage Loan Trusts | MSR Silo | ||||||||||
(dollars in thousands) | ||||||||||||
Net interest income: | ||||||||||||
Interest income | $ | 24,948 | $ | 1,171 | $ | 491 | ||||||
Interest expense | 11,679 | 298 | 57 | |||||||||
Net interest income | 13,269 | 873 | 434 | |||||||||
Realized gain (loss) on disposal of investments | — | (121 | ) | 24 | ||||||||
Net unrealized gains (losses) on instruments measured at fair value through earnings | 4,387 | 720 | (26,848 | ) | ||||||||
Other income (loss) | (6,224 | ) | (94 | ) | 33,338 | |||||||
Less: General and administration expenses | 1 | 17 | 838 | |||||||||
Net income (loss) | $ | 11,431 | $ | 1,361 | $ | 6,110 |
Six Months Ended June 30, 2018 | ||||||||||||
FREMF Trusts | Residential Mortgage Loan Trusts | MSR Silo | ||||||||||
(dollars in thousands) | ||||||||||||
Net interest income: | ||||||||||||
Interest income | $ | 48,938 | $ | 4,557 | $ | 1,448 | ||||||
Interest expense | 29,197 | 2,848 | 437 | |||||||||
Net interest income | 19,741 | 1,709 | 1,011 | |||||||||
Realized gain (loss) on disposal of investments | — | 1,902 | (1,310 | ) | ||||||||
Net gains (losses) on trading assets | — | — | 70 | |||||||||
Net unrealized gains (losses) on instruments measured at fair value through earnings | 1,112 | (1,167 | ) | 16,465 | ||||||||
Other income (loss) | (8,769 | ) | (151 | ) | 57,058 | |||||||
Less: General and administration expenses | — | 29 | 927 | |||||||||
Net income (loss) | $ | 12,084 | $ | 2,264 | $ | 72,367 |
Six Months Ended June 30, 2017 | ||||||||||||
FREMF Trusts | Residential Mortgage Loan Trusts | MSR Silo | ||||||||||
(dollars in thousands) | ||||||||||||
Net interest income: | ||||||||||||
Interest income | $ | 52,667 | $ | 2,540 | $ | 491 | ||||||
Interest expense | 26,255 | 572 | 122 | |||||||||
Net interest income | 26,412 | 1,968 | 369 | |||||||||
Realized gain (loss) on disposal of investments | — | (382 | ) | (485 | ) | |||||||
Net unrealized gains (losses) on instruments measured at fair value through earnings | 5,089 | 1,702 | (47,112 | ) | ||||||||
Other income (loss) | (12,522 | ) | (191 | ) | 67,926 | |||||||
Less: General and administration expenses | 1 | 37 | 1,940 | |||||||||
Net income (loss) | $ | 18,978 | $ | 3,060 | $ | 18,758 |
FREMF Trusts | Residential Mortgage Loan Trust | ||||||||||||||||
Property Location | Principal Balance | % of Balance | Property Location | Principal Balance | % of Balance | ||||||||||||
(dollars in thousands) | |||||||||||||||||
Texas | $ | 622,589 | 17.3 | % | California | $ | 66,805 | 45.1 | % | ||||||||
North Carolina | 537,375 | 15.0 | % | Texas | 16,205 | 10.9 | % | ||||||||||
Maryland | 499,495 | 13.9 | % | Illinois | 9,841 | 6.6 | % | ||||||||||
Virginia | 329,250 | 9.2 | % | Washington | 9,742 | 6.6 | % | ||||||||||
Florida | 303,796 | 8.5 | % | Florida | 8,772 | 5.9 | % | ||||||||||
New York | 280,925 | 7.8 | % | Other (1) | 36,717 | 24.9 | % | ||||||||||
Pennsylvania | 225,810 | 6.3 | % | ||||||||||||||
Ohio | 197,455 | 5.5 | % | ||||||||||||||
Other(1) | 597,163 | 16.5 | % | ||||||||||||||
Total | $ | 3,593,858 | 100.0 | % | $ | 148,082 | 100.0 | % | |||||||||
(1) No individual state greater than 5% |
FREMF Trusts | Residential Mortgage Loan Trusts | |||||||||||||||
Property Location | Principal Balance | % of Balance | Property Location | Principal Balance | % of Balance | |||||||||||
(dollars in thousands) | ||||||||||||||||
Maryland | $ | 437,110 | 17.3 | % | California | $ | 71,095 | 32.7 | % | |||||||
Texas | 361,075 | 14.4 | % | Florida | 18,596 | 8.6 | % | |||||||||
Virginia | 329,250 | 13.1 | % | Texas | 17,616 | 8.1 | % | |||||||||
New York | 280,925 | 11.2 | % | Illinois | 15,133 | 7.0 | % | |||||||||
North Carolina | 231,335 | 9.2 | % | New Jersey | 13,156 | 6.0 | % | |||||||||
Pennsylvania | 225,810 | 9.0 | % | Other (1) | 81,901 | 37.6 | % | |||||||||
Massachusetts | 179,440 | 7.1 | % | |||||||||||||
Ohio | 156,138 | 6.2 | % | |||||||||||||
Other (1) | 314,514 | 12.5 | % | |||||||||||||
Total | $ | 2,515,597 | 100.0 | % | $ | 217,497 | 100.0 | % |
(1) | No individual state greater than 5%. |
Level 1 | Level 2 | Level 3 | Total | |||||||||||||||||||||||||||||
June 30, 2017 | (dollars in thousands) | |||||||||||||||||||||||||||||||
June 30, 2018 | ||||||||||||||||||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||||||||||||||||||
(dollars in thousands) | ||||||||||||||||||||||||||||||||
Assets: | ||||||||||||||||||||||||||||||||
Agency mortgage-backed securities | $ | - | $ | 73,963,998 | $ | - | $ | 73,963,998 | $ | — | $ | 86,593,058 | $ | — | $ | 86,593,058 | ||||||||||||||||
Credit risk transfer securities | - | 605,826 | - | 605,826 | — | 563,796 | — | 563,796 | ||||||||||||||||||||||||
Non-Agency mortgage-backed securities | - | 1,234,053 | - | 1,234,053 | — | 1,006,785 | — | 1,006,785 | ||||||||||||||||||||||||
Residential mortgage loans | - | 779,685 | - | 779,685 | — | 1,666,157 | — | 1,666,157 | ||||||||||||||||||||||||
Mortgage servicing rights | - | - | 605,653 | 605,653 | — | — | 599,014 | 599,014 | ||||||||||||||||||||||||
Commercial real estate debt investments | - | 3,972,560 | - | 3,972,560 | — | 2,857,463 | — | 2,857,463 | ||||||||||||||||||||||||
Interest rate swaps | - | 10,472 | - | 10,472 | — | 82,458 | — | 82,458 | ||||||||||||||||||||||||
Other derivatives | 124,109 | 29,895 | - | 154,004 | 4,857 | 124,823 | — | 129,680 | ||||||||||||||||||||||||
Total assets | $ | 124,109 | $ | 80,596,489 | $ | 605,653 | $ | 81,326,251 | $ | 4,857 | $ | 92,894,540 | $ | 599,014 | $ | 93,498,411 | ||||||||||||||||
Liabilities: | ||||||||||||||||||||||||||||||||
Securitized debt of consolidated VIEs | $ | - | $ | 3,438,675 | $ | - | $ | 3,438,675 | $ | — | $ | 2,728,692 | $ | — | $ | 2,728,692 | ||||||||||||||||
Interest rate swaps | - | 614,589 | - | 614,589 | — | 376,106 | — | 376,106 | ||||||||||||||||||||||||
Other derivatives | 42,103 | 57,277 | - | 99,380 | 111,610 | 6,321 | — | 117,931 | ||||||||||||||||||||||||
Total liabilities | $ | 42,103 | $ | 4,110,541 | $ | - | $ | 4,152,644 | $ | 111,610 | $ | 3,111,119 | $ | — | $ | 3,222,729 | ||||||||||||||||
December 31, 2017 | ||||||||||||||||||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | (dollars in thousands) | ||||||||||||||||||||||||||||
December 31, 2016 | (dollars in thousands) | |||||||||||||||||||||||||||||||
Assets: | ||||||||||||||||||||||||||||||||
Agency mortgage-backed securities | $ | - | $ | 75,589,873 | $ | - | $ | 75,589,873 | $ | — | $ | 90,551,763 | $ | — | $ | 90,551,763 | ||||||||||||||||
Credit risk transfer securities | - | 724,722 | - | 724,722 | — | 651,764 | — | 651,764 | ||||||||||||||||||||||||
Non-Agency mortgage-backed securities | - | 1,401,307 | - | 1,401,307 | — | 1,097,294 | — | 1,097,294 | ||||||||||||||||||||||||
Residential mortgage loans | - | 342,289 | - | 342,289 | — | 1,438,322 | — | 1,438,322 | ||||||||||||||||||||||||
Mortgage servicing rights | - | - | 652,216 | 652,216 | — | — | 580,860 | 580,860 | ||||||||||||||||||||||||
Commercial real estate debt investments | - | 4,321,739 | - | 4,321,739 | — | 3,089,108 | — | 3,089,108 | ||||||||||||||||||||||||
Interest rate swaps | - | 68,194 | - | 68,194 | — | 30,272 | — | 30,272 | ||||||||||||||||||||||||
Other derivatives | 168,209 | 3,057 | - | 171,266 | 218,361 | 65,252 | — | 283,613 | ||||||||||||||||||||||||
Total assets | $ | 168,209 | $ | 82,451,181 | $ | 652,216 | $ | 83,271,606 | $ | 218,361 | $ | 96,923,775 | $ | 580,860 | $ | 97,722,996 | ||||||||||||||||
Liabilities: | ||||||||||||||||||||||||||||||||
Securitized debt of consolidated VIEs | $ | - | $ | 3,655,802 | $ | - | $ | 3,655,802 | $ | — | $ | 2,971,771 | $ | — | $ | 2,971,771 | ||||||||||||||||
Interest rate swaps | - | 1,443,765 | - | 1,443,765 | — | 569,129 | — | 569,129 | ||||||||||||||||||||||||
Other derivatives | 24,912 | 61,525 | - | 86,437 | 12,285 | 26,440 | — | 38,725 | ||||||||||||||||||||||||
Total liabilities | $ | 24,912 | $ | 5,161,092 | $ | - | $ | 5,186,004 | $ | 12,285 | $ | 3,567,340 | $ | — | $ | 3,579,625 |
June 30, | December 31, | |||
Range | Range | |||
Valuation Technique | Unobservable Input(1) | (Weighted Average) | Unobservable Input(1) | (Weighted Average) |
Discounted cash flow | Discount rate | Discount rate | 10.0% -15.0% (10.4%) | |
Prepayment rate | Prepayment rate | |||
Delinquency rate | 0.0% - | Delinquency rate | 0.0% - | |
Cost to service | $ | Cost to service | $ |
(1) | Represents rates, estimates and assumptions that the Company believes would be used by market participants when valuing these assets. | |||
June 30, 2018 | December 31, 2017 | |||||||||||||||||
Level in Fair Value Hierarchy | Carrying Value | Fair Value | Carrying Value | Fair Value | ||||||||||||||
Financial assets: | (dollars in thousands) | |||||||||||||||||
Cash and cash equivalents | 1 | $ | 1,135,329 | $ | 1,135,329 | $ | 706,589 | $ | 706,589 | |||||||||
Agency mortgage-backed securities | 2 | 86,593,058 | 86,593,058 | 90,551,763 | 90,551,763 | |||||||||||||
Credit risk transfer securities | 2 | 563,796 | 563,796 | 651,764 | 651,764 | |||||||||||||
Non-Agency mortgage-backed securities | 2 | 1,006,785 | 1,006,785 | 1,097,294 | 1,097,294 | |||||||||||||
Residential mortgage loans | 2 | 1,666,157 | 1,666,157 | 1,438,322 | 1,438,322 | |||||||||||||
Mortgage servicing rights | 3 | 599,014 | 599,014 | 580,860 | 580,860 | |||||||||||||
Commercial real estate debt investments | 2 | 2,857,463 | 2,857,463 | 3,089,108 | 3,089,108 | |||||||||||||
Commercial real estate debt and preferred equity, held for investment | 3 | 1,251,138 | 1,258,236 | 1,029,327 | 1,035,095 | |||||||||||||
Loans held for sale, net | 3 | 42,458 | 42,495 | — | — | |||||||||||||
Corporate debt | 2 | 1,256,276 | 1,254,072 | 1,011,275 | 1,014,139 | |||||||||||||
Interest rate swaps | 2 | 82,458 | 82,458 | 30,272 | 30,272 | |||||||||||||
Other derivatives | 1,2 | 129,680 | 129,680 | 283,613 | 283,613 | |||||||||||||
Reverse repurchase agreements | 1 | 259,762 | 259,762 | — | — | |||||||||||||
Financial liabilities: | ||||||||||||||||||
Repurchase agreements | 1,2 | $ | 75,760,655 | $ | 75,760,655 | $ | 77,696,343 | $ | 77,697,828 | |||||||||
Other secured financing | 1,2 | 3,760,487 | 3,759,980 | 3,837,528 | 3,837,595 | |||||||||||||
Securitized debt of consolidated VIEs | 2 | 2,728,692 | 2,728,692 | 2,971,771 | 2,971,771 | |||||||||||||
Mortgage payable | 3 | 309,878 | 302,149 | 309,686 | 310,218 | |||||||||||||
Interest rate swaps | 2 | 376,106 | 376,106 | 569,129 | 569,129 | |||||||||||||
Other derivatives | 1,2 | 117,931 | 117,931 | 38,725 | 38,725 |
June 30, 2017 | December 31, 2016 | |||||||||||||||||||
Level in Fair Value Hierarchy | Carrying Value | Fair Value | Carrying Value | Fair Value | ||||||||||||||||
Financial assets: | (dollars in thousands) | |||||||||||||||||||
Cash and cash equivalents (1) | 1 | $ | 700,692 | $ | 700,692 | $ | 1,539,746 | $ | 1,539,746 | |||||||||||
Agency mortgage-backed securities | 2 | 73,963,998 | 73,963,998 | 75,589,873 | 75,589,873 | |||||||||||||||
Credit risk transfer securities | 2 | 605,826 | 605,826 | 724,722 | 724,722 | |||||||||||||||
Non-Agency mortgage-backed securities | 2 | 1,234,053 | �� | 1,234,053 | 1,401,307 | 1,401,307 | ||||||||||||||
Residential mortgage loans | 2 | 779,685 | 779,685 | 342,289 | 342,289 | |||||||||||||||
Mortgage servicing rights | 3 | 605,653 | 605,653 | 652,216 | 652,216 | |||||||||||||||
Commercial real estate debt investments | 2 | 3,972,560 | 3,972,560 | 4,321,739 | 4,321,739 | |||||||||||||||
Commercial real estate debt and preferred equity, held for investment | 3 | 928,181 | 931,309 | 970,505 | 968,824 | |||||||||||||||
Commercial loans held for sale, net | 3 | - | - | 114,425 | 114,425 | |||||||||||||||
Corporate debt (2) | 2 | 773,957 | 775,468 | 773,274 | 776,310 | |||||||||||||||
Interest rate swaps (1) | 2 | 10,472 | 10,472 | 68,194 | 68,194 | |||||||||||||||
Other derivatives | 1,2 | 154,004 | 154,004 | 171,266 | 171,266 | |||||||||||||||
Financial liabilities: | ||||||||||||||||||||
Repurchase agreements | 1,2 | $ | 62,497,400 | $ | 62,521,751 | $ | 65,215,810 | $ | 65,256,505 | |||||||||||
Other secured financing | 1,2 | 3,785,543 | 3,798,234 | 3,884,708 | 3,885,430 | |||||||||||||||
Securitized debt of consolidated VIEs | 2 | 3,438,675 | 3,438,675 | 3,655,802 | 3,655,802 | |||||||||||||||
Participation sold | 2 | - | - | 12,869 | 12,827 | |||||||||||||||
Mortgage payable | 3 | 311,810 | 315,474 | 311,636 | 312,442 | |||||||||||||||
Interest rate swaps (1) | 2 | 614,589 | 614,589 | 1,443,765 | 1,443,765 | |||||||||||||||
Other derivatives | 1,2 | 99,380 | 99,380 | 86,437 | 86,437 |
June 30, 2018 | |||||||||||||||||||||||||||
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 | 30,476,466 | 263,467 | 161,587 | — | 17,996 | 30,919,516 | 2.15 | % | |||||||||||||||||||
30 to 59 days | 6,314,836 | 7,950 | — | — | 6,155 | 6,328,941 | 2.11 | % | |||||||||||||||||||
60 to 89 days | 14,105,633 | 64,443 | 105,187 | — | — | 14,275,263 | 2.15 | % | |||||||||||||||||||
90 to 119 days | 9,278,603 | — | — | — | — | 9,278,603 | 2.08 | % | |||||||||||||||||||
Over 120 days (1) | 14,321,748 | — | — | 488,579 | 148,005 | 14,958,332 | 2.32 | % | |||||||||||||||||||
Total | $ | 74,497,286 | $ | 335,860 | $ | 266,774 | $ | 488,579 | $ | 172,156 | $ | 75,760,655 | 2.17 | % |
June 30, 2017 | ||||||||||||||||||||||||||||
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 | 25,866,226 | 306,812 | 434,128 | - | 19,409 | 26,626,575 | 1.40 | % | ||||||||||||||||||||
30 to 59 days | 7,930,744 | 49,657 | 136,613 | - | 6,032 | 8,123,046 | 1.33 | % | ||||||||||||||||||||
60 to 89 days | 9,111,191 | 36,014 | 129,094 | - | - | 9,276,299 | 1.33 | % | ||||||||||||||||||||
90 to 119 days | 3,096,008 | - | 4,959 | - | - | 3,100,967 | 1.20 | % | ||||||||||||||||||||
Over 120 days(1) | 14,975,905 | - | - | 394,608 | - | 15,370,513 | 1.45 | % | ||||||||||||||||||||
Total | $ | 60,980,074 | $ | 392,483 | $ | 704,794 | $ | 394,608 | $ | 25,441 | $ | 62,497,400 | 1.38 | % |
December 31, 2017 | |||||||||||||||||||||||||||
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 | 33,421,609 | 263,528 | 253,290 | — | 18,125 | 33,956,552 | 1.69 | % | |||||||||||||||||||
30 to 59 days | 10,811,515 | 7,229 | 3,658 | — | 6,375 | 10,828,777 | 1.44 | % | |||||||||||||||||||
60 to 89 days | 13,800,743 | 7,214 | 47,830 | — | — | 13,855,787 | 1.59 | % | |||||||||||||||||||
90 to 119 days | 10,128,006 | — | — | — | — | 10,128,006 | 1.39 | % | |||||||||||||||||||
Over 120 days (1) | 8,542,108 | — | — | 385,113 | — | 8,927,221 | 1.77 | % | |||||||||||||||||||
Total | $ | 76,703,981 | $ | 277,971 | $ | 304,778 | $ | 385,113 | $ | 24,500 | $ | 77,696,343 | 1.61 | % |
December 31, 2016 | ||||||||||||||||||||||||
Agency Mortgage- backed Securities | CRTs | Non-Agency Mortgage-backed Securities | Commercial Loans | Total Repurchase Agreements | Weighted Average Rate | |||||||||||||||||||
(dollars in thousands) | ||||||||||||||||||||||||
1 day | $ | - | $ | - | $ | - | $ | - | $ | - | - | |||||||||||||
2 to 29 days | 29,657,705 | 358,972 | 377,366 | - | 30,394,043 | 0.87 | % | |||||||||||||||||
30 to 59 days | 11,373,300 | 80,139 | 241,360 | - | 11,694,799 | 1.10 | % | |||||||||||||||||
60 to 89 days | 6,966,827 | 13,914 | 101,491 | - | 7,082,232 | 1.14 | % | |||||||||||||||||
90 to 119 days | 2,063,561 | - | - | - | 2,063,561 | 0.89 | % | |||||||||||||||||
Over 120 days(1) | 13,646,308 | - | - | 334,867 | 13,981,175 | 1.47 | % | |||||||||||||||||
Total | $ | 63,707,701 | $ | 453,025 | $ | 720,217 | $ | 334,867 | $ | 65,215,810 | 1.07 | % |
(1) | Approximately |
June 30, 2017 | December 31, 2016 | |||||||||||||||
Reverse Repurchase Agreements | Repurchase Agreements | Reverse Repurchase Agreements | Repurchase Agreements | |||||||||||||
(dollars in thousands) | ||||||||||||||||
Gross Amounts | $ | - | $ | 62,497,400 | $ | 400,000 | $ | 65,615,810 | ||||||||
Amounts Offset | - | - | (400,000 | ) | (400,000 | ) | ||||||||||
Netted Amounts | $ | - | $ | 62,497,400 | $ | - | $ | 65,215,810 |
June 30, 2018 | December 31, 2017 | |||||||||||||||
Reverse Repurchase Agreements | Repurchase Agreements | Reverse Repurchase Agreements | Repurchase Agreements | |||||||||||||
(dollars in thousands) | ||||||||||||||||
Gross Amounts | $ | 2,909,762 | $ | 78,410,655 | $ | 1,250,000 | $ | 78,946,343 | ||||||||
Amounts Offset | (2,650,000 | ) | (2,650,000 | ) | (1,250,000 | ) | (1,250,000 | ) | ||||||||
Netted Amounts | $ | 259,762 | $ | 75,760,655 | $ | — | $ | 77,696,343 |
Derivatives Instruments | Balance Sheet Location | June 30, 2017 | December 31, 2016 | ||||||
Assets: | (dollars in thousands) | ||||||||
Interest rate swaps | Interest rate swaps, at fair value | $ | 10,472 | $ | 68,194 | ||||
Interest rate swaptions | Other derivatives, at fair value | 21,328 | - | ||||||
TBA derivatives | Other derivatives, at fair value | 8,567 | 2,774 | ||||||
Futures contracts | Other derivatives, at fair value | 124,109 | 168,209 | ||||||
Purchase commitments | Other derivatives, at fair value | - | 283 | ||||||
$ | 164,476 | $ | 239,460 | ||||||
Liabilities: | |||||||||
Interest rate swaps | Interest rate swaps, at fair value | $ | 614,589 | $ | 1,443,765 | ||||
TBA derivatives | Other derivatives, at fair value | 56,529 | 60,972 | ||||||
Futures contracts | Other derivatives, at fair value | 42,103 | 24,912 | ||||||
Purchase commitments | Other derivatives, at fair value | 11 | 553 | ||||||
Credit derivatives | Other derivatives, at fair value | 737 | - | ||||||
$ | 713,969 | $ | 1,530,202 |
Derivatives Instruments | Balance Sheet Location | June 30, 2018 | December 31, 2017 | |||||||
Assets: | (dollars in thousands) | |||||||||
Interest rate swaps | Interest rate swaps, at fair value | $ | 82,458 | $ | 30,272 | |||||
Interest rate swaptions | Other derivatives, at fair value | 82,034 | 36,150 | |||||||
TBA derivatives | Other derivatives, at fair value | 36,394 | 29,067 | |||||||
Futures contracts | Other derivatives, at fair value | 4,857 | 218,361 | |||||||
Purchase commitments | Other derivatives, at fair value | 258 | 35 | |||||||
Credit derivatives (1) | Other derivatives, at fair value | 6,137 | — | |||||||
$ | 212,138 | $ | 313,885 | |||||||
Liabilities: | ||||||||||
Interest rate swaps | Interest rate swaps, at fair value | $ | 376,106 | $ | 569,129 | |||||
TBA derivatives | Other derivatives, at fair value | 63 | 21,776 | |||||||
Futures contracts | Other derivatives, at fair value | 111,610 | 12,285 | |||||||
Purchase commitments | Other derivatives, at fair value | 25 | 157 | |||||||
Credit derivatives (1) | Other derivatives, at fair value | 6,233 | 4,507 | |||||||
$ | 494,037 | $ | 607,854 |
(1) | The notional amount of the credit derivatives in which the Company purchased protection was $60.0 million at June 30, 2018. The maximum potential amount of future payments is the notional amount of $357.6 million and $125.0 million at June 30, 2018 and December 31, 2017, respectively. The credit derivative tranches referencing the basket of bonds had a range of ratings between AAA and BBB-. |
June 30, 2017 | ||||||||||||||||
Maturity | Current Notional (1) | Weighted Average Pay Rate | Weighted Average Receive Rate | Weighted Average Years to Maturity | ||||||||||||
(dollars in thousands) | ||||||||||||||||
0 - 3 years | $ | 4,642,000 | 1.43 | % | 1.34 | % | 2.51 | |||||||||
3 - 6 years | 11,476,000 | 2.16 | % | 1.22 | % | 4.05 | ||||||||||
6 - 10 years | 8,558,650 | 2.43 | % | 1.32 | % | 7.56 | ||||||||||
Greater than 10 years | 3,926,400 | 3.62 | % | 1.20 | % | 18.75 | ||||||||||
Total / Weighted Average | $ | 28,603,050 | 2.26 | % | 1.28 | % | 6.58 | |||||||||
December 31, 2016 | ||||||||||||||||
Maturity | Current Notional (1) | Weighted Average Pay Rate | Weighted Average Receive Rate | Weighted Average Years to Maturity | ||||||||||||
(dollars in thousands) | ||||||||||||||||
0 - 3 years | $ | 3,444,365 | 1.37 | % | 1.00 | % | 2.71 | |||||||||
3 - 6 years | 10,590,000 | 1.92 | % | 0.99 | % | 3.94 | ||||||||||
6 - 10 years | 8,206,900 | 2.35 | % | 1.10 | % | 7.82 | ||||||||||
Greater than 10 years | 3,634,400 | 3.70 | % | 0.83 | % | 18.36 | ||||||||||
Total / Weighted Average | $ | 25,875,665 | 2.22 | % | 1.02 | % | 6.87 |
June 30, 2018 | ||||||||||||
Maturity | Current Notional (1) | Weighted Average Pay Rate | Weighted Average Receive Rate | Weighted Average Years to Maturity | ||||||||
(dollars in thousands) | ||||||||||||
0 - 3 years | $ | 32,086,800 | 1.76 | % | 2.34 | % | 1.62 | |||||
3 - 6 years | 15,449,650 | 2.27 | % | 2.31 | % | 4.67 | ||||||
6 - 10 years | 12,476,900 | 2.45 | % | 2.24 | % | 8.59 | ||||||
Greater than 10 years | 4,076,400 | 3.58 | % | 2.21 | % | 17.48 | ||||||
Total / Weighted Average | $ | 64,089,750 | 2.08 | % | 2.31 | % | 4.43 | |||||
December 31, 2017 | ||||||||||||
Maturity | Current Notional (1) | Weighted Average Pay Rate (2) (3) | Weighted Average Receive Rate (2) | Weighted Average Years to Maturity (2) | ||||||||
(dollars in thousands) | ||||||||||||
0 - 3 years | $ | 6,532,000 | 1.56 | % | 1.62 | % | 2.08 | |||||
3 - 6 years | 14,791,800 | 2.12 | % | 1.57 | % | 4.51 | ||||||
6 - 10 years | 10,179,000 | 2.35 | % | 1.58 | % | 8.04 | ||||||
Greater than 10 years | 3,826,400 | 3.65 | % | 1.51 | % | 18.47 | ||||||
Total / Weighted Average | $ | 35,329,200 | 2.22 | % | 1.58 | % | 6.72 |
(1) | There were no forward starting swaps |
(2) | Excludes forward starting swaps. |
(3) | Weighted average fixed rate on forward starting pay fixed swaps was 1.86% at December 31, 2017. |
June 30, 2017 | Current Underlying Notional | Weighted Average Underlying Pay Rate | Weighted Average Underlying Receive Rate | Weighted Average Underlying Years to Maturity | Weighted Average Months to Expiration | ||||||||||||
(dollars in thousands) | |||||||||||||||||
Long | $ | 2,000,000 | 2.56 | % | 3M LIBOR | 9.42 | 8.00 |
June 30, 2018 | Current Underlying Notional | Weighted Average Underlying Pay Rate | Weighted Average Underlying Receive Rate | Weighted Average Underlying Years to Maturity | Weighted Average Months to Expiration | |||||||||
(dollars in thousands) | ||||||||||||||
Long | $ | 3,250,000 | 2.75 | % | 3M LIBOR | 10.28 | 3.16 | |||||||
December 31, 2017 | Current Underlying Notional | Weighted Average Underlying Pay Rate | Weighted Average Underlying Receive Rate | Weighted Average Underlying Years to Maturity | Weighted Average Months to Expiration | |||||||||
(dollars in thousands) | ||||||||||||||
Long | $ | 6,000,000 | 2.62 | % | 3M LIBOR | 9.97 | 4.49 |
June 30, 2017 | ||||||||||||||||
Purchase and sale contracts for derivative TBAs | Notional | Implied Cost Basis | Implied Market Value | Net Carrying Value | ||||||||||||
(dollars in thousands) | ||||||||||||||||
Purchase contracts | $ | 13,251,000 | $ | 13,851,936 | $ | 13,803,974 | $ | (47,962 | ) | |||||||
December 31, 2016 | ||||||||||||||||
Purchase and sale contracts for derivative TBAs | Notional | Implied Cost Basis | Implied Market Value | Net Carrying Value | ||||||||||||
(dollars in thousands) | ||||||||||||||||
Purchase contracts | $ | 11,223,000 | $ | 11,495,514 | $ | 11,437,316 | $ | (58,198 | ) |
June 30, 2018 | ||||||||||||||||
Purchase and sale contracts for derivative TBAs | Notional | Implied Cost Basis | Implied Market Value | Net Carrying Value | ||||||||||||
(dollars in thousands) | ||||||||||||||||
Purchase contracts | $ | 8,000,000 | $ | 8,144,363 | $ | 8,180,694 | $ | 36,331 | ||||||||
December 31, 2017 | ||||||||||||||||
Purchase and sale contracts for derivative TBAs | Notional | Implied Cost Basis | Implied Market Value | Net Carrying Value | ||||||||||||
(dollars in thousands) | ||||||||||||||||
Purchase contracts | $ | 15,828,000 | $ | 16,381,826 | $ | 16,390,251 | $ | 8,425 | ||||||||
Sale contracts | (250,000 | ) | (254,804 | ) | (255,938 | ) | (1,134 | ) | ||||||||
Net TBA derivatives | $ | 15,578,000 | $ | 16,127,022 | $ | 16,134,313 | $ | 7,291 |
June 30, 2018 | ||||||||||
Notional - Long Positions | Notional - Short Positions | Weighted Average Years to Maturity | ||||||||
(dollars in thousands) | ||||||||||
U.S. Treasury futures - 2 year | $ | — | $ | (480,000 | ) | 2.00 | ||||
U.S. Treasury futures - 5 year | $ | — | $ | (4,987,400 | ) | 4.42 | ||||
U.S. Treasury futures - 10 year and greater | — | (10,274,500 | ) | 7.13 | ||||||
Total | $ | — | $ | (15,741,900 | ) | 6.12 | ||||
December 31, 2017 | ||||||||||
Notional - Long Positions | Notional - Short Positions | Weighted Average Years to Maturity | ||||||||
(dollars in thousands) | ||||||||||
2-year swap equivalent Eurodollar contracts | $ | — | $ | (17,161,000 | ) | 2.00 | ||||
U.S. Treasury futures - 5 year | — | (4,217,400 | ) | 4.41 | ||||||
U.S. Treasury futures - 10 year and greater | — | (4,914,500 | ) | 7.01 | ||||||
Total | $ | — | $ | (26,292,900 | ) | 3.32 |
June 30, 2017 | ||||||||||||
Notional - Long Positions | Notional - Short Positions | Weighted Average Years to Maturity | ||||||||||
(dollars in thousands) | ||||||||||||
2-year swap equivalent Eurodollar contracts | $ | - | $ | (16,363,250 | ) | 2.00 | ||||||
U.S. Treasury futures - 5 year | - | (3,437,200 | ) | 4.42 | ||||||||
U.S. Treasury futures - 10 year and greater | - | (3,275,000 | ) | 7.08 | ||||||||
Total | $ | - | $ | (23,075,450 | ) | 3.08 | ||||||
December 31, 2016 | ||||||||||||
Notional - Long Positions | Notional - Short Positions | Weighted Average Years to Maturity | ||||||||||
(dollars in thousands) | ||||||||||||
2-year swap equivalent Eurodollar contracts | $ | - | $ | (14,968,250 | ) | 2.00 | ||||||
U.S. Treasury futures - 5 year | - | (1,697,200 | ) | 4.42 | ||||||||
U.S. Treasury futures - 10 year and greater | - | (2,250,000 | ) | 8.39 | ||||||||
Total | $ | - | $ | (18,915,450 | ) | 2.98 |
June 30, 2017 | Amounts Eligible for Offset | |||||||||||||||
Gross Amounts | Financial Instruments | Cash Collateral | Net Amounts | |||||||||||||
Assets: | (dollars in thousands) | |||||||||||||||
Interest rate swaps, at fair value (1) | $ | 10,472 | $ | (9,282 | ) | $ | - | $ | 1,190 | |||||||
Interest rate swaptions, at fair value | 21,328 | - | - | 21,328 | ||||||||||||
TBA derivatives, at fair value | 8,567 | (1,969 | ) | - | 6,598 | |||||||||||
Futures contracts, at fair value | 124,109 | (42,103 | ) | - | 82,006 | |||||||||||
Liabilities: | ||||||||||||||||
Interest rate swaps, at fair value (1) | $ | 614,589 | $ | (9,282 | ) | $ | - | $ | 605,307 | |||||||
TBA derivatives, at fair value | 56,529 | (1,969 | ) | - | 54,560 | |||||||||||
Futures contracts, at fair value | 42,103 | (42,103 | ) | - | - | |||||||||||
Purchase commitments | 11 | - | - | 11 | ||||||||||||
Credit derivatives | 737 | - | - | 737 | ||||||||||||
December 31, 2016 | Amounts Eligible for Offset | |||||||||||||||
Gross Amounts | Financial Instruments | Cash Collateral | Net Amounts | |||||||||||||
Assets: | (dollars in thousands) | |||||||||||||||
Interest rate swaps, at fair value | $ | 68,194 | $ | (68,194 | ) | $ | - | $ | - | |||||||
TBA derivatives, at fair value | 2,774 | (2,172 | ) | - | 602 | |||||||||||
Futures contracts, at fair value | 168,209 | (24,912 | ) | - | 143,297 | |||||||||||
Purchase commitments | 283 | - | - | 283 | ||||||||||||
Liabilities: | ||||||||||||||||
Interest rate swaps, at fair value | $ | 1,443,765 | $ | (68,194 | ) | $ | (768,877 | ) | $ | 606,694 | ||||||
TBA derivatives, at fair value | 60,972 | (2,172 | ) | - | 58,800 | |||||||||||
Futures contracts, at fair value | 24,912 | (24,912 | ) | - | - | |||||||||||
Purchase commitments | 553 | - | - | 553 |
June 30, 2018 | ||||||||||||||||
Amounts Eligible for Offset | ||||||||||||||||
Gross Amounts | Financial Instruments | Cash Collateral | Net Amounts | |||||||||||||
Assets: | (dollars in thousands) | |||||||||||||||
Interest rate swaps, at fair value | $ | 82,458 | $ | (44,260 | ) | $ | — | $ | 38,198 | |||||||
Interest rate swaptions, at fair value | 82,034 | — | — | 82,034 | ||||||||||||
TBA derivatives, at fair value | 36,394 | (63 | ) | — | 36,331 | |||||||||||
Futures contracts, at fair value | 4,857 | (4,857 | ) | — | — | |||||||||||
Purchase commitments | 258 | — | — | 258 | ||||||||||||
Credit derivatives | 6,137 | (5,736 | ) | — | 401 | |||||||||||
Liabilities: | ||||||||||||||||
Interest rate swaps, at fair value | $ | 376,106 | $ | (44,260 | ) | $ | — | $ | 331,846 | |||||||
TBA derivatives, at fair value | 63 | (63 | ) | — | — | |||||||||||
Futures contracts, at fair value | 111,610 | (4,857 | ) | (106,753 | ) | — | ||||||||||
Purchase commitments | 25 | — | — | 25 | ||||||||||||
Credit derivatives | 6,233 | (5,736 | ) | (497 | ) | — | ||||||||||
December 31, 2017 | ||||||||||||||||
Amounts Eligible for Offset | ||||||||||||||||
Gross Amounts | Financial Instruments | Cash Collateral | Net Amounts | |||||||||||||
Assets: | (dollars in thousands) | |||||||||||||||
Interest rate swaps, at fair value | $ | 30,272 | $ | (27,379 | ) | $ | — | $ | 2,893 | |||||||
Interest rate swaptions, at fair value | 36,150 | — | — | 36,150 | ||||||||||||
TBA derivatives, at fair value | 29,067 | (12,551 | ) | — | 16,516 | |||||||||||
Futures contracts, at fair value | 218,361 | (12,285 | ) | — | 206,076 | |||||||||||
Purchase commitments | 35 | — | — | 35 | ||||||||||||
Liabilities: | ||||||||||||||||
Interest rate swaps, at fair value | $ | 569,129 | $ | (27,379 | ) | $ | — | $ | 541,750 | |||||||
TBA derivatives, at fair value | 21,776 | (12,551 | ) | — | 9,225 | |||||||||||
Futures contracts, at fair value | 12,285 | (12,285 | ) | — | — | |||||||||||
Purchase commitments | 157 | — | — | 157 | ||||||||||||
Credit derivatives | 4,507 | — | (3,520 | ) | 987 |
Location on Consolidated Statements of Comprehensive Income (Loss) | Location on Consolidated Statements of Comprehensive Income (Loss) | |||||||||||||||||||||||
Realized Gains (Losses) on Interest Rate Swaps(1) | Realized Gains (Losses) on Termination of Interest Rate Swaps | Unrealized Gains (Losses) on Interest Rate Swaps | Net Interest Component of Interest Rate Swaps | Realized Gains (Losses) on Termination or Maturity of Interest Rate Swaps | Unrealized Gains (Losses) on Interest Rate Swaps | |||||||||||||||||||
(dollars in thousands) | (dollars in thousands) | |||||||||||||||||||||||
Three Months Ended: | Three Months Ended: | Three Months Ended: | ||||||||||||||||||||||
June 30, 2018 | $ | 31,475 | $ | — | $ | 343,475 | ||||||||||||||||||
June 30, 2017 | $ | (96,470 | ) | $ | (58 | ) | $ | (177,567 | ) | $ | (96,470 | ) | $ | (58 | ) | $ | (177,567 | ) | ||||||
June 30, 2016 | $ | (130,762 | ) | $ | (60,064 | ) | $ | (373,220 | ) | |||||||||||||||
Six Months Ended: | ||||||||||||||||||||||||
June 30, 2018 | $ | (16,685 | ) | $ | 834 | $ | 1,320,760 | |||||||||||||||||
June 30, 2017 | $ | (200,626 | ) | $ | (58 | ) | $ | (28,383 | ) | $ | (200,626 | ) | $ | (58 | ) | $ | (28,383 | ) | ||||||
June 30, 2016 | $ | (278,237 | ) | $ | (60,064 | ) | $ | (1,404,940 | ) |
Three Months Ended June 30, 2017 | ||||||||||||
Derivative Instruments | Realized Gain (Loss) | Unrealized Gain (Loss) | Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Trading Assets | |||||||||
(dollars in thousands) | ||||||||||||
Net TBA derivatives (1) | $ | 165,777 | $ | (72,844 | ) | $ | 92,933 | |||||
Net interest rate swaptions | - | (10,438 | ) | (10,438 | ) | |||||||
Futures | (59,397 | ) | (37,588 | ) | (96,985 | ) | ||||||
Purchase commitments | - | 8 | 8 | |||||||||
Credit derivatives | 136 | (77 | ) | 59 | ||||||||
$ | (14,423 | ) | ||||||||||
Three Months Ended June 30, 2016 | ||||||||||||
Derivative Instruments | Realized Gain (Loss) | Unrealized Gain (Loss) | Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Trading Assets | |||||||||
(dollars in thousands) | ||||||||||||
Net TBA derivatives (1) | $ | 98,371 | $ | 60,758 | $ | 159,129 | ||||||
Futures | 8,314 | (85,563 | ) | (77,249 | ) | |||||||
$ | 81,880 | |||||||||||
Six Months Ended June 30, 2017 | ||||||||||||
Derivative Instruments | Realized Gain (Loss) | Unrealized Gain (Loss) | Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Trading Assets | |||||||||
(dollars in thousands) | ||||||||||||
Net TBA derivatives (1) | $ | 105,463 | $ | 10,237 | $ | 115,700 | ||||||
Net interest rate swaptions | - | (10,438 | ) | (10,438 | ) | |||||||
Futures | (58,424 | ) | (61,292 | ) | (119,716 | ) | ||||||
Purchase commitments | - | 272 | 272 | |||||||||
Credit derivatives | 136 | (77 | ) | 59 | ||||||||
$ | (14,123 | ) | ||||||||||
Six Months Ended June 30, 2016 | ||||||||||||
Derivative Instruments | Realized Gain (Loss) | Unrealized Gain (Loss) | Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Trading Assets | |||||||||
(dollars in thousands) | ||||||||||||
Net TBA derivatives (1) | $ | 318,363 | $ | 145,052 | $ | 463,415 | ||||||
Futures | (122,680 | ) | (133,683 | ) | (256,363 | ) | ||||||
$ | 207,052 |
Three Months Ended June 30, 2018 | ||||||||||||
Derivative Instruments | Realized Gains (Losses) | Unrealized Gains (Losses) | Amount of Gains (Losses) Recognized in Net Gains (Losses) on Other Derivatives | |||||||||
(dollars in thousands) | ||||||||||||
Net TBA derivatives | $ | (30,228 | ) | $ | 11,123 | $ | (19,105 | ) | ||||
Net interest rate swaptions | (35,667 | ) | 3,999 | (31,668 | ) | |||||||
Futures | 62,618 | 15,684 | 78,302 | |||||||||
Purchase commitments | — | 59 | 59 | |||||||||
Credit derivatives | 2,889 | 3,712 | 6,601 | |||||||||
Total | $ | 34,189 | ||||||||||
Three Months Ended June 30, 2017 | ||||||||||||
Derivative Instruments | Realized Gains (Losses) | Unrealized Gains (Losses) | Amount of Gains (Losses) Recognized in Net Gains (Losses) on Other Derivatives | |||||||||
(dollars in thousands) | ||||||||||||
Net TBA derivatives | $ | 165,777 | $ | (72,844 | ) | $ | 92,933 | |||||
Net interest rate swaptions | — | (10,438 | ) | (10,438 | ) | |||||||
Futures | (59,397 | ) | (37,588 | ) | (96,985 | ) | ||||||
Purchase commitments | — | 8 | 8 | |||||||||
Credit derivatives | 136 | (77 | ) | 59 | ||||||||
Total | $ | (14,423 | ) | |||||||||
Six Months Ended June 30, 2018 | ||||||||||||
Derivative Instruments | Realized Gains (Losses) | Unrealized Gains (Losses) | Amount of Gains (Losses) Recognized in Net Gains (Losses) on Other Derivatives | |||||||||
(dollars in thousands) | ||||||||||||
Net TBA derivatives | $ | (308,127 | ) | $ | 29,039 | $ | (279,088 | ) | ||||
Net interest rate swaptions | (57,100 | ) | 71,220 | 14,120 | ||||||||
Futures | 557,630 | (312,828 | ) | 244,802 | ||||||||
Purchase commitments | — | 425 | 425 | |||||||||
Credit derivatives | 4,402 | 2,383 | 6,785 | |||||||||
Total | $ | (12,956 | ) | |||||||||
Six Months Ended June 30, 2017 | ||||||||||||
Derivative Instruments | Realized Gains (Losses) | Unrealized Gains (Losses) | Amount of Gain (Losses) Recognized in Net Gains (Losses) on Other Derivatives | |||||||||
(dollars in thousands) | ||||||||||||
Net TBA derivatives | $ | 105,463 | $ | 10,237 | $ | 115,700 | ||||||
Net interest rate swaptions | — | (10,438 | ) | (10,438 | ) | |||||||
Futures | (58,424 | ) | (61,292 | ) | (119,716 | ) | ||||||
Purchase commitments | — | 272 | 272 | |||||||||
Credit derivatives | 136 | (77 | ) | 59 | ||||||||
Total | $ | (14,123 | ) |
For the Six Months Ended | ||||||||
June 30, 2017 | June 30, 2016 | |||||||
(dollars in thousands, except per share data) | ||||||||
Distributions declared to common stockholders | $ | 611,400 | $ | 554,935 | ||||
Distributions declared per common share | $ | 0.60 | $ | 0.60 | ||||
Distributions paid to common stockholders after period end | $ | 305,709 | $ | 277,479 | ||||
Distributions paid per common share after period end | $ | 0.30 | $ | 0.30 | ||||
Date of distributions paid to common stockholders after period end | July 31, 2017 | July 29, 2016 | ||||||
Dividends declared to Series A Preferred stockholders | $ | 7,296 | $ | 7,296 | ||||
Dividends declared per share of Series A Preferred Stock | $ | 0.984 | $ | 0.984 | ||||
Dividends declared to Series C Preferred stockholders | $ | 11,438 | $ | 11,438 | ||||
Dividends declared per share of Series C Preferred Stock | $ | 0.953 | $ | 0.953 | ||||
Dividends declared to Series D Preferred stockholders | $ | 17,250 | $ | 17,250 | ||||
Dividends declared per share of Series D Preferred Stock | $ | 0.938 | $ | 0.938 | ||||
Dividends declared to Series E Preferred stockholders | $ | 10,962 | $ | - | ||||
Dividends declared per share of Series E Preferred Stock | $ | 0.953 | $ | - |
Six Months Ended | ||||||||
June 30, 2018 | June 30, 2017 | |||||||
(dollars in thousands, except per share data) | ||||||||
Distributions declared to common stockholders | $ | 697,197 | $ | 611,400 | ||||
Distributions declared per common share | $ | 0.60 | $ | 0.60 | ||||
Distributions paid to common stockholders after period end | $ | 349,300 | $ | 305,709 | ||||
Distributions paid per common share after period end | $ | 0.30 | $ | — | ||||
Date of distributions paid to common stockholders after period end | July 31, 2018 | July 31, 2017 | ||||||
Dividends declared to Series A Preferred stockholders | $ | — | $ | 7,296 | ||||
Dividends declared per share of Series A Preferred Stock | $ | — | $ | 0.984 | ||||
Dividends declared to Series C Preferred stockholders | $ | 7,652 | $ | 11,438 | ||||
Dividends declared per share of Series C Preferred Stock (1) | $ | 0.953 | $ | 0.953 | ||||
Dividends declared to Series D Preferred stockholders | $ | 17,250 | $ | 17,250 | ||||
Dividends declared per share of Series D Preferred Stock | $ | 0.938 | $ | 0.938 | ||||
Dividends declared to Series E Preferred stockholders | $ | 2,253 | $ | 10,962 | ||||
Dividends declared per share of Series E Preferred Stock | $ | 0.196 | $ | 0.953 | ||||
Dividends declared to Series F Preferred stockholders | $ | 25,020 | $ | — | ||||
Dividends declared per share of Series F Preferred Stock | $ | 0.869 | $ | — | ||||
Dividends declared to Series G Preferred stockholders | $ | 12,968 | $ | — | ||||
Dividends declared per share of Series G Preferred Stock | $ | 0.763 | $ | — |
(1) | Includes dividends declared per share for shares outstanding at June 30, 2018. |
For the Three Months Ended | For the Six Months Ended | |||||||||||||||
June 30, 2017 | June 30, 2016 | June 30, 2017 | June 30, 2016 | |||||||||||||
Interest income: | (dollars in thousands) | |||||||||||||||
Residential Investment Securities | $ | 459,308 | $ | 394,850 | $ | 975,218 | $ | 710,567 | ||||||||
Residential mortgage loans | 7,417 | - | 11,281 | - | ||||||||||||
Commercial investment portfolio(1) | 68,153 | 59,578 | 132,498 | 129,765 | ||||||||||||
Reverse repurchase agreements | 2,548 | 2,690 | 6,156 | 4,929 | ||||||||||||
Total interest income | 537,426 | 457,118 | 1,125,153 | 845,261 | ||||||||||||
Interest expense: | ||||||||||||||||
Repurchase agreements | 197,151 | 136,176 | 370,241 | 269,067 | ||||||||||||
Securitized debt of consolidated VIEs | 11,977 | 11,226 | 26,827 | 20,259 | ||||||||||||
Participation sold | 42 | 157 | 195 | 315 | ||||||||||||
Other | 13,111 | 5,196 | 23,443 | 10,561 | ||||||||||||
Total interest expense | 222,281 | 152,755 | 420,706 | 300,202 | ||||||||||||
Net interest income | $ | 315,145 | $ | 304,363 | $ | 704,447 | $ | 545,059 | ||||||||
(1) Includes commercial real estate debt, preferred equity and corporate debt. |
Three Months Ended | Six Months Ended | |||||||||||||||
June 30, 2018 | June 30, 2017 | June 30, 2018 | June 30, 2017 | |||||||||||||
Interest income: | (dollars in thousands) | |||||||||||||||
Residential Investment Securities | $ | 662,750 | $ | 459,308 | $ | 1,442,338 | $ | 975,218 | ||||||||
Residential mortgage loans | 18,868 | 7,417 | 34,373 | 11,281 | ||||||||||||
Commercial investment portfolio (1) | 79,343 | 68,153 | 151,800 | 132,498 | ||||||||||||
Reverse repurchase agreements | 15,845 | 2,548 | 27,782 | 6,156 | ||||||||||||
Total interest income | 776,806 | 537,426 | 1,656,293 | 1,125,153 | ||||||||||||
Interest expense: | ||||||||||||||||
Repurchase agreements | 400,475 | 197,151 | 731,849 | 370,241 | ||||||||||||
Securitized debt of consolidated VIEs | 18,201 | 11,977 | 33,853 | 26,827 | ||||||||||||
Participation sold | — | 42 | — | 195 | ||||||||||||
Other | 24,016 | 13,111 | 44,411 | 23,443 | ||||||||||||
Total interest expense | 442,692 | 222,281 | 810,113 | 420,706 | ||||||||||||
Net interest income | $ | 334,114 | $ | 315,145 | $ | 846,180 | $ | 704,447 |
(1) | Includes commercial real estate debt, preferred equity and corporate debt. |
For the Three Months Ended | For the Six Months Ended | Three Months Ended | Six Months Ended | |||||||||||||||||||||||||||||
June 30, 2017 | June 30, 2016 | June 30, 2017 | June 30, 2016 | June 30, 2018 | June 30, 2017 | June 30, 2018 | June 30, 2017 | |||||||||||||||||||||||||
(dollars in thousands, except per share data) | (dollars in thousands, except per share data) | |||||||||||||||||||||||||||||||
Net income (loss) | $ | 14,522 | $ | (278,497 | ) | $ | 454,930 | $ | (1,146,577 | ) | $ | 595,887 | $ | 14,522 | $ | 1,923,591 | $ | 454,930 | ||||||||||||||
Less: Net income (loss) attributable to noncontrolling interest | (102 | ) | (385 | ) | (205 | ) | (547 | ) | ||||||||||||||||||||||||
Net income (loss) attributable to noncontrolling interest | (32 | ) | (102 | ) | (128 | ) | (205 | ) | ||||||||||||||||||||||||
Net income (loss) attributable to Annaly | 14,624 | (278,112 | ) | 455,135 | (1,146,030 | ) | 595,919 | 14,624 | 1,923,719 | 455,135 | ||||||||||||||||||||||
Less: Dividends on preferred stock | 23,473 | 17,992 | 46,946 | 35,984 | ||||||||||||||||||||||||||||
Dividends on preferred stock | 31,377 | 23,473 | 65,143 | 46,946 | ||||||||||||||||||||||||||||
Net income (loss) available (related) to common stockholders | $ | (8,849 | ) | $ | (296,104 | ) | $ | 408,189 | $ | (1,182,014 | ) | $ | 564,542 | $ | (8,849 | ) | $ | 1,858,576 | $ | 408,189 | ||||||||||||
Weighted average shares of common stock outstanding-basic | 1,019,000,817 | 924,887,316 | 1,018,971,942 | 925,850,452 | 1,160,436,777 | 1,019,000,817 | 1,160,029,575 | 1,018,971,942 | ||||||||||||||||||||||||
Add: Effect of stock awards, if dilutive | - | - | 385,755 | - | 542,674 | — | 514,005 | 385,755 | ||||||||||||||||||||||||
Weighted average shares of common stock outstanding-diluted | 1,019,000,817 | 924,887,316 | 1,019,357,697 | 925,850,452 | 1,160,979,451 | 1,019,000,817 | 1,160,543,580 | 1,019,357,697 | ||||||||||||||||||||||||
Net income (loss) per share available (related) to common share: | ||||||||||||||||||||||||||||||||
Basic | $ | (0.01 | ) | $ | (0.32 | ) | $ | 0.40 | $ | (1.28 | ) | $ | 0.49 | $ | (0.01 | ) | $ | 1.60 | $ | 0.40 | ||||||||||||
Diluted | $ | (0.01 | ) | $ | (0.32 | ) | $ | 0.40 | $ | (1.28 | ) | $ | 0.49 | $ | (0.01 | ) | $ | 1.60 | $ | 0.40 |
For the Six Months Ended | ||||||||||||||||
June 30, 2017 | June 30, 2016 | |||||||||||||||
Number of Shares | Exercise Price | Number of Shares | Exercise Price | |||||||||||||
Options outstanding at the beginning of period | 1,125,625 | $ | 15.43 | 1,168,775 | $ | 15.34 | ||||||||||
Granted | - | - | - | - | ||||||||||||
Exercised | - | - | - | - | ||||||||||||
Forfeited | (117,000 | ) | 15.85 | (6,400 | ) | 14.69 | ||||||||||
Expired | (199,500 | ) | 15.74 | (36,750 | ) | 12.90 | ||||||||||
Options outstanding at the end of period | 809,125 | $ | 15.29 | 1,125,625 | $ | 15.43 | ||||||||||
Options exercisable at the end of period | 809,125 | $ | 15.29 | 1,125,625 | $ | 15.43 |
Six Months Ended | |||||||||||||
June 30, 2018 | June 30, 2017 | ||||||||||||
Number of Shares | Weighted Average Exercise Price | Number of Shares | Weighted Average Exercise Price | ||||||||||
Options outstanding at the beginning of year | 794,125 | $ | 15.30 | 1,125,625 | $ | 15.43 | |||||||
Granted | — | — | — | — | |||||||||
Exercised | — | — | — | — | |||||||||
Forfeited | — | — | (117,000 | ) | 15.85 | ||||||||
Expired | (290,200 | ) | 16.45 | (199,500 | ) | 15.74 | |||||||
Options outstanding at the end of period | 503,925 | $ | 14.63 | 809,125 | $ | 15.29 | |||||||
Options exercisable at the end of the period | 503,925 | $ | 14.63 | 809,125 | $ | 15.29 |
Years Ending December 31, | Lease Commitments | ||
(dollars in thousands) | |||
2018 (remaining) | $ | 1,782 | |
2019 | 3,565 | ||
2020 | 3,652 | ||
2021 | 3,862 | ||
2022 | 3,862 | ||
Later years | 10,619 | ||
Total | $ | 27,342 |
Years Ending December 31, | Lease Commitments | |||
(dollars in thousands) | ||||
2017 (remaining) | $ | 1,849 | ||
2018 | 3,641 | |||
2019 | 3,565 | |||
2020 | 3,652 | |||
2021 | 3,862 | |||
Later years | 14,480 | |||
$ | 31,049 |
ITEM 2. MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS | ||||
INDEX TO ITEM 2. MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS | ||
Page | ||
Pending Acquisition of | ||
Core earnings and core earnings (excluding PAA), core earnings and core earnings | ||
(excluding PAA) per average common share and annualized core return on average equity (excluding PAA) | ||
Premium Amortization Adjustment | ||
| ||
income (excluding PAA) | ||
Capital, Liquidity and Funding Risk Management | ||
Residential | ||
Investment Groups | Description |
Annaly Agency Group | Invests in Agency mortgage-backed securities (“MBS”) collateralized by residential mortgages which are guaranteed by Fannie Mae, Freddie Mac or Ginnie Mae. |
Annaly Residential Credit Group | Invests |
Annaly Commercial Real Estate Group | Originates and invests in commercial mortgage loans, securities, and other commercial real estate debt and equity investments. |
Annaly Middle Market Lending Group | Provides |
June 30, 2017 | December 31, 2016 | June 30, 2016 | |
30-Year mortgage current coupon | 3.03% | 3.13% | 2.31% |
Mortgage basis | 73 bps | 68 bps | 84 bps |
10-Year U.S. Treasury rate | 2.30% | 2.44% | 1.47% |
LIBOR: | |||
1-Month | 1.22% | 0.77% | 0.47% |
6-Month | 1.45% | 1.32% | 0.92% |
June 30, 2018 | December 31, 2017 | June 30, 2017 | ||||
30-Year mortgage current coupon | 3.60% | 3.00% | 3.03% | |||
Mortgage basis | 74 bps | 59 bps | 73 bps | |||
10-Year U.S. Treasury rate | 2.86% | 2.41% | 2.30% | |||
LIBOR: | ||||||
1-Month | 2.09% | 1.56% | 1.22% | |||
6-Month | 2.50% | 1.84% | 1.45% |
For the Three Months Ended | For the Six Months Ended | |||||||||||||||
June 30, 2017 | June 30, 2016 | June 30, 2017 | June 30, 2016 | |||||||||||||
(dollars in thousands, except per share data) | ||||||||||||||||
Interest income | $ | 537,426 | $ | 457,118 | $ | 1,125,153 | $ | 845,261 | ||||||||
Interest expense | 222,281 | 152,755 | 420,706 | 300,202 | ||||||||||||
Net interest income | 315,145 | 304,363 | 704,447 | 545,059 | ||||||||||||
Realized and unrealized gains (losses) | (277,794 | ) | (523,785 | ) | (203,529 | ) | (1,579,338 | ) | ||||||||
Other income (loss) | 30,865 | (9,930 | ) | 62,511 | (16,045 | ) | ||||||||||
General and administrative expenses | 54,023 | 49,221 | 107,851 | 97,166 | ||||||||||||
Income (loss) before income taxes | 14,193 | (278,573 | ) | 455,578 | (1,147,490 | ) | ||||||||||
Income taxes | (329 | ) | (76 | ) | 648 | (913 | ) | |||||||||
Net income (loss) | 14,522 | (278,497 | ) | 454,930 | (1,146,577 | ) | ||||||||||
Net income (loss) attributable to noncontrolling interest | (102 | ) | (385 | ) | (205 | ) | (547 | ) | ||||||||
Net income (loss) attributable to Annaly | 14,624 | (278,112 | ) | 455,135 | (1,146,030 | ) | ||||||||||
Dividends on preferred stock | 23,473 | 17,992 | 46,946 | 35,984 | ||||||||||||
Net income (loss) available (related) to common stockholders | $ | (8,849 | ) | $ | (296,104 | ) | $ | 408,189 | $ | (1,182,014 | ) | |||||
Net income (loss) per share available (related) to common stockholders: | ||||||||||||||||
Basic | $ | (0.01 | ) | $ | (0.32 | ) | $ | 0.40 | $ | (1.28 | ) | |||||
Diluted | $ | (0.01 | ) | $ | (0.32 | ) | $ | 0.40 | $ | (1.28 | ) | |||||
Weighted average number of common shares outstanding: | ||||||||||||||||
Basic | 1,019,000,817 | 924,887,316 | 1,018,971,942 | 925,850,452 | ||||||||||||
Diluted | 1,019,000,817 | 924,887,316 | 1,019,357,697 | 925,850,452 | ||||||||||||
Other information: | ||||||||||||||||
Asset portfolio at period-end | $ | 83,338,423 | $ | 73,419,197 | $ | 83,338,423 | $ | 73,419,197 | ||||||||
Average total assets | $ | 84,817,768 | $ | 77,580,218 | $ | 85,846,860 | $ | 76,783,776 | ||||||||
Average equity | $ | 12,628,387 | $ | 11,609,940 | $ | 12,610,915 | $ | 11,708,601 | ||||||||
Leverage at period-end (1) | 5.6:1 | 5.3:1 | 5.6:1 | 5.3:1 | ||||||||||||
Economic leverage at period-end (2) | 6.4:1 | 6.1:1 | 6.4:1 | 6.1:1 | ||||||||||||
Capital ratio (3) | 13.2 | % | 13.2 | % | 13.2 | % | 13.2 | % | ||||||||
Annualized return on average total assets | 0.07 | % | (1.44 | %) | 1.06 | % | (2.99 | %) | ||||||||
Annualized return (loss) on average equity | 0.46 | % | (9.60 | %) | 7.21 | % | (19.59 | %) | ||||||||
Annualized core return on average equity (excluding PAA) (4) | 10.54 | % | 9.73 | % | 10.61 | % | 9.81 | % | ||||||||
Net interest margin (5) | 1.23 | % | 1.15 | % | 1.35 | % | 0.97 | % | ||||||||
Net interest margin (excluding PAA) (4) | 1.53 | % | 1.54 | % | 1.54 | % | 1.54 | % | ||||||||
Average yield on Interest Earning Assets | 2.58 | % | 2.48 | % | 2.66 | % | 2.29 | % | ||||||||
Average yield on Interest Earning Assets (excluding PAA) (4) | 2.93 | % | 2.95 | % | 2.88 | % | 2.98 | % | ||||||||
Average cost of Interest Bearing Liabilities | 1.74 | % | 1.68 | % | 1.66 | % | 1.71 | % | ||||||||
Net interest spread | 0.84 | % | 0.80 | % | 1.00 | % | 0.58 | % | ||||||||
Net interest spread (excluding PAA) (4) | 1.19 | % | 1.27 | % | 1.22 | % | 1.27 | % | ||||||||
Constant prepayment rate (6) | 10.9 | % | 12.7 | % | 11.2 | % | 10.8 | % | ||||||||
Long-term constant prepayment rate (6) | 10.6 | % | 13.0 | % | 10.6 | % | 13.0 | % | ||||||||
Common stock book value per share | $ | 11.19 | $ | 11.50 | $ | 11.19 | $ | 11.50 | ||||||||
Interest income (excluding PAA) (4) | $ | 610,126 | $ | 542,701 | $ | 1,215,723 | $ | 1,099,252 | ||||||||
Economic interest expense (4) | $ | 306,533 | $ | 261,056 | $ | 593,924 | $ | 531,627 | ||||||||
Economic net interest income (excluding PAA) (4) | $ | 303,593 | $ | 281,645 | $ | 621,799 | $ | 567,625 | ||||||||
Core earnings (4) | $ | 259,901 | $ | 196,593 | $ | 577,929 | $ | 319,942 | ||||||||
Premium amortization adjustment cost (benefit) | $ | 72,700 | $ | 85,583 | $ | 90,570 | $ | 253,991 | ||||||||
Core earnings (excluding PAA) (4) | $ | 332,601 | $ | 282,176 | $ | 668,499 | $ | 573,933 | ||||||||
Core earnings per common share (4) | $ | 0.23 | $ | 0.19 | $ | 0.52 | $ | 0.31 | ||||||||
PAA cost (benefit) per common share (4) | $ | 0.07 | $ | 0.10 | $ | 0.09 | $ | 0.27 | ||||||||
Core earnings per common share (excluding PAA) (4) | $ | 0.30 | $ | 0.29 | $ | 0.61 | $ | 0.58 |
Three Months Ended | Six Months Ended | ||||||||||||||
June 30, 2018 | June 30, 2017 | June 30, 2018 | June 30, 2017 | ||||||||||||
(dollars in thousands, except per share data) | |||||||||||||||
Interest income | $ | 776,806 | $ | 537,426 | $ | 1,656,293 | $ | 1,125,153 | |||||||
Interest expense | 442,692 | 222,281 | 810,113 | 420,706 | |||||||||||
Net interest income | 334,114 | 315,145 | 846,180 | 704,447 | |||||||||||
Realized and unrealized gains (losses) | 294,646 | (277,794 | ) | 1,139,335 | (203,529 | ) | |||||||||
Other income (loss) | 34,170 | 30,865 | 68,193 | 62,511 | |||||||||||
Less: General and administrative expenses | 63,781 | 54,023 | 126,291 | 107,851 | |||||||||||
Income (loss) before income taxes | 599,149 | 14,193 | 1,927,417 | 455,578 | |||||||||||
Income taxes | 3,262 | (329 | ) | 3,826 | 648 | ||||||||||
Net income (loss) | 595,887 | 14,522 | 1,923,591 | 454,930 | |||||||||||
Net income (loss) attributable to noncontrolling interest | (32 | ) | (102 | ) | (128 | ) | (205 | ) | |||||||
Net income (loss) attributable to Annaly | 595,919 | 14,624 | 1,923,719 | 455,135 | |||||||||||
Dividends on preferred stock | 31,377 | 23,473 | 65,143 | 46,946 | |||||||||||
Net income (loss) available (related) to common stockholders | $ | 564,542 | $ | (8,849 | ) | $ | 1,858,576 | $ | 408,189 | ||||||
Net income (loss) per share available (related) to common stockholders: | |||||||||||||||
Basic | $ | 0.49 | $ | (0.01 | ) | $ | 1.60 | $ | 0.40 | ||||||
Diluted | $ | 0.49 | $ | (0.01 | ) | $ | 1.60 | $ | 0.40 | ||||||
Weighted average number of common shares outstanding: | |||||||||||||||
Basic | 1,160,436,777 | 1,019,000,817 | 1,160,029,575 | 1,018,971,942 | |||||||||||
Diluted | 1,160,979,451 | 1,019,000,817 | 1,160,543,580 | 1,019,357,697 | |||||||||||
Other information: | |||||||||||||||
Asset portfolio at period-end | $ | 96,314,032 | $ | 83,338,423 | $ | 96,314,032 | $ | 83,338,423 | |||||||
Average total assets | $ | 99,607,615 | $ | 84,817,768 | $ | 100,325,093 | $ | 85,846,860 | |||||||
Average equity | $ | 13,858,396 | $ | 12,628,387 | $ | 14,196,121 | $ | 12,610,915 | |||||||
Leverage at period-end (1) | 6.0:1 | 5.6:1 | 6.0:1 | 5.6:1 | |||||||||||
Economic leverage at period-end (2) | 6.4:1 | 6.4:1 | 6.4:1 | 6.4:1 | |||||||||||
Capital ratio (3) | 13.2 | % | 13.2 | % | 13.2 | % | 13.2 | % | |||||||
Annualized return on average total assets | 2.39 | % | 0.07 | % | 3.83 | % | 1.06 | % | |||||||
Annualized return (loss) on average equity | 17.20 | % | 0.46 | % | 27.10 | % | 7.21 | % | |||||||
Annualized core return on average equity (excluding PAA) (4) | 11.05 | % | 10.54 | % | 10.83 | % | 10.61 | % | |||||||
Net interest margin (5) | 1.53 | % | 1.23 | % | 1.74 | % | 1.35 | % | |||||||
Net interest margin (excluding PAA) (4) | 1.56 | % | 1.53 | % | 1.54 | % | 1.54 | % | |||||||
Average yield on interest earning assets | 3.04 | % | 2.58 | % | 3.24 | % | 2.66 | % | |||||||
Average yield on interest earning assets (excluding PAA) (4) | 3.07 | % | 2.93 | % | 3.03 | % | 2.88 | % | |||||||
Average cost of interest bearing liabilities (6) | 1.89 | % | 1.74 | % | 1.90 | % | 1.66 | % | |||||||
Net interest spread | 1.15 | % | 0.84 | % | 1.34 | % | 1.00 | % | |||||||
Net interest spread (excluding PAA) (4) | 1.18 | % | 1.19 | % | 1.13 | % | 1.22 | % | |||||||
Constant prepayment rate | 10.1 | % | 10.9 | % | 9.5 | % | 11.2 | % | |||||||
Long-term constant prepayment rate | 9.1 | % | 10.6 | % | 9.1 | % | 10.6 | % | |||||||
Common stock book value per share | $ | 10.35 | $ | 11.19 | $ | 10.35 | $ | 11.19 | |||||||
Interest income (excluding PAA) (4) | $ | 784,322 | $ | 610,126 | $ | 1,545,414 | $ | 1,215,723 | |||||||
Economic interest expense (4) (6) | $ | 411,217 | $ | 306,533 | $ | 826,798 | $ | 593,924 | |||||||
Economic net interest income (excluding PAA) (4) | $ | 373,105 | $ | 303,593 | $ | 718,616 | $ | 621,799 | |||||||
Core earnings (4) | $ | 375,297 | $ | 259,901 | $ | 878,964 | $ | 577,929 | |||||||
Premium amortization adjustment cost (benefit) | $ | 7,516 | $ | 72,700 | $ | (110,879 | ) | $ | 90,570 | ||||||
Core earnings (excluding PAA) (4) | $ | 382,813 | $ | 332,601 | $ | 768,085 | $ | 668,499 | |||||||
Core earnings per common share (4) | $ | 0.30 | $ | 0.23 | $ | 0.70 | $ | 0.52 | |||||||
PAA cost (benefit) per common share (4) | $ | — | $ | 0.07 | $ | (0.09 | ) | $ | 0.09 | ||||||
Core earnings (excluding PAA) per common share (4) | $ | 0.30 | $ | 0.30 | $ | 0.61 | $ | 0.61 |
(1) | Debt consists of repurchase agreements, other secured financing, |
(2) | Computed as the sum of |
(3) | Represents the ratio of stockholders’ equity to total assets (inclusive of total market value of TBA derivatives and exclusive of securitized debt of consolidated |
(4) | Represents a non-GAAP financial measure. Refer to the “Non-GAAP Financial Measures” section for additional information. |
(5) | Represents the sum of |
(6) | Includes GAAP interest expense and the |
core earnings and core earnings (excluding PAA); |
core earnings and core earnings (excluding PAA) per average common share; |
annualized core return on average equity (excluding PAA); |
interest income (excluding PAA); |
economic interest expense; |
economic net interest income (excluding PAA); |
average yield on Interest Earning Assets (excluding PAA); |
net interest margin (excluding PAA); and |
net interest spread (excluding PAA). |
For the Three Months Ended | For the Six Months Ended | |||||||||||||||
June 30, 2017 | June 30, 2016 | June 30, 2017 | June 30, 2016 | |||||||||||||
(dollars in thousands) | ||||||||||||||||
Premium amortization expense (accretion) | $ | 251,084 | $ | 265,475 | $ | 454,718 | $ | 621,146 | ||||||||
Less: PAA Cost (Benefit) | 72,700 | 85,583 | 90,570 | 253,991 | ||||||||||||
Premium amortization expense exclusive of PAA | $ | 178,384 | $ | 179,892 | $ | 364,148 | $ | 367,155 | ||||||||
For the Three Months Ended | For the Six Months Ended | |||||||||||||||
June 30, 2017 | June 30, 2016 | June 30, 2017 | June 30, 2016 | |||||||||||||
(per average common share) | ||||||||||||||||
Premium amortization expense (accretion) | $ | 0.25 | $ | 0.29 | $ | 0.45 | $ | 0.67 | ||||||||
Less: PAA Cost (Benefit) | 0.07 | 0.10 | 0.09 | 0.27 | ||||||||||||
Premium amortization expense exclusive of PAA | $ | 0.18 | $ | 0.19 | $ | 0.36 | $ | 0.40 |
For the Three Months Ended | For the Six Months Ended | |||||||||||||||
June 30, 2017 | June 30, 2016 | June 30, 2017 | June 30, 2016 | |||||||||||||
(dollars in thousands, except per share data) | ||||||||||||||||
GAAP net income (loss) | $ | 14,522 | $ | (278,497 | ) | $ | 454,930 | $ | (1,146,577 | ) | ||||||
Less: | ||||||||||||||||
Realized (gains) losses on termination of interest rate swaps | 58 | 60,064 | 58 | 60,064 | ||||||||||||
Unrealized (gains) losses on interest rate swaps | 177,567 | 373,220 | 28,383 | 1,404,940 | ||||||||||||
Net (gains) losses on disposal of investments | 5,516 | (12,535 | ) | 281 | (10,860 | ) | ||||||||||
Net (gains) losses on trading assets | 14,423 | (81,880 | ) | 14,104 | (207,069 | ) | ||||||||||
Net unrealized (gains) losses on financial instruments measured at fair value through earnings | (16,240 | ) | 54,154 | (39,923 | ) | 54,026 | ||||||||||
Corporate acquisition related expenses (1) | - | 2,163 | - | 2,163 | ||||||||||||
Net (income) loss attributable to noncontrolling interest | 102 | 385 | 205 | 547 | ||||||||||||
Plus: | ||||||||||||||||
TBA dollar roll income (loss) (2) | 81,051 | 79,519 | 151,019 | 162,708 | ||||||||||||
MSR amortization (3) | (17,098 | ) | - | (31,128 | ) | - | ||||||||||
Core earnings (4) | $ | 259,901 | $ | 196,593 | $ | 577,929 | $ | 319,942 | ||||||||
Less: | ||||||||||||||||
Premium amortization adjustment cost (benefit) | 72,700 | 85,583 | 90,570 | 253,991 | ||||||||||||
Core earnings (excluding PAA) (4) | $ | 332,601 | $ | 282,176 | $ | 668,499 | $ | 573,933 | ||||||||
GAAP net income (loss) per common share (5) | $ | (0.01 | ) | $ | (0.32 | ) | $ | 0.40 | $ | (1.28 | ) | |||||
Core earnings per common share (4)(5) | $ | 0.23 | $ | 0.19 | $ | 0.52 | $ | 0.31 | ||||||||
Core earnings per common share (excluding PAA) (4)(5) | $ | 0.30 | $ | 0.29 | $ | 0.61 | $ | 0.58 | ||||||||
Annualized GAAP return (loss) on average equity | 0.46 | % | (9.60 | %) | 7.21 | % | (19.59 | %) | ||||||||
Annualized core return on average equity (excluding PAA) (4) | 10.54 | % | 9.73 | % | 10.61 | % | 9.81 | % |
Three Months Ended | Six Months Ended | ||||||||||||||
June 30, 2018 | June 30, 2017 | June 30, 2018 | June 30, 2017 | ||||||||||||
(dollars in thousands, except per share data) | |||||||||||||||
GAAP net income (loss) | $ | 595,887 | $ | 14,522 | $ | 1,923,591 | $ | 454,930 | |||||||
Less: | |||||||||||||||
Realized (gains) losses on termination or maturity of interest rate swaps | — | 58 | (834 | ) | 58 | ||||||||||
Unrealized (gains) losses on interest rate swaps | (343,475 | ) | 177,567 | (1,320,760 | ) | 28,383 | |||||||||
Net (gains) losses on disposal of investments | 66,117 | 5,516 | 52,649 | 281 | |||||||||||
Net (gains) losses on other derivatives | (34,189 | ) | 14,423 | 12,956 | 14,104 | ||||||||||
Net unrealized (gains) losses on instruments measured at fair value through earnings | 48,376 | (16,240 | ) | 99,969 | (39,923 | ) | |||||||||
Transaction expenses (1) | — | — | 1,519 | — | |||||||||||
Net (income) loss attributable to noncontrolling interest | 32 | 102 | 128 | 205 | |||||||||||
Plus: | |||||||||||||||
TBA dollar roll income (loss) (2) | 62,491 | 81,051 | 150,844 | 151,019 | |||||||||||
MSR amortization (3) | (19,942 | ) | (17,098 | ) | (41,098 | ) | (31,128 | ) | |||||||
Core earnings (4) | 375,297 | 259,901 | $ | 878,964 | $ | 577,929 | |||||||||
Less: | |||||||||||||||
Premium amortization adjustment cost (benefit) | 7,516 | 72,700 | (110,879 | ) | 90,570 | ||||||||||
Core earnings (excluding PAA) (4) | $ | 382,813 | $ | 332,601 | $ | 768,085 | $ | 668,499 | |||||||
GAAP net income (loss) per common share | $ | 0.49 | $ | (0.01 | ) | $ | 1.60 | $ | 0.40 | ||||||
Core earnings per common share (4) | $ | 0.30 | $ | 0.23 | $ | 0.70 | $ | 0.52 | |||||||
Core earnings (excluding PAA) per common share (4) | $ | 0.30 | $ | 0.30 | $ | 0.61 | $ | 0.61 | |||||||
Annualized GAAP return (loss) on average equity | 17.20 | % | 0.46 | % | 27.10 | % | 7.21 | % | |||||||
Annualized core return on average equity (excluding PAA) (4) | 11.05 | % | 10.54 | % | 10.83 | % | 10.61 | % |
(1) | Represents a securitization of residential whole loans. |
(2) | Represents a component of Net gains (losses) on |
(3) | Represents the portion of changes in fair value that is attributable to the realization of estimated cash flows on our MSR portfolio and is reported as a component of Net unrealized (gains) losses on |
(4) | Represents a non-GAAP financial measure. Refer to the “Non-GAAP Financial Measures” section for additional information. |
GAAP Interest Income | PAA cost (benefit) | Interest income (excluding PAA) | ||||||||||
Three Months Ended: | (dollars in thousands) | |||||||||||
June 30, 2017 | $ | 537,426 | $ | 72,700 | $ | 610,126 | ||||||
June 30, 2016 | $ | 457,118 | $ | 85,583 | $ | 542,701 | ||||||
Six Months Ended: | ||||||||||||
June 30, 2017 | $ | 1,125,153 | $ | 90,570 | $ | 1,215,723 | ||||||
June 30, 2016 | $ | 845,261 | $ | 253,991 | $ | 1,099,252 |
GAAP Interest Expense | Add: Interest Expense on Interest Rate Swaps Used to Hedge Cost of Funds (1) | Economic Interest Expense | GAAP Net Interest Income | Less: Interest Expense on Interest Rate Swaps Used to Hedge Cost of Funds (1) | Economic Net Interest Income | Add: PAA Cost (Benefit) | Economic Net Interest Income (excluding PAA) | |||||||||||||||||||||||||
Three Months Ended: | (dollars in thousands) | (dollars in thousands) | ||||||||||||||||||||||||||||||
June 30, 2017 | $ | 222,281 | $ | 84,252 | $ | 306,533 | $ | 315,145 | $ | 84,252 | $ | 230,893 | $ | 72,700 | $ | 303,593 | ||||||||||||||||
June 30, 2016 | $ | 152,755 | $ | 108,301 | $ | 261,056 | $ | 304,363 | $ | 108,301 | $ | 196,062 | $ | 85,583 | $ | 281,645 | ||||||||||||||||
Six Months Ended: | ||||||||||||||||||||||||||||||||
June 30, 2017 | $ | 420,706 | $ | 173,218 | $ | 593,924 | $ | 704,447 | $ | 173,218 | $ | 531,229 | $ | 90,570 | $ | 621,799 | ||||||||||||||||
June 30, 2016 | $ | 300,202 | $ | 231,425 | $ | 531,627 | $ | 545,059 | $ | 231,425 | $ | 313,634 | $ | 253,991 | $ | 567,625 |
Three Months Ended | Six Months Ended | ||||||||||||||
June 30, 2018 | June 30, 2017 | June 30, 2018 | June 30, 2017 | ||||||||||||
(dollars in thousands) | |||||||||||||||
Premium amortization expense | $ | 202,426 | $ | 251,084 | $ | 298,258 | $ | 454,718 | |||||||
Less: PAA cost (benefit) | 7,516 | 72,700 | (110,879 | ) | 90,570 | ||||||||||
Premium amortization expense (excluding PAA) | $ | 194,910 | $ | 178,384 | $ | 409,137 | $ | 364,148 |
Three Months Ended | Six Months Ended | ||||||||||||||
June 30, 2018 | June 30, 2017 | June 30, 2018 | June 30, 2017 | ||||||||||||
(per average common share) | |||||||||||||||
Premium amortization expense | $ | 0.17 | $ | 0.25 | $ | 0.26 | $ | 0.45 | |||||||
Less: PAA cost (benefit) | — | 0.07 | (0.09 | ) | 0.09 | ||||||||||
Premium amortization expense (excluding PAA) | $ | 0.17 | $ | 0.18 | $ | 0.35 | $ | 0.36 |
Three Months Ended | Experienced CPR(1) | Projected Long- term CPR(2) |
June 30, 2017 | 10.9% | 10.6% |
June 30, 2016 | 12.7% | 13.0% |
Six Months Ended | Experienced CPR(1) | Projected Long- term CPR(2) |
June 30, 2017 | 11.2% | 10.6% |
June 30, 2016 | 10.8% | 13.0% |
(1) For the three and six months ended June 30, 2017 and 2016, respectively. (2) As of June 30, 2017 and 2016, respectively. |
Three Months Ended | Experienced CPR (1) | Projected Long-term CPR (2) | ||
June 30, 2018 | 10.1% | 9.1% | ||
June 30, 2017 | 10.9% | 10.6% | ||
Six Months Ended | Experienced CPR (1) | Long-term CPR (2) | ||
June 30, 2018 | 9.5% | 9.1% | ||
June 30, 2017 | 11.2% | 10.6% |
(1) | For the three and six months ended June 30, 2018 and 2017, respectively. |
(2) | At June 30, 2018 and 2017, respectively. |
GAAP Interest Income | PAA Cost (Benefit) | Interest Income (excluding PAA) | |||||||||
Three Months Ended: | (dollars in thousands) | ||||||||||
June 30, 2018 | $ | 776,806 | $ | 7,516 | $ | 784,322 | |||||
June 30, 2017 | $ | 537,426 | $ | 72,700 | $ | 610,126 | |||||
Six Months Ended: | |||||||||||
June 30, 2018 | $ | 1,656,293 | $ | (110,879 | ) | $ | 1,545,414 | ||||
June 30, 2017 | $ | 1,125,153 | $ | 90,570 | $ | 1,215,723 |
GAAP Interest Expense | Add: Net Interest Component of Interest Rate Swaps (1) | Economic Interest Expense | GAAP Net Interest Income | Less: Net Interest Component of Interest Rate Swaps (1) | Economic Net Interest Income | Add: PAA Cost (Benefit) | Economic Net Interest Income (excluding PAA) | ||||||||||||||||||||||||
Three Months Ended: | (dollars in thousands) | ||||||||||||||||||||||||||||||
June 30, 2018 | $ | 442,692 | $ | (31,475 | ) | $ | 411,217 | $ | 334,114 | $ | (31,475 | ) | $ | 365,589 | $ | 7,516 | $ | 373,105 | |||||||||||||
June 30, 2017 | $ | 222,281 | $ | 84,252 | $ | 306,533 | $ | 315,145 | $ | 84,252 | $ | 230,893 | $ | 72,700 | $ | 303,593 | |||||||||||||||
Six Months Ended: | |||||||||||||||||||||||||||||||
June 30, 2018 | $ | 810,113 | $ | 16,685 | $ | 826,798 | $ | 846,180 | $ | 16,685 | $ | 829,495 | $ | (110,879 | ) | $ | 718,616 | ||||||||||||||
June 30, 2017 | $ | 420,706 | $ | 173,218 | $ | 593,924 | $ | 704,447 | $ | 173,218 | $ | 531,229 | $ | 90,570 | $ | 621,799 |
(1) | Prior to the three months ended March 31, 2018, economic interest expense included the net interest component of interest rate swaps used to hedge cost of funds. Beginning with the three months ended March 31, 2018, as a result of changes to our hedging portfolio, this metric reflects the net interest component of all interest rate swaps. |
Average Interest Earning Assets (1) | Interest income (excluding PAA) (2) | Average Yield on Interest Earning Assets (excluding PAA) (2) | Average Interest Bearing Liabilities | Economic Interest Expense (2)(3) | Average Cost of Interest Bearing Liabilities | Economic Net Interest Income (excluding PAA) (2)(3) | Net Interest Spread (excluding PAA) (2) | Net Interest Margin (excluding PAA) (2)(4) | ||||||||||||||||||||||||||||
Three Months Ended: | (dollars in thousands) | |||||||||||||||||||||||||||||||||||
June 30, 2017 | $ | 83,427,268 | $ | 610,126 | 2.93 | % | $ | 70,486,779 | $ | 306,533 | 1.74 | % | $ | 303,593 | 1.19 | % | 1.53 | % | ||||||||||||||||||
June 30, 2016 | $ | 73,587,753 | $ | 542,701 | 2.95 | % | $ | 62,049,474 | $ | 261,056 | 1.68 | % | $ | 281,645 | 1.27 | % | 1.54 | % | ||||||||||||||||||
For the Six Months Ended: | ||||||||||||||||||||||||||||||||||||
June 30, 2017 | $ | 84,545,709 | $ | 1,215,723 | 2.88 | % | $ | 71,454,874 | $ | 593,924 | 1.66 | % | $ | 621,799 | 1.22 | % | 1.54 | % | ||||||||||||||||||
June 30, 2016 | $ | 73,879,848 | $ | 1,099,252 | 2.98 | % | $ | 62,214,585 | $ | 531,627 | 1.71 | % | $ | 567,625 | 1.27 | % | 1.54 | % |
Average Interest Earning Assets (1) | Interest Income (excluding PAA) (2) | Average Yield on Interest Earning Assets (excluding PAA) (2) | Average Interest Bearing Liabilities | Economic Interest Expense (2)(3) | Average Cost of Interest Bearing Liabilities (3) | Economic Net Interest Income (excluding PAA) (2) | Net Interest Spread (excluding PAA) (2) | |||||||||||||||||||||
Three Months Ended: | (dollars in thousands) | |||||||||||||||||||||||||||
June 30, 2018 | $ | 102,193,435 | $ | 784,322 | 3.07 | % | $ | 87,103,807 | $ | 411,217 | 1.89 | % | $ | 373,105 | 1.18 | % | ||||||||||||
June 30, 2017 | $ | 83,427,268 | $ | 610,126 | 2.93 | % | $ | 70,486,779 | $ | 306,533 | 1.74 | % | $ | 303,593 | 1.19 | % | ||||||||||||
Six Months Ended: | ||||||||||||||||||||||||||||
June 30, 2018 | $ | 102,086,239 | $ | 1,545,414 | 3.03 | % | $ | 87,240,130 | $ | 826,798 | 1.90 | % | $ | 718,616 | 1.13 | % | ||||||||||||
June 30, 2017 | $ | 84,545,709 | $ | 1,215,723 | 2.88 | % | $ | 71,454,874 | $ | 593,924 | 1.66 | % | $ | 621,799 | 1.22 | % |
(1) | Does not reflect the unrealized gains/(losses). |
(2) | Represents a non-GAAP financial measure. Refer to the “Non-GAAP Financial Measures” section for additional information. |
(3) |
Interest Income (excluding PAA) (1) | TBA Dollar Roll Income | Interest Expense | Net Interest Component of Interest Rate Swaps | Subtotal | Average Interest Earnings Assets | Average TBA Contract Balances | Subtotal | Net Interest Margin (excluding PAA) (1) | |||||||||||||||||||||
Three Months Ended: | (dollars in thousands) | ||||||||||||||||||||||||||||
June 30, 2018 | $ | 784,322 | 62,491 | (442,692 | ) | 31,475 | $ | 435,596 | 102,193,435 | 9,407,819 | $ | 111,601,254 | 1.56 | % | |||||||||||||||
June 30, 2017 | $ | 610,126 | 81,051 | (222,281 | ) | (96,470 | ) | $ | 372,426 | 83,427,268 | 14,206,869 | $ | 97,634,137 | 1.53 | % | ||||||||||||||
Six Months Ended: | |||||||||||||||||||||||||||||
June 30, 2018 | $ | 1,545,414 | 150,844 | (810,113 | ) | (16,685 | ) | $ | 869,460 | 102,086,239 | 10,729,080 | $ | 112,815,319 | 1.54 | % | ||||||||||||||
June 30, 2017 | $ | 1,215,723 | 151,019 | (420,706 | ) | (200,626 | ) | $ | 745,410 | 84,545,709 | 12,431,327 | $ | 96,977,036 | 1.54 | % |
Represents a non-GAAP financial measure. Refer to the “Non-GAAP Financial Measures” section for additional information. |
Average Interest Bearing Liabilities | Interest Bearing Liabilities at Period End | Economic Interest Expense(1) | Average Cost of Interest Bearing Liabilities | Average One- Month LIBOR | Average Six- Month LIBOR | Average One-Month LIBOR Relative to Average Six-Month LIBOR | Average Cost of Interest Bearing Liabilities Relative to Average One- Month LIBOR | Average Cost of Interest Bearing Liabilities Relative to Average Six- Month LIBOR | Average Interest Bearing Liabilities | Interest Bearing Liabilities at Period End | Economic Interest Expense (1) | Average Cost of Interest Bearing Liabilities | Average One- Month LIBOR | Average Six- Month LIBOR | Average One-Month LIBOR Relative to Average Six-Month LIBOR | Average Cost of Interest Bearing Liabilities Relative to Average One-Month LIBOR | Average Cost of Interest Bearing Liabilities Relative to Average Six-Month LIBOR | ||||||||||||||||||||||||||||||||||||||||||||||||
Three Months Ended: | (dollars in thousands) | (dollars in thousands) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
June 30, 2018 | $ | 87,103,807 | $ | 82,249,834 | $ | 411,217 | 1.89 | % | 1.97 | % | 2.50 | % | (0.53 | %) | (0.08 | )% | (0.61 | )% | |||||||||||||||||||||||||||||||||||||||||||||||
June 30, 2017 | $ | 70,486,779 | $ | 69,721,618 | $ | 306,533 | 1.74 | % | 1.06 | % | 1.42 | % | (0.36 | %) | 0.68 | % | 0.32 | % | $ | 70,486,779 | $ | 69,721,618 | $ | 306,533 | 1.74 | % | 1.06 | % | 1.42 | % | (0.36 | )% | 0.68 | % | 0.32 | % | |||||||||||||||||||||||||||||
June 30, 2016 | $ | 62,049,474 | $ | 61,218,079 | $ | 261,056 | 1.68 | % | 0.44 | % | 0.92 | % | (0.48 | %) | 1.24 | % | 0.76 | % | |||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended: | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Six Months Ended: | Six Months Ended: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
June 30, 2018 | $ | 87,240,130 | $ | 82,249,834 | $ | 826,798 | 1.90 | % | 1.81 | % | 2.30 | % | (0.49 | )% | 0.09 | % | (0.40 | )% | |||||||||||||||||||||||||||||||||||||||||||||||
June 30, 2017 | $ | 71,454,874 | $ | 69,721,618 | $ | 593,924 | 1.66 | % | 0.94 | % | 1.40 | % | (0.46 | %) | 0.72 | % | 0.26 | % | $ | 71,454,874 | $ | 69,721,618 | $ | 593,924 | 1.66 | % | 0.94 | % | 1.40 | % | (0.46 | )% | 0.72 | % | 0.26 | % | |||||||||||||||||||||||||||||
June 30, 2016 | $ | 62,214,585 | $ | 61,218,079 | $ | 531,627 | 1.71 | % | 0.44 | % | 0.90 | % | (0.46 | %) | 1.27 | % | 0.81 | % |
(1) | Economic interest expense includes the net interest component of interest rate swaps. Prior to the three months ended March 31, 2018, economic interest expense included the net interest component of interest rate swaps used to hedge cost of funds. Beginning with the three months ended March 31, 2018, as a result of changes to our hedging portfolio, this metric reflects the net interest component of all interest rate swaps. |
Three Months Ended | Six Months Ended | ||||||||||||||
June 30, 2018 | June 30, 2017 | June 30, 2018 | June 30, 2017 | ||||||||||||
(dollars in thousands) | |||||||||||||||
Net gains (losses) on interest rate swaps (1) | $ | 374,950 | $ | (274,095 | ) | $ | 1,304,909 | $ | (229,067 | ) | |||||
Net gains (losses) on disposal of investments | (66,117 | ) | (5,516 | ) | (52,649 | ) | (281 | ) | |||||||
Net gains (losses) on other derivatives | 34,189 | (14,423 | ) | (12,956 | ) | (14,104 | ) | ||||||||
Net unrealized gains (losses) on instruments measured at fair value through earnings | (48,376 | ) | 16,240 | (99,969 | ) | 39,923 | |||||||||
Total | $ | 294,646 | $ | (277,794 | ) | $ | 1,139,335 | $ | (203,529 | ) |
(1) | Includes the net interest component of interest rate swaps, realized gains (losses) on termination or maturity of interest rate swaps and unrealized gains (losses) on interest rate swaps. |
For the Three Months Ended, | For the Six Months Ended, | |||||||||||||||
June 30, 2017 | June 30, 2016 | June 30, 2017 | June 30, 2016 | |||||||||||||
Net gains (losses) on interest rate swaps (1) | $ | (274,095 | ) | $ | (564,046 | ) | $ | (229,067 | ) | $ | (1,743,241 | ) | ||||
Net gains (losses) on disposal of investments | (5,516 | ) | 12,535 | (281 | ) | 10,860 | ||||||||||
Net gains (losses) on trading assets | (14,423 | ) | 81,880 | (14,104 | ) | 207,069 | ||||||||||
Net unrealized gains (losses) on investments measured at fair value through earnings | 16,240 | (54,154 | ) | 39,923 | (54,026 | ) | ||||||||||
Total | $ | (277,794 | ) | $ | (523,785 | ) | $ | (203,529 | ) | $ | (1,579,338 | ) |
Total G&A Expenses (1) | Total G&A Expenses/Average Assets (1) | Total G&A Expenses/Average Equity (1) | ||||||||||
For the Three Months Ended: | (dollars in thousands) | |||||||||||
June 30, 2017 | $ | 54,023 | 0.25% | 1.71% | ||||||||
June 30, 2016 | $ | 49,221 | 0.25% | 1.70% | ||||||||
For the Six Months Ended: | ||||||||||||
June 30, 2017 | $ | 107,851 | 0.25% | 1.71% | ||||||||
June 30, 2016 | $ | 97,166 | 0.25% | 1.66% | ||||||||
(1) Includes $2.2 million of acquisition costs attributable for the Hatteras Acquisition for the three months and six months ended June 30, 2016. |
Total G&A Expenses | Total G&A Expenses/Average Assets (1) | Total G&A Expenses/Average Equity (1) | ||||||
Three Months Ended: | (dollars in thousands) | |||||||
June 30, 2018 | $ | 63,781 | 0.26% | 1.84% | ||||
June 30, 2017 | $ | 54,023 | 0.25% | 1.71% | ||||
Six Months Ended: | ||||||||
June 30, 2018 | $ | 126,291 | 0.25% | 1.78% | ||||
June 30, 2017 | $ | 107,851 | 0.25% | 1.71% |
(1) | Includes $1.5 million of transaction costs incurred in connection with a securitization of residential whole loans for the six months ended June 30, 2018. Excluding these transaction costs, G&A expenses as a percentage of average total assets were 0.25% and as a percentage of average equity were 1.76% for the six months ended June 30, 2018. |
June 30, 2017 | December 31, 2016 | June 30, 2018 | December 31, 2017 | |||||||||||||
(dollars in thousands) | (dollars in thousands) | |||||||||||||||
Unrealized gain | $ | 250,153 | $ | 275,680 | $ | 55,406 | $ | 157,818 | ||||||||
Unrealized loss | (1,100,920 | ) | (1,361,573 | ) | (3,489,853 | ) | (1,283,838 | ) | ||||||||
Net unrealized gain (loss) | $ | (850,767 | ) | $ | (1,085,893 | ) | $ | (3,434,447 | ) | $ | (1,126,020 | ) |
Economic Net Interest Income/Average Equity (1) | Realized and Unrealized Gains and Losses/Average Equity (2) | Other Income (Loss)/Average Equity (3) | G&A Expenses/Average Equity | Income Taxes/Average Equity | Return on Average Equity | |||||||
Three Months Ended: | ||||||||||||
June 30, 2018 | 10.55% | 7.59% | 0.99% | (1.84%) | (0.09%) | 17.20% | ||||||
June 30, 2017 | 7.31% | (6.13%) | 0.98% | (1.71%) | 0.01% | 0.46% | ||||||
Six Months Ended: | ||||||||||||
June 30, 2018 | 11.69% | 16.28% | 0.96% | (1.78%) | (0.05%) | 27.10% | ||||||
June 30, 2017 | 8.42% | (0.48%) | 0.99% | (1.71%) | (0.01%) | 7.21% |
(1) | Economic net interest income includes the net interest component of interest rate swaps. Prior to the three ended March 31, 2018, economic interest expense included the net interest component of interest rate swaps used to hedge cost of funds. Beginning with the three months ended March 31, 2018, as a result of changes to our hedging portfolio, this metric reflects the net interest component of all interest rate swaps. |
(2) | Realized and unrealized gains and losses excludes the net interest component of interest rate swaps. |
(3) | Other income (loss) includes investment advisory income, dividend income from affiliate, and other income (loss). |
Economic Net Interest Income/ Average Equity(1) | Realized and Unrealized Gains and Losses/Average Equity(2) | Other Income (Loss)/Average Equity(3) | G&A Expenses/ Average Equity | Income Taxes/ Average Equity | Return on Average Equity | |||||||||||||||||||
For the Three Months Ended: | ||||||||||||||||||||||||
June 30, 2017 | 7.31% | (6.13%) | 0.98% | (1.71%) | 0.01% | 0.46% | ||||||||||||||||||
June 30, 2016 | 6.75% | (14.31%) | (0.34%) | (1.70%) | 0.00% | (9.60%) | ||||||||||||||||||
For the Six Months Ended: | ||||||||||||||||||||||||
June 30, 2017 | 8.42% | (0.48%) | 0.99% | (1.71%) | (0.01%) | 7.21% | ||||||||||||||||||
June 30, 2016 | 5.36% | (23.04%) | (0.27%) | (1.66%) | 0.02% | (19.59%) |
Residential | Commercial | ||||||||||||||||||||||||||||||||
Agency MBS(1) | TBAs | CRTs | Non-Agency MBS(2) | CRE Debt & Preferred Equity Investments | Investments in CRE | Corporate Debt | Total(3) | ||||||||||||||||||||||||||
(dollars in thousands) | |||||||||||||||||||||||||||||||||
Assets: | |||||||||||||||||||||||||||||||||
Fair Value/Carrying Value | $ | 74,569,651 | $ | 13,803,974 | $ | 605,826 | $ | 2,013,738 | $ | 4,900,741 | $ | 474,510 | $ | 773,957 | $ | 83,338,423 | |||||||||||||||||
Debt: | |||||||||||||||||||||||||||||||||
Repurchase agreements | 60,980,074 | 13,251,000 | 392,483 | 704,794 | 420,049 | - | - | 62,497,400 | |||||||||||||||||||||||||
Other secured financing | 2,781,092 | - | - | 582,280 | 232,613 | - | 189,558 | 3,785,543 | |||||||||||||||||||||||||
Securitized debt | - | - | - | 41,790 | 3,396,885 | - | - | 3,438,675 | |||||||||||||||||||||||||
Mortgages payable | - | - | - | - | - | 311,810 | - | 311,810 | |||||||||||||||||||||||||
Net Equity Allocated | $ | 10,808,485 | $ | 552,974 | $ | 213,343 | $ | 684,874 | $ | 851,194 | $ | 162,700 | $ | 584,399 | $ | 13,304,995 | |||||||||||||||||
Net Equity Allocated (%) | 80 | % | 4 | % | 2 | % | 5 | % | 7 | % | 1 | % | 5 | % | 100 | % | (4) | ||||||||||||||||
Debt/Net Equity Ratio | 5.9:1 | 24.0:1 | 1.8:1 | 1.9:1 | 4.8:1 | 1.9:1 | 0.3:1 | 5.6:1 | (5) |
Residential | Commercial | |||||||||||||||||||||||||||||||
Agency MBS and MSRs | TBAs (1) | CRTs | Non-Agency MBS and Residential Mortgage Loans | CRE Debt & Preferred Equity Investments (2) | Investments in CRE | Corporate Debt | Total (3) | |||||||||||||||||||||||||
(dollars in thousands) | ||||||||||||||||||||||||||||||||
Assets: | ||||||||||||||||||||||||||||||||
Fair Value/Carrying Value | $ | 87,192,072 | $ | 8,180,694 | $ | 563,796 | $ | 2,672,942 | $ | 4,151,059 | $ | 477,887 | $ | 1,256,276 | $ | 96,314,032 | ||||||||||||||||
Debt: | ||||||||||||||||||||||||||||||||
Repurchase agreements | 74,497,286 | 8,000,000 | 335,860 | 266,774 | 660,735 | — | — | 75,760,655 | ||||||||||||||||||||||||
Other secured financing | 2,546,975 | — | — | 937,720 | 130,000 | — | 145,792 | 3,760,487 | ||||||||||||||||||||||||
Securitized debt | — | — | — | 374,312 | 2,354,380 | — | — | 2,728,692 | ||||||||||||||||||||||||
Net forward purchases | 979,049 | — | 14,557 | — | 93,500 | — | — | 1,087,106 | ||||||||||||||||||||||||
Mortgages payable | — | — | — | — | — | 309,878 | — | 309,878 | ||||||||||||||||||||||||
Net Equity Allocated | $ | 9,168,762 | $ | 180,694 | $ | 213,379 | $ | 1,094,136 | $ | 912,444 | $ | 168,009 | $ | 1,110,484 | 12,667,214 | (4) | ||||||||||||||||
Net Equity Allocated (%) | 72 | % | 1 | % | 2 | % | 9 | % | 7 | % | 1 | % | 9 | % | 100 | % | ||||||||||||||||
Debt/Net Equity Ratio | 8.5:1 | 44.3:1 | 1.6:1 | 1.4:1 | 3.5:1 | 1.8:1 | 0.1:1 | 6.0:1 | (5) |
(1) | Fair value/carrying value represents implied market value and repurchase agreements represent the notional value. |
(2) | Includes loans held for sale, net. |
(3) | Excludes the TBA asset, debt and equity balances. |
(4) | Net Equity Allocated, as disclosed in the above table, excludes non-portfolio related activity and may differ from stockholders’ equity per the Consolidated Statements of Financial Condition. |
(5) | Represents the debt/net equity ratio as determined using amounts on the Consolidated Statements of Financial Condition. |
June 30, 2018 | December 31, 2017 | |||||||
(dollars in thousands) | ||||||||
Residential Investment Securities: (1) | ||||||||
Principal Amount | $ | 85,921,121 | $ | 87,518,155 | ||||
Net Premium | 4,609,636 | 4,682,299 | ||||||
Amortized Cost | 90,530,757 | 92,200,454 | ||||||
Amortized Cost/Principal Amount | 105.36 | % | 105.35 | % | ||||
Carrying Value | 87,185,951 | 91,197,901 | ||||||
Carrying Value / Principal Amount | 101.47 | % | 104.20 | % | ||||
Weighted Average Coupon Rate | 3.73 | % | 3.69 | % | ||||
Weighted Average Yield | 2.91 | % | 2.79 | % | ||||
Adjustable-Rate Residential Investment Securities: (1) | ||||||||
Principal Amount | $ | 7,042,925 | $ | 8,002,252 | ||||
Weighted Average Coupon Rate | 3.19 | % | 3.05 | % | ||||
Weighted Average Yield | 2.73 | % | 2.52 | % | ||||
Weighted Average Term to Next Adjustment | 21 Months | 24 Months | ||||||
Weighted Average Lifetime Cap (2) | 8.06 | % | 8.12 | % | ||||
Principal Amount at Period End as % of Total Residential Investment Securities | 8.20 | % | 9.14 | % | ||||
Fixed-Rate Residential Investment Securities: (1) | ||||||||
Principal Amount | $ | 78,878,196 | $ | 79,515,903 | ||||
Weighted Average Coupon Rate | 3.78 | % | 3.75 | % | ||||
Weighted Average Yield | 2.92 | % | 2.82 | % | ||||
Principal Amount at Period End as % of Total Residential Investment Securities | 91.80 | % | 90.86 | % | ||||
Interest-Only Residential Investment Securities: | ||||||||
Notional Amount | $ | 7,447,116 | $ | 7,793,767 | ||||
Net Premium | 1,287,119 | 1,342,048 | ||||||
Amortized Cost | 1,287,119 | 1,342,048 | ||||||
Amortized Cost/Notional Amount | 17.28 | % | 17.22 | % | ||||
Carrying Value | 977,688 | 1,102,920 | ||||||
Carrying Value/Notional Amount | 13.13 | % | 14.15 | % | ||||
Weighted Average Coupon Rate | 3.35 | % | 3.61 | % | ||||
Weighted Average Yield | 4.03 | % | 4.17 | % |
June 30, 2017 | December 31, 2016 | |||||||
(dollars in thousands) | ||||||||
Residential Investment Securities: (1) | ||||||||
Principal Amount | $ | 71,553,506 | $ | 73,621,439 | ||||
Net Premium | 3,846,206 | 3,867,055 | ||||||
Amortized Cost | 75,399,712 | 77,488,494 | ||||||
Amortized Cost/Principal Amount | 105.38 | % | 105.25 | % | ||||
Carrying Value | 74,665,567 | 76,458,517 | ||||||
Carrying Value / Principal Amount | 104.35 | % | 103.85 | % | ||||
Weighted Average Coupon Rate | 3.62 | % | 3.54 | % | ||||
Weighted Average Yield | 2.71 | % | 2.69 | % | ||||
Adjustable-Rate Residential Investment Securities:(1) | ||||||||
Principal Amount | $ | 9,372,101 | $ | 12,179,455 | ||||
Weighted Average Coupon Rate | 2.96 | % | 2.84 | % | ||||
Weighted Average Yield | 2.39 | % | 2.30 | % | ||||
Weighted Average Term to Next Adjustment | 28 Months | 31 Months | ||||||
Weighted Average Lifetime Cap(2) | 8.11 | % | 8.09 | % | ||||
Principal Amount at Period End as % of Total Residential Investment Securities | 13.10 | % | 16.54 | % | ||||
Fixed-Rate Residential Investment Securities: (1) | ||||||||
Principal Amount | $ | 62,181,405 | $ | 61,441,984 | ||||
Weighted Average Coupon Rate | 3.71 | % | 3.68 | % | ||||
Weighted Average Yield | 2.76 | % | 2.76 | % | ||||
Principal Amount at Period End as % of Total Residential Investment Securities | 86.90 | % | 83.46 | % | ||||
Interest-Only Residential Investment Securities: | ||||||||
Notional Amount | $ | 7,844,907 | $ | 8,997,175 | ||||
Net Premium | 1,317,899 | 1,451,321 | ||||||
Amortized Cost | 1,317,899 | 1,451,321 | ||||||
Amortized Cost/Notional Amount | 16.80 | % | 16.13 | % | ||||
Carrying Value | 1,138,310 | 1,257,385 | ||||||
Carrying Value/Notional Amount | 14.51 | % | 13.98 | % | ||||
Weighted Average Coupon Rate | 3.72 | % | 3.82 | % | ||||
Weighted Average Yield | 7.03 | % | 5.40 | % |
By Sector Product | ||||||||||||||||||||||||||||||||||||||||||||
Payment Structure | Investment Characteristics | |||||||||||||||||||||||||||||||||||||||||||
Product | Market Value | Coupon | Credit Enhancement | 60+ Delinquencies | 3M VPR(1) | Estimated Fair Value | Senior | Subordinate | Coupon | Credit Enhancement | 60+ Delinquencies | 3M VPR (1) | ||||||||||||||||||||||||||||||||
(dollars in thousands) | (dollars in thousands) | (dollars in thousands) | ||||||||||||||||||||||||||||||||||||||||||
Agency Credit Risk Transfer | $ | 536,768 | $ | — | $ | 536,768 | 5.34 | % | 1.15 | % | 0.30 | % | 6.57 | % | ||||||||||||||||||||||||||||||
Private Label Credit Risk Transfer | 27,028 | — | 27,028 | 7.78 | % | 3.51 | % | 1.65 | % | 6.32 | % | |||||||||||||||||||||||||||||||||
Alt-A | $ | 193,481 | 4.40 | % | 11.11 | % | 11.47 | % | 14.30 | % | 170,922 | 105,461 | 65,461 | 4.56 | % | 10.71 | % | 10.99 | % | 10.53 | % | |||||||||||||||||||||||
Prime | 188,852 | 4.59 | % | 0.99 | % | 10.65 | % | 17.64 | % | 264,491 | 108,641 | 155,850 | 4.71 | % | 11.05 | % | 9.86 | % | 14.24 | % | ||||||||||||||||||||||||
Subprime | 594,627 | 2.49 | % | 22.19 | % | 19.05 | % | 7.23 | % | 426,449 | 159,019 | 267,430 | 2.91 | % | 9.67 | % | 18.93 | % | 5.79 | % | ||||||||||||||||||||||||
Non-Performing Loan Securitizations | 3,447 | — | 3,447 | 5.00 | % | 48.95 | % | 52.51 | % | 2.35 | % | |||||||||||||||||||||||||||||||||
Prime Jumbo (>=2010 Vintage) | 112,496 | 3.50 | % | 17.53 | % | 0.21 | % | 8.33 | % | 124,141 | 98,880 | 25,261 | 3.61 | % | 14.45 | % | 0.13 | % | 8.63 | % | ||||||||||||||||||||||||
Prime Jumbo (>=2010 Vintage) Interest-Only | 14,977 | 0.38 | % | - | 0.07 | % | 10.97 | % | 17,335 | 17,335 | — | 0.45 | % | — | % | 0.18 | % | 8.95 | % | |||||||||||||||||||||||||
Re-Performing Loan Securitizations | 53,851 | 3.98 | % | 46.82 | % | 26.19 | % | 6.06 | % | |||||||||||||||||||||||||||||||||||
Agency Credit Risk Transfer | 559,841 | 5.27 | % | 1.25 | % | 0.22 | % | 10.50 | % | |||||||||||||||||||||||||||||||||||
Private Label Credit Risk Transfer | 45,985 | 6.95 | % | 7.76 | % | 2.57 | % | 12.80 | % | |||||||||||||||||||||||||||||||||||
Non-Performing Loan Securitizations | 75,769 | 4.14 | % | 55.34 | % | 70.61 | % | 6.02 | % | |||||||||||||||||||||||||||||||||||
Total/Weighted Average | $ | 1,839,879 | 2.90 | % | 9.96 | % | 8.99 | % | 10.44 | % | $ | 1,570,581 | $ | 489,336 | $ | 1,081,245 | 4.60 | % | 7.69 | % | 8.79 | % | 13.48 | % |
(1) | Represents the 3 month voluntary prepayment rate (“VPR”). |
Market Value By Sector and Bond Coupon | ||||||||||||||||||||
Product | ARM | Fixed | Floater | Interest-Only | Estimated Fair Value | |||||||||||||||
(dollars in thousands) | ||||||||||||||||||||
Agency Credit Risk Transfer | $ | — | $ | — | $ | 536,768 | $ | — | $ | 536,768 | ||||||||||
Private Label Credit Risk Transfer | — | — | 27,028 | — | 27,028 | |||||||||||||||
Alt-A | 48,614 | 96,578 | 25,730 | — | 170,922 | |||||||||||||||
Prime | 145,837 | 118,654 | — | — | 264,491 | |||||||||||||||
Subprime | — | 47,190 | 379,259 | — | 426,449 | |||||||||||||||
Non-Performing Loan Securitizations | — | 3,447 | — | — | 3,447 | |||||||||||||||
Prime Jumbo (>=2010 Vintage) | — | 124,141 | — | — | 124,141 | |||||||||||||||
Prime Jumbo (>=2010 Vintage) Interest-Only | — | — | — | 17,335 | 17,335 | |||||||||||||||
Total | $ | 194,451 | $ | 390,010 | $ | 968,785 | $ | 17,335 | $ | 1,570,581 |
Market Value By Sector and Payment Structure | ||||||||||||
Product | Senior | Subordinate | Total | |||||||||
(dollars in thousands) | ||||||||||||
Alt-A | $ | 112,398 | $ | 81,083 | $ | 193,481 | ||||||
Prime | 27,723 | 161,129 | 188,852 | |||||||||
Subprime | 288,697 | 305,930 | 594,627 | |||||||||
Prime Jumbo (>=2010 Vintage) | 112,496 | - | 112,496 | |||||||||
Prime Jumbo (>=2010 Vintage) Interest-Only | 14,977 | - | 14,977 | |||||||||
Re-Performing Loan Securitizations | 53,851 | - | 53,851 | |||||||||
Agency Credit Risk Transfer | - | 559,841 | 559,841 | |||||||||
Private Label Credit Risk Transfer | - | 45,985 | 45,985 | |||||||||
Non-Performing Loan Securitizations | 75,769 | - | 75,769 | |||||||||
Total/Weighted Average | $ | 685,911 | $ | 1,153,968 | $ | 1,839,879 |
Market Value By Sector and Bond Coupon | ||||||||||||||||||||
Product | ARM | Fixed | Floater | Interest-Only | Total | |||||||||||||||
(dollars in thousands) | ||||||||||||||||||||
Alt-A | $ | 52,767 | $ | 112,842 | $ | 27,872 | $ | - | $ | 193,481 | ||||||||||
Prime | 84,864 | 103,988 | - | - | 188,852 | |||||||||||||||
Subprime | - | 82,523 | 512,104 | - | 594,627 | |||||||||||||||
Prime Jumbo (>=2010 Vintage) | - | 112,496 | - | - | 112,496 | |||||||||||||||
Prime Jumbo (>=2010 Vintage) Interest-Only | - | - | - | 14,977 | 14,977 | |||||||||||||||
Re-Performing Loan Securitizations | - | 53,851 | - | - | 53,851 | |||||||||||||||
Agency Credit Risk Transfer | - | - | 559,841 | - | 559,841 | |||||||||||||||
Private Label Credit Risk Transfer | - | - | 45,985 | - | 45,985 | |||||||||||||||
Non-Performing Loan Securitizations | - | 75,769 | - | - | 75,769 | |||||||||||||||
Total | $ | 137,631 | $ | 541,469 | $ | 1,145,802 | $ | 14,977 | $ | 1,839,879 |
Within One Year | One to Three Years | Three to Five Years | More than Five Years | Total | ||||||||||||||||
(dollars in thousands) | ||||||||||||||||||||
Repurchase agreements | $ | 75,760,655 | $ | — | $ | — | $ | — | $ | 75,760,655 | ||||||||||
Interest expense on repurchase agreements (1) | 333,590 | — | — | — | 333,590 | |||||||||||||||
Other secured financing | 2,915 | 3,611,780 | 145,792 | — | 3,760,487 | |||||||||||||||
Interest expense on other secured financing (1) | 94,465 | 143,568 | 3,358 | — | 241,391 | |||||||||||||||
Securitized debt of consolidated VIEs (principal) | — | — | 1,882,640 | 819,857 | 2,702,497 | |||||||||||||||
Interest expense on securitized debt of consolidated VIEs | 73,092 | 146,185 | 118,652 | 320,182 | 658,111 | |||||||||||||||
Mortgages payable (principal) | 11,025 | 12,350 | — | 289,125 | 312,500 | |||||||||||||||
Interest expense on mortgages payable | 13,243 | 24,847 | 24,746 | 26,716 | 89,552 | |||||||||||||||
Long-term operating lease obligations | 3,267 | 7,340 | 7,723 | 9,012 | 27,342 | |||||||||||||||
Total | $ | 76,292,252 | $ | 3,946,070 | $ | 2,182,911 | $ | 1,464,892 | $ | 83,886,125 |
(1) | Interest expense on repurchase agreements and other secured financing calculated based on rates at June 30, 2018. |
Within One Year | One to Three Years | Three to Five Years | More than Five Years | Total | ||||||||||||||||
(dollars in thousands) | ||||||||||||||||||||
Repurchase agreements | $ | 59,502,792 | $ | 2,994,608 | $ | - | $ | - | $ | 62,497,400 | ||||||||||
Interest expense on repurchase agreements(1) | 209,195 | 23,624 | - | - | 232,819 | |||||||||||||||
Other secured financing | 5,273 | 92,386 | 3,687,884 | - | 3,785,543 | |||||||||||||||
Interest expense on other secured financing(1) | 47,309 | 94,275 | 24,000 | - | 165,584 | |||||||||||||||
Securitized debt of consolidated VIEs (principal) | - | - | - | 3,365,833 | 3,365,833 | |||||||||||||||
Interest expense on securitized debt of consolidated VIEs | 59,865 | 119,731 | 119,731 | 86,001 | 385,328 | |||||||||||||||
Mortgages payable (principal) | 2,329 | 23,375 | - | 289,125 | 314,829 | |||||||||||||||
Interest expense on mortgages payable | 13,281 | 38,102 | 37,119 | 14,514 | 103,016 | |||||||||||||||
Long-term operating lease obligations | 3,389 | 7,150 | 7,637 | 12,873 | 31,049 | |||||||||||||||
Total | $ | 59,843,433 | $ | 3,393,251 | $ | 3,876,371 | $ | 3,768,346 | $ | 70,881,401 |
June 30, 2017 | December 31, 2016 | |||||||
Stockholders’ Equity: | (dollars in thousands) | |||||||
7.875% Series A Cumulative Redeemable Preferred Stock | $ | 177,088 | $ | 177,088 | ||||
7.625% Series C Cumulative Redeemable Preferred Stock | 290,514 | 290,514 | ||||||
7.50% Series D Cumulative Redeemable Preferred Stock | 445,457 | 445,457 | ||||||
7.625% Series E Cumulative Redeemable Preferred Stock | 287,500 | 287,500 | ||||||
Common stock | 10,190 | 10,189 | ||||||
Additional paid-in capital | 15,581,760 | 15,579,342 | ||||||
Accumulated other comprehensive income (loss) | (850,767 | ) | (1,085,893 | ) | ||||
Accumulated deficit | (3,339,228 | ) | (3,136,017 | ) | ||||
Total stockholders’ equity | $ | 12,602,514 | $ | 12,568,180 |
June 30, 2018 | December 31, 2017 | ||||||
Stockholders’ Equity: | (dollars in thousands) | ||||||
7.625% Series C Cumulative Redeemable Preferred Stock | $ | 169,466 | $ | 290,514 | |||
7.50% Series D Cumulative Redeemable Preferred Stock | 445,457 | 445,457 | |||||
7.625% Series E Cumulative Redeemable Preferred Stock | — | 287,500 | |||||
6.95% Series F Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | 696,910 | 696,910 | |||||
6.50% Series G Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | 411,335 | — | |||||
Common stock | 11,643 | 11,596 | |||||
Additional paid-in capital | 17,268,596 | 17,221,265 | |||||
Accumulated other comprehensive income (loss) | (3,434,447 | ) | (1,126,020 | ) | |||
Accumulated deficit | (1,800,370 | ) | (2,961,749 | ) | |||
Total stockholders’ equity | $ | 13,768,590 | $ | 14,865,473 |
Options Exercised | Aggregate Exercise Price | Shares Issued Through Direct Purchase | Amount Raised from Direct Purchase and Dividend Reinvestment Program | |||||||||||||
For the Six Months Ended: | (dollars in thousands) | |||||||||||||||
June 30, 2017 | - | $ | - | 113,000 | $ | 1,270 | ||||||||||
June 30, 2016 | - | $ | - | 116,000 | $ | 1,176 |
Options Exercised | Aggregate Exercise Price | Shares Issued Through Direct Purchase | Amount Raised from Direct Purchase and Dividend Reinvestment Program | ||||||||||
Six Months Ended: | (dollars in thousands) | ||||||||||||
June 30, 2018 | — | $ | — | 147,000 | $ | 1,546 | |||||||
June 30, 2017 | — | $ | — | 113,000 | $ | 1,270 |
Risk Parameter | Description | |
Portfolio Composition | We will maintain a portfolio comprised of target assets approved by our Board and in accordance with our capital allocation policy. | |
Leverage | We will operate at an economic leverage ratio no greater than 10:1. | |
Liquidity Risk | We will seek to maintain an unencumbered asset portfolio sufficient to meet our liquidity needs under adverse market conditions. | |
Interest Rate Risk | We will seek to manage interest rate risk to protect the portfolio from adverse rate movements utilizing derivative instruments targeting both income and capital preservation. | |
Credit Risk | We will seek to manage credit risk by making investments which conform within our specific investment policy parameters and optimize risk-adjusted returns. | |
Capital Preservation | We will seek to protect our capital base through disciplined risk management practices. | |
Compliance | We will comply with regulatory requirements needed to maintain our REIT status and our exemption from registration under the Investment Company Act. |
Risk | Description | |
Capital, Liquidity and Funding Risk | Risk to earnings, capital or business arising from our inability to meet our obligations when they come due without incurring unacceptable losses because of inability to liquidate assets or obtain adequate funding. | |
Investment/Market Risk | Risk to earnings, capital or business resulting in the decline in value of our assets or an increase in the costs of financing caused by changes in market variables, such as interest rates, which affect the values of investment securities and other investment instruments. | |
Credit Risk | Risk to earnings, capital or business resulting from an obligor’s failure to meet the terms of any contract or otherwise failure to perform as agreed. This risk is present in lending and investing activities. | |
Counterparty Risk | Risk to earnings, capital or business resulting from a | |
Operational Risk | Risk to earnings, capital, reputation or business arising from inadequate or failed internal processes or systems, human factors or external events. Model risk is included in operational risk. | |
Compliance, Regulatory and Legal Risk | Risk to earnings, capital, reputation or conduct of business arising from violations of, or nonconformance with internal and external applicable rules and regulations, losses resulting from lawsuits or adverse judgments, or from changes in the regulatory environment that may impact our business model. |
Element | Description | |
Funding | Availability of diverse and stable sources of funds. | |
Excess Liquidity | Excess liquidity primarily in the form of unencumbered assets. | |
Maturity Profile | Diversity and tenor of liabilities and modest use of leverage. | |
Stress Testing | Scenario modeling to measure the resiliency of our liquidity position. | |
Liquidity Management Policies | Comprehensive policies including monitoring, risk limits and an escalation protocol. |
Repurchase Agreements | Reverse Repurchase Agreements | |||||||||||||||
Average Daily Amount Outstanding | Ending Amount Outstanding | Average Daily Amount Outstanding | Ending Amount Outstanding | |||||||||||||
Three Months Ended: | (dollars in thousands) | |||||||||||||||
June 30, 2017 | $ | 63,191,827 | $ | 62,497,400 | $ | 474,176 | $ | - | ||||||||
March 31, 2017 | 64,961,511 | 62,719,087 | 1,738,333 | - | ||||||||||||
December 31, 2016 | 64,484,326 | 65,215,810 | 1,064,130 | - | ||||||||||||
September 30, 2016 | 63,231,246 | 61,784,121 | 1,494,022 | - | ||||||||||||
June 30, 2016 | 54,647,175 | 53,868,385 | 1,159,341 | - | ||||||||||||
March 31, 2016 | 55,753,041 | 54,448,141 | 1,294,505 | - | ||||||||||||
December 31, 2015 | 57,483,870 | 56,230,860 | 214,674 | - | ||||||||||||
September 30, 2015 | 57,102,712 | 56,449,364 | 931,522 | - | ||||||||||||
June 30, 2015 | 60,643,597 | 57,459,552 | 1,779,121 | - |
Repurchase Agreements | Reverse Repurchase Agreements | ||||||||||||||
Average Daily Amount Outstanding | Ending Amount Outstanding | Average Daily Amount Outstanding | Ending Amount Outstanding | ||||||||||||
Three Months Ended: | (dollars in thousands) | ||||||||||||||
June 30, 2018 | $ | 80,582,681 | $ | 75,760,655 | $ | 2,929,470 | $ | 259,762 | |||||||
March 31, 2018 | 80,770,663 | 78,015,431 | 2,064,862 | 200,459 | |||||||||||
December 31, 2017 | 78,755,896 | 77,696,343 | 1,295,652 | — | |||||||||||
September 30, 2017 | 69,314,576 | 69,430,268 | 994,565 | — | |||||||||||
June 30, 2017 | 63,191,827 | 62,497,400 | 474,176 | — | |||||||||||
March 31, 2017 | 64,961,511 | 62,719,087 | 1,738,333 | — | |||||||||||
December 31, 2016 | 64,484,326 | 65,215,810 | 1,064,130 | — | |||||||||||
September 30, 2016 | 63,231,246 | 61,784,121 | 1,494,022 | — | |||||||||||
June 30, 2016 | 54,647,175 | 53,868,385 | 1,159,341 | — |
June 30, 2017 | ||||||||||||
Principal Balance | Weighted Average Rate | % of Total | ||||||||||
(dollars in thousands) | ||||||||||||
1 day | $ | - | - | % | - | % | ||||||
2 to 29 days | 26,631,848 | 1.40 | % | 40.2 | % | |||||||
30 to 59 days | 8,123,046 | 1.33 | % | 12.3 | % | |||||||
60 to 89 days | 9,276,299 | 1.33 | % | 14.0 | % | |||||||
90 to 119 days | 3,100,967 | 1.20 | % | 4.7 | % | |||||||
Over 120 days(1) | 19,150,783 | 1.44 | % | 28.8 | % | |||||||
Total | $ | 66,282,943 | 1.39 | % | 100.0 | % |
June 30, 2018 | June 30, 2018 | ||||||||
Principal Balance | Weighted Average Rate | % of Total | |||||||
(dollars in thousands) | |||||||||
1 day | $ | — | — | % | — | % | |||
2 to 29 days | 30,922,430 | 2.15 | % | 38.9 | % | ||||
30 to 59 days | 6,328,941 | 2.11 | % | 8.0 | % | ||||
60 to 89 days | 14,275,263 | 2.15 | % | 18.0 | % | ||||
90 to 119 days | 9,278,603 | 2.08 | % | 11.7 | % | ||||
Over 120 days (1) | 18,715,905 | 2.35 | % | 23.4 | % | ||||
Total | $ | 79,521,142 | 2.18 | % | 100.0 | % |
(1) | Approximately 5% of the total repurchase agreements and other secured financing had a remaining maturity over 1 year. |
Weighted Average Rate | ||||||||||||
Principal Balance | At Period End | For the Quarter | Weighted Average Days to Maturity (1) | |||||||||
(dollars in thousands) | ||||||||||||
Repurchase agreements | $ | 75,760,655 | 2.17 | % | 1.99 | % | 71 | |||||
Other secured financing (2) | 3,760,487 | 2.48 | % | 2.57 | % | 924 | ||||||
Securitized debt of consolidated VIEs (3) | 2,702,497 | 2.70 | % | 2.62 | % | 3,199 | ||||||
Mortgages payable (3) | 312,500 | 4.24 | % | 4.36 | % | 2,407 | ||||||
Total indebtedness | $ | 82,536,139 |
(1) | Determined based on estimated weighted-average lives of the underlying debt instruments. |
(2) | Includes advances from the Federal Home Loan Bank of Des Moines of $3.6 billion and financing under credit facilities. |
(3) | Non-recourse to Annaly. |
Weighted Average Rate | ||||||||||||||||
Principal Balance | As of Period End | For the Quarter (3) | Weighted Average Days to Maturity | |||||||||||||
(dollars in thousands) | ||||||||||||||||
Repurchase agreements | $ | 62,497,400 | 1.38 | % | 1.25 | % | 88 | |||||||||
Other secured financing (1) | 3,785,543 | 1.43 | % | 1.36 | % | 1,286 | ||||||||||
Securitized debt of consolidated VIEs (2) | 3,365,833 | 1.78 | % | 1.39 | % | 2,262 | ||||||||||
Mortgages payable (2) | 314,829 | 4.24 | % | 4.33 | % | 2,752 | ||||||||||
Total indebtedness | $ | 69,963,605 |
Encumbered Assets | Unencumbered Assets | Total | |||||||||
(dollars in thousands) | |||||||||||
Financial Assets: | |||||||||||
Cash and cash equivalents | $ | 1,042,671 | $ | 92,658 | $ | 1,135,329 | |||||
Investments, at carrying value: (1) | |||||||||||
Agency mortgage-backed securities | 80,997,975 | 4,542,820 | 85,540,795 | ||||||||
Credit risk transfer securities | 417,403 | 136,793 | 554,196 | ||||||||
Non-Agency mortgage-backed securities | 435,877 | 570,908 | 1,006,785 | ||||||||
Residential mortgage loans | 1,608,935 | 57,222 | 1,666,157 | ||||||||
MSRs | 4,164 | 594,850 | 599,014 | ||||||||
Commercial real estate debt investments | 2,733,405 | 124,058 | 2,857,463 | ||||||||
Commercial real estate debt and preferred equity, held for investment | 652,897 | 598,241 | 1,251,138 | ||||||||
Loans held for sale, net | — | 42,458 | 42,458 | ||||||||
Corporate debt | 642,016 | 614,260 | 1,256,276 | ||||||||
Total financial assets | $ | 88,535,343 | $ | 7,374,268 | $ | 95,909,611 |
(1) | The amounts reflected in the table above are on a settlement date basis and may differ from the total positions reported on the Consolidated Statements of Financial Condition. |
Encumbered Assets | Unencumbered Assets | Total | ||||||||||
(dollars in thousands) | ||||||||||||
Financial Assets: | ||||||||||||
Cash and cash equivalents | $ | 590,082 | $ | 110,610 | $ | 700,692 | ||||||
Investments, at carrying value:(1) | ||||||||||||
Agency mortgage-backed securities | 67,214,815 | 5,630,486 | 72,845,301 | |||||||||
Credit risk transfer securities | 517,598 | 88,228 | 605,826 | |||||||||
Non-Agency mortgage-backed securities | 1,036,362 | 197,691 | 1,234,053 | |||||||||
Residential mortgage loans | 679,435 | 100,250 | 779,685 | |||||||||
MSRs | 3,408 | 602,245 | 605,653 | |||||||||
Commercial real estate debt investments | 3,972,560 | - | 3,972,560 | |||||||||
Commercial real estate debt and preferred equity, held for investment | 532,724 | 395,457 | 928,181 | |||||||||
Corporate debt | 437,794 | 336,163 | 773,957 | |||||||||
Total financial assets | $ | 74,984,778 | $ | 7,461,130 | $ | 82,445,908 |
Liquid Assets | Carrying Value(1) | |||
(dollars in thousands) | ||||
Cash and cash equivalents | $ | 700,692 | ||
Residential Investment Securities(2) | 74,685,180 | |||
Residential mortgage loans | 779,685 | |||
Commercial real estate debt investments (3) | 308,468 | |||
Commercial real estate debt and preferred equity, held for investment | 584,542 | |||
Corporate debt | 584,853 | |||
Total liquid assets | $ | 77,643,420 | ||
Percentage of liquid assets to carrying amount of encumbered and unencumbered financial assets (3) | 98.56 | % |
Liquid Assets | Carrying Value (1) | ||
(dollars in thousands) | |||
Cash and cash equivalents | $ | 1,135,329 | |
Residential Investment Securities (2) | 87,101,776 | ||
Residential mortgage loans (3) | 1,143,178 | ||
Commercial real estate debt investments (4) | 315,050 | ||
Commercial real estate debt and preferred equity, held for investment | 921,997 | ||
Loans held for sale, net | 42,458 | ||
Corporate debt | 772,114 | ||
Total liquid assets | $ | 91,431,902 | |
Percentage of liquid assets to carrying amount of encumbered and unencumbered financial assets (3)(4) | 98.48 | % |
(1) | Carrying value approximates the market value of assets. The assets listed in this table include $86.0 billion of assets that have been pledged as collateral against existing liabilities at June 30, 2018. Please refer to the Encumbered and Unencumbered Assets table for related information. |
(2) | The amounts reflected in the table above are on a settlement date basis and may differ from the total positions reported on the Consolidated Statements of Financial Condition. |
(3) | Excludes securitized residential mortgage loans transferred or pledged to consolidated VIEs carried at fair value of $523.0 million. |
(4) | Excludes senior securitized commercial mortgage loans of consolidated VIEs carried at fair value of $2.5 billion. |
Less than 3 Months | 3-12 Months | More than 1 Year to 3 Years | 3 Years and Over | Total | ||||||||||||||||
Financial Assets: | (dollars in thousands) | |||||||||||||||||||
Cash and cash equivalents | $ | 700,692 | $ | - | $ | - | $ | - | $ | 700,692 | ||||||||||
Agency mortgage-backed securities (principal) | 97,110 | - | 1,002,413 | 68,620,391 | 69,719,914 | |||||||||||||||
Credit risk transfer securities (principal) | - | 6,616 | 18,000 | 525,686 | 550,302 | |||||||||||||||
Non-Agency mortgage-backed securities (principal) | - | 49,369 | 404,986 | 828,935 | 1,283,290 | |||||||||||||||
Residential mortgage loans (principal) | - | - | - | 763,850 | 763,850 | |||||||||||||||
Commercial real estate debt investments (principal) | - | - | - | 3,908,524 | 3,908,524 | |||||||||||||||
Corporate debt (principal) | - | - | - | 784,888 | 784,888 | |||||||||||||||
Commercial real estate debt and preferred equity (principal) | 12,027 | 491,499 | 313,658 | 114,285 | 931,469 | |||||||||||||||
Total financial assets - maturity | 809,829 | 547,484 | 1,739,057 | 75,546,559 | 78,642,929 | |||||||||||||||
Effect of utilizing reset dates (1) | 6,974,580 | 1,898,235 | 2,365,691 | (11,238,506 | ) | |||||||||||||||
Total financial assets - interest rate sensitive | $ | 7,784,409 | $ | 2,445,719 | $ | 4,104,748 | $ | 64,308,053 | $ | 78,642,929 | ||||||||||
Financial Liabilities: | ||||||||||||||||||||
Repurchase agreements | $ | 44,025,920 | $ | 15,476,872 | $ | 2,994,608 | $ | - | $ | 62,497,400 | ||||||||||
Other secured financing | 5,273 | - | 92,386 | 3,687,884 | 3,785,543 | |||||||||||||||
Securitized debt of consolidated VIE (principal) | - | - | - | 3,365,833 | 3,365,833 | |||||||||||||||
Total financial liabilities - maturity | 44,031,193 | 15,476,872 | 3,086,994 | 7,053,717 | 69,648,776 | |||||||||||||||
Effect of utilizing reset dates (1)(2) | (14,926,375 | ) | (3,558,865 | ) | 1,589,591 | 16,895,649 | ||||||||||||||
Total financial liabilities - interest rate sensitive | $ | 29,104,818 | $ | 11,918,007 | $ | 4,676,585 | $ | 23,949,366 | $ | 69,648,776 | ||||||||||
Maturity gap | $ | (43,221,364 | ) | $ | (14,929,388 | ) | $ | (1,347,937 | ) | $ | 68,492,842 | $ | 8,994,153 | |||||||
Cumulative maturity gap | $ | (43,221,364 | ) | $ | (58,150,752 | ) | $ | (59,498,689 | ) | $ | 8,994,153 | |||||||||
Interest rate sensitivity gap | $ | (21,320,409 | ) | $ | (9,472,288 | ) | $ | (571,837 | ) | $ | 40,358,687 | $ | 8,994,153 | |||||||
Cumulative rate sensitivity gap | $ | (21,320,409 | ) | $ | (30,792,697 | ) | $ | (31,364,534 | ) | $ | 8,994,153 |
Less than 3 Months | 3-12 Months | More than 1 Year to 3 Years | 3 Years and Over | Total | |||||||||||||||
Financial Assets: | (dollars in thousands) | ||||||||||||||||||
Cash and cash equivalents | $ | 1,135,329 | $ | — | $ | — | $ | — | $ | 1,135,329 | |||||||||
Agency mortgage-backed securities (principal) | — | — | 2,837,663 | 81,508,805 | 84,346,468 | ||||||||||||||
Credit risk transfer securities (principal) | — | 5,728 | 20,000 | 503,141 | 528,869 | ||||||||||||||
Non-Agency mortgage-backed securities (principal) | — | — | 100,892 | 944,892 | 1,045,784 | ||||||||||||||
Residential mortgage loans (principal) | — | — | — | 1,658,358 | 1,658,358 | ||||||||||||||
Commercial real estate debt investments (principal) | — | — | — | 2,842,310 | 2,842,310 | ||||||||||||||
Commercial real estate debt and preferred equity (principal) | 15,187 | 345,856 | 713,356 | 182,424 | 1,256,823 | ||||||||||||||
Corporate debt (principal) | — | — | 61,810 | 1,205,166 | 1,266,976 | ||||||||||||||
Reverse repurchase agreements | 259,762 | — | — | — | 259,762 | ||||||||||||||
Total financial assets - maturity | 1,410,278 | 351,584 | 3,733,721 | 88,845,096 | 94,340,679 | ||||||||||||||
Effect of utilizing reset dates (1) | 6,662,423 | 2,847,883 | (1,684,108 | ) | (7,826,198 | ) | |||||||||||||
Total financial assets - interest rate sensitive | $ | 8,072,701 | $ | 3,199,467 | $ | 2,049,613 | $ | 81,018,898 | $ | 94,340,679 | |||||||||
Financial Liabilities: | |||||||||||||||||||
Repurchase agreements | $ | 53,372,845 | $ | 22,387,810 | $ | — | $ | — | $ | 75,760,655 | |||||||||
Other secured financing | — | 2,915 | 3,682,518 | 75,054 | 3,760,487 | ||||||||||||||
Securitized debt of consolidated VIE (principal) | — | — | — | 2,702,497 | 2,702,497 | ||||||||||||||
Total financial liabilities - maturity | 53,372,845 | 22,390,725 | 3,682,518 | 2,777,551 | 82,223,639 | ||||||||||||||
Effect of utilizing reset dates (1)(2) | (55,411,651 | ) | 13,276,366 | 12,954,336 | 29,180,949 | ||||||||||||||
Total financial liabilities - interest rate sensitive | $ | (2,038,806 | ) | $ | 35,667,091 | $ | 16,636,854 | $ | 31,958,500 | $ | 82,223,639 | ||||||||
Maturity gap | $ | (51,962,567 | ) | $ | (22,039,141 | ) | $ | 51,203 | $ | 86,067,545 | $ | 12,117,040 | |||||||
Cumulative maturity gap | $ | (51,962,567 | ) | $ | (74,001,708 | ) | $ | (73,950,505 | ) | $ | 12,117,040 | ||||||||
Interest rate sensitivity gap | $ | 10,111,507 | $ | (32,467,624 | ) | $ | (14,587,241 | ) | $ | 49,060,398 | $ | 12,117,040 | |||||||
Cumulative rate sensitivity gap | $ | 10,111,507 | $ | (22,356,117 | ) | $ | (36,943,358 | ) | $ | 12,117,040 |
(1) | Maturity gap utilizes stated maturities, or prepayment expectations for assets that exhibit prepayment characteristics, while interest rate sensitivity gap utilizes reset dates, if applicable. |
(2) | Includes effect of interest rate swaps. |
Change in Interest Rate(1) | Projected Percentage Change in Economic Net Interest Income(2) | Estimated Percentage Change in Portfolio Value(3) | Estimated Change as a % on NAV(3)(4) | Projected Percentage Change in Economic Net Interest Income (2) | Estimated Percentage Change in Portfolio Value (3) | Estimated Change as a % on NAV (3)(4) | |||
-75 Basis Points | (7.0%) | 0.3% | 2.0% | (15.3%) | 0.2% | 1.8% | |||
-50 Basis Points | (3.2%) | 0.4% | 2.4% | (8.0%) | 0.3% | 2.0% | |||
-25 Basis Points | (0.8%) | 0.3% | 1.7% | (2.7%) | 0.2% | 1.3% | |||
Base Interest Rate | - | - | — | — | — | ||||
+25 Basis Points | (0.7%) | (0.4%) | (2.6%) | 1.7% | (0.3%) | (1.9%) | |||
+50 Basis Points | (2.3%) | (0.9%) | (6.0%) | 2.1% | (0.6%) | (4.2%) | |||
+75 Basis Points | (4.6%) | (1.5%) | (9.9%) | 2.0% | (0.9%) | (7.0%) | |||
MBS Spread Shock(1) | Estimated Change in Portfolio Market Value | Estimated Change as a % on NAV(3)(4) | Estimated Change in Portfolio Market Value | Estimated Change as a % on NAV (3)(4) | |||||
-25 Basis Points | 1.6% | 10.4% | 1.5% | 11.5% | |||||
-15 Basis Points | 0.9% | 6.2% | 0.9% | 6.8% | |||||
-5 Basis Points | 0.3% | 2.1% | 0.3% | 2.3% | |||||
Base Interest Rate | - | - | — | — | |||||
+5 Basis Points | (0.3%) | (2.1%) | (0.3%) | (2.3%) | |||||
+15 Basis Points | (0.9%) | (6.1%) | (0.9%) | (6.7%) | |||||
+25 Basis Points | (1.5%) | (10.2%) | (1.5%) | (11.2%) | |||||
(1) | Interest rate and MBS spread sensitivity are based on results from third party models in conjunction with inputs from our internal investment professionals. Actual results could differ materially from these estimates. |
(2) | Scenarios include Residential Investment Securities, commercial real estate investments, corporate debt, repurchase agreements, other secured financing and interest rate swaps. Economic net interest income includes the net interest |
(3) | Scenarios include Residential Investment Securities, residential mortgage loans, MSRs and derivative instruments. |
(4) | NAV represents book value of equity. |
Asset Portfolio (using balance sheet values) | ||
Category | June 30, 2017 | December 31, 2016 |
Agency mortgage-backed securities | 88.9% | 88.5% |
Credit risk transfer securities | 0.7% | 0.8% |
Residential mortgage loans | 0.9% | 0.4% |
Mortgage servicing rights | 0.7% | 0.8% |
Non-Agency mortgage-backed securities | 1.5% | 1.7% |
Commercial real estate (1)(2) | 6.4% | 6.9% |
Corporate debt | 0.9% | 0.9% |
Asset Portfolio (using balance sheet values) | |||||
Category | June 30, 2018 | December 31, 2017 | |||
Agency mortgage-backed securities | 89.9 | % | 90.6 | % | |
Credit risk transfer securities | 0.6 | % | 0.7 | % | |
Non-Agency mortgage-backed securities | 1.1 | % | 1.1 | % | |
Residential mortgage loans | 1.7 | % | 1.4 | % | |
Mortgage servicing rights | 0.6 | % | 0.6 | % | |
Commercial real estate (1) | 4.8 | % | 4.6 | % | |
Corporate debt | 1.3 | % | 1.0 | % |
(1) | Net of unamortized origination fees. |
Country | Number of Counterparties | Repurchase Agreement Financing | Interest Rate Swaps at Fair Value | Exposure(1) | ||||||||||||
(dollars in thousands) | ||||||||||||||||
North America | 22 | $ | 48,846,862 | $ | (224,124 | ) | $ | 2,669,264 | ||||||||
Europe | 11 | 9,559,620 | (379,993 | ) | 660,240 | |||||||||||
Asia (non-Japan) | 1 | 260,842 | - | 14,117 | ||||||||||||
Japan | 4 | 3,830,076 | - | 241,858 | ||||||||||||
Total | 38 | $ | 62,497,400 | $ | (604,117 | ) | $ | 3,585,479 | ||||||||
Country | Number of Counterparties | Repurchase Agreement Financing | Interest Rate Swaps at Fair Value | Exposure (1) | ||||||||||
(dollars in thousands) | ||||||||||||||
North America | 33 | $ | 53,980,782 | $ | (117,504 | ) | $ | 2,247,252 | ||||||
Europe | 13 | 16,555,183 | (176,144 | ) | 1,496,257 | |||||||||
Asia (non-Japan) | 1 | 441,947 | — | 24,638 | ||||||||||
Japan | 4 | 4,782,743 | — | 278,810 | ||||||||||
Total | 51 | $ | 75,760,655 | $ | (293,648 | ) | $ | 4,046,957 |
(1) | Represents the amount of cash and/or securities pledged as collateral to each counterparty less the aggregate of repurchase agreement financing and unrealized loss on swaps for each counterparty. |
Exhibit Number | Exhibit Description | ||
2.1 | |||
3.1 | |||
3.15 | |||
4.10 | |||
10.1 | |||
10.2 | |||
31.1 | |||
31.2 | |||
32.1 | |||
32.2 | |||
Exhibit 101.INS XBRL | Instance Document † | ||
Exhibit 101.SCH XBRL | Taxonomy Extension Schema Document † | ||
Exhibit 101.CAL XBRL | Taxonomy Extension Calculation Linkbase Document † | ||
Exhibit 101.DEF XBRL | Additional Taxonomy Extension Definition Linkbase Document Created† | ||
Exhibit 101.LAB XBRL | Taxonomy Extension Label Linkbase Document † | ||
Exhibit 101.PRE XBRL | Taxonomy Extension Presentation Linkbase Document † |
ANNALY CAPITAL MANAGEMENT, INC. | |||
Dated: | August | By: /s/ Kevin G. Keyes | |
Kevin G. Keyes | |||
Chief Executive Officer, President and Director (Principal Executive Officer) | |||
Dated: | August | By: /s/ Glenn A. Votek | |
Glenn A. Votek | |||
Chief Financial Officer (Principal Financial Officer) |