Document_and_Entity_Informatio
Document and Entity Information | 9 Months Ended | |
Sep. 30, 2013 | Nov. 06, 2013 | |
Document Information [Line Items] | ' | ' |
Document Type | '10-Q | ' |
Amendment Flag | 'false | ' |
Document Period End Date | 30-Sep-13 | ' |
Document Fiscal Year Focus | '2013 | ' |
Document Fiscal Period Focus | 'Q3 | ' |
Trading Symbol | 'NLY | ' |
Entity Registrant Name | 'ANNALY CAPITAL MANAGEMENT INC | ' |
Entity Central Index Key | '0001043219 | ' |
Current Fiscal Year End Date | '--12-31 | ' |
Entity Filer Category | 'Large Accelerated Filer | ' |
Entity Common Stock, Shares Outstanding | ' | 947,403,794 |
CONSOLIDATED_STATEMENTS_OF_FIN
CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION (USD $) | Sep. 30, 2013 | Dec. 31, 2012 | |
In Thousands, unless otherwise specified | |||
ASSETS | ' | ' | |
Cash and cash equivalents | $1,122,722 | $615,789 | [1] |
Reverse repurchase agreements | 31,074 | 1,811,095 | [1] |
Securities borrowed | 3,439,954 | 2,160,942 | [1] |
Investments, at fair value: | ' | ' | |
U.S. Treasury securities (including pledged assets of $2,239,140 and $752,076, respectively) | 2,459,617 | 752,076 | [1] |
Agency mortgage-backed securities (including pledged assets of $70,612,725 and $107,466,084, respectively) | 79,902,834 | 123,963,207 | [1] |
Agency debentures (including pledged assets of $3,089,158 and $981,727, respectively) | 3,128,853 | 3,009,568 | [1] |
Investments in affiliates | 136,748 | 234,120 | [1] |
Commercial real estate debt and preferred equity | 1,227,182 | ' | |
Investments in commercial real estate | 60,424 | ' | |
Corporate debt, held for investment | 75,988 | 63,944 | [1] |
Receivable for investments sold | 934,964 | 290,722 | [1] |
Accrued interest and dividends receivable | 297,161 | 419,259 | [1] |
Receivable for investment advisory income (including from affiliates of $6,653 and $14,077, respectively) | 10,055 | 17,730 | [1] |
Intangible for customer relationships (net of accumulated amortization of $2,028 and $5,779, respectively) | 4,572 | 6,989 | [1] |
Goodwill | 103,245 | 55,417 | [1] |
Interest rate swaps, at fair value | 360,373 | ' | |
Other derivative contracts, at fair value | 85,180 | 9,830 | [1] |
Other assets | 52,211 | 41,607 | [1] |
Total Assets | 93,433,157 | 133,452,295 | [1] |
Liabilities: | ' | ' | |
U.S. Treasury securities sold, not yet purchased, at fair value | 2,403,524 | 495,437 | [1] |
Repurchase agreements | 69,211,309 | 102,785,697 | [1] |
Securities loaned | 3,299,090 | 1,808,315 | [1] |
Payable for investments purchased | 2,546,467 | 8,256,957 | [1] |
Payable for share buyback program | ' | 141,149 | [1] |
Convertible Senior Notes | 824,512 | 825,541 | [1] |
Mortgages payable | 19,346 | ' | |
Participation sold | 14,164 | ' | |
Accrued interest payable | 162,755 | 186,896 | [1] |
Dividends payable | 331,557 | 432,154 | [1] |
Interest rate swaps, at fair value | 1,504,258 | 2,584,907 | [1] |
Other derivative contracts, at fair value | 125,468 | ' | |
Accounts payable and other liabilities | 44,983 | 10,798 | [1] |
Total Liabilities | 80,487,433 | 117,527,851 | [1] |
Stockholders' Equity: | ' | ' | |
Common stock, par value $0.01 per share, 1,956,937,500 authorized, 947,304,761 and 947,213,204, issued and outstanding, respectively | 9,473 | 9,472 | [1] |
Additional paid-in capital | 14,759,738 | 14,740,774 | [1] |
Accumulated other comprehensive income (loss) | -1,454,790 | 3,053,242 | [1] |
Accumulated deficit | -1,281,756 | -2,792,103 | [1] |
Total Stockholders' Equity | 12,945,724 | 15,924,444 | [1] |
Total Liabilities and Stockholders' Equity | 93,433,157 | 133,452,295 | [1] |
7.875% Series A Cumulative Redeemable Preferred Stock | ' | ' | |
Stockholders' Equity: | ' | ' | |
Cumulative Redeemable Preferred Stock | 177,088 | 177,088 | [1] |
7.625% Series C Cumulative Redeemable Preferred Stock | ' | ' | |
Stockholders' Equity: | ' | ' | |
Cumulative Redeemable Preferred Stock | 290,514 | 290,514 | [1] |
7.50% Series D Cumulative Redeemable Preferred Stock | ' | ' | |
Stockholders' Equity: | ' | ' | |
Cumulative Redeemable Preferred Stock | $445,457 | $445,457 | [1] |
[1] | Derived from the audited consolidated financial statements at December 31, 2012. |
CONSOLIDATED_STATEMENTS_OF_FIN1
CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION (Parenthetical) (USD $) | Sep. 30, 2013 | Dec. 31, 2012 | |
In Thousands, except Share data, unless otherwise specified | |||
U.S. Treasury securities, pledged assets | $2,239,140 | $752,076 | [1] |
Agency mortgage-backed securities, pledged assets | 70,612,725 | 107,466,084 | [1] |
Agency debentures, pledged assets | 3,089,158 | 981,727 | [1] |
Receivable for investment advisory income, from affiliates | 6,653 | 14,077 | [1] |
Intangible for customer relationships, accumulated amortization | $2,028 | $5,779 | [1] |
Common Stock, par value | $0.01 | $0.01 | [1] |
Common stock, shares authorized | 1,956,937,500 | 1,956,937,500 | [1] |
Common Stock, shares issued | 947,304,761 | 947,213,204 | [1] |
Common Stock, shares outstanding | 947,304,761 | 947,213,204 | [1] |
7.875% Series A Cumulative Redeemable Preferred Stock | ' | ' | |
Preferred Stock, shares authorized | 7,412,500 | 7,412,500 | [1] |
Preferred Stock, shares issued | 7,412,500 | 7,412,500 | [1] |
Preferred Stock, shares outstanding | 7,412,500 | 7,412,500 | [1] |
7.625% Series C Cumulative Redeemable Preferred Stock | ' | ' | |
Preferred Stock, shares authorized | 12,650,000 | 12,650,000 | [1] |
Preferred Stock, shares issued | 12,000,000 | 12,000,000 | [1] |
Preferred Stock, shares outstanding | 12,000,000 | 12,000,000 | [1] |
7.50% Series D Cumulative Redeemable Preferred Stock | ' | ' | |
Preferred Stock, shares authorized | 18,400,000 | 18,400,000 | [1] |
Preferred Stock, shares issued | 18,400,000 | 18,400,000 | [1] |
Preferred Stock, shares outstanding | 18,400,000 | 18,400,000 | [1] |
[1] | Derived from the audited consolidated financial statements at December 31, 2012. |
CONSOLIDATED_STATEMENTS_OF_OPE
CONSOLIDATED STATEMENTS OF OPERATIONS AND COMPREHENSIVE INCOME (LOSS) (USD $) | 3 Months Ended | 9 Months Ended | ||||||
In Thousands, except Share data, unless otherwise specified | Sep. 30, 2013 | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2012 | ||||
Interest income: | ' | ' | ' | ' | ||||
Investment Securities | $659,058 | $751,739 | $2,070,455 | $2,477,147 | ||||
U.S. Treasury securities | 7,718 | 4,588 | 20,956 | 13,403 | ||||
Securities loaned | 1,787 | 2,581 | 6,701 | 7,797 | ||||
Commercial real estate debt and preferred equity | 26,066 | ' | 39,972 | ' | ||||
Reverse repurchase agreements | 2,461 | 2,225 | 8,872 | 3,769 | ||||
Other | 70 | 132 | 357 | 368 | ||||
Total interest income | 697,160 | 761,265 | 2,147,313 | 2,502,484 | ||||
Interest expense: | ' | ' | ' | ' | ||||
Repurchase agreements | 120,123 | 158,150 | 419,132 | 411,643 | ||||
Convertible Senior Notes | 17,092 | 18,026 | 49,269 | 51,718 | ||||
U.S. Treasury securities sold, not yet purchased | 6,688 | 3,739 | 13,551 | 12,184 | ||||
Securities borrowed | 1,405 | 1,978 | 5,067 | 6,136 | ||||
Participation sold | 168 | ' | 302 | ' | ||||
Total interest expense | 145,476 | 181,893 | 487,321 | 481,681 | ||||
Net interest income | 551,684 | 579,372 | 1,659,992 | 2,020,803 | ||||
Other income (loss): | ' | ' | ' | ' | ||||
Investment advisory income | 9,558 | 20,915 | 35,153 | 63,365 | ||||
Net gains (losses) on disposal of investments | 43,602 | 142,172 | 374,443 | 317,308 | ||||
Net loss on extinguishment of Convertible Senior Notes | ' | -87,328 | ' | -87,328 | ||||
Dividend income from affiliates | 4,048 | 7,097 | 14,527 | 21,239 | ||||
Net gains (losses) on trading assets | -96,022 | 1,368 | -40,427 | 7,729 | ||||
Net unrealized gains (losses) on interest-only Agency mortgage-backed securities | -7,099 | -33,563 | 184,549 | -28,789 | ||||
Impairment of goodwill | ' | ' | -23,987 | ' | ||||
Loss on previously held equity interest in CreXus | ' | ' | -18,896 | ' | ||||
Other income (loss) | 4,212 | 119 | 11,536 | 364 | ||||
Subtotal | -41,701 | 50,780 | 536,898 | 293,888 | ||||
Realized gains (losses) on interest rate swaps | -227,909 | [1] | -224,272 | [1] | -666,112 | [1] | -665,614 | [1] |
Realized gains (losses) on termination of interest rate swaps | -36,658 | ' | -88,685 | -2,385 | ||||
Unrealized gains (losses) on interest rate swaps | 6,343 | -104,197 | 1,441,099 | -373,773 | ||||
Subtotal | -258,224 | -328,469 | 686,302 | -1,041,772 | ||||
Total other income (loss) | -299,925 | -277,689 | 1,223,200 | -747,884 | ||||
General and administrative expenses: | ' | ' | ' | ' | ||||
Compensation and management fee | 41,774 | 52,310 | 123,981 | 164,860 | ||||
Other general and administrative expenses | 16,970 | 10,694 | 51,806 | 30,615 | ||||
Total general and administrative expenses | 58,744 | 63,004 | 175,787 | 195,475 | ||||
Income (loss) before income taxes | 193,015 | 238,679 | 2,707,405 | 1,077,444 | ||||
Income taxes | 557 | 13,921 | 6,456 | 42,039 | ||||
Net income (loss) | 192,458 | 224,758 | 2,700,949 | 1,035,405 | ||||
Dividends on preferred stock | 17,992 | 9,367 | 53,976 | 19,813 | ||||
Net income (loss) available (related) to common shareholders | 174,466 | 215,391 | 2,646,973 | 1,015,592 | ||||
Net income (loss) per share available (related) to common shareholders: | ' | ' | ' | ' | ||||
Basic | $0.18 | $0.22 | $2.79 | $1.04 | ||||
Diluted | $0.18 | $0.22 | $2.69 | $1 | ||||
Weighted average number of common shares outstanding: | ' | ' | ' | ' | ||||
Basic | 947,303,205 | 974,729,078 | 947,321,691 | 973,674,586 | ||||
Diluted | 955,690,471 | 997,007,829 | 995,319,670 | 1,035,365,251 | ||||
Dividends Declared Per Share of Common Stock | $0.35 | $0.50 | $1.20 | $1.60 | ||||
Net income (loss) | 192,458 | 224,758 | 2,700,949 | 1,035,405 | ||||
Other comprehensive income (loss): | ' | ' | ' | ' | ||||
Unrealized gains (losses) on available-for-sale securities | -121,942 | 798,269 | -4,133,589 | 1,377,737 | ||||
Reclassification adjustment for net (gains) losses included in net income (loss) | -43,602 | -141,982 | -374,443 | -317,118 | ||||
Other comprehensive income (loss) | -165,544 | 656,287 | -4,508,032 | 1,060,619 | ||||
Comprehensive income (loss) | $26,914 | $881,045 | ($1,807,083) | $2,096,024 | ||||
[1] | Interest expense related to the Company's interest rate swaps is recorded in Realized gains (losses) on interest rate swaps on the Consolidated Statements of Operations and Comprehensive Income (Loss). |
CONSOLIDATED_STATEMENTS_OF_STO
CONSOLIDATED STATEMENTS OF STOCKHOLDERS' EQUITY (USD $) | Total | 7.875% Series A Cumulative Redeemable Preferred Stock | 7.625% Series C Cumulative Redeemable Preferred Stock | 7.50% Series D Cumulative Redeemable Preferred Stock | 6.00% Series B Cumulative Convertible Preferred Stock | Common Stock Par Value | Common Stock Par Value | Additional Paid-In Capital | Additional Paid-In Capital | Accumulated Other Comprehensive Income (Loss) | Accumulated Deficit | Accumulated Deficit | Accumulated Deficit | Accumulated Deficit | Accumulated Deficit | 7.875% Series A Cumulative Redeemable Preferred Stock | 7.625% Series C Cumulative Redeemable Preferred Stock | 7.625% Series C Cumulative Redeemable Preferred Stock | 7.50% Series D Cumulative Redeemable Preferred Stock | 7.50% Series D Cumulative Redeemable Preferred Stock | |
6.00% Series B Cumulative Convertible Preferred Stock | 6.00% Series B Cumulative Convertible Preferred Stock | 7.875% Series A Cumulative Redeemable Preferred Stock | 7.625% Series C Cumulative Redeemable Preferred Stock | 7.50% Series D Cumulative Redeemable Preferred Stock | 6.00% Series B Cumulative Convertible Preferred Stock | ||||||||||||||||
Beginning balance at Dec. 31, 2011 | $15,760,642,000 | ' | ' | ' | ' | $9,702,000 | ' | $15,068,870,000 | ' | $3,008,988,000 | ($2,504,006,000) | ' | ' | ' | ' | $177,088,000 | ' | ' | ' | ' | |
Preferred dividends declared | ' | -10,945,000 | -8,579,000 | ' | -289,000 | ' | ' | ' | ' | ' | ' | -10,945,000 | -8,579,000 | ' | -289,000 | ' | ' | ' | ' | ' | |
Net income (loss) | 1,035,405,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | 1,035,405,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | |
Unrealized gains (losses) on available-for-sale securities | 1,377,737,000 | ' | ' | ' | ' | ' | ' | ' | ' | 1,377,737,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |
Reclassification adjustment for net (gains) losses included in net income (loss) | -317,118,000 | ' | ' | ' | ' | ' | ' | ' | ' | -317,118,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |
Exercise of stock options | 6,061,000 | ' | ' | ' | ' | 5,000 | ' | 6,056,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |
Stock compensation expense | 3,857,000 | ' | ' | ' | ' | ' | ' | 3,857,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |
Conversion of Series B cumulative preferred stock | 32,272,000 | ' | ' | ' | 32,272,000 | ' | 40,000 | ' | 32,232,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |
Net proceeds from direct purchase and dividend reinvestment | 1,979,000 | ' | ' | ' | ' | 1,000 | ' | 1,978,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |
Contingent beneficial conversion feature on 4% Convertible Senior Notes | 19,738,000 | ' | ' | ' | ' | ' | ' | 19,738,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |
Equity component on 5% Convertible Senior Notes | 11,717,000 | ' | ' | ' | ' | ' | ' | 11,717,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |
Offering expenses | -248,000 | ' | ' | ' | ' | ' | ' | -248,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |
Net proceeds from Cumulative Redeemable Preferred Stock offering | ' | ' | 290,514,000 | 445,457,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 290,514,000 | ' | 445,457,000 | |
Common dividends declared | -1,557,537,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | -1,557,537,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | |
Ending balance at Sep. 30, 2012 | 17,090,663,000 | ' | ' | ' | ' | 9,748,000 | ' | 15,144,200,000 | ' | 4,069,607,000 | -3,045,951,000 | ' | ' | ' | ' | 177,088,000 | 290,514,000 | ' | 445,457,000 | ' | |
Beginning balance at Dec. 31, 2012 | 15,924,444,000 | [1] | ' | ' | ' | ' | 9,472,000 | ' | 14,740,774,000 | ' | 3,053,242,000 | -2,792,103,000 | ' | ' | ' | ' | 177,088,000 | 290,514,000 | ' | 445,457,000 | ' |
Preferred dividends declared | ' | -10,945,000 | -17,156,000 | -25,875,000 | ' | ' | ' | ' | ' | ' | ' | -10,945,000 | -17,156,000 | -25,875,000 | ' | ' | ' | ' | ' | ' | |
Net income (loss) | 2,700,949,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | 2,700,949,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | |
Unrealized gains (losses) on available-for-sale securities | -4,133,589,000 | ' | ' | ' | ' | ' | ' | ' | ' | -4,133,589,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |
Reclassification adjustment for net (gains) losses included in net income (loss) | -374,443,000 | ' | ' | ' | ' | ' | ' | ' | ' | -374,443,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |
Exercise of stock options | 2,204,000 | ' | ' | ' | ' | 2,000 | ' | 2,202,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |
Stock compensation expense | 1,762,000 | ' | ' | ' | ' | -3,000 | ' | 1,765,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |
Net proceeds from direct purchase and dividend reinvestment | 2,166,000 | ' | ' | ' | ' | 2,000 | ' | 2,164,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |
Contingent beneficial conversion feature on 4% Convertible Senior Notes | 12,833,000 | ' | ' | ' | ' | ' | ' | 12,833,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |
Common dividends declared | -1,136,626,000 | ' | ' | -1,136,626,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | -1,136,626,000 | ' | ' | ' | ' | ' | ' | |
Ending balance at Sep. 30, 2013 | $12,945,724,000 | ' | ' | ' | ' | $9,473,000 | ' | $14,759,738,000 | ' | ($1,454,790,000) | ($1,281,756,000) | ' | ' | ' | ' | $177,088,000 | $290,514,000 | ' | $445,457,000 | ' | |
[1] | Derived from the audited consolidated financial statements at December 31, 2012. |
CONSOLIDATED_STATEMENTS_OF_STO1
CONSOLIDATED STATEMENTS OF STOCKHOLDERS' EQUITY (Parenthetical) (USD $) | 1 Months Ended | 3 Months Ended | 9 Months Ended | ||
Oct. 29, 2012 | Sep. 30, 2013 | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2012 | |
Dividends Declared Per Share of Common Stock | $0.50 | $0.35 | $0.50 | $1.20 | $1.60 |
7.875% Series A Cumulative Redeemable Preferred Stock | ' | ' | ' | ' | ' |
Preferred series dividends declared, per share | ' | ' | ' | $1.48 | $1.48 |
7.625% Series C Cumulative Redeemable Preferred Stock | ' | ' | ' | ' | ' |
Preferred series dividends declared, per share | ' | ' | ' | $1.43 | $0.72 |
7.50% Series D Cumulative Redeemable Preferred Stock | ' | ' | ' | ' | ' |
Preferred series dividends declared, per share | ' | ' | ' | $1.41 | ' |
6.00% Series B Cumulative Convertible Preferred Stock | ' | ' | ' | ' | ' |
Preferred series dividends declared, per share | ' | ' | ' | ' | $0.38 |
CONSOLIDATED_STATEMENTS_OF_CAS
CONSOLIDATED STATEMENTS OF CASH FLOWS (USD $) | 3 Months Ended | 9 Months Ended | |||
In Thousands, unless otherwise specified | Sep. 30, 2013 | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2012 | |
Cash flows from operating activities: | ' | ' | ' | ' | |
Net income (loss) | $192,458 | $224,758 | $2,700,949 | $1,035,405 | |
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | ' | ' | ' | ' | |
Amortization of Investment Securities premiums and discounts, net | 201,912 | 455,493 | 943,094 | 1,038,598 | |
Amortization of commercial real estate investment premiums and discounts, net | -166 | ' | 326 | ' | |
Amortization of intangibles | 1,968 | 634 | 2,614 | 1,858 | |
Amortization of deferred expenses | 2,038 | 2,189 | 6,114 | 4,927 | |
Amortization of contingent beneficial conversion feature on convertible senior notes | 4,604 | 1,438 | 11,804 | 15,498 | |
Net (gains) losses on sales of Agency mortgage-backed securities and debentures | -43,602 | -142,172 | -374,443 | -317,308 | |
Net loss on extinguishment of 4% Convertible Senior Notes | ' | 87,328 | ' | 87,328 | |
Stock compensation expense | ' | 997 | 1,762 | 3,857 | |
Impairment of goodwill | ' | ' | 23,987 | ' | |
Loss on previously held equity interest in CreXus | ' | ' | 18,896 | ' | |
Unrealized (gains) losses on interest rate swaps | -6,343 | 104,197 | -1,441,099 | 373,773 | |
Net unrealized (gains) losses on interest-only Agency mortgage- backed securities | 7,099 | 33,563 | -184,549 | 28,789 | |
Net (gains) losses on trading assets | 96,022 | -1,368 | 40,427 | -5,344 | |
Proceeds from repurchase agreements of RCap | 486,882,965 | 168,905,024 | 1,026,645,402 | 509,943,940 | |
Payments on repurchase agreements of RCap | -486,435,022 | -166,150,546 | -1,037,381,608 | -502,959,819 | |
Proceeds from reverse repurchase agreements of RCap | 128,504,212 | 113,457,928 | 317,866,330 | 299,139,881 | |
Payments on reverse repurchase agreements of RCap | -128,379,907 | -113,053,067 | -316,137,921 | -299,884,954 | |
Proceeds from reverse repurchase agreements of Shannon | 168,110 | 185,640 | 812,204 | 409,380 | |
Payments on reverse repurchase agreements of Shannon | -152,255 | -177,414 | -760,592 | -415,825 | |
Proceeds from securities borrowed | 77,834,884 | 26,397,098 | 208,108,715 | 45,821,749 | |
Payments on securities borrowed | -78,849,814 | -26,534,463 | -209,387,727 | -46,495,709 | |
Proceeds from securities loaned | 156,424,768 | 59,324,108 | 372,155,568 | 125,183,976 | |
Payments on securities loaned | -155,409,923 | -59,188,247 | -370,664,793 | -124,739,909 | |
Proceeds from U.S. Treasury securities | 48,927,966 | 13,085,890 | 109,762,391 | 44,183,569 | |
Payments on U.S. Treasury securities | -49,195,416 | -13,407,718 | -109,750,041 | -45,248,472 | |
Net payments on derivatives | 18,428 | -648 | -26,020 | -18,108 | |
Net change in: | ' | ' | ' | ' | |
Due to / from brokers | 24 | ' | 683 | ' | |
Other assets | 6,831 | -3,226 | -11,297 | -1,072 | |
Accrued interest and dividends receivable | 45,255 | -4,812 | 119,211 | -16,942 | |
Receivable for investment advisory income | 319 | 472 | 7,675 | -721 | |
Accrued interest payable | -1,499 | 6,683 | -24,141 | 42,537 | |
Accounts payable and other liabilities | -35,048 | -11,767 | 23,837 | 75,863 | |
Net cash provided by (used in) operating activities | 810,868 | 3,597,992 | -6,892,242 | 7,286,745 | |
Cash flows from investing activities: | ' | ' | ' | ' | |
Payments on purchases of Agency mortgage-backed securities and debentures | -5,330,035 | -21,398,098 | -31,529,258 | -59,518,222 | |
Proceeds from sales of Agency mortgage-backed securities and debentures | 13,775,803 | 7,810,451 | 42,719,851 | 17,725,948 | |
Principal payments on Agency mortgage-backed securities | 4,487,669 | 9,943,910 | 19,550,338 | 25,197,941 | |
Proceeds from Agency debentures called | ' | 327,385 | 2,147,205 | 1,177,548 | |
Payments on purchase of corporate debt | -16,335 | -23,520 | -39,717 | -33,420 | |
Proceeds from corporate debt called | ' | 19,165 | 24,252 | 19,165 | |
Principal payments on corporate debt | 2,065 | 565 | 3,586 | 2,025 | |
Acquisition of CreXus | -465 | ' | -724,889 | ' | |
Purchases of commercial real estate investments | -333,982 | ' | -563,982 | ' | |
Proceeds from sale of commercial real estate investments | 20,192 | ' | 20,192 | ' | |
Principal payments on commercial real estate investments | 29,584 | ' | 50,424 | ' | |
Earn out payment | ' | ' | ' | -13,387 | |
Proceeds from derivatives | ' | ' | 7,465 | ' | |
Proceeds from sales of equity securities | ' | ' | ' | 4,048 | |
Net cash provided by (used in) investing activities | 12,634,496 | -3,320,142 | 31,665,467 | -15,438,354 | |
Cash flows from financing activities: | ' | ' | ' | ' | |
Proceeds from repurchase agreements | 97,112,861 | 91,857,968 | 322,086,276 | 258,994,965 | |
Principal payments on repurchase agreements | -109,746,830 | -90,340,097 | -344,924,458 | -249,043,825 | |
Proceeds from exercise of stock options | ' | 670 | 2,204 | 6,061 | |
Net payment from extinguishment of 4% Convertible Senior Notes | ' | -357,220 | ' | -357,220 | |
Net proceeds from issuance of 5% Convertible Senior Notes offering | ' | ' | ' | 727,500 | |
Net proceeds from direct purchases and dividend reinvestments | 735 | 1,134 | 2,166 | 1,979 | |
Net (payments) proceeds from follow-on offerings | ' | -17 | ' | -248 | |
Payments on participation sold | -65 | ' | -132 | ' | |
Net payment on share repurchase | ' | ' | -141,149 | ' | |
Dividends paid | -414,880 | -545,265 | -1,291,199 | -1,642,918 | |
Net cash provided by (used in) financing activities | -13,048,179 | 1,062,630 | -24,266,292 | 9,422,265 | |
Net (decrease) increase in cash and cash equivalents | 397,185 | 1,340,480 | 506,933 | 1,270,656 | |
Cash and cash equivalents, beginning of period | 725,537 | 924,374 | 615,789 | [1] | 994,198 |
Cash and cash equivalents, end of period | 1,122,722 | 2,264,854 | 1,122,722 | 2,264,854 | |
Supplemental disclosure of cash flow information: | ' | ' | ' | ' | |
Interest received | 942,582 | 1,203,598 | 3,209,456 | 3,514,893 | |
Dividends received | 4,048 | 6,621 | 17,576 | 22,425 | |
Fees received | 29,987 | 21,506 | 63,070 | 63,008 | |
Interest paid (excluding interest paid on interest rate swaps) | 163,810 | 173,889 | 517,134 | 423,752 | |
Net interest paid on interest rate swaps | 206,407 | 224,155 | 648,638 | 665,508 | |
Taxes paid | 836 | 17,374 | 6,763 | 46,541 | |
Noncash investing activities: | ' | ' | ' | ' | |
Receivable for investments sold | 934,964 | 470,266 | 934,964 | 470,266 | |
Payable for investments purchased | 2,546,467 | 16,107,038 | 2,546,467 | 16,107,038 | |
Net change in unrealized gains (losses) on available-for-sale securities, net of reclassification adjustment | -165,544 | 656,287 | -4,508,032 | 1,060,619 | |
Noncash financing activities: | ' | ' | ' | ' | |
Dividends declared, not yet paid | 331,557 | 487,237 | 331,557 | 487,237 | |
Conversion of Series B cumulative preferred stock | ' | ' | ' | 32,272 | |
Contingent beneficial conversion feature on 4% Convertible Senior Notes | 4,320 | -26,603 | 12,833 | 19,738 | |
Equity component of 5% Convertible Senior Notes | ' | 11,717 | ' | 11,717 | |
7.625% Series C Cumulative Redeemable Preferred Stock | ' | ' | ' | ' | |
Cash flows from financing activities: | ' | ' | ' | ' | |
Net proceeds from Preferred offering | ' | ' | ' | 290,514 | |
7.50% Series D Cumulative Redeemable Preferred Stock | ' | ' | ' | ' | |
Cash flows from financing activities: | ' | ' | ' | ' | |
Net proceeds from Preferred offering | ' | $445,457 | ' | $445,457 | |
[1] | Derived from the audited consolidated financial statements at December 31, 2012. |
ORGANIZATION_AND_SIGNIFICANT_A
ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES | 9 Months Ended | |
Sep. 30, 2013 | ||
ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES | ' | |
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES | ||
Annaly Capital Management, Inc. (the “Company” or “Annaly”) is a Maryland corporation that commenced operations on February 18, 1997. The Company owns a portfolio of real estate related investments, including mortgage pass-through certificates, collateralized mortgage obligations, agency callable debentures, other securities representing interests in or obligations backed by pools of mortgage loans and commercial real estate assets. The Company’s principal business objective is to generate net income for distribution to its stockholders from its investments. | ||
The Company’s business operations are primarily comprised of the following: | ||
- | Annaly, the parent company, which invests primarily in various types of Agency mortgage-backed securities and related derivatives to hedge these investments. | |
- | Fixed Income Discount Advisory Company (“FIDAC”), a subsidiary which manages an affiliated investment vehicle for which it earns fee income. | |
- | RCap Securities, Inc. (“RCap”), a subsidiary which operates as a broker-dealer, and is a member of the Financial Industry Regulatory Authority (“FINRA”). | |
- | Shannon Funding LLC (“Shannon”), a subsidiary which provides warehouse financing to residential mortgage originators in the United States. | |
- | Annaly Middle Market Lending LLC (formerly known as Charlesfort Capital Management LLC), a subsidiary which engages in corporate middle market lending transactions. | |
- | Annaly Commercial Real Estate Group, Inc. (“Annaly Commercial”, formerly known as CreXus Investment Corp. (“CreXus”)), a subsidiary that is a recently acquired business which specializes in acquiring, financing and managing commercial mortgage loans and other commercial real estate debt, commercial mortgage-backed securities and other commercial real estate-related assets. | |
The Company has elected to be taxed as a real estate investment trust (“REIT”) as defined under the Internal Revenue Code of 1986, as amended, and regulations promulgated thereunder (the “Code”). The Company is externally managed by Annaly Management Company LLC (the “Manager”). | ||
A summary of the Company’s significant accounting policies follows: | ||
Basis of Accounting – The accompanying consolidated financial statements and related notes of the Company have been prepared in accordance with accounting principles generally accepted in the United States ("GAAP"). In the opinion of management, the consolidated financial statements reflect all adjustments considered necessary for a fair presentation of the Company's financial position, results of operations and cash flows. | ||
Principles of Consolidation – The consolidated financial statements include the accounts of the Company and its wholly-owned subsidiaries. All intercompany balances and transactions have been eliminated in consolidation. Beginning with the Company’s consolidated financial statements for the quarter and six month periods ended June 30, 2013, the Company reclassified previously presented financial information so that amounts previously presented in the Consolidated Statements of Operations and Comprehensive Income (Loss) as interest income from Investments are presented as interest income from Reverse repurchase agreements and Other. Consolidated financial statements for periods prior to June 30, 2013 have been conformed to the current presentation. | ||
The Company has evaluated all of its investments in legal entities in order to determine if they are variable interests in Variable Interest Entities ("VIEs"). A VIE is defined as an entity in which equity investors (i) do not have the characteristics of a controlling financial interest, and/or (ii) do not have sufficient equity at risk for the entity to finance its activities without additional financial support from other parties. A variable interest is an investment or other interest that will absorb portions of a VIE's expected losses or receive portions of the entity’s expected residual returns. A VIE is required to be consolidated by its primary beneficiary, which is defined as the party that (i) has the power to control the activities that most significantly impact the VIE’s economic performance and (ii) has the obligation to absorb losses of the VIE that could potentially be significant to the VIE or the right to receive benefits from the VIE that could potentially be significant to the VIE. | ||
Cash and Cash Equivalents – Cash and cash equivalents include cash on hand and cash held in money market funds on an overnight basis. RCap is a member of various clearing organizations with which it maintains cash required for the conduct of its day-to-day clearance activities. Cash and securities deposited with clearing organizations are carried at cost, which approximates fair value. The Company also maintains collateral in the form of cash on margin with counterparties to its interest rate swaps and other derivatives. Cash and securities deposited with clearing organizations and collateral held in the form of cash on margin with counterparties to its interest rate swaps and other derivatives totaled $740.2 million and $527.5 million at September 30, 2013 and December 31, 2012, respectively. | ||
Fair Value Measurements – The Company carries various financial instruments at fair value. A complete discussion of the methodology utilized by the Company to estimate the fair value of certain financial instruments is included in the notes to these consolidated financial statements. | ||
Revenue Recognition – The revenue recognition policy by asset class is discussed below. | ||
Agency Mortgage-Backed Securities and Agency Debentures – The Company invests primarily in mortgage pass-through certificates, collateralized mortgage obligations and other mortgage-backed securities representing interests in or obligations backed by pools of mortgage loans, and certificates guaranteed by the Government National Mortgage Association (“Ginnie Mae”), the Federal Home Loan Mortgage Corporation (“Freddie Mac”) or the Federal National Mortgage Association (“Fannie Mae”) (collectively, “Agency mortgage-backed securities”). The Company also invests in Agency debentures issued by the Federal Home Loan Banks (“FHLB”), Freddie Mac and Fannie Mae. | ||
Investment Securities – Agency mortgage-backed securities, Agency debentures and corporate debt are referred to herein as “Investment Securities.” Although the Company generally intends to hold most of its Investment Securities until maturity, it may, from time to time, sell any of its Investment Securities as part of its overall management of its portfolio. Investment Securities classified as available-for-sale are reported at fair values estimated by management that are compared to independent sources for reasonableness, with unrealized gains and losses reported as a component of other comprehensive income (loss). Investment Securities transactions are recorded on trade date. Realized gains and losses on sales of Investment Securities are determined using the average cost method. The Company’s investments in corporate debt are designated as held for investment, and are carried at their principal balance outstanding plus any premiums or discounts less allowances for loan losses. No allowance for loan losses was deemed necessary as of September 30, 2013 and December 31, 2012. | ||
On April 1, 2011, the Company elected the fair value option for Agency interest-only mortgage-backed securities acquired on or after such date. Interest-only securities and inverse interest-only securities are collectively referred to as “interest-only securities.” These Agency interest-only mortgage-backed securities represent the Company’s right to receive a specified proportion of the contractual interest flows of specific Agency mortgage-backed securities. Agency interest-only mortgage-backed securities acquired on or after April 1, 2011 are measured at fair value as Net gains (losses) on trading assets in the Company’s Consolidated Statements of Operations and Comprehensive Income (Loss). The interest-only securities are included in Agency mortgage-backed securities at fair value on the accompanying Consolidated Statements of Financial Condition. | ||
Interest income from coupon payments is accrued based on the outstanding principal amounts of the Investment Securities and their contractual terms. Premiums and discounts associated with the purchase of the Investment Securities are amortized or accreted into interest income over the projected lives of the securities using the interest method. The Company’s policy for estimating prepayment speeds for calculating the effective yield is to evaluate historical performance, consensus prepayment speeds and current market conditions. Adjustments are made for actual prepayment activity. | ||
Equity Securities – The Company invests in equity securities that are classified as available-for-sale or trading. Equity securities classified as available-for-sale are reported at fair value, based on market quotes, with unrealized gains and losses reported as a component of other comprehensive income (loss). Equity securities classified as trading are reported at fair value, based on market quotes, with unrealized gains and losses reported in the Consolidated Statements of Operations and Comprehensive Income (Loss) as Net gains (losses) on trading assets. Dividends are recorded in earnings based on the declaration date. | ||
Derivative Instruments – The Company may use a variety of derivative instruments to economically hedge some of its exposure to market risks, including interest rate and prepayment risk. These instruments include, but are not limited to, interest rate swaps, options to enter into interest rate swaps (“swaptions”), forward contracts for Agency mortgage-backed securities purchases or sales on a generic pool, or to-be-announced, basis (“TBA securities”) with the intent to net settle (“TBA derivatives”), options on TBA securities (“MBS options”) and U.S. Treasury futures contracts. The Company may also invest in other types of mortgage derivatives such as interest-only securities and synthetic total return swaps, such as the Markit IOS Synthetic Total Return Swap Index. The Company may also enter into TBA dollar rolls. Derivatives are accounted for in accordance with Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) 815, Derivatives and Hedging, which requires recognition of all derivatives as either assets or liabilities at fair value in the Consolidated Statements of Financial Condition with changes in fair value recognized in the Consolidated Statements of Operations and Comprehensive Income (Loss). | ||
Some derivative agreements contain provisions that allow for netting or setting off by counterparty; however, beginning on September 30, 2013, the Company elected to present related assets and liabilities on a gross basis in the Consolidated Statements of Financial Condition. Prior to September 30, 2013, the Company presented in the Consolidated Statements of Financial Condition the fair value of interest rate swap contracts net, by counterparty, if the derivative agreements included netting provisions. | ||
Interest rate swap agreements - Interest rate swaps are the primary instrument used to mitigate interest rate risk. In particular, the Company uses interest rate swaps to manage its exposure to changing interest rates on its repurchase agreements by economically hedging cash flows associated with these borrowings. Swap agreements may be over-the-counter (“OTC”) agreements which are negotiated directly with a counterparty, or centrally cleared through a registered commodities exchange. OTC swaps are fair valued using internal pricing models and compared to the counterparty market values. Centrally cleared swaps are fair valued using internal pricing models and compared to the exchange market values. | ||
Interest rate swaptions - Interest rate swaptions are purchased to mitigate the potential impact of increases or decreases in interest rates. Interest rate swaptions provide the option to enter into an interest rate swap agreement for a predetermined notional amount, stated term and pay and receive interest rates in the future. They are not centrally cleared. The premium paid for interest rate swaptions is reported as an asset in the Consolidated Statement of Financial Position. The premium is valued at an amount equal to the fair value of the swaption. The difference between the premium and the fair value of the swaption is reported in Net gain (loss) on trading assets in the Consolidated Statements of Operations and Comprehensive Income (Loss). If a swaption expires unexercised, the realized loss on the swaption would be equal to the premium paid. If the Company sells or exercises a swaption, the realized gain or loss on the swaption would be equal to the difference between the cash received or the fair value of the underlying interest rate swap received and the premium paid. | ||
The fair value of interest rate swaptions is estimated using internal pricing models and compared to the counterparty market value. | ||
TBA Dollar Rolls - A TBA security is a forward contract for the purchase ("long position") or sale ("short position") of Agency mortgage-backed securities at a predetermined price, face amount, issuer, coupon and stated maturity on an agreed-upon future date. The specific Agency mortgage-backed securities delivered into the contract upon the settlement date, published each month by the Securities Industry and Financial Markets Association, are not known at the time of the transaction. TBA dollar roll transactions are accounted for as a series of derivative transactions. The fair value of TBA derivatives is based on similar methods used to value Agency mortgage-backed securities with gains and losses recorded in Net gains (losses) on trading assets in the Consolidated Statements of Operations and Comprehensive Income (Loss). | ||
MBS Options – MBS options are generally options on TBA contracts, which help manage mortgage market risks and volatility while providing the potential to enhance returns. MBS options are over-the-counter traded instruments and those written on current-coupon mortgage-backed securities are typically the most liquid. MBS options are fair valued using internal pricing models and compared to the counterparty market value at the valuation date with gains and losses recorded in Net gains (losses) on trading assets in the Consolidated Statements of Operations and Comprehensive Income (Loss). | ||
U.S. Treasury Futures - U.S. Treasury futures contracts are derivatives that track the prices of specific U.S. Treasury securities. Short sales of U.S. Treasury futures contracts help mitigate the potential impact of changes in interest rates on the portfolio performance. The Company maintains a margin account which is settled daily with Futures Commission Merchants (“FCMs”). The margin requirement varies based on the market value of the open positions and the equity retained in the account. Futures contracts are fair valued based on exchange pricing with gains and losses recorded in Net gains (losses) on trading assets in the Consolidated Statements of Operations and Comprehensive Income (Loss). | ||
Other-Than-Temporary Impairment – Management evaluates available-for-sale securities for other-than-temporary impairment at least quarterly, and more frequently when economic or market conditions warrant such evaluation. When the fair value of an available-for-sale security is less than its amortized cost the security is considered impaired. For securities that are impaired, the Company determines if it (1) has the intent to sell the security, (2) is more likely than not that it will be required to sell the security before recovery of its amortized cost basis, or (3) does not expect to recover the entire amortized cost basis of the security. Further, the security is analyzed for credit loss (the difference between the present value of cash flows expected to be collected and the amortized cost basis). The credit loss, if any, will then be recognized in the Consolidated Statements of Operations and Comprehensive Income (Loss), while the balance of losses related to other factors will be recognized as a component of other comprehensive income (loss). There was no other-than-temporary impairment for the quarters and nine months ended September 30, 2013 and 2012. | ||
Loan Loss Reserves –To determine if loan loss allowances are required on investments in corporate debt, the Company reviews the monthly and/or quarterly financial statements of the borrowers to verify they meet the covenants of the loan documents. If based on the financial review it is deemed probable that the Company will be unable to collect contractual principal and interest amounts (e.g. financial performance and delinquencies), a loan loss provision would be recorded. No allowance for loan losses was deemed necessary as of September 30, 2013 and December 31, 2012. | ||
Repurchase Agreements – The Company finances the acquisition of a significant portion of its Agency mortgage-backed securities with repurchase agreements. The Company examines each of the specified criteria in ASC 860, Transfers and Servicing, at the inception of each transaction and has determined that each of the financings meet the specified criteria in this guidance. None of the Company’s repurchase agreements are accounted for as components of linked transactions. As a result, the Company separately accounts for the financial assets and related repurchase financings in the accompanying consolidated financial statements. | ||
Reverse repurchase agreements and repurchase agreements with the same counterparty and the same maturity are presented net in the Consolidated Statements of Financial Condition when the terms of the agreements permit netting. The Company reports cash flows on repurchase agreements as financing activities in the Consolidated Statements of Cash Flows. The Company reports cash flows on reverse repurchase and repurchase agreements entered into by RCap and Shannon as operating activities in the Consolidated Statements of Cash Flows. | ||
Goodwill and Intangible Assets – The Company’s acquisitions of FIDAC, Merganser Capital Management, Inc. (“Merganser”) and CreXus were accounted for using the acquisition method. Under the acquisition method, net assets and results of operations of acquired companies are included in the consolidated financial statements from the date of acquisition. The costs of FIDAC, Merganser and CreXus were allocated to the assets acquired, including identifiable intangible assets, and the liabilities assumed based on their estimated fair values at the date of acquisition. The excess of purchase price over the fair value of the net assets acquired was recognized as goodwill. | ||
The Company tests goodwill for impairment on an annual basis and at interim periods when events or circumstances may make it more likely than not that an impairment has occurred. If a qualitative analysis indicates that there may be an impairment, a quantitative analysis is performed. The quantitative impairment test for goodwill utilizes a two-step approach, whereby the Company compares the carrying value of each identified reporting unit to its fair value. If the carrying value of the reporting unit is greater than its fair value, the second step is performed, where the implied fair value of goodwill is compared to its carrying value. The Company recognizes an impairment charge for the amount by which the carrying amount of goodwill exceeds its fair value. | ||
Intangible assets with an estimated useful life are amortized over the expected life. | ||
Convertible Senior Notes – The Company records the 4% Convertible Senior Notes and 5% Convertible Senior Notes (collectively, the “Convertible Senior Notes”) at their contractual amounts, adjusted by the effects of a beneficial conversion feature and a contingent beneficial conversion feature (collectively, the “Conversion Features”). The Conversion Features’ intrinsic value is included in “Additional paid-in capital” on the Company’s Consolidated Statements of Financial Condition and reduces the recorded liability amount associated with the Convertible Senior Notes. A Conversion Feature may be recognized as a result of adjustments to the conversion price for dividends declared to common shareholders. | ||
Stock Based Compensation – The Company is required to measure and recognize in the consolidated financial statements the compensation cost relating to share-based payment transactions. The Company recognizes compensation expense on a straight-line basis over the requisite service period for the entire award. | ||
Income Taxes – The Company has elected to be taxed as a REIT and intends to comply with the provisions of the Code, with respect thereto. Accordingly, the Company will not be subjected to federal income tax to the extent of its distributions to shareholders and as long as certain asset, income and stock ownership tests are met. The Company and certain of its direct and indirect subsidiaries, including FIDAC, Merganser, RCap and certain subsidiaries of Annaly Commercial, have made separate joint elections to treat these subsidiaries as taxable REIT subsidiaries. As such, each of these taxable REIT subsidiaries is taxable as a domestic C corporation and subject to federal, state and local income taxes based upon their taxable income. | ||
The provisions of ASC 740, Income Taxes, (“ASC 740”) clarify the accounting for uncertainty in income taxes recognized in financial statements and prescribe a recognition threshold and measurement attribute for tax positions taken or expected to be taken on a tax return. ASC 740 also requires that interest and penalties related to unrecognized tax benefits be recognized in the financial statements. The Company does not have any unrecognized tax benefits that would affect its financial position. Thus, no accruals for penalties and interest were necessary as of September 30, 2013 or December 31, 2012. | ||
Use of Estimates – The preparation of the consolidated financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates. | ||
Commercial Real Estate Investments | ||
Commercial Real Estate Loans – The Company's commercial real estate mortgages and loans are comprised of fixed-rate and adjustable-rate loans. Commercial real estate mortgages and loans are designated as held for investment and are carried at their outstanding principal balance, net of an unamortized origination fee, premium or discount, less a reserve for estimated losses if necessary. Origination fees, premiums and discounts are amortized or accreted over the estimated life of the loan. The difference between the principal amount of a loan and proceeds at acquisition is recorded as either a discount or premium. | ||
Preferred Equity Interests Held for Investment – Preferred equity interests are designated as held for investment and are carried at their outstanding principal balance, net of an unamortized origination fee, premium or discount, less a reserve for estimated losses if necessary. Origination fees, premiums and discounts are amortized or accreted into interest income over the estimated life of the investment. | ||
Investments in Commercial Real Estate – Investments in commercial real estate are carried at historical cost less accumulated depreciation. Costs directly related to acquisitions deemed to be business combinations are expensed. Ordinary repairs and maintenance which are not reimbursed by the tenants are expensed as incurred. Major replacements and improvements that extend the useful life of the asset are capitalized and depreciated over their useful life. | ||
Allowance for Losses – The Company evaluates the need for a loss reserve on its commercial real estate mortgages, loans and preferred equity interests held for investment (collectively referred to as “CRE Debt and Preferred Equity Investments”). A provision is established when the Company believes CRE Debt and Preferred Equity Investments are impaired, which is when it is deemed probable that the Company will be unable to collect contractual principal and interest amounts. A provision for losses related to CRE Debt and Preferred Equity Investments, including those accounted for under ASC 310-30, Loans and Debt Securities Acquired with Deteriorated Credit Quality, may be established when it is probable the Company will not collect amounts contractually due or all amounts previously estimated to be collectable. Management assesses the credit quality of the portfolio and adequacy of loan loss reserves on a quarterly basis, or more frequently as necessary. Significant judgment is required in this analysis. Depending on the expected recovery of its investment, the Company considers the estimated net recoverable value of the CRE Debt and Preferred Equity Investments as well as other factors, including but not limited to the fair value of any collateral, the amount and the status of any senior debt, the prospects for the borrower and the competitive landscape where the borrower conducts business. Because this determination is based upon projections of future economic events, which are inherently subjective, the amounts ultimately realized may differ materially from the carrying value as of the reporting date. | ||
Revenue Recognition – Commercial Real Estate Investments - Interest income is accrued based on the outstanding principal amount of the CRE Debt and Preferred Equity Investments and their contractual terms. Premiums and discounts associated with the purchase of the CRE Debt and Preferred Equity Investments are amortized or accreted into interest income over the projected lives of the CRE Debt and Preferred Equity Investments using the interest method based on the estimated recovery value. | ||
Broker Dealer Activities | ||
Reverse Repurchase Agreements – RCap enters into reverse repurchase agreements as part of its matched book trading activity. Reverse repurchase agreements are recorded on trade date at the contract amount and are collateralized by mortgage-backed or other securities. Margin calls are made by RCap as necessary based on the daily valuation of the underlying collateral as compared to the contract price. RCap generates income from the spread between what is earned on the reverse repurchase agreements and what is paid on the matched repurchase agreements. RCap’s policy is to obtain possession of collateral with a market value in excess of the principal amount loaned under reverse repurchase agreements. To ensure that the market value of the underlying collateral remains sufficient, collateral is valued daily, and RCap will require counterparties to deposit additional collateral, when necessary. All reverse repurchase activities are transacted under master repurchase agreements that give RCap the right, in the event of default, to liquidate collateral held and in some instances, to offset receivables and payables with the same counterparty. | ||
Securities Borrowed and Loaned Transactions – RCap records securities borrowed and loaned transactions as collateralized financings. Securities borrowed transactions require RCap to provide the counterparty with collateral in the form of cash, or other securities. RCap receives collateral in the form of cash or other securities for securities loaned transactions. RCap monitors the fair value of the securities borrowed and loaned on a daily basis, with additional collateral obtained or refunded as necessary. Securities borrowed and securities loaned transactions are recorded at contract value. For these transactions, the rebates accrued by RCap are recorded as interest income or expense. | ||
U.S. Treasury Securities – RCap trades in U.S. Treasury securities for its proprietary portfolio, which consists of long and short positions on U.S Treasury notes and bonds. U.S. Treasury securities are classified as trading investments and are recorded on the trade date at cost. Changes in fair value are reflected in Net gains (losses) on trading assets in the Company’s Consolidated Statement of Operations and Comprehensive Income (Loss). Interest income or expense on U.S. Treasury notes and bonds is accrued based on the outstanding principal amount of those investments and their stated terms. | ||
Derivatives - RCap enters primarily into U.S. Treasury, Eurodollar, federal funds, U.S. equity index and currency futures and options contracts. RCap maintains a margin account which is settled daily with FCMs. Changes in the unrealized gains or losses on the futures and options contracts as well as any foreign exchange gains and losses are reflected in Net gains (losses) on trading assets in the Company’s Consolidated Statements of Operations and Comprehensive Income (Loss). Unrealized gains (losses) are excluded from net income (loss) in arriving at cash flows from operating activities in the Consolidated Statements of Cash Flows. | ||
A Summary of Recent Accounting Pronouncements Follows: | ||
Presentation | ||
Balance Sheet (ASC 210) | ||
On December 23, 2011, FASB released ASU 2011-11 Balance Sheet: Disclosures about Offsetting Assets and Liabilities. Under this update, the Company is required to disclose both gross information and net information about both instruments and transactions eligible for offset in the Company’s Consolidated Statements of Financial Condition and transactions subject to an agreement similar to a master netting arrangement. The scope includes derivatives, sale and repurchase agreements and reverse sale and repurchase agreements and securities borrowing and securities lending arrangements. This disclosure is intended to enable financial statement users to understand the effect of such arrangements on the Company’s financial position. In January 2013, FASB released ASU 2013-01 Balance Sheet: Clarifying the Scope of Disclosures about Offsetting Assets and Liabilities, which served solely to clarify the scope of financial instruments included in ASU 2011-11 as there was concern about diversity in practice. The objective of these updates is to support further convergence of GAAP and IFRS requirements. The updates are effective for annual reporting periods beginning on or after January 1, 2013 and did not have a significant impact on the consolidated financial statements. | ||
Comprehensive Income (ASC 220) | ||
On December 23, 2011, the FASB issued ASU 2011-12, Comprehensive Income: Deferral of Effective Date for Amendments to the Presentation of Reclassifications of Items Out of Accumulated Other Comprehensive Income In ASU No. 2011-05, which defers those changes in ASU 2011-05 that relate to the presentation of reclassification adjustments out of accumulated other comprehensive income. This was done to allow the FASB time to re-deliberate the presentation on the face of the financial statements the effects of reclassifications out of accumulated other comprehensive income on the components of net income and other comprehensive income. No other requirements under ASU 2011-05 are affected by ASU 2011-12. FASB tentatively decided not to require presentation of reclassification adjustments out of accumulated other comprehensive income on the face of the financial statements and to propose new disclosures instead. | ||
In February 2013, the FASB issued ASU 2013-02 Comprehensive Income: Reporting of Amounts Reclassified Out of Accumulated Other Comprehensive Income. This update addresses the disclosure issue left open at the deferral under ASU 2011-12. This update requires the provision of information about the amounts reclassified out of accumulated other comprehensive income by component. In addition, it requires presentation, either on the face of the statement where net income is presented or in the notes, significant amounts reclassified out of accumulated other comprehensive income by the respective line items of net income but only if the amount reclassified is required under GAAP to be reclassified to net income in its entirety in the same reporting period. For other amounts that are not required under GAAP to be reclassified in their entirety to net income, a cross-reference must be provided to other disclosures required under GAAP that provide additional detail about those amounts. This update is effective for reporting periods beginning after December 15, 2012. Adoption of ASU 2013-02 did not have a significant impact on the consolidated financial statements. | ||
Broad Transactions | ||
Financial Services – Investment Companies (ASC 946) | ||
In June 2013, the FASB finalized ASU 2013-08 amending the scope, measurement and disclosure requirements under Topic 946 – Financial Services-Investment Companies. The FASB decided not to address issues related to the applicability of investment company accounting for real estate entities and the measurement of real estate investments at this time. Further, as stated in ASC 946-10-15-3, the guidance in Topic 946 does not apply to REITs, and thus has no effect on the Company’s consolidated financial statements. |
AGENCY_MORTGAGEBACKED_SECURITI
AGENCY MORTGAGE-BACKED SECURITIES | 9 Months Ended | |||||||||||||||||||||||||||||||||||||
Sep. 30, 2013 | ||||||||||||||||||||||||||||||||||||||
AGENCY MORTGAGE-BACKED SECURITIES | ' | |||||||||||||||||||||||||||||||||||||
2. AGENCY MORTGAGE-BACKED SECURITIES | ||||||||||||||||||||||||||||||||||||||
The following tables present the Company’s available-for-sale Agency mortgage-backed securities portfolio as of September 30, 2013 and December 31, 2012 which were carried at their fair value: | ||||||||||||||||||||||||||||||||||||||
Freddie Mac | Fannie Mae | Ginnie Mae | Total Mortgage- | |||||||||||||||||||||||||||||||||||
30-Sep-13 | Backed Securities | |||||||||||||||||||||||||||||||||||||
(dollars in thousands) | ||||||||||||||||||||||||||||||||||||||
Agency mortgage-backed securities, par value | $ | 26,837,473 | $ | 49,364,721 | $ | 184,594 | $ | 76,386,788 | ||||||||||||||||||||||||||||||
Unamortized discount | (8,245 | ) | (11,415 | ) | (379 | ) | (20,039 | ) | ||||||||||||||||||||||||||||||
Unamortized premium | 1,635,431 | 3,077,589 | 31,064 | 4,744,084 | ||||||||||||||||||||||||||||||||||
Amortized cost | 28,464,659 | 52,430,895 | 215,279 | 81,110,833 | ||||||||||||||||||||||||||||||||||
Gross unrealized gains | 285,508 | 638,337 | 11,075 | 934,920 | ||||||||||||||||||||||||||||||||||
Gross unrealized losses | (862,484 | ) | (1,277,246 | ) | (3,189 | ) | (2,142,919 | ) | ||||||||||||||||||||||||||||||
Estimated fair value | $ | 27,887,683 | $ | 51,791,986 | $ | 223,165 | $ | 79,902,834 | ||||||||||||||||||||||||||||||
Fixed Rate | Adjustable Rate | Total | ||||||||||||||||||||||||||||||||||||
(dollars in thousands) | ||||||||||||||||||||||||||||||||||||||
Amortized cost | $ | 76,844,755 | $ | 4,266,078 | $ | 81,110,833 | ||||||||||||||||||||||||||||||||
Gross unrealized gains | 780,365 | 154,555 | 934,920 | |||||||||||||||||||||||||||||||||||
Gross unrealized losses | (2,122,255 | ) | (20,664 | ) | (2,142,919 | ) | ||||||||||||||||||||||||||||||||
Estimated fair value | $ | 75,502,865 | $ | 4,399,969 | $ | 79,902,834 | ||||||||||||||||||||||||||||||||
Freddie Mac | Fannie Mae | Ginnie Mae | Total Mortgage- | |||||||||||||||||||||||||||||||||||
31-Dec-12 | Backed Securities | |||||||||||||||||||||||||||||||||||||
(dollars in thousands) | ||||||||||||||||||||||||||||||||||||||
Agency mortgage-backed securities, par value | $ | 44,296,234 | $ | 70,649,782 | $ | 273,988 | $ | 115,220,004 | ||||||||||||||||||||||||||||||
Unamortized discount | (9,515 | ) | (12,315 | ) | (389 | ) | (22,219 | ) | ||||||||||||||||||||||||||||||
Unamortized premium | 2,121,478 | 3,695,381 | 39,348 | 5,856,207 | ||||||||||||||||||||||||||||||||||
Amortized cost | 46,408,197 | 74,332,848 | 312,947 | 121,053,992 | ||||||||||||||||||||||||||||||||||
Gross unrealized gains | 1,166,299 | 1,913,334 | 17,583 | 3,097,216 | ||||||||||||||||||||||||||||||||||
Gross unrealized losses | (36,890 | ) | (146,533 | ) | (4,578 | ) | (188,001 | ) | ||||||||||||||||||||||||||||||
Estimated fair value | $ | 47,537,606 | $ | 76,099,649 | $ | 325,952 | $ | 123,963,207 | ||||||||||||||||||||||||||||||
Fixed Rate | Adjustable Rate | Total | ||||||||||||||||||||||||||||||||||||
(dollars in thousands) | ||||||||||||||||||||||||||||||||||||||
Amortized cost | $ | 115,267,274 | $ | 5,786,718 | $ | 121,053,992 | ||||||||||||||||||||||||||||||||
Gross unrealized gains | 2,838,203 | 259,013 | 3,097,216 | |||||||||||||||||||||||||||||||||||
Gross unrealized losses | (183,388 | ) | (4,613 | ) | (188,001 | ) | ||||||||||||||||||||||||||||||||
Estimated fair value | $ | 117,922,089 | $ | 6,041,118 | $ | 123,963,207 | ||||||||||||||||||||||||||||||||
Actual maturities of Agency mortgage-backed securities are generally shorter than stated contractual maturities because actual maturities of Agency mortgage-backed securities are affected by periodic payments and prepayments of principal on the underlying mortgages. The following table summarizes the Company’s Agency mortgage-backed securities as of September 30, 2013 and December 31, 2012, according to their estimated weighted average life classifications: | ||||||||||||||||||||||||||||||||||||||
30-Sep-13 | 31-Dec-12 | |||||||||||||||||||||||||||||||||||||
Weighted Average Life | Fair Value | Amortized | Fair Value | Amortized | ||||||||||||||||||||||||||||||||||
Cost | Cost | |||||||||||||||||||||||||||||||||||||
(dollars in thousands) | ||||||||||||||||||||||||||||||||||||||
Less than one year | $ | 295,075 | $ | 291,250 | $ | 1,264,094 | $ | 1,250,405 | ||||||||||||||||||||||||||||||
Greater than one year through five years | 66,618,558 | 67,357,639 | 119,288,168 | 116,510,310 | ||||||||||||||||||||||||||||||||||
Greater than five years through ten years | 12,510,264 | 12,929,637 | 3,104,073 | 2,992,054 | ||||||||||||||||||||||||||||||||||
Greater than 10 years | 478,937 | 532,307 | 306,872 | 301,223 | ||||||||||||||||||||||||||||||||||
Total | $ | 79,902,834 | $ | 81,110,833 | $ | 123,963,207 | $ | 121,053,992 | ||||||||||||||||||||||||||||||
The weighted average lives of the Agency mortgage-backed securities at September 30, 2013 and December 31, 2012 in the table above are based upon principal prepayment rates for each security provided through subscription-based financial information services. The prepayment model considers current yield, forward yield, steepness of the yield curve, current mortgage rates, mortgage rate of the outstanding loans, loan age, margin, volatility and other factors. The actual weighted average lives of the Agency mortgage-backed securities could be longer or shorter than estimated. | ||||||||||||||||||||||||||||||||||||||
The following table presents the gross unrealized losses and estimated fair value of the Company’s Agency mortgage-backed securities by length of time that such securities have been in a continuous unrealized loss position at September 30, 2013 and December 31, 2012. | ||||||||||||||||||||||||||||||||||||||
Unrealized Loss Position For: | ||||||||||||||||||||||||||||||||||||||
Less than 12 Months | 12 Months or More | Total | ||||||||||||||||||||||||||||||||||||
Estimated | Unrealized | Number of | Estimated | Unrealized Losses | Number of Securities | Estimated | Unrealized Losses | Number of Securities | ||||||||||||||||||||||||||||||
Fair Value | Losses | Securities | Fair Value | Fair Value | ||||||||||||||||||||||||||||||||||
(dollars in thousands) | ||||||||||||||||||||||||||||||||||||||
30-Sep-13 | $ | 52,628,291 | $ | (2,124,602 | ) | 557 | $ | 276,471 | $ | (18,317 | ) | 31 | $ | 52,904,762 | $ | (2,142,919 | ) | 588 | ||||||||||||||||||||
31-Dec-12 | $ | 11,220,514 | $ | (82,721 | ) | 187 | $ | 147,775 | $ | (105,280 | ) | 39 | $ | 11,368,289 | $ | (188,001 | ) | 226 | ||||||||||||||||||||
The decline in value of these securities is solely due to market conditions and not the quality of the assets. Substantially all of the Agency mortgage-backed securities are “AAA” rated or carry an implied “AAA” rating. The investments are not considered to be other-than-temporarily impaired because the Company currently has the ability and intent to hold the investments to maturity or for a period of time sufficient for a forecasted market price recovery up to or beyond the cost of the investments, and it is not more likely than not that the Company will be required to sell the investments before recovery of the amortized cost bases, which may be maturity. Also, the Company is guaranteed payment of the principal amount of the securities by the respective issuing government agency. | ||||||||||||||||||||||||||||||||||||||
During the quarter and nine months ended September 30, 2013, the Company sold $12.8 billion and $42.6 billion of Agency mortgage-backed securities, respectively, resulting in a net realized gain of $43.6 million and $374.4 million, respectively. During the quarter and nine months ended September 30, 2012, the Company sold $7.0 billion and $17.9 billion of Agency mortgage-backed securities, respectively, resulting in a net realized gain of $142.0 million and $317.1 million, respectively. Average cost is used as the basis on which the realized gain or loss on sale is determined. | ||||||||||||||||||||||||||||||||||||||
Agency interest-only mortgage-backed securities represent the right to receive a specified portion of the contractual interest flows of the underlying outstanding principal balance of specific Agency mortgage-backed securities. Agency interest-only mortgage-backed securities in the Company’s portfolio as of September 30, 2013 had net unrealized gains of $18.0 million and an amortized cost of $980.8 million. |
ACQUISITION_OF_CREXUS
ACQUISITION OF CREXUS | 9 Months Ended | ||||
Sep. 30, 2013 | |||||
ACQUISITION OF CREXUS | ' | ||||
3. ACQUISITION OF CREXUS | |||||
On April 17, 2013, the Company, through its wholly-owned subsidiary CXS Acquisition Corporation obtained control of CreXus pursuant to the merger agreement dated January 30, 2013. CreXus owned a portfolio of commercial real estate assets which are now owned by the Company. Following the acquisition, CXS Acquisition Corporation was renamed Annaly Commercial Real Estate Group, Inc. | |||||
The business combination was accounted for under the acquisition method of accounting in accordance with ASC 805, Business Combinations, (“ASC 805”). Accordingly, goodwill was measured as the excess of the aggregate of the acquisition-date fair value of the consideration transferred and the acquisition-date fair value of the Company’s previously held equity interest in CreXus over the fair value, at acquisition date, of the identifiable assets acquired net of assumed liabilities. The following table summarizes the aggregate consideration and preliminary fair value of the assets acquired and liabilities assumed recognized at the acquisition date: | |||||
17-Apr-13 | |||||
(dollars in thousands) | |||||
Cash consideration transferred | $ | 876,267 | |||
Fair value of equity interest in CreXus held before the business combination | 106,521 | ||||
$ | 982,788 | ||||
Recognized amounts of identifiable assets acquired and liabilities assumed | |||||
Cash and cash equivalents | $ | 151,843 | |||
Commercial real estate investments | 796,950 | ||||
Accrued interest receivable | 3,485 | ||||
Other assets | 5,617 | ||||
Mortgages payable | (19,376 | ) | |||
Participation sold | (14,352 | ) | |||
Accounts payable and accrued expenses | (12,729 | ) | |||
Total identifiable net assets | 911,438 | ||||
Goodwill | 71,350 | ||||
$ | 982,788 | ||||
The Company recorded $71.4 million of goodwill during the second quarter of 2013 associated with the acquisition of CreXus in the Consolidated Statements of Financial Condition. The final goodwill recorded on the Consolidated Statements of Financial Condition may differ from that reflected herein as a result of future measurement period adjustments. In management’s opinion, the goodwill represents the synergies that will result from integrating CreXus’ commercial real estate platform into the Company, which the Company believes is complementary to its existing business and return profile. | |||||
The acquisition-date fair value of the previously held equity interest in CreXus excluded the estimated fair value of the control premium that resulted from the merger transaction. The Company recognized a loss of $18.9 million during the second quarter of 2013 as a result of remeasuring the fair value of its equity interest in CreXus held before the business combination. | |||||
Under ASC 805, merger-related transaction costs (such as advisory, legal, valuation and other professional fees) are not included as components of consideration transferred but are accounted for as expenses in the periods in which the costs are incurred. Transaction costs of $7.3 million were incurred during the first six months in 2013 and were included in other general and administrative expenses in the Consolidated Statements of Operations and Comprehensive Income (Loss). |
COMMERCIAL_REAL_ESTATE_INVESTM
COMMERCIAL REAL ESTATE INVESTMENTS | 9 Months Ended | ||||||||||||||||||||
Sep. 30, 2013 | |||||||||||||||||||||
COMMERCIAL REAL ESTATE INVESTMENTS | ' | ||||||||||||||||||||
4. COMMERCIAL REAL ESTATE INVESTMENTS | |||||||||||||||||||||
At September 30, 2013, commercial real estate investments were composed of the following: | |||||||||||||||||||||
CRE Debt and Preferred Equity Investments | |||||||||||||||||||||
30-Sep-13 | |||||||||||||||||||||
Outstanding | Carrying | Percentage of | |||||||||||||||||||
Principal | Value | Loan | |||||||||||||||||||
Portfolio(1) | |||||||||||||||||||||
(dollars in thousands) | |||||||||||||||||||||
Senior mortgages | $ | 431,000 | $ | 431,472 | 35.1 | % | |||||||||||||||
Subordinate notes | 41,149 | 41,571 | 3.3 | % | |||||||||||||||||
Mezzanine loans | 567,379 | 569,045 | 46.2 | % | |||||||||||||||||
Preferred equity | 189,769 | 189,115 | 15.4 | % | |||||||||||||||||
Subtotal | $ | 1,229,297 | $ | 1,231,203 | 100 | % | |||||||||||||||
Net origination fees | n/a | (4,021 | ) | n/a | |||||||||||||||||
Net investment in commercial mortgage loans and preferred equity | n/a | $ | 1,227,182 | n/a | |||||||||||||||||
(1) Based on outstanding principal. | |||||||||||||||||||||
30-Sep-13 | |||||||||||||||||||||
Senior | Subordinate | Mezzanine | Preferred | Total | |||||||||||||||||
Mortgages | Notes | Loans | Equity | ||||||||||||||||||
(dollars in thousands) | |||||||||||||||||||||
Beginning principal balance | $ | 330,864 | $ | 41,235 | $ | 524,393 | $ | 39,769 | $ | 936,261 | |||||||||||
Purchases/advances, principal balance | 137,764 | - | 48,606 | 150,000 | 336,347 | ||||||||||||||||
Sales, principal balance | (13,750 | ) | - | - | - | (13,750 | ) | ||||||||||||||
Remaining premium (discount) | 495 | 422 | 1,666 | (654 | ) | 1,929 | |||||||||||||||
Principal payments | (23,901 | ) | (86 | ) | (5,620 | ) | - | (29,584 | ) | ||||||||||||
Carrying value | $ | 431,472 | $ | 41,571 | $ | 569,045 | $ | 189,115 | $ | 1,231,203 | |||||||||||
Internal CRE Debt and Preferred Equity Investment Ratings | |||||||||||||||||||||
30-Sep-13 | |||||||||||||||||||||
Internal Ratings | |||||||||||||||||||||
Investment Type | Outstanding | Percentage of | Performing | Watch List | Workout | ||||||||||||||||
Principal | Portfolio | Loans | Loans | Loans | |||||||||||||||||
(dollars in thousands) | |||||||||||||||||||||
Senior mortgages | $ | 431,000 | 35.1 | % | $ | 418,027 | $ | 12,973 | -1 | $ | - | ||||||||||
Subordinate notes | 41,149 | 3.3 | % | 41,149 | - | - | |||||||||||||||
Mezzanine loans | 567,379 | 46.2 | % | 567,379 | - | - | |||||||||||||||
Preferred equity | 189,769 | 15.4 | % | 189,769 | - | - | |||||||||||||||
$ | 1,229,297 | 100 | % | $ | 1,216,324 | $ | 12,973 | $ | - | ||||||||||||
(1) Loan on non-accrual status. Amount represents recorded investment. | |||||||||||||||||||||
Total Real Estate Investment | |||||||||||||||||||||
30-Sep-13 | |||||||||||||||||||||
(dollars in thousands) | |||||||||||||||||||||
Real estate held for investment, at amortized cost | |||||||||||||||||||||
Land | $ | 6,639 | |||||||||||||||||||
Buildings and improvements | 31,099 | ||||||||||||||||||||
Subtotal | 37,738 | ||||||||||||||||||||
Less: accumulated depreciation | (583 | ) | |||||||||||||||||||
Real estate held for investment, net | 37,155 | ||||||||||||||||||||
Real estate held for sale, at fair value | 23,269 | ||||||||||||||||||||
Total real estate investments, net | 60,424 | ||||||||||||||||||||
Net carrying value of CRE Debt and Preferred | |||||||||||||||||||||
Equity Investment | 1,227,182 | ||||||||||||||||||||
Total real estate investments | $ | 1,287,606 |
GOODWILL
GOODWILL | 9 Months Ended |
Sep. 30, 2013 | |
GOODWILL | ' |
5. GOODWILL | |
At September 30, 2013 and December 31, 2012, goodwill totaled $103.2 million and $55.4 million, respectively. During the second quarter of 2013, the Company recorded $71.4 million of additional goodwill associated with the acquisition of CreXus. During the first quarter of 2012, Merganser’s prior owners received an additional payment of $13.4 million relating to earn-out provisions in the merger agreement, which was recorded as additional goodwill. The Company also recorded a goodwill impairment charge of $24.0 million during the second quarter of 2013 on the Merganser investment based on market information that became available to the Company. In October 2013, the Company sold the net assets and operations of Merganser, which included an assignment of the offices leased by Merganser. No goodwill impairment losses were recognized prior to the second quarter of 2013. |
FAIR_VALUE_MEASUREMENTS
FAIR VALUE MEASUREMENTS | 9 Months Ended | ||||||||||||||||||||
Sep. 30, 2013 | |||||||||||||||||||||
FAIR VALUE MEASUREMENTS | ' | ||||||||||||||||||||
6. FAIR VALUE MEASUREMENTS | |||||||||||||||||||||
The Company follows fair value guidance in accordance with GAAP to account for its financial instruments. The Company categorizes its financial instruments, based on the priority of the inputs to the valuation technique, into a three-level fair value hierarchy. The fair value hierarchy gives the highest priority to quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3). If the inputs used to measure the financial instruments fall within different levels of the hierarchy, the categorization is based on the lowest level input that is significant to the fair value measurement of the instrument. Financial assets and liabilities recorded at fair value on the Consolidated Statements of Financial Condition or disclosed in the related notes are categorized based on the inputs to the valuation techniques as follows: | |||||||||||||||||||||
Level 1– inputs to the valuation methodology are quoted prices (unadjusted) for identical assets and liabilities in active markets. | |||||||||||||||||||||
Level 2 – inputs to the valuation methodology include quoted prices for similar assets and liabilities in active markets, and inputs that are observable for the asset or liability, either directly or indirectly, for substantially the full term of the financial instrument. | |||||||||||||||||||||
Level 3 – inputs to the valuation methodology are unobservable and significant to overall fair value. | |||||||||||||||||||||
Agency mortgage-backed securities, Agency debentures, interest rate swaps, swaptions and other derivatives are valued using quoted prices, including dealer quotes, or internally estimated prices for similar assets. The Company incorporates common market pricing methods, including a spread measurement to the Treasury curve as well as underlying characteristics of the particular security including coupon, periodic and life caps, rate reset period and expected life of the security in its estimates of fair value. Management reviews the fair values generated by the model to determine whether prices are reflective of the current market. Management indirectly corroborates its estimates of the fair value using pricing models by comparing its results to independent prices provided by dealers in the securities and/or third party pricing services. Certain liquid asset classes, such as Agency fixed-rate pass-throughs, may be priced using independent sources such as quoted prices for TBA securities. | |||||||||||||||||||||
The Agency mortgage-backed securities, interest rate swap and swaption markets are considered to be active markets such that participants transact with sufficient frequency and volume to provide transparent pricing information on an ongoing basis. The liquidity of the Agency mortgage-backed securities, interest rate swaps and swaptions markets and the similarity of the Company’s securities to those actively traded enable the Company to observe quoted prices in the market and utilize those prices as a basis for formulating fair value measurements. Consequently, the Company has classified Agency mortgage-backed securities, interest rate swaps, swaptions, TBA derivatives and MBS options as Level 2 inputs in the fair value hierarchy. | |||||||||||||||||||||
The fair value of U.S. Treasury securities and investments in affiliates are based on quoted prices in active markets. | |||||||||||||||||||||
The following table presents the estimated fair values of financial instruments measured at fair value on a recurring basis. | |||||||||||||||||||||
Level 1 | Level 2 | Level 3 | |||||||||||||||||||
At September 30, 2013 | (dollars in thousands) | ||||||||||||||||||||
Assets: | |||||||||||||||||||||
U.S. Treasury securities | $ | 2,459,617 | $ | - | $ | - | |||||||||||||||
Agency mortgage-backed securities | - | 79,902,834 | - | ||||||||||||||||||
Agency debentures | - | 3,128,853 | - | ||||||||||||||||||
Investment in affiliate | 136,748 | - | - | ||||||||||||||||||
Interest rate swaps | - | 360,373 | - | ||||||||||||||||||
Other derivative contracts | 998 | 84,182 | - | ||||||||||||||||||
Liabilities: | |||||||||||||||||||||
U.S. Treasury securities sold, not yet purchased | 2,403,524 | - | - | ||||||||||||||||||
Interest rate swaps | - | 1,504,258 | - | ||||||||||||||||||
Other derivative contracts | 25,635 | 99,833 | - | ||||||||||||||||||
Level 1 | Level 2 | Level 3 | |||||||||||||||||||
At December 31, 2012 | (dollars in thousands) | ||||||||||||||||||||
Assets: | |||||||||||||||||||||
U.S. Treasury securities | $ | 752,076 | $ | - | $ | - | |||||||||||||||
Agency mortgage-backed securities | - | 123,963,207 | - | ||||||||||||||||||
Agency debentures | - | 3,009,568 | - | ||||||||||||||||||
Investments in affiliates | 234,120 | - | - | ||||||||||||||||||
Other derivative contracts | 7,955 | 1,875 | - | ||||||||||||||||||
Liabilities: | |||||||||||||||||||||
U.S. Treasury securities sold, not yet purchased | 495,437 | - | - | ||||||||||||||||||
Interest rate swaps | - | 2,584,907 | - | ||||||||||||||||||
GAAP requires disclosure of fair value information about financial instruments, whether or not recognized in the financial statements, for which it is practical to estimate the value. In cases where quoted market prices are not available, fair values are based upon discounted cash flows using market yields or other valuation methodologies. Considerable judgment is necessary to interpret market data and develop estimated fair values. Accordingly, fair values are not necessarily indicative of the amount the Company would realize on disposition of the financial instruments. The use of different market assumptions or estimation methodologies could have a material effect on the estimated fair value amounts. | |||||||||||||||||||||
The following table summarizes the estimated fair value for all financial assets and liabilities as of September 30, 2013 and December 31, 2012. | |||||||||||||||||||||
30-Sep-13 | 31-Dec-12 | ||||||||||||||||||||
Level in Fair | Carrying | Fair Value | Carrying | Fair Value | |||||||||||||||||
Value | Value | Value | |||||||||||||||||||
Hierarchy | |||||||||||||||||||||
(dollars in thousands) | |||||||||||||||||||||
Financial assets: | |||||||||||||||||||||
Cash and cash equivalents(1) | 1 | $ | 1,122,722 | $ | 1,122,722 | $ | 615,789 | $ | 615,789 | ||||||||||||
Reverse repurchase agreements(1) | 1 | 31,074 | 31,074 | 1,811,095 | 1,811,095 | ||||||||||||||||
Securities borrowed(1) | 1 | 3,439,954 | 3,439,954 | 2,160,942 | 2,160,942 | ||||||||||||||||
U.S. Treasury securities(2) | 1 | 2,459,617 | 2,459,617 | 752,076 | 752,076 | ||||||||||||||||
Agency mortgage-backed securities | 2 | 79,902,834 | 79,902,834 | 123,963,207 | 123,963,207 | ||||||||||||||||
Agency debentures | 2 | 3,128,853 | 3,128,853 | 3,009,568 | 3,009,568 | ||||||||||||||||
Investments in affiliates(2) | 1 | 136,748 | 136,748 | 234,120 | 234,120 | ||||||||||||||||
Commercial real estate debt and preferred equity(3) | 3 | 1,227,182 | 1,225,912 | - | - | ||||||||||||||||
Corporate debt(4) | 2 | 75,988 | 76,049 | 63,944 | 64,271 | ||||||||||||||||
Interest rate swaps | 2 | 360,373 | 360,373 | - | - | ||||||||||||||||
Other derivatives(8) | 1,2 | 85,180 | 85,180 | 9,830 | 9,830 | ||||||||||||||||
Financial liabilities: | |||||||||||||||||||||
U.S. Treasury securities sold, not yet purchased(2) | 1 | $ | 2,403,524 | $ | 2,403,524 | $ | 495,437 | $ | 495,437 | ||||||||||||
Repurchase agreements(1)(5) | 1,2 | 69,211,309 | 69,586,809 | 102,785,697 | 103,332,832 | ||||||||||||||||
Securities loaned(1) | 1 | 3,299,090 | 3,299,090 | 1,808,315 | 1,808,315 | ||||||||||||||||
Convertible Senior Notes(2) | 1 | 824,512 | 883,698 | 825,541 | 899,192 | ||||||||||||||||
Mortgages payable(6) | 2 | 19,346 | 19,282 | - | - | ||||||||||||||||
Participation sold(7) | 3 | 14,164 | 14,095 | - | - | ||||||||||||||||
Interest rate swaps | 2 | 1,504,258 | 1,504,258 | 2,584,907 | 2,584,907 | ||||||||||||||||
Other derivatives(8) | 1,2 | 125,468 | 125,468 | - | - | ||||||||||||||||
-1 | Carrying value approximates fair value due to the short-term maturities of these items. | ||||||||||||||||||||
-2 | Fair value is determined using end of day quoted prices in active markets. | ||||||||||||||||||||
-3 | Commercial real estate debt and preferred equity includes commercial mortgage loans and preferred equity held for investment. Commercial real estate debt and preferred equity are held for investment and are carried at their outstanding principal balance, net of an unamortized origination fee, premium or discount, less a reserve for estimated losses. The estimated fair value of the commercial real estate debt and preferred equity takes into consideration expected changes in interest rates and changes in the underlying collateral cash flows. The fair value of commercial real estate debt and preferred equity is based on the investment’s contractual cash flows and estimated changes in the yield curve. The fair value also reflects consideration of changes in credit risk since the loan was originated or purchased. | ||||||||||||||||||||
-4 | The carrying value of corporate debt is based on amortized cost less an allowance for loan losses, if necessary. Estimates of fair value of corporate debt require the use of judgments and inputs including, but not limited to, the enterprise value of the borrower (i.e., an estimate of the total fair value of the borrower's debt and equity), the nature and realizable value of any collateral, the borrower’s ability to make payments when due and its earnings history. Management also considers factors that affect the macro and local economic markets in which the borrower operates. | ||||||||||||||||||||
-5 | The fair value of repurchase agreements with maturities greater than one year are valued as pay fixed versus receive floating interest rate swaps. | ||||||||||||||||||||
-6 | The fair value of mortgages payable is calculated using the estimated yield of a new par loan to value the remaining terms in place. A par loan is created using the identical terms of the existing loan; however the coupon is derived by using the original spread against the interpolated treasury. The fair value of mortgages payable also reflects consideration of the value of the underlying collateral and changes in credit risk from the time the debt was originated. | ||||||||||||||||||||
-7 | The carrying value of participation sold is based on the loan’s amortized cost less an allowance for loan losses, if necessary. The fair value of participation sold is based on the fair value of the underlying related commercial loan. | ||||||||||||||||||||
-8 | Other derivatives include swaptions, TBA derivatives, MBS options and futures contracts. A complete discussion of the methodology utilized by the Company to estimate the fair value of these derivative instruments is included in the summary of the Company’s significant accounting policies in the notes to these consolidated financial statements. |
REPURCHASE_AGREEMENTS
REPURCHASE AGREEMENTS | 9 Months Ended | ||||||||||||||||
Sep. 30, 2013 | |||||||||||||||||
REPURCHASE AGREEMENTS | ' | ||||||||||||||||
7. REPURCHASE AGREEMENTS | |||||||||||||||||
The Company had outstanding $69.2 billion and $102.8 billion of repurchase agreements with weighted average borrowing rates of 2.02% and 1.53%, after giving effect to the Company’s interest rate swaps, and weighted average remaining maturities of 200 days and 191 days as of September 30, 2013 and December 31, 2012, respectively. Investment Securities and U.S. Treasury securities pledged as collateral under these repurchase agreements and interest rate swaps had an estimated fair value and accrued interest of $75.9 billion and $252.0 million at September 30, 2013, respectively, and $109.2 billion and $363.8 million at December 31, 2012, respectively. | |||||||||||||||||
At September 30, 2013 and December 31, 2012, the repurchase agreements had the following remaining maturities and weighted average rates: | |||||||||||||||||
30-Sep-13 | 31-Dec-12 | ||||||||||||||||
Repurchase | Weighted Average Rate | Repurchase Agreements | Weighted Average Rate | ||||||||||||||
Agreements | |||||||||||||||||
(dollars in thousands) | |||||||||||||||||
1 day | $ | 6,827,874 | 0.21 | % | $ | - | - | ||||||||||
2 to 29 days | 17,171,077 | 0.41 | % | 33,191,448 | 0.5 | % | |||||||||||
30 to 59 days | 13,302,830 | 0.42 | % | 28,383,851 | 0.45 | % | |||||||||||
60 to 89 days | 5,722,493 | 0.43 | % | 8,602,680 | 0.42 | % | |||||||||||
90 to 119 days | 8,030,625 | 0.27 | % | 4,804,671 | 0.57 | % | |||||||||||
Over 120 days | 18,156,410 | 1.36 | % | 27,803,047 | 1.03 | % | |||||||||||
Total | $ | 69,211,309 | 0.63 | % | $ | 102,785,697 | 0.63 | % | |||||||||
Repurchase agreements and reverse repurchase agreements with the same counterparty and the same maturity are presented net in the Consolidated Statements of Financial Condition when the terms of the agreements permit netting. The following table summarizes the gross amounts of reverse repurchase agreements and repurchase agreements, amounts offset in accordance with netting arrangements and net amounts of repurchase agreements and reverse repurchase agreements as presented in the Consolidated Statements of Financial Condition as of September 30, 2013 and December 31, 2012. | |||||||||||||||||
30-Sep-13 | 31-Dec-12 | ||||||||||||||||
Reverse | Repurchase Agreements | Reverse | Repurchase Agreements | ||||||||||||||
Repurchase | Repurchase | ||||||||||||||||
Agreements | Agreements | ||||||||||||||||
(dollars in thousands) | |||||||||||||||||
Gross Amounts | $ | 5,526,615 | $ | 74,706,850 | $ | 3,650,053 | $ | 104,624,655 | |||||||||
Amounts Offset | (5,495,541 | ) | (5,495,541 | ) | (1,838,958 | ) | (1,838,958 | ) | |||||||||
Netted Amounts | $ | 31,074 | $ | 69,211,309 | $ | 1,811,095 | $ | 102,785,697 | |||||||||
DERIVATIVE_INSTRUMENTS
DERIVATIVE INSTRUMENTS | 9 Months Ended | ||||||||||||||||
Sep. 30, 2013 | |||||||||||||||||
DERIVATIVE INSTRUMENTS | ' | ||||||||||||||||
8. DERIVATIVE INSTRUMENTS | |||||||||||||||||
In connection with the Company’s interest rate risk management strategy, the Company economically hedges a portion of its interest rate risk by entering into derivative financial instrument contracts. As of September 30, 2013, such instruments included interest rate swaps, swaptions, TBA derivatives, MBS options and U.S. Treasury futures contracts. The purpose of using derivatives is to manage overall portfolio risk with the potential to generate additional income for distribution to shareholders. These derivatives are subject to changes in market value resulting from changes in interest rates, volatility, Agency mortgage-backed security spreads to U.S. Treasuries and market liquidity. The use of derivatives also creates exposure to credit risk relating to potential losses that could be recognized if the counterparties to these instruments fail to perform their obligations under the stated contract. Additionally, the Company may have to pledge cash or assets as collateral for the derivative transactions, the amount which may vary based on the market value, notional amount and remaining term of the derivative contract. In the event of a default by the counterparty, the Company could have difficulty obtaining its Investment Securities pledged as collateral as well as receiving payments in accordance with the terms of the derivative contracts. None of the Company’s derivative transactions have been designated as hedging instruments for accounting purposes. | |||||||||||||||||
The table below summarizes fair value information about our derivative assets and liabilities as of September 30, 2013 and December 31, 2012: | |||||||||||||||||
September 30, | December 31, | ||||||||||||||||
2013 | 2012 | ||||||||||||||||
Derivatives Instruments | Balance Sheet Location | (dollars in thousands) | |||||||||||||||
Assets | |||||||||||||||||
Interest rate swaps | Interest rate swaps, at fair value | $ | 360,373 | $ | - | ||||||||||||
Interest rate swaptions | Other derivative contracts, at fair value | 62,332 | - | ||||||||||||||
TBA derivatives | Other derivative contracts, at fair value | 21,850 | 1,875 | ||||||||||||||
U.S. Treasury futures | Other derivative contracts, at fair value | 998 | 7,955 | ||||||||||||||
$ | 445,553 | $ | 9,830 | ||||||||||||||
Liabilities | |||||||||||||||||
Interest rate swaps | Interest rate swaps, at fair value | $ | 1,504,258 | $ | 2,584,907 | ||||||||||||
TBA derivatives | Other derivative contracts, at fair value | 66,123 | - | ||||||||||||||
MBS options | Other derivative contracts, at fair value | 33,710 | - | ||||||||||||||
U.S. Treasury futures | Other derivative contracts, at fair value | 25,635 | - | ||||||||||||||
$ | 1,629,726 | $ | 2,584,907 | ||||||||||||||
The following table summarizes certain characteristics of the Company’s interest rate swaps at September 30, 2013: | |||||||||||||||||
Maturity | Current | Weighted Average | Weighted | Weighted Average | |||||||||||||
Notional | Pay Rate | Average | Years to Maturity | ||||||||||||||
Receive Rate | |||||||||||||||||
(dollars in thousands) | |||||||||||||||||
0 - 3 years | $ | 24,208,000 | 1.83 | % | 0.2 | % | 2.19 | ||||||||||
3 - 6 years | 11,427,340 | 1.84 | % | 0.21 | % | 4.3 | |||||||||||
6 - 10 years | 13,327,250 | 2.31 | % | 0.25 | % | 7.54 | |||||||||||
Greater than 10 years | 3,190,000 | 3.66 | % | 0.2 | % | 21.03 | |||||||||||
Total/Weighted Average | $ | 52,152,590 | 2.06 | % | 0.21 | % | 5.17 | ||||||||||
The following table summarizes certain characteristics of the Company’s interest rate swaptions at September 30, 2013: | |||||||||||||||||
Current Underlying | Weighted | Weighted Average | Weighted | Weighted Average | |||||||||||||
Notional | Average | Underlying | Average | Months to | |||||||||||||
Underlying | Receive Rate | Underlying | Expiration | ||||||||||||||
Pay Rate | Years to | ||||||||||||||||
Maturity | |||||||||||||||||
(dollars in thousands) | |||||||||||||||||
$ | 6,800,000 | 3.02 | % | 3M LIBOR | 9.02 | 3.42 | |||||||||||
The following table summarizes certain characteristics of the Company’s TBA derivatives as of September 30, 2013: | |||||||||||||||||
30-Sep-13 | |||||||||||||||||
(dollars in thousands) | |||||||||||||||||
Purchase and sale contracts for | Notional | Cost Basis | Market Value | Net | |||||||||||||
derivative TBAs | Carrying | ||||||||||||||||
Value | |||||||||||||||||
Purchase contracts | $ | 1,625,000 | $ | 1,682,329 | $ | 1,704,180 | $ | 21,850 | |||||||||
Sale contracts | (3,000,000 | ) | (2,911,416 | ) | (2,977,539 | ) | (66,123 | ) | |||||||||
Net derivative TBA derivatives | $ | (1,375,000 | ) | $ | (1,229,087 | ) | $ | (1,273,359 | ) | $ | (44,273 | ) | |||||
Derivative contracts may contain legally enforceable provisions that allow for netting or setting off receivables and payables with each counterparty. Beginning on September 30, 2013, the Company elected to present derivative contracts on a gross basis on the Consolidated Statements of Financial Condition. Prior to September 30, 2013, the Company presented the fair value of interest rate swap contracts net, by counterparty. The following table summarizes notional amounts and unrealized gains (losses) on or related to interest rate swap contracts on a gross basis, with amounts eligible for offset in accordance with netting arrangements, and gross and net amounts as presented in the Consolidated Statements of Financial Condition as of September 30, 2013 and December 31, 2012, respectively. | |||||||||||||||||
30-Sep-13 | |||||||||||||||||
Interest Rate Swaps - Asset | Interest Rate Swaps - Liability | ||||||||||||||||
Notional | Unrealized | Notional | Unrealized | ||||||||||||||
Gains | Losses | ||||||||||||||||
(dollars in thousands) | |||||||||||||||||
Gross Amounts | $ | 10,410,000 | $ | 360,373 | $ | 41,742,590 | $ | (1,504,258 | ) | ||||||||
Amounts Offset | (8,310,000 | ) | (328,327 | ) | 8,310,000 | 328,327 | |||||||||||
Netted Amounts | $ | 2,100,000 | $ | 32,046 | $ | 50,052,590 | $ | (1,175,931 | ) | ||||||||
31-Dec-12 | |||||||||||||||||
Interest Rate Swaps - Asset | Interest Rate Swaps - Liability | ||||||||||||||||
Notional | Unrealized | Notional | Unrealized | ||||||||||||||
Gains | Losses | ||||||||||||||||
(dollars in thousands) | |||||||||||||||||
Gross Amounts | $ | 1,100,000 | $ | 26,020 | $ | 45,811,800 | $ | (2,610,927 | ) | ||||||||
Amounts Offset | (1,100,000 | ) | (26,020 | ) | 1,100,000 | 26,020 | |||||||||||
Netted Amounts | $ | - | $ | - | $ | 46,911,800 | $ | (2,584,907 | ) | ||||||||
The effect of interest rate swaps on the Consolidated Statements of Operations and Comprehensive Income (Loss) is as follows: | |||||||||||||||||
Location on Consolidated Statements of Operations and Comprehensive Income (Loss) | |||||||||||||||||
Realized Gains | Realized Gains (Losses) | Unrealized Gains | |||||||||||||||
(Losses) on | on Termination of | (Losses) on Interest | |||||||||||||||
Interest Rate Swaps | Interest Rate Swaps | Rate Swaps | |||||||||||||||
(dollars in thousands) | |||||||||||||||||
For the Quarters Ended: | |||||||||||||||||
September 30, 2013 | $ | (227,909 | ) | $ | (36,658 | ) | $ | 6,343 | |||||||||
September 30, 2012 | $ | (224,272 | ) | $ | - | $ | (104,197 | ) | |||||||||
For the Nine Months Ended: | |||||||||||||||||
September 30, 2013 | $ | (666,112 | ) | $ | (88,685 | ) | $ | 1,441,099 | |||||||||
September 30, 2012 | $ | (665,614 | ) | $ | (2,385 | ) | $ | (373,773 | ) | ||||||||
The weighted average pay rate on the Company’s interest rate swaps at September 30, 2013 was 2.06% and the weighted average receive rate was 0.21%. The weighted average pay rate at December 31, 2012 was 2.21% and the weighted average receive rate was 0.24%. | |||||||||||||||||
The effect of other derivative contracts on the Company’s Consolidated Statements of Operations and Comprehensive Income (Loss) is as follows: | |||||||||||||||||
Three Months Ended September 30, 2013 | |||||||||||||||||
Derivative Instruments | Realized Gain (Loss) | Unrealized Gain (Loss) | Amount of | ||||||||||||||
Gain/(Loss) | |||||||||||||||||
Recognized in | |||||||||||||||||
Net Gains (Losses) on Trading Assets | |||||||||||||||||
Net TBA derivatives | $ | 42,506 | $ | (58,403 | ) | $ | (15,897 | ) | |||||||||
Net interest rate swaptions | 59,941 | (119,046 | ) | (59,105 | ) | ||||||||||||
U.S. Treasury futures | (5,239 | ) | (25,628 | ) | (30,868 | ) | |||||||||||
$ | (105,869 | ) | |||||||||||||||
Nine Months Ended September 30, 2013 | |||||||||||||||||
Derivative Instruments | Realized Gain (Loss) | Unrealized Gain (Loss) | Amount of | ||||||||||||||
Gain/(Loss) | |||||||||||||||||
Recognized in | |||||||||||||||||
Net Gains (Losses) on Trading Assets | |||||||||||||||||
Net TBA derivatives | $ | 51,846 | $ | (60,278 | ) | $ | (8,432 | ) | |||||||||
Net interest rate swaptions | 60,506 | (74,547 | ) | (14,041 | ) | ||||||||||||
U.S. Treasury futures | (8,298 | ) | (30,642 | ) | (38,940 | ) | |||||||||||
$ | (61,413 | ) | |||||||||||||||
Certain of the Company’s derivative contracts are subject to International Swaps and Derivatives Association Master Agreements (“ISDA”) which contain provisions that grant counterparties certain rights with respect to the applicable ISDA upon the occurrence of (i) negative performance that results in a decline in net assets in excess of specified thresholds or dollar amounts over set periods of time, (ii) the Company’s failure to maintain its REIT status, (iii) the Company’s failure to comply with limits on the amount of leverage, and (iv) the Company’s stock being delisted from the New York Stock Exchange (NYSE). Upon the occurrence of items (i) through (iv), the counterparty to the applicable ISDA has a right to terminate the ISDA in accordance with its provisions. The aggregate fair value of all derivative instruments with the aforementioned features that are in a net liability position at September 30, 2013 is approximately $1.3 billion, which represents the maximum amount the Company would be required to pay upon termination. This amount is fully collateralized. | |||||||||||||||||
In connection with RCap’s proprietary trading activities, it enters primarily into U.S. Treasury, Eurodollar, federal funds, German government and U.S. equity index and currency futures and options contracts. RCap invests in futures and options contracts for economic hedging purposes to reduce exposure to changes in yields of its U.S. Treasury securities and for speculative purposes to achieve capital appreciation. The use of futures and options contracts creates exposure to credit risk relating to potential losses that could be recognized if the counterparties to these instruments fail to perform their obligations under the contracts. RCap uses an appropriately licensed FCM and options broker dealer to execute its orders to buy and sell futures and options contracts. RCap’s derivative contracts are presented in the Consolidated Statements of Financial Condition as Other derivative contracts, at fair value. |
CONVERTIBLE_SENIOR_NOTES
CONVERTIBLE SENIOR NOTES | 9 Months Ended |
Sep. 30, 2013 | |
CONVERTIBLE SENIOR NOTES | ' |
9. CONVERTIBLE SENIOR NOTES | |
In 2010, the Company issued $600.0 million in aggregate principal amount of its 4% convertible senior notes due 2015 (“4% Convertible Senior Notes”) for net proceeds of approximately $582.0 million. The Company has repurchased $492.5 million in aggregate principal amount of its 4% Convertible Senior Notes as of September 30, 2013. Interest on the 4% Convertible Senior Notes is paid semi-annually at a rate of 4% per year and the 4% Convertible Senior Notes will mature on February 15, 2015 unless repurchased or converted earlier. The 4% Convertible Senior Notes are convertible into shares of Common Stock at a conversion rate for each $1,000 principal amount of 4% Convertible Senior Notes. The initial conversion rate was 46.6070, which was equivalent to an initial conversion price of approximately $21.4560 per share of Common Stock. The conversion rate at September 30, 2013 was 77.3716, which is equivalent to a conversion price of approximately $12.9246 per share of Common Stock. The conversion rate is subject to adjustment in certain circumstances. There is no limit on the total number of shares of Common Stock that the Company would be required to issue upon a conversion. | |
The intrinsic value of the contingent beneficial conversion feature was $88.6 million and $75.8 million at September 30, 2013 and December 31, 2012, respectively, which is reflected in Additional paid-in capital on the Company’s Consolidated Statements of Financial Condition, and reduces the recorded liability on the 4% Convertible Senior Notes. The unamortized contingent beneficial conversion feature of the 4% Convertible Senior Notes at September 30, 2013 and December 31, 2012 of $26.7 million and $22.7 million, respectively, is recognized in interest expense over the remaining life of the notes. | |
In May 2012, the Company issued $750.0 million in aggregate principal amount of its 5% convertible senior notes due 2015 (“5% Convertible Senior Notes”) for net proceeds of approximately $727.5 million. Interest on the 5% Convertible Senior Notes is paid semi-annually at a rate of 5% per year and the 5% Convertible Senior Notes will mature on May 15, 2015 unless repurchased or converted earlier. The 5% Convertible Senior Notes are convertible into shares of Common Stock at a conversion rate for each $1,000 principal amount of 5% Convertible Senior Notes. The initial conversion rate and conversion rate at September 30, 2013 was 52.7969, which was equivalent to an initial conversion price of approximately $18.94 per share of Common Stock, subject to adjustment in certain circumstances. Upon conversion, the Company will pay or deliver, as the case may be, cash, shares of Common Stock or a combination of cash and shares of Common Stock, at the Company’s sole discretion. There is no limit on the total number of shares of Common Stock that the Company would be required to issue upon a conversion. | |
At issuance, the Company determined that the 5% Convertible Senior Notes included an equity component of $11.7 million, which is reflected in Additional paid-in capital on the Company’s Consolidated Statements of Financial Condition, and reduces the recorded liability on the 5% Convertible Senior Notes. The $11.7 million discount to the principal amount of the Convertible Senior Notes is recognized in interest expense over the remaining life of the notes. At September 30, 2013 and December 31, 2012, $6.3 million and $9.3 million, respectively, of the discount had not been reflected in interest expense. | |
The 4% Convertible Senior Notes due 2015 and the 5% Convertible Senior Notes due 2015 rank pari passu with each other. They are each a general corporate obligation and therefore rank junior to collateralized debt of the Company with respect to secured collateral. | |
The 4% Convertible Senior Notes and the 5% Convertible Senior Notes rank senior to the 7.875% Series A Cumulative Redeemable Preferred Stock, 7.625% Series C Cumulative Redeemable Preferred Stock and 7.50% Series D Cumulative Redeemable Preferred Stock. The 7.875% Series A Cumulative Redeemable Preferred Stock, 7.625% Series C Cumulative Redeemable Preferred Stock and 7.50% Series D Cumulative Redeemable Preferred Stock rank pari passu with each other. | |
The 7.875% Series A Cumulative Redeemable Preferred Stock, 7.625% Series C Cumulative Redeemable Preferred Stock and 7.50% Series D Cumulative Redeemable Preferred Stock rank senior to the common stock of the Company. |
COMMON_STOCK_AND_PREFERRED_STO
COMMON STOCK AND PREFERRED STOCK | 9 Months Ended | |
Sep. 30, 2013 | ||
COMMON STOCK AND PREFERRED STOCK | ' | |
10. COMMON STOCK AND PREFERRED STOCK | ||
(A) | Common Stock | |
During the nine months ended September 30, 2013 and 2012, 166,000 and 444,000 options were exercised for an aggregate exercise price of $2.2 million and $6.1 million, respectively. | ||
During the nine months ended September 30, 2013 and 2012, the Company issued 157,000 and 117,000 shares and raised $2.2 million and $2.0 million, respectively, through the Direct Purchase and Dividend Reinvestment Program. | ||
During the nine months ended September 30, 2012, 1.3 million shares of 6.00% Series B Cumulative Convertible Preferred Stock were converted into 4.0 million shares of common stock. | ||
On March 19, 2012, the Company entered into six separate Distribution Agency Agreements (“Distribution Agency Agreements”) with each of Merrill Lynch, Pierce, Fenner & Smith Incorporated, Credit Suisse Securities (USA) LLC, Goldman, Sachs & Co., J.P. Morgan Securities LLC, Morgan Stanley & Co. LLC and RCap Securities, Inc. (together, the Agents). Pursuant to the terms of the Distribution Agency Agreements, the Company may sell from time to time through the Agents, as its sales agents, up to 125,000,000 shares of the Company’s common stock. The Company did not make any sales under the Distribution Agency Agreements during the nine months ended September 30, 2013 and 2012. | ||
On May 16, 2012, the Company amended its charter through the filing of articles supplementary to its charter to reclassify 12,650,000 shares of authorized shares of Common Stock as 7.625% Series C Cumulative Redeemable Preferred Stock (“Series C Preferred Stock”). | ||
In May 2012, the Company issued 12,000,000 shares of Series C Preferred Stock, with a par value of $0.01 per share and a liquidation preference of $25.00 per share plus accrued and unpaid dividends (whether or not declared). | ||
On September 13, 2012, the Company amended its charter through the filing of articles supplementary to its charter to reclassify 18,400,000 shares of authorized shares of Common Stock as 7.50% Series D Cumulative Redeemable Preferred Stock (“Series D Preferred Stock”). | ||
In September 2012, the Company issued 18,400,000 shares of Series D Preferred Stock, with a par value of $0.01 per share and a liquidation preference of $25.00 per share plus accrued and unpaid dividends (whether or not declared). | ||
Following the effectiveness of the articles supplementary to its charter the Company’s authorized shares of capital stock, par value of $0.01 per share, consists of 1,956,937,500 shares classified as Common Stock, 7,412,500 shares classified as 7.875% Series A Cumulative Redeemable Preferred Stock, 4,600,000 shares classified as 6.00% Series B Cumulative Convertible Preferred Stock, 12,650,000 shares classified as 7.625% Series C Cumulative Redeemable Preferred Stock and 18,400,000 shares classified as 7.50% Series D Cumulative Redeemable Preferred Stock. | ||
On October 16, 2012, the Company announced that its board of directors (“Board of Directors”) has authorized the repurchase of up to $1.5 billion of its outstanding common shares over a 12 month period. All common shares purchased are part of a publicly announced plan in open-market transactions. During the year ended December 31, 2012, the Company repurchased approximately 27.8 million shares of its outstanding common stock for $397.1 million, of which $141.1 million had not settled at December 31, 2012. During the nine months ended September 30, 2013, the Company did not repurchase any shares of its outstanding common stock. | ||
(B) Preferred Stock | ||
At September 30, 2013 and December 31, 2012, the Company had issued and outstanding 7,412,500 shares of Series A Cumulative Redeemable Preferred Stock (“Series A Preferred Stock”), with a par value of $0.01 per share and a liquidation preference of $25.00 per share plus accrued and unpaid dividends (whether or not declared). The Series A Preferred Stock is entitled to a dividend at a rate of 7.875% per year based on the $25.00 liquidation preference before the common stock is entitled to receive any dividends. The Series A Preferred Stock is redeemable at $25.00 per share plus accrued and unpaid dividends (whether or not declared) exclusively at the Company's option commencing on April 5, 2009 (subject to the Company's right under limited circumstances to redeem the Series A Preferred Stock earlier in order to preserve its qualification as a REIT). The Series A Preferred Stock is senior to the Company's common stock and is on parity with the Series C Preferred Stock and Series D Preferred Stock with respect to dividends and distributions, including distributions upon liquidation, dissolution or winding up. The Series A Preferred Stock generally does not have any voting rights, except if the Company fails to pay dividends on the Series A Preferred Stock for six or more quarterly periods (whether or not consecutive). Under such circumstances, the Series A Preferred Stock, together with the Series C Preferred Stock and Series D Preferred Stock, will be entitled to vote to elect two additional directors to the Board, until all unpaid dividends have been paid or declared and restricted for payment. In addition, certain material and adverse changes to the terms of the Series A Preferred Stock cannot be made without the affirmative vote of holders of at least two-thirds of the outstanding shares of Series A Preferred Stock, Series C Preferred Stock and Series D Preferred Stock. Through September 30, 2013, the Company had declared and paid all required quarterly dividends on the Series A Preferred Stock. | ||
At September 30, 2013 and December 31, 2012, the Company had issued and outstanding 12,000,000 shares of Series C Preferred Stock, with a par value of $0.01 per share and a liquidation preference of $25.00 per share plus accrued and unpaid dividends (whether or not declared). The Series C Preferred Stock is entitled to a dividend at a rate of 7.625% per year based on the $25.00 liquidation preference before the common stock is entitled to receive any dividends. The Series C Preferred Stock is redeemable at $25.00 per share plus accrued and unpaid dividends (whether or not declared) exclusively at the Company’s option commencing on May 16, 2017 (subject to the Company’s right under limited circumstances to redeem the Series C Preferred Stock earlier in order to preserve its qualification as a REIT or under limited circumstances related to a change of control of the Company). The Series C Preferred Stock is senior to the Company’s common stock and is on parity with the Series A Preferred Stock and Series D Preferred Stock with respect to dividends and distributions, including distributions upon liquidation, dissolution or winding up. The Series C Preferred Stock generally does not have any voting rights, except if the Company fails to pay dividends on the Series C Preferred Stock for six or more quarterly periods (whether or not consecutive). Under such circumstances, the Series C Preferred Stock, together with the Series A Preferred Stock and Series D Preferred Stock, will be entitled to vote to elect two additional directors to the Board, until all unpaid dividends have been paid or declared and restricted for payment. In addition, certain material and adverse changes to the terms of the Series C Preferred Stock cannot be made without the affirmative vote of holders of at least two-thirds of the outstanding shares of Series C Preferred Stock and Series A Preferred Stock and Series D Preferred Stock. Through September 30, 2013, the Company had declared and paid all required quarterly dividends on the Series C Preferred Stock. | ||
At September 30, 2013 and December 31, 2012, the Company had issued and outstanding 18,400,000 shares of Series D Preferred Stock, with a par value of $0.01 per share and a liquidation preference of $25.00 per share plus accrued and unpaid dividends (whether or not declared). The Series D Preferred Stock is entitled to a dividend at a rate of 7.50% per year based on the $25.00 liquidation preference before the common stock is entitled to receive any dividends. The Series D Preferred Stock is redeemable at $25.00 per share plus accrued and unpaid dividends (whether or not declared) exclusively at the Company’s option commencing on September 13, 2017 (subject to the Company’s right under limited circumstances to redeem the Series D Preferred Stock earlier in order to preserve its qualification as a REIT or under limited circumstances related to a change of control of the Company). The Series D Preferred Stock is senior to the Company’s common stock and is on parity with the Series A Preferred Stock and Series C Preferred Stock with respect to dividends and distributions, including distributions upon liquidation, dissolution or winding up. The Series D Preferred Stock generally does not have any voting rights, except if the Company fails to pay dividends on the Series D Preferred Stock for six or more quarterly periods (whether or not consecutive). Under such circumstances, the Series D Preferred Stock, together with the Series A Preferred Stock and Series C Preferred Stock, will be entitled to vote to elect two additional directors to the Board, until all unpaid dividends have been paid or declared and restricted for payment. In addition, certain material and adverse changes to the terms of the Series D Preferred Stock cannot be made without the affirmative vote of holders of at least two-thirds of the outstanding shares of Series D Preferred Stock. Through September 30, 2013, the Company had declared and paid all required quarterly dividends on the Series D Preferred Stock. | ||
(C) Distributions to Shareholders | ||
During the nine months ended September 30, 2013, the Company declared dividends to common shareholders totaling $1.1 billion, or $1.20 per common share, of which $331.6 million, or $0.35 per common share, was paid to shareholders on October 31, 2013. During the nine months ended September 30, 2013, the Company declared dividends to Series A Preferred Stock shareholders totaling approximately $10.9 million, or $1.477 per preferred share, of which $3.6 million, or $0.492 per preferred share, was paid to shareholders on September 30, 2013. During the nine months ended September 30, 2013, the Company declared dividends to Series C Preferred Stock shareholders totaling approximately $17.2 million or $1.430 per preferred share, of which $5.7 million, or $0.477 per preferred share, was paid on September 30, 2013. During the nine months ended September 30, 2013, the Company declared dividends to Series D Preferred Stock shareholders totaling approximately $25.9 million, or $1.406 per preferred share, of which $8.6 million, or $0.469 per preferred share, was paid on September 30, 2013. | ||
During the nine months ended September 30, 2012, the Company declared dividends to common shareholders totaling $1.6 billion, or $1.60 per share, of which $487.2 million, or $0.50 per share, was paid to shareholders on October 29, 2012. During the nine months ended September 30, 2012, the Company declared dividends to Series A Preferred shareholders totaling approximately $10.9 million, or $1.477 per preferred share. During the nine months ended September 30, 2012, the Company declared dividends to Series B shareholders totaling approximately $0.3 million, or $0.375 per preferred share. During the nine months ended September 30, 2012, the Company declared dividends to Series C shareholders totaling approximately $8.6 million or $0.715 per preferred share. |
NET_INCOME_PER_COMMON_SHARE
NET INCOME PER COMMON SHARE | 9 Months Ended | ||||||||||||||||
Sep. 30, 2013 | |||||||||||||||||
NET INCOME PER COMMON SHARE | ' | ||||||||||||||||
11. NET INCOME PER COMMON SHARE | |||||||||||||||||
The following table presents a reconciliation of the net income and shares used in calculating basic and diluted earnings per share for the quarters and nine months ended September 30, 2013 and 2012. | |||||||||||||||||
For the Quarter Ended | For the Nine Months Ended | ||||||||||||||||
September 30, | September 30, | September 30, | September 30, | ||||||||||||||
2013 | 2012 | 2013 | 2012 | ||||||||||||||
(dollars in thousands) | |||||||||||||||||
Net income (loss) | $ | 192,458 | $ | 224,758 | $ | 2,700,949 | $ | 1,035,405 | |||||||||
Less: Preferred stock dividends | 17,992 | 9,367 | 53,976 | 19,813 | |||||||||||||
Net income (loss) available to common | 174,466 | 215,391 | 2,646,973 | 1,015,592 | |||||||||||||
shareholders, prior to adjustment for | |||||||||||||||||
dilutive potential common shares, if | |||||||||||||||||
necessary | |||||||||||||||||
Add: Interest on Convertible Senior Notes, if | 1,075 | 3,193 | 31,351 | 23,850 | |||||||||||||
dilutive | |||||||||||||||||
Net income (loss) available to common | $ | 175,541 | $ | 218,584 | $ | 2,678,324 | $ | 1,039,442 | |||||||||
shareholders, as adjusted | |||||||||||||||||
Weighted average shares of common stock | 947,303,205 | 974,729,078 | 947,321,691 | 973,674,586 | |||||||||||||
outstanding- basic | |||||||||||||||||
Add: Effect of dilutive stock options and | 8,387,266 | 22,278,751 | 47,997,979 | 61,690,665 | |||||||||||||
Convertible Senior Notes, if dilutive | |||||||||||||||||
Weighted average shares of common stock | 955,690,471 | 997,007,829 | 995,319,670 | 1,035,365,251 | |||||||||||||
outstanding- diluted | |||||||||||||||||
Net income (loss) per share available (related) | |||||||||||||||||
to common share: | |||||||||||||||||
$ | 0.18 | $ | 0.22 | $ | 2.79 | $ | 1.04 | ||||||||||
Basic | |||||||||||||||||
Diluted | $ | 0.18 | $ | 0.22 | $ | 2.69 | $ | 1 | |||||||||
Options to purchase 3.8 million and 2.8 million shares of common stock were outstanding and considered anti-dilutive as their exercise price and associated option expense exceeded the average stock price for the quarter and nine months ended September 30, 2013, respectively. Options to purchase 1.1 million and 1.8 million shares of common stock were outstanding and considered anti-dilutive as their exercise price and associated option expense exceeded the average stock price for the quarter and nine months ended September 30, 2012, respectively. |
LONGTERM_STOCK_INCENTIVE_PLANS
LONG-TERM STOCK INCENTIVE PLANS | 9 Months Ended | ||||||||||||||||
Sep. 30, 2013 | |||||||||||||||||
LONG-TERM STOCK INCENTIVE PLANS | ' | ||||||||||||||||
12. LONG-TERM STOCK INCENTIVE PLANS | |||||||||||||||||
The Company adopted the 2010 Equity Incentive Plan, which authorizes the Compensation Committee of the Board of Directors to grant options, stock appreciation rights, dividend equivalent rights, or other share-based awards, including restricted shares up to an aggregate of 25,000,000 shares, subject to adjustments as provided in the 2010 Equity Incentive Plan. The Company had previously adopted a long term stock incentive plan for executive officers, key employees and non-employee directors (the Prior Plan). The Prior Plan authorized the Compensation Committee of the Board of Directors to grant awards, including non-qualified options as well as incentive stock options as defined under Section 422 of the Code. The Prior Plan authorized the granting of options or other awards for an aggregate of the greater of 500,000 shares or 9.5% of the diluted outstanding shares of the Company’s common stock, up to a ceiling of 8,932,921 shares. No further awards will be made under the Prior Plan, although existing awards remain effective. | |||||||||||||||||
Stock options were issued at the market price on the date of grant, subject to an immediate or four year vesting in four equal installments with a contractual term of 5 or 10 years. | |||||||||||||||||
The Company has issued and outstanding the following stock options as of September 30, 2013 and 2012: | |||||||||||||||||
For the Nine Months Ended | |||||||||||||||||
30-Sep-13 | 30-Sep-12 | ||||||||||||||||
Number of | Weighted | Number of | Weighted | ||||||||||||||
Shares | Average | Shares | Average | ||||||||||||||
Exercise Price | Exercise Price | ||||||||||||||||
Options outstanding at the beginning of period | 5,618,686 | $ | 15.74 | 6,216,805 | $ | 15.57 | |||||||||||
Granted | - | - | 7,500 | 17.11 | |||||||||||||
Exercised | (166,375 | ) | 13.25 | (443,669 | ) | 13.65 | |||||||||||
Forfeited | (1,226,803 | ) | 16.26 | (2,450 | ) | 16.15 | |||||||||||
Expired | (356,625 | ) | 17.91 | - | - | ||||||||||||
Options outstanding at the end of period | 3,868,883 | $ | 15.48 | 5,778,186 | $ | 15.72 | |||||||||||
Options exercisable at the end of the period | 3,868,883 | $ | 15.48 | 5,147,624 | $ | 16.02 | |||||||||||
The weighted average remaining contractual term was approximately 4.0 years for stock options outstanding and for stock options outstanding and exercisable as of September 30, 2013. As of September 30, 2013, there was no unrecognized compensation cost related to nonvested share-based compensation awards. | |||||||||||||||||
The weighted average remaining contractual term was approximately 4.6 years for stock options outstanding and approximately 4.3 years for stock options exercisable as of September 30, 2012. As of September 30, 2012, there was approximately $1.2 million of total unrecognized compensation cost related to nonvested share-based compensation awards. |
INCOME_TAXES
INCOME TAXES | 9 Months Ended |
Sep. 30, 2013 | |
INCOME TAXES | ' |
13. INCOME TAXES | |
For the quarter and nine months ended September 30, 2013 the Company was qualified to be taxed as a REIT under Code Sections 856 through 860. As a REIT, the Company is not subject to federal income tax to the extent that it distributes its taxable income to its shareholders. To maintain qualification as a REIT, the Company must distribute at least 90% of its annual REIT taxable income to its shareholders and meet certain other requirements such as assets it may hold, income it may generate and its shareholder composition. It is generally the Company’s policy to distribute to its shareholders all of the Company’s taxable income. For years prior to 2013, the Company retained the amount of taxable income attributable to certain employee remuneration deductions disallowed for tax purposes pursuant to Section 162(m) of the Code (“Section 162(m)”). As a result of the externalization of management effective as of July 1, 2013, the Company does not expect to be subject to the Section 162(m) disallowance for the 2013 tax year. | |
The state and local tax jurisdictions for which the Company is subject to tax-filing obligations recognize the Company’s status as a REIT, and therefore, the Company generally does not pay income tax in such jurisdictions. The Company may, however, be subject to certain minimum state and local tax filing fees and our taxable REIT subsidiaries are subject to federal, state and local taxes. | |
During the quarter and nine months ended September 30, 2013, the Company’s taxable REIT subsidiaries recorded $0.6 million and $6.4 million, respectively, of income tax expense for income attributable to those subsidiaries. During the quarter ended June 30, 2013, the Company reversed previously recorded estimated income tax of $3.9 million, which was accrued to reflect the Section 162(m) limitation prior to the externalization of management. | |
During the quarter and nine months ended September 30, 2012, the Company’s taxable REIT subsidiaries recorded $3.3 million and $9.3 million, respectively, of income tax expense for income attributable to those subsidiaries and the portion of earnings retained based on the Section 162(m) limitations. During the quarter and nine months ended September 30, 2012, the Company recorded $10.6 million and $32.7 million, respectively, of income tax expense for a portion of earnings retained based on the Section 162(m) limitations. | |
The Company’s effective tax rate differs from its combined federal, state and city corporate statutory tax rate primarily due to the deduction of dividend distributions required to be paid under Code Section 857(a). | |
The Company’s 2010, 2011 and 2012 federal, state and local tax returns remain open for examination. |
LEASE_COMMITMENTS_AND_CONTINGE
LEASE COMMITMENTS AND CONTINGENCIES | 9 Months Ended | ||||||||||||
Sep. 30, 2013 | |||||||||||||
LEASE COMMITMENTS AND CONTINGENCIES | ' | ||||||||||||
14. LEASE COMMITMENTS AND CONTINGENCIES | |||||||||||||
Commitments | |||||||||||||
The Company has a non-cancelable lease for office space which commenced in May 2002 and expires in December 2014. Merganser has a non-cancelable lease for office space, which commenced on May 2003 and expires in May 2014. Merganser subleases a portion of its leased space to a subtenant. In October 2013, the Company sold the operations of Merganser, which included an assignment of the office space leased by Merganser. FIDAC has a lease for office space which commenced in October 2010 and expires in February 2016. The lease expense for the quarters ended September 30, 2013 and 2012 was $0.5 million and $1.1 million, respectively. The Company’s aggregate future minimum lease payments total $3.3 million. The following table details the lease payments. | |||||||||||||
Year Ending December | Lease Commitment | Sublease Income | Net Amount | ||||||||||
(dollars in thousands) | |||||||||||||
2013 (remaining) | $ | 734 | $ | 45 | $ | 689 | |||||||
2014 | 2,509 | 60 | 2,449 | ||||||||||
2015 | 159 | - | 159 | ||||||||||
2016 | 27 | - | 27 | ||||||||||
Later years | - | - | - | ||||||||||
$ | 3,429 | $ | 105 | $ | 3,324 | ||||||||
The Company’s had no material unfunded loan commitments as of September 30, 2013 and December 31, 2012. | |||||||||||||
Contingencies | |||||||||||||
From time to time, the Company is involved in various claims and legal actions arising in the ordinary course of business. In the opinion of management, the ultimate disposition of these matters will not have a material effect on the Company’s consolidated financial statements and therefore no accrual was required as of September 30, 2013 and December 31, 2012. |
RISK_MANAGEMENT
RISK MANAGEMENT | 9 Months Ended |
Sep. 30, 2013 | |
RISK MANAGEMENT | ' |
15. RISK MANAGEMENT | |
The primary risk to the Company is interest rate risk. Interest rates are highly sensitive to many factors, including governmental monetary and tax policies, domestic and international economic and political considerations and other factors beyond the Company’s control. Changes in the general level of interest rates can affect net interest income, which is the difference between the interest income earned on interest earning assets and the interest expense incurred in connection with the interest-bearing liabilities, by affecting the spread between the interest earning assets and interest-bearing liabilities. Changes in the level of interest rates can also affect the value of the interest earning assets and the Company’s ability to realize gains from the sale of these assets. A decline in the value of the interest earning assets pledged as collateral for borrowings under repurchase agreements and derivative contracts could result in the counterparties demanding additional collateral pledges or liquidation of some of the existing collateral to reduce borrowing levels. | |
The Company may seek to mitigate the potential impact on net income of periodic and lifetime coupon adjustment restrictions in the portfolio of interest earning assets by entering into interest rate agreements such as interest rate caps, interest rate swaps and swaptions. As of September 30, 2013 and December 31, 2012, the Company entered into interest rate swaps to pay a fixed rate and receive a floating rate of interest, with a total notional amount of $52.2 billion and $46.9 billion, respectively. | |
Changes in interest rates may also have an effect on the rate of mortgage principal prepayments and, as a result, prepayments on Agency mortgage-backed securities. The Company may seek to mitigate the effect of changes in the mortgage principal prepayment rate by balancing assets purchased at a premium with assets purchased at a discount. To date, the aggregate premium exceeds the aggregate discount on the Agency mortgage-backed securities. As a result, prepayments, which result in the amortization of premiums, will reduce net income. | |
Weakness in the mortgage market, the shape of the yield curve and changes in the expectations for the volatility of future interest rates may adversely affect the performance and market value of the Company’s investments. This could negatively impact the Company’s net book value. Furthermore, if many of the Company’s lenders are unwilling or unable to provide additional financing, the Company could be forced to sell its Investment Securities at an inopportune time when prices are depressed. The Company has established policies and procedures for mitigating market risk, including conducting scenario analyses and utilizing a range of hedging strategies. | |
The payment of principal and interest on the Freddie Mac and Fannie Mae Agency mortgage-backed securities are guaranteed by those respective agencies and the payment of principal and interest on Ginnie Mae Agency mortgage-backed securities are backed by the full faith and credit of the U.S. government. Principal and interest on Agency debentures are guaranteed by the agency issuing the debenture. Substantially all of the Company’s Investment Securities have an actual or implied “AAA” rating. | |
The Company faces credit risk on the portions of its portfolio which are not Agency mortgage-backed securities and Agency debentures. The Company is exposed to credit risk on CRE Debt and Preferred Equity Investments and corporate debt. The Company is exposed to risk of loss if an issuer, borrower or a counterparty fails to perform its obligations under contractual terms. The Company has established policies and procedures for mitigating credit risk, including reviewing and establishing limits for credit exposure, limiting transactions with specific counterparties, maintaining qualifying collateral and continually assessing the creditworthiness of counterparties, borrowers and issuers. |
RCAP_REGULATORY_REQUIREMENTS
RCAP REGULATORY REQUIREMENTS | 9 Months Ended |
Sep. 30, 2013 | |
RCAP REGULATORY REQUIREMENTS | ' |
16. RCAP REGULATORY REQUIREMENTS | |
RCap is subject to regulations of the securities business that include but are not limited to trade practices, use and safekeeping of funds and securities, capital structure, recordkeeping and conduct of directors, officers and employees. | |
As a self-clearing, registered broker dealer, RCap is required to maintain minimum net capital by FINRA. As of September 30, 2013 RCap had a minimum net capital requirement of $0.2 million. RCap consistently operates with capital in excess of its regulatory capital requirements. RCap’s regulatory net capital as defined by SEC Rule 15c3-1, as of September 30, 2013 was $333.7 million with excess net capital of $333.5 million. |
RELATED_PARTY_TRANSACTIONS
RELATED PARTY TRANSACTIONS | 9 Months Ended |
Sep. 30, 2013 | |
RELATED PARTY TRANSACTIONS | ' |
17. RELATED PARTY TRANSACTIONS | |
Investment in Affiliate, Available-For-Sale Equity Security | |
At September 30, 2013, the Company’s available-for-sale equity securities represented shares of Chimera Investment Corporation (“Chimera”), which are reported at fair value. The Company owned approximately 45.0 million shares of Chimera at a fair value of approximately $136.7 million at September 30, 2013 and approximately 45.0 million shares of Chimera at a fair value of approximately $117.4 million at December 31, 2012. At September 30, 2013 and December 31, 2012, the investment in Chimera had unrealized losses of $2.1 million and $21.5 million, respectively. The Company also held shares of CreXus prior to its acquisition, which closed during the second quarter of 2013. The Company owned approximately 9.5 million shares of CreXus at a fair value of approximately $116.7 million at December 31, 2012. At December 31, 2012, the investment in CreXus had an unrealized loss of $8.7 million. Upon its acquisition of CreXus during the second quarter of 2013, the Company recorded an $18.9 million loss on its investment in CreXus as an offset to goodwill. | |
The Company has evaluated the near-term prospects of its current investment in Chimera in relation to the severity and length of time of the impairment. Based on this evaluation, management has determined that its investment in Chimera was not considered to be other-than-temporarily impaired as of September 30, 2013 and December 31, 2012 as the Company had the intent and ability to retain its investments for a period of time sufficient to allow for any anticipated recovery in market value. | |
Advisory fees | |
For the quarter ended September 30, 2013, the Company recorded advisory fees from Chimera totaling $5.9 million. For the nine months ended September 30, 2013, the Company recorded advisory fees from Chimera and CreXus, prior to its acquisition, totaling $23.3 million. For the quarter and nine months ended September 30, 2012, the Company recorded advisory fees from Chimera and CreXus totaling $16.4 million and $50.3 million, respectively. At September 30, 2013 the Company had amounts receivable from Chimera of $6.7 million and at December 31, 2012, the Company had amounts receivable from Chimera and CreXus of $14.1 million. | |
Management Agreement and Externalization | |
On June 26, 2013, the Company and the Manager entered into a Management Agreement (the “Management Agreement”), effective as of July 1, 2013 and applicable for the entire 2013 calendar year, pursuant to which the Company’s management is conducted by the Manager through the authority delegated to it in the Management Agreement and pursuant to the policies established by the Board of Directors (the “Externalization”). Subject at all times to the supervision and direction of the Company’s Board of Directors, the Manager is responsible for, among other things, (i) managing the Company’s investment portfolio, including purchasing and selling Company assets; (ii) recommending alternative forms of capital raising; (iii) supervising the Company’s financing and hedging activities; (iv) day to day management functions; and (v) such other supervisory and management services and activities relating to the Company’s assets and operations as may be appropriate or may be requested by the Board of Directors. | |
Pursuant to the terms of the Management Agreement, the Company pays the Manager a monthly management fee in an amount equal to 1/12th of 1.05% of stockholders’ equity, as defined in the Management Agreement, for its management services. Effective July 1, 2013, a majority of the Company’s employees were terminated by the Company and were hired by the Manager. The Company has a limited number of employees following the Externalization, all of whom are employees of the Company’s subsidiaries for regulatory or corporate efficiency reasons. All compensation expenses associated with such retained employees reduce the management fee. The Company pays directly, or reimburses the Manager, for all of the Company’s expenses and all the Manager’s documented expenses incurred on the Company’s behalf, other than compensation and benefits related to any and all personnel of the Manager and costs of certain insurance with respect to such personnel. Pursuant to a pro forma calculation that computed the management fee as though it was in effect beginning January 1, 2013, the Company paid the Manager an amount equal to the pro forma calculation minus the actual compensation paid to the Company’s and its subsidiaries’ employees from January 1, 2013 to June 30, 2013. | |
The Management Agreement may be amended or modified by agreement between the Company and the Manager. The initial term of the Management Agreement expires on December 31, 2014 and will be automatically renewed for a one year term each anniversary date thereafter unless previously terminated pursuant to the terms of the Management Agreement. There is no termination fee for a termination of the Management Agreement by either the Company or the Manager. |
SUBSEQUENT_EVENTS
SUBSEQUENT EVENTS | 9 Months Ended |
Sep. 30, 2013 | |
SUBSEQUENT EVENTS | ' |
18. SUBSEQUENT EVENTS | |
On October 18, 2013, the Company sold the business, assets and operations of Merganser to a third party for an amount that approximated book value. |
ORGANIZATION_AND_SIGNIFICANT_A1
ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (Policies) | 9 Months Ended |
Sep. 30, 2013 | |
Basis of Accounting | ' |
Basis of Accounting – The accompanying consolidated financial statements and related notes of the Company have been prepared in accordance with accounting principles generally accepted in the United States ("GAAP"). In the opinion of management, the consolidated financial statements reflect all adjustments considered necessary for a fair presentation of the Company's financial position, results of operations and cash flows. | |
Principles of Consolidation | ' |
Principles of Consolidation – The consolidated financial statements include the accounts of the Company and its wholly-owned subsidiaries. All intercompany balances and transactions have been eliminated in consolidation. Beginning with the Company’s consolidated financial statements for the quarter and six month periods ended June 30, 2013, the Company reclassified previously presented financial information so that amounts previously presented in the Consolidated Statements of Operations and Comprehensive Income (Loss) as interest income from Investments are presented as interest income from Reverse repurchase agreements and Other. Consolidated financial statements for periods prior to June 30, 2013 have been conformed to the current presentation. | |
The Company has evaluated all of its investments in legal entities in order to determine if they are variable interests in Variable Interest Entities ("VIEs"). A VIE is defined as an entity in which equity investors (i) do not have the characteristics of a controlling financial interest, and/or (ii) do not have sufficient equity at risk for the entity to finance its activities without additional financial support from other parties. A variable interest is an investment or other interest that will absorb portions of a VIE's expected losses or receive portions of the entity’s expected residual returns. A VIE is required to be consolidated by its primary beneficiary, which is defined as the party that (i) has the power to control the activities that most significantly impact the VIE’s economic performance and (ii) has the obligation to absorb losses of the VIE that could potentially be significant to the VIE or the right to receive benefits from the VIE that could potentially be significant to the VIE. | |
Cash and Cash Equivalents | ' |
Cash and Cash Equivalents – Cash and cash equivalents include cash on hand and cash held in money market funds on an overnight basis. RCap is a member of various clearing organizations with which it maintains cash required for the conduct of its day-to-day clearance activities. Cash and securities deposited with clearing organizations are carried at cost, which approximates fair value. The Company also maintains collateral in the form of cash on margin with counterparties to its interest rate swaps and other derivatives. Cash and securities deposited with clearing organizations and collateral held in the form of cash on margin with counterparties to its interest rate swaps and other derivatives totaled $740.2 million and $527.5 million at September 30, 2013 and December 31, 2012, respectively. | |
Fair Value Measurements | ' |
Fair Value Measurements – The Company carries various financial instruments at fair value. A complete discussion of the methodology utilized by the Company to estimate the fair value of certain financial instruments is included in the notes to these consolidated financial statements. | |
Agency Mortgage-Backed Securities and Agency Debentures | ' |
Agency Mortgage-Backed Securities and Agency Debentures – The Company invests primarily in mortgage pass-through certificates, collateralized mortgage obligations and other mortgage-backed securities representing interests in or obligations backed by pools of mortgage loans, and certificates guaranteed by the Government National Mortgage Association (“Ginnie Mae”), the Federal Home Loan Mortgage Corporation (“Freddie Mac”) or the Federal National Mortgage Association (“Fannie Mae”) (collectively, “Agency mortgage-backed securities”). The Company also invests in Agency debentures issued by the Federal Home Loan Banks (“FHLB”), Freddie Mac and Fannie Mae. | |
Investment Securities | ' |
Investment Securities – Agency mortgage-backed securities, Agency debentures and corporate debt are referred to herein as “Investment Securities.” Although the Company generally intends to hold most of its Investment Securities until maturity, it may, from time to time, sell any of its Investment Securities as part of its overall management of its portfolio. Investment Securities classified as available-for-sale are reported at fair values estimated by management that are compared to independent sources for reasonableness, with unrealized gains and losses reported as a component of other comprehensive income (loss). Investment Securities transactions are recorded on trade date. Realized gains and losses on sales of Investment Securities are determined using the average cost method. The Company’s investments in corporate debt are designated as held for investment, and are carried at their principal balance outstanding plus any premiums or discounts less allowances for loan losses. No allowance for loan losses was deemed necessary as of September 30, 2013 and December 31, 2012. | |
On April 1, 2011, the Company elected the fair value option for Agency interest-only mortgage-backed securities acquired on or after such date. Interest-only securities and inverse interest-only securities are collectively referred to as “interest-only securities.” These Agency interest-only mortgage-backed securities represent the Company’s right to receive a specified proportion of the contractual interest flows of specific Agency mortgage-backed securities. Agency interest-only mortgage-backed securities acquired on or after April 1, 2011 are measured at fair value as Net gains (losses) on trading assets in the Company’s Consolidated Statements of Operations and Comprehensive Income (Loss). The interest-only securities are included in Agency mortgage-backed securities at fair value on the accompanying Consolidated Statements of Financial Condition. | |
Interest income from coupon payments is accrued based on the outstanding principal amounts of the Investment Securities and their contractual terms. Premiums and discounts associated with the purchase of the Investment Securities are amortized or accreted into interest income over the projected lives of the securities using the interest method. The Company’s policy for estimating prepayment speeds for calculating the effective yield is to evaluate historical performance, consensus prepayment speeds and current market conditions. Adjustments are made for actual prepayment activity. | |
Equity Securities | ' |
Equity Securities – The Company invests in equity securities that are classified as available-for-sale or trading. Equity securities classified as available-for-sale are reported at fair value, based on market quotes, with unrealized gains and losses reported as a component of other comprehensive income (loss). Equity securities classified as trading are reported at fair value, based on market quotes, with unrealized gains and losses reported in the Consolidated Statements of Operations and Comprehensive Income (Loss) as Net gains (losses) on trading assets. Dividends are recorded in earnings based on the declaration date. | |
Derivative Instruments | ' |
Derivative Instruments – The Company may use a variety of derivative instruments to economically hedge some of its exposure to market risks, including interest rate and prepayment risk. These instruments include, but are not limited to, interest rate swaps, options to enter into interest rate swaps (“swaptions”), forward contracts for Agency mortgage-backed securities purchases or sales on a generic pool, or to-be-announced, basis (“TBA securities”) with the intent to net settle (“TBA derivatives”), options on TBA securities (“MBS options”) and U.S. Treasury futures contracts. The Company may also invest in other types of mortgage derivatives such as interest-only securities and synthetic total return swaps, such as the Markit IOS Synthetic Total Return Swap Index. The Company may also enter into TBA dollar rolls. Derivatives are accounted for in accordance with Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) 815, Derivatives and Hedging, which requires recognition of all derivatives as either assets or liabilities at fair value in the Consolidated Statements of Financial Condition with changes in fair value recognized in the Consolidated Statements of Operations and Comprehensive Income (Loss). | |
Some derivative agreements contain provisions that allow for netting or setting off by counterparty; however, beginning on September 30, 2013, the Company elected to present related assets and liabilities on a gross basis in the Consolidated Statements of Financial Condition. Prior to September 30, 2013, the Company presented in the Consolidated Statements of Financial Condition the fair value of interest rate swap contracts net, by counterparty, if the derivative agreements included netting provisions. | |
Interest rate swap agreements - Interest rate swaps are the primary instrument used to mitigate interest rate risk. In particular, the Company uses interest rate swaps to manage its exposure to changing interest rates on its repurchase agreements by economically hedging cash flows associated with these borrowings. Swap agreements may be over-the-counter (“OTC”) agreements which are negotiated directly with a counterparty, or centrally cleared through a registered commodities exchange. OTC swaps are fair valued using internal pricing models and compared to the counterparty market values. Centrally cleared swaps are fair valued using internal pricing models and compared to the exchange market values. | |
Interest rate swaptions - Interest rate swaptions are purchased to mitigate the potential impact of increases or decreases in interest rates. Interest rate swaptions provide the option to enter into an interest rate swap agreement for a predetermined notional amount, stated term and pay and receive interest rates in the future. They are not centrally cleared. The premium paid for interest rate swaptions is reported as an asset in the Consolidated Statement of Financial Position. The premium is valued at an amount equal to the fair value of the swaption. The difference between the premium and the fair value of the swaption is reported in Net gain (loss) on trading assets in the Consolidated Statements of Operations and Comprehensive Income (Loss). If a swaption expires unexercised, the realized loss on the swaption would be equal to the premium paid. If the Company sells or exercises a swaption, the realized gain or loss on the swaption would be equal to the difference between the cash received or the fair value of the underlying interest rate swap received and the premium paid. | |
The fair value of interest rate swaptions is estimated using internal pricing models and compared to the counterparty market value. | |
TBA Dollar Rolls - A TBA security is a forward contract for the purchase ("long position") or sale ("short position") of Agency mortgage-backed securities at a predetermined price, face amount, issuer, coupon and stated maturity on an agreed-upon future date. The specific Agency mortgage-backed securities delivered into the contract upon the settlement date, published each month by the Securities Industry and Financial Markets Association, are not known at the time of the transaction. TBA dollar roll transactions are accounted for as a series of derivative transactions. The fair value of TBA derivatives is based on similar methods used to value Agency mortgage-backed securities with gains and losses recorded in Net gains (losses) on trading assets in the Consolidated Statements of Operations and Comprehensive Income (Loss). | |
MBS Options – MBS options are generally options on TBA contracts, which help manage mortgage market risks and volatility while providing the potential to enhance returns. MBS options are over-the-counter traded instruments and those written on current-coupon mortgage-backed securities are typically the most liquid. MBS options are fair valued using internal pricing models and compared to the counterparty market value at the valuation date with gains and losses recorded in Net gains (losses) on trading assets in the Consolidated Statements of Operations and Comprehensive Income (Loss). | |
U.S. Treasury Futures - U.S. Treasury futures contracts are derivatives that track the prices of specific U.S. Treasury securities. Short sales of U.S. Treasury futures contracts help mitigate the potential impact of changes in interest rates on the portfolio performance. The Company maintains a margin account which is settled daily with Futures Commission Merchants (“FCMs”). The margin requirement varies based on the market value of the open positions and the equity retained in the account. Futures contracts are fair valued based on exchange pricing with gains and losses recorded in Net gains (losses) on trading assets in the Consolidated Statements of Operations and Comprehensive Income (Loss). | |
Other-Than-Temporary Impairment | ' |
Other-Than-Temporary Impairment – Management evaluates available-for-sale securities for other-than-temporary impairment at least quarterly, and more frequently when economic or market conditions warrant such evaluation. When the fair value of an available-for-sale security is less than its amortized cost the security is considered impaired. For securities that are impaired, the Company determines if it (1) has the intent to sell the security, (2) is more likely than not that it will be required to sell the security before recovery of its amortized cost basis, or (3) does not expect to recover the entire amortized cost basis of the security. Further, the security is analyzed for credit loss (the difference between the present value of cash flows expected to be collected and the amortized cost basis). The credit loss, if any, will then be recognized in the Consolidated Statements of Operations and Comprehensive Income (Loss), while the balance of losses related to other factors will be recognized as a component of other comprehensive income (loss). There was no other-than-temporary impairment for the quarters and nine months ended September 30, 2013 and 2012. | |
Loan Loss Reserves | ' |
Loan Loss Reserves –To determine if loan loss allowances are required on investments in corporate debt, the Company reviews the monthly and/or quarterly financial statements of the borrowers to verify they meet the covenants of the loan documents. If based on the financial review it is deemed probable that the Company will be unable to collect contractual principal and interest amounts (e.g. financial performance and delinquencies), a loan loss provision would be recorded. No allowance for loan losses was deemed necessary as of September 30, 2013 and December 31, 2012. | |
Repurchase Agreements | ' |
Repurchase Agreements – The Company finances the acquisition of a significant portion of its Agency mortgage-backed securities with repurchase agreements. The Company examines each of the specified criteria in ASC 860, Transfers and Servicing, at the inception of each transaction and has determined that each of the financings meet the specified criteria in this guidance. None of the Company’s repurchase agreements are accounted for as components of linked transactions. As a result, the Company separately accounts for the financial assets and related repurchase financings in the accompanying consolidated financial statements. | |
Reverse repurchase agreements and repurchase agreements with the same counterparty and the same maturity are presented net in the Consolidated Statements of Financial Condition when the terms of the agreements permit netting. The Company reports cash flows on repurchase agreements as financing activities in the Consolidated Statements of Cash Flows. The Company reports cash flows on reverse repurchase and repurchase agreements entered into by RCap and Shannon as operating activities in the Consolidated Statements of Cash Flows. | |
Goodwill and Intangible Assets | ' |
Goodwill and Intangible Assets – The Company’s acquisitions of FIDAC, Merganser Capital Management, Inc. (“Merganser”) and CreXus were accounted for using the acquisition method. Under the acquisition method, net assets and results of operations of acquired companies are included in the consolidated financial statements from the date of acquisition. The costs of FIDAC, Merganser and CreXus were allocated to the assets acquired, including identifiable intangible assets, and the liabilities assumed based on their estimated fair values at the date of acquisition. The excess of purchase price over the fair value of the net assets acquired was recognized as goodwill. | |
The Company tests goodwill for impairment on an annual basis and at interim periods when events or circumstances may make it more likely than not that an impairment has occurred. If a qualitative analysis indicates that there may be an impairment, a quantitative analysis is performed. The quantitative impairment test for goodwill utilizes a two-step approach, whereby the Company compares the carrying value of each identified reporting unit to its fair value. If the carrying value of the reporting unit is greater than its fair value, the second step is performed, where the implied fair value of goodwill is compared to its carrying value. The Company recognizes an impairment charge for the amount by which the carrying amount of goodwill exceeds its fair value. | |
Intangible assets with an estimated useful life are amortized over the expected life. | |
Convertible Senior Notes | ' |
Convertible Senior Notes – The Company records the 4% Convertible Senior Notes and 5% Convertible Senior Notes (collectively, the “Convertible Senior Notes”) at their contractual amounts, adjusted by the effects of a beneficial conversion feature and a contingent beneficial conversion feature (collectively, the “Conversion Features”). The Conversion Features’ intrinsic value is included in “Additional paid-in capital” on the Company’s Consolidated Statements of Financial Condition and reduces the recorded liability amount associated with the Convertible Senior Notes. A Conversion Feature may be recognized as a result of adjustments to the conversion price for dividends declared to common shareholders. | |
Stock Based Compensation | ' |
Stock Based Compensation – The Company is required to measure and recognize in the consolidated financial statements the compensation cost relating to share-based payment transactions. The Company recognizes compensation expense on a straight-line basis over the requisite service period for the entire award. | |
Income Taxes | ' |
Income Taxes – The Company has elected to be taxed as a REIT and intends to comply with the provisions of the Code, with respect thereto. Accordingly, the Company will not be subjected to federal income tax to the extent of its distributions to shareholders and as long as certain asset, income and stock ownership tests are met. The Company and certain of its direct and indirect subsidiaries, including FIDAC, Merganser, RCap and certain subsidiaries of Annaly Commercial, have made separate joint elections to treat these subsidiaries as taxable REIT subsidiaries. As such, each of these taxable REIT subsidiaries is taxable as a domestic C corporation and subject to federal, state and local income taxes based upon their taxable income. | |
The provisions of ASC 740, Income Taxes, (“ASC 740”) clarify the accounting for uncertainty in income taxes recognized in financial statements and prescribe a recognition threshold and measurement attribute for tax positions taken or expected to be taken on a tax return. ASC 740 also requires that interest and penalties related to unrecognized tax benefits be recognized in the financial statements. The Company does not have any unrecognized tax benefits that would affect its financial position. Thus, no accruals for penalties and interest were necessary as of September 30, 2013 or December 31, 2012. | |
Use of Estimates | ' |
Use of Estimates – The preparation of the consolidated financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates. | |
Commercial Real Estate Investments | ' |
Commercial Real Estate Investments | |
Commercial Real Estate Loans – The Company's commercial real estate mortgages and loans are comprised of fixed-rate and adjustable-rate loans. Commercial real estate mortgages and loans are designated as held for investment and are carried at their outstanding principal balance, net of an unamortized origination fee, premium or discount, less a reserve for estimated losses if necessary. Origination fees, premiums and discounts are amortized or accreted over the estimated life of the loan. The difference between the principal amount of a loan and proceeds at acquisition is recorded as either a discount or premium. | |
Preferred Equity Interests Held for Investment – Preferred equity interests are designated as held for investment and are carried at their outstanding principal balance, net of an unamortized origination fee, premium or discount, less a reserve for estimated losses if necessary. Origination fees, premiums and discounts are amortized or accreted into interest income over the estimated life of the investment. | |
Investments in Commercial Real Estate – Investments in commercial real estate are carried at historical cost less accumulated depreciation. Costs directly related to acquisitions deemed to be business combinations are expensed. Ordinary repairs and maintenance which are not reimbursed by the tenants are expensed as incurred. Major replacements and improvements that extend the useful life of the asset are capitalized and depreciated over their useful life. | |
Allowance for Losses – The Company evaluates the need for a loss reserve on its commercial real estate mortgages, loans and preferred equity interests held for investment (collectively referred to as “CRE Debt and Preferred Equity Investments”). A provision is established when the Company believes CRE Debt and Preferred Equity Investments are impaired, which is when it is deemed probable that the Company will be unable to collect contractual principal and interest amounts. A provision for losses related to CRE Debt and Preferred Equity Investments, including those accounted for under ASC 310-30, Loans and Debt Securities Acquired with Deteriorated Credit Quality, may be established when it is probable the Company will not collect amounts contractually due or all amounts previously estimated to be collectable. Management assesses the credit quality of the portfolio and adequacy of loan loss reserves on a quarterly basis, or more frequently as necessary. Significant judgment is required in this analysis. Depending on the expected recovery of its investment, the Company considers the estimated net recoverable value of the CRE Debt and Preferred Equity Investments as well as other factors, including but not limited to the fair value of any collateral, the amount and the status of any senior debt, the prospects for the borrower and the competitive landscape where the borrower conducts business. Because this determination is based upon projections of future economic events, which are inherently subjective, the amounts ultimately realized may differ materially from the carrying value as of the reporting date. | |
Revenue Recognition – Commercial Real Estate Investments - Interest income is accrued based on the outstanding principal amount of the CRE Debt and Preferred Equity Investments and their contractual terms. Premiums and discounts associated with the purchase of the CRE Debt and Preferred Equity Investments are amortized or accreted into interest income over the projected lives of the CRE Debt and Preferred Equity Investments using the interest method based on the estimated recovery value. | |
Reverse Repurchase Agreements | ' |
Reverse Repurchase Agreements – RCap enters into reverse repurchase agreements as part of its matched book trading activity. Reverse repurchase agreements are recorded on trade date at the contract amount and are collateralized by mortgage-backed or other securities. Margin calls are made by RCap as necessary based on the daily valuation of the underlying collateral as compared to the contract price. RCap generates income from the spread between what is earned on the reverse repurchase agreements and what is paid on the matched repurchase agreements. RCap’s policy is to obtain possession of collateral with a market value in excess of the principal amount loaned under reverse repurchase agreements. To ensure that the market value of the underlying collateral remains sufficient, collateral is valued daily, and RCap will require counterparties to deposit additional collateral, when necessary. All reverse repurchase activities are transacted under master repurchase agreements that give RCap the right, in the event of default, to liquidate collateral held and in some instances, to offset receivables and payables with the same counterparty. | |
Securities borrowed and loaned transactions | ' |
Securities Borrowed and Loaned Transactions – RCap records securities borrowed and loaned transactions as collateralized financings. Securities borrowed transactions require RCap to provide the counterparty with collateral in the form of cash, or other securities. RCap receives collateral in the form of cash or other securities for securities loaned transactions. RCap monitors the fair value of the securities borrowed and loaned on a daily basis, with additional collateral obtained or refunded as necessary. Securities borrowed and securities loaned transactions are recorded at contract value. For these transactions, the rebates accrued by RCap are recorded as interest income or expense. | |
U.S. Treasury Securities | ' |
U.S. Treasury Securities – RCap trades in U.S. Treasury securities for its proprietary portfolio, which consists of long and short positions on U.S Treasury notes and bonds. U.S. Treasury securities are classified as trading investments and are recorded on the trade date at cost. Changes in fair value are reflected in Net gains (losses) on trading assets in the Company’s Consolidated Statement of Operations and Comprehensive Income (Loss). Interest income or expense on U.S. Treasury notes and bonds is accrued based on the outstanding principal amount of those investments and their stated terms. | |
Derivatives - RCap enters primarily into U.S. Treasury, Eurodollar, federal funds, U.S. equity index and currency futures and options contracts. RCap maintains a margin account which is settled daily with FCMs. Changes in the unrealized gains or losses on the futures and options contracts as well as any foreign exchange gains and losses are reflected in Net gains (losses) on trading assets in the Company’s Consolidated Statements of Operations and Comprehensive Income (Loss). Unrealized gains (losses) are excluded from net income (loss) in arriving at cash flows from operating activities in the Consolidated Statements of Cash Flows. | |
Balance Sheet (ASC 210) | ' |
Balance Sheet (ASC 210) | |
On December 23, 2011, FASB released ASU 2011-11 Balance Sheet: Disclosures about Offsetting Assets and Liabilities. Under this update, the Company is required to disclose both gross information and net information about both instruments and transactions eligible for offset in the Company’s Consolidated Statements of Financial Condition and transactions subject to an agreement similar to a master netting arrangement. The scope includes derivatives, sale and repurchase agreements and reverse sale and repurchase agreements and securities borrowing and securities lending arrangements. This disclosure is intended to enable financial statement users to understand the effect of such arrangements on the Company’s financial position. In January 2013, FASB released ASU 2013-01 Balance Sheet: Clarifying the Scope of Disclosures about Offsetting Assets and Liabilities, which served solely to clarify the scope of financial instruments included in ASU 2011-11 as there was concern about diversity in practice. The objective of these updates is to support further convergence of GAAP and IFRS requirements. The updates are effective for annual reporting periods beginning on or after January 1, 2013 and did not have a significant impact on the consolidated financial statements. | |
Comprehensive Income (ASC 220) | ' |
Comprehensive Income (ASC 220) | |
On December 23, 2011, the FASB issued ASU 2011-12, Comprehensive Income: Deferral of Effective Date for Amendments to the Presentation of Reclassifications of Items Out of Accumulated Other Comprehensive Income In ASU No. 2011-05, which defers those changes in ASU 2011-05 that relate to the presentation of reclassification adjustments out of accumulated other comprehensive income. This was done to allow the FASB time to re-deliberate the presentation on the face of the financial statements the effects of reclassifications out of accumulated other comprehensive income on the components of net income and other comprehensive income. No other requirements under ASU 2011-05 are affected by ASU 2011-12. FASB tentatively decided not to require presentation of reclassification adjustments out of accumulated other comprehensive income on the face of the financial statements and to propose new disclosures instead. | |
In February 2013, the FASB issued ASU 2013-02 Comprehensive Income: Reporting of Amounts Reclassified Out of Accumulated Other Comprehensive Income. This update addresses the disclosure issue left open at the deferral under ASU 2011-12. This update requires the provision of information about the amounts reclassified out of accumulated other comprehensive income by component. In addition, it requires presentation, either on the face of the statement where net income is presented or in the notes, significant amounts reclassified out of accumulated other comprehensive income by the respective line items of net income but only if the amount reclassified is required under GAAP to be reclassified to net income in its entirety in the same reporting period. For other amounts that are not required under GAAP to be reclassified in their entirety to net income, a cross-reference must be provided to other disclosures required under GAAP that provide additional detail about those amounts. This update is effective for reporting periods beginning after December 15, 2012. Adoption of ASU 2013-02 did not have a significant impact on the consolidated financial statements. | |
Financial Services - Investment Companies (ASC 946) | ' |
Financial Services – Investment Companies (ASC 946) | |
In June 2013, the FASB finalized ASU 2013-08 amending the scope, measurement and disclosure requirements under Topic 946 – Financial Services-Investment Companies. The FASB decided not to address issues related to the applicability of investment company accounting for real estate entities and the measurement of real estate investments at this time. Further, as stated in ASC 946-10-15-3, the guidance in Topic 946 does not apply to REITs, and thus has no effect on the Company’s consolidated financial statements. |
AGENCY_MORTGAGEBACKED_SECURITI1
AGENCY MORTGAGE-BACKED SECURITIES (Tables) | 9 Months Ended | |||||||||||||||||||||||||||||||||||||
Sep. 30, 2013 | ||||||||||||||||||||||||||||||||||||||
Schedule of Available-for-sale Securities Reconciliation | ' | |||||||||||||||||||||||||||||||||||||
The following tables present the Company’s available-for-sale Agency mortgage-backed securities portfolio as of September 30, 2013 and December 31, 2012 which were carried at their fair value: | ||||||||||||||||||||||||||||||||||||||
Freddie Mac | Fannie Mae | Ginnie Mae | Total Mortgage- | |||||||||||||||||||||||||||||||||||
30-Sep-13 | Backed Securities | |||||||||||||||||||||||||||||||||||||
(dollars in thousands) | ||||||||||||||||||||||||||||||||||||||
Agency mortgage-backed securities, par value | $ | 26,837,473 | $ | 49,364,721 | $ | 184,594 | $ | 76,386,788 | ||||||||||||||||||||||||||||||
Unamortized discount | (8,245 | ) | (11,415 | ) | (379 | ) | (20,039 | ) | ||||||||||||||||||||||||||||||
Unamortized premium | 1,635,431 | 3,077,589 | 31,064 | 4,744,084 | ||||||||||||||||||||||||||||||||||
Amortized cost | 28,464,659 | 52,430,895 | 215,279 | 81,110,833 | ||||||||||||||||||||||||||||||||||
Gross unrealized gains | 285,508 | 638,337 | 11,075 | 934,920 | ||||||||||||||||||||||||||||||||||
Gross unrealized losses | (862,484 | ) | (1,277,246 | ) | (3,189 | ) | (2,142,919 | ) | ||||||||||||||||||||||||||||||
Estimated fair value | $ | 27,887,683 | $ | 51,791,986 | $ | 223,165 | $ | 79,902,834 | ||||||||||||||||||||||||||||||
Fixed Rate | Adjustable Rate | Total | ||||||||||||||||||||||||||||||||||||
(dollars in thousands) | ||||||||||||||||||||||||||||||||||||||
Amortized cost | $ | 76,844,755 | $ | 4,266,078 | $ | 81,110,833 | ||||||||||||||||||||||||||||||||
Gross unrealized gains | 780,365 | 154,555 | 934,920 | |||||||||||||||||||||||||||||||||||
Gross unrealized losses | (2,122,255 | ) | (20,664 | ) | (2,142,919 | ) | ||||||||||||||||||||||||||||||||
Estimated fair value | $ | 75,502,865 | $ | 4,399,969 | $ | 79,902,834 | ||||||||||||||||||||||||||||||||
Freddie Mac | Fannie Mae | Ginnie Mae | Total Mortgage- | |||||||||||||||||||||||||||||||||||
31-Dec-12 | Backed Securities | |||||||||||||||||||||||||||||||||||||
(dollars in thousands) | ||||||||||||||||||||||||||||||||||||||
Agency mortgage-backed securities, par value | $ | 44,296,234 | $ | 70,649,782 | $ | 273,988 | $ | 115,220,004 | ||||||||||||||||||||||||||||||
Unamortized discount | (9,515 | ) | (12,315 | ) | (389 | ) | (22,219 | ) | ||||||||||||||||||||||||||||||
Unamortized premium | 2,121,478 | 3,695,381 | 39,348 | 5,856,207 | ||||||||||||||||||||||||||||||||||
Amortized cost | 46,408,197 | 74,332,848 | 312,947 | 121,053,992 | ||||||||||||||||||||||||||||||||||
Gross unrealized gains | 1,166,299 | 1,913,334 | 17,583 | 3,097,216 | ||||||||||||||||||||||||||||||||||
Gross unrealized losses | (36,890 | ) | (146,533 | ) | (4,578 | ) | (188,001 | ) | ||||||||||||||||||||||||||||||
Estimated fair value | $ | 47,537,606 | $ | 76,099,649 | $ | 325,952 | $ | 123,963,207 | ||||||||||||||||||||||||||||||
Fixed Rate | Adjustable Rate | Total | ||||||||||||||||||||||||||||||||||||
(dollars in thousands) | ||||||||||||||||||||||||||||||||||||||
Amortized cost | $ | 115,267,274 | $ | 5,786,718 | $ | 121,053,992 | ||||||||||||||||||||||||||||||||
Gross unrealized gains | 2,838,203 | 259,013 | 3,097,216 | |||||||||||||||||||||||||||||||||||
Gross unrealized losses | (183,388 | ) | (4,613 | ) | (188,001 | ) | ||||||||||||||||||||||||||||||||
Estimated fair value | $ | 117,922,089 | $ | 6,041,118 | $ | 123,963,207 | ||||||||||||||||||||||||||||||||
Schedule of Agency Mortgage Backed Securities by Estimated Weighted Average Life Classification | ' | |||||||||||||||||||||||||||||||||||||
The following table summarizes the Company’s Agency mortgage-backed securities as of September 30, 2013 and December 31, 2012, according to their estimated weighted average life classifications: | ||||||||||||||||||||||||||||||||||||||
30-Sep-13 | 31-Dec-12 | |||||||||||||||||||||||||||||||||||||
Weighted Average Life | Fair Value | Amortized | Fair Value | Amortized | ||||||||||||||||||||||||||||||||||
Cost | Cost | |||||||||||||||||||||||||||||||||||||
(dollars in thousands) | ||||||||||||||||||||||||||||||||||||||
Less than one year | $ | 295,075 | $ | 291,250 | $ | 1,264,094 | $ | 1,250,405 | ||||||||||||||||||||||||||||||
Greater than one year through five years | 66,618,558 | 67,357,639 | 119,288,168 | 116,510,310 | ||||||||||||||||||||||||||||||||||
Greater than five years through ten years | 12,510,264 | 12,929,637 | 3,104,073 | 2,992,054 | ||||||||||||||||||||||||||||||||||
Greater than 10 years | 478,937 | 532,307 | 306,872 | 301,223 | ||||||||||||||||||||||||||||||||||
Total | $ | 79,902,834 | $ | 81,110,833 | $ | 123,963,207 | $ | 121,053,992 | ||||||||||||||||||||||||||||||
Schedule of Continuous Unrealized Loss Position | ' | |||||||||||||||||||||||||||||||||||||
The following table presents the gross unrealized losses and estimated fair value of the Company’s Agency mortgage-backed securities by length of time that such securities have been in a continuous unrealized loss position at September 30, 2013 and December 31, 2012. | ||||||||||||||||||||||||||||||||||||||
Unrealized Loss Position For: | ||||||||||||||||||||||||||||||||||||||
Less than 12 Months | 12 Months or More | Total | ||||||||||||||||||||||||||||||||||||
Estimated | Unrealized | Number of | Estimated | Unrealized Losses | Number of Securities | Estimated | Unrealized Losses | Number of Securities | ||||||||||||||||||||||||||||||
Fair Value | Losses | Securities | Fair Value | Fair Value | ||||||||||||||||||||||||||||||||||
(dollars in thousands) | ||||||||||||||||||||||||||||||||||||||
30-Sep-13 | $ | 52,628,291 | $ | (2,124,602 | ) | 557 | $ | 276,471 | $ | (18,317 | ) | 31 | $ | 52,904,762 | $ | (2,142,919 | ) | 588 | ||||||||||||||||||||
31-Dec-12 | $ | 11,220,514 | $ | (82,721 | ) | 187 | $ | 147,775 | $ | (105,280 | ) | 39 | $ | 11,368,289 | $ | (188,001 | ) | 226 |
ACQUISITION_OF_CREXUS_Tables
ACQUISITION OF CREXUS (Tables) | 9 Months Ended | ||||
Sep. 30, 2013 | |||||
Summary of Aggregate Consideration and Preliminary Fair Value of Assumed Assets and Liabilities | ' | ||||
The following table summarizes the aggregate consideration and preliminary fair value of the assets acquired and liabilities assumed recognized at the acquisition date: | |||||
17-Apr-13 | |||||
(dollars in thousands) | |||||
Cash consideration transferred | $ | 876,267 | |||
Fair value of equity interest in CreXus held before the business combination | 106,521 | ||||
$ | 982,788 | ||||
Recognized amounts of identifiable assets acquired and liabilities assumed | |||||
Cash and cash equivalents | $ | 151,843 | |||
Commercial real estate investments | 796,950 | ||||
Accrued interest receivable | 3,485 | ||||
Other assets | 5,617 | ||||
Mortgages payable | (19,376 | ) | |||
Participation sold | (14,352 | ) | |||
Accounts payable and accrued expenses | (12,729 | ) | |||
Total identifiable net assets | 911,438 | ||||
Goodwill | 71,350 | ||||
$ | 982,788 |
COMMERCIAL_REAL_ESTATE_INVESTM1
COMMERCIAL REAL ESTATE INVESTMENTS (Tables) | 9 Months Ended | ||||||||||||||||||||
Sep. 30, 2013 | |||||||||||||||||||||
CRE Debt and Preferred Equity Investments | ' | ||||||||||||||||||||
CRE Debt and Preferred Equity Investments | |||||||||||||||||||||
30-Sep-13 | |||||||||||||||||||||
Outstanding | Carrying | Percentage of | |||||||||||||||||||
Principal | Value | Loan | |||||||||||||||||||
Portfolio(1) | |||||||||||||||||||||
(dollars in thousands) | |||||||||||||||||||||
Senior mortgages | $ | 431,000 | $ | 431,472 | 35.1 | % | |||||||||||||||
Subordinate notes | 41,149 | 41,571 | 3.3 | % | |||||||||||||||||
Mezzanine loans | 567,379 | 569,045 | 46.2 | % | |||||||||||||||||
Preferred equity | 189,769 | 189,115 | 15.4 | % | |||||||||||||||||
Subtotal | $ | 1,229,297 | $ | 1,231,203 | 100 | % | |||||||||||||||
Net origination fees | n/a | (4,021 | ) | n/a | |||||||||||||||||
Net investment in commercial mortgage loans and preferred equity | n/a | $ | 1,227,182 | n/a | |||||||||||||||||
(1) Based on outstanding principal. | |||||||||||||||||||||
30-Sep-13 | |||||||||||||||||||||
Senior | Subordinate | Mezzanine | Preferred | Total | |||||||||||||||||
Mortgages | Notes | Loans | Equity | ||||||||||||||||||
(dollars in thousands) | |||||||||||||||||||||
Beginning principal balance | $ | 330,864 | $ | 41,235 | $ | 524,393 | $ | 39,769 | $ | 936,261 | |||||||||||
Purchases/advances, principal balance | 137,764 | - | 48,606 | 150,000 | 336,347 | ||||||||||||||||
Sales, principal balance | (13,750 | ) | - | - | - | (13,750 | ) | ||||||||||||||
Remaining premium (discount) | 495 | 422 | 1,666 | (654 | ) | 1,929 | |||||||||||||||
Principal payments | (23,901 | ) | (86 | ) | (5,620 | ) | - | (29,584 | ) | ||||||||||||
Carrying value | $ | 431,472 | $ | 41,571 | $ | 569,045 | $ | 189,115 | $ | 1,231,203 | |||||||||||
Internal Loan and Preferred Equity Ratings | ' | ||||||||||||||||||||
Internal CRE Debt and Preferred Equity Investment Ratings | |||||||||||||||||||||
30-Sep-13 | |||||||||||||||||||||
Internal Ratings | |||||||||||||||||||||
Investment Type | Outstanding | Percentage of | Performing | Watch List | Workout | ||||||||||||||||
Principal | Portfolio | Loans | Loans | Loans | |||||||||||||||||
(dollars in thousands) | |||||||||||||||||||||
Senior mortgages | $ | 431,000 | 35.1 | % | $ | 418,027 | $ | 12,973 | -1 | $ | - | ||||||||||
Subordinate notes | 41,149 | 3.3 | % | 41,149 | - | - | |||||||||||||||
Mezzanine loans | 567,379 | 46.2 | % | 567,379 | - | - | |||||||||||||||
Preferred equity | 189,769 | 15.4 | % | 189,769 | - | - | |||||||||||||||
$ | 1,229,297 | 100 | % | $ | 1,216,324 | $ | 12,973 | $ | - | ||||||||||||
(1) Loan on non-accrual status. Amount represents recorded investment. | |||||||||||||||||||||
Total Real Estate Held for Investment | ' | ||||||||||||||||||||
Total Real Estate Investment | |||||||||||||||||||||
30-Sep-13 | |||||||||||||||||||||
(dollars in thousands) | |||||||||||||||||||||
Real estate held for investment, at amortized cost | |||||||||||||||||||||
Land | $ | 6,639 | |||||||||||||||||||
Buildings and improvements | 31,099 | ||||||||||||||||||||
Subtotal | 37,738 | ||||||||||||||||||||
Less: accumulated depreciation | (583 | ) | |||||||||||||||||||
Real estate held for investment, net | 37,155 | ||||||||||||||||||||
Real estate held for sale, at fair value | 23,269 | ||||||||||||||||||||
Total real estate investments, net | 60,424 | ||||||||||||||||||||
Net carrying value of CRE Debt and Preferred | |||||||||||||||||||||
Equity Investment | 1,227,182 | ||||||||||||||||||||
Total real estate investments | $ | 1,287,606 |
FAIR_VALUE_MEASUREMENTS_Tables
FAIR VALUE MEASUREMENTS (Tables) | 9 Months Ended | ||||||||||||||||||||
Sep. 30, 2013 | |||||||||||||||||||||
Schedule of Fair Value, Assets and Liabilities Measured on Recurring Basis | ' | ||||||||||||||||||||
The following table presents the estimated fair values of financial instruments measured at fair value on a recurring basis. | |||||||||||||||||||||
Level 1 | Level 2 | Level 3 | |||||||||||||||||||
At September 30, 2013 | (dollars in thousands) | ||||||||||||||||||||
Assets: | |||||||||||||||||||||
U.S. Treasury securities | $ | 2,459,617 | $ | - | $ | - | |||||||||||||||
Agency mortgage-backed securities | - | 79,902,834 | - | ||||||||||||||||||
Agency debentures | - | 3,128,853 | - | ||||||||||||||||||
Investment in affiliate | 136,748 | - | - | ||||||||||||||||||
Interest rate swaps | - | 360,373 | - | ||||||||||||||||||
Other derivative contracts | 998 | 84,182 | - | ||||||||||||||||||
Liabilities: | |||||||||||||||||||||
U.S. Treasury securities sold, not yet purchased | 2,403,524 | - | - | ||||||||||||||||||
Interest rate swaps | - | 1,504,258 | - | ||||||||||||||||||
Other derivative contracts | 25,635 | 99,833 | - | ||||||||||||||||||
Level 1 | Level 2 | Level 3 | |||||||||||||||||||
At December 31, 2012 | (dollars in thousands) | ||||||||||||||||||||
Assets: | |||||||||||||||||||||
U.S. Treasury securities | $ | 752,076 | $ | - | $ | - | |||||||||||||||
Agency mortgage-backed securities | - | 123,963,207 | - | ||||||||||||||||||
Agency debentures | - | 3,009,568 | - | ||||||||||||||||||
Investments in affiliates | 234,120 | - | - | ||||||||||||||||||
Other derivative contracts | 7,955 | 1,875 | - | ||||||||||||||||||
Liabilities: | |||||||||||||||||||||
U.S. Treasury securities sold, not yet purchased | 495,437 | - | - | ||||||||||||||||||
Interest rate swaps | - | 2,584,907 | - | ||||||||||||||||||
Schedule of Estimated Fair Value for All Financial Assets and Liabilities | ' | ||||||||||||||||||||
The following table summarizes the estimated fair value for all financial assets and liabilities as of September 30, 2013 and December 31, 2012. | |||||||||||||||||||||
30-Sep-13 | 31-Dec-12 | ||||||||||||||||||||
Level in Fair | Carrying | Fair Value | Carrying | Fair Value | |||||||||||||||||
Value | Value | Value | |||||||||||||||||||
Hierarchy | |||||||||||||||||||||
(dollars in thousands) | |||||||||||||||||||||
Financial assets: | |||||||||||||||||||||
Cash and cash equivalents(1) | 1 | $ | 1,122,722 | $ | 1,122,722 | $ | 615,789 | $ | 615,789 | ||||||||||||
Reverse repurchase agreements(1) | 1 | 31,074 | 31,074 | 1,811,095 | 1,811,095 | ||||||||||||||||
Securities borrowed(1) | 1 | 3,439,954 | 3,439,954 | 2,160,942 | 2,160,942 | ||||||||||||||||
U.S. Treasury securities(2) | 1 | 2,459,617 | 2,459,617 | 752,076 | 752,076 | ||||||||||||||||
Agency mortgage-backed securities | 2 | 79,902,834 | 79,902,834 | 123,963,207 | 123,963,207 | ||||||||||||||||
Agency debentures | 2 | 3,128,853 | 3,128,853 | 3,009,568 | 3,009,568 | ||||||||||||||||
Investments in affiliates(2) | 1 | 136,748 | 136,748 | 234,120 | 234,120 | ||||||||||||||||
Commercial real estate debt and preferred equity(3) | 3 | 1,227,182 | 1,225,912 | - | - | ||||||||||||||||
Corporate debt(4) | 2 | 75,988 | 76,049 | 63,944 | 64,271 | ||||||||||||||||
Interest rate swaps | 2 | 360,373 | 360,373 | - | - | ||||||||||||||||
Other derivatives(8) | 1,2 | 85,180 | 85,180 | 9,830 | 9,830 | ||||||||||||||||
Financial liabilities: | |||||||||||||||||||||
U.S. Treasury securities sold, not yet purchased(2) | 1 | $ | 2,403,524 | $ | 2,403,524 | $ | 495,437 | $ | 495,437 | ||||||||||||
Repurchase agreements(1)(5) | 1,2 | 69,211,309 | 69,586,809 | 102,785,697 | 103,332,832 | ||||||||||||||||
Securities loaned(1) | 1 | 3,299,090 | 3,299,090 | 1,808,315 | 1,808,315 | ||||||||||||||||
Convertible Senior Notes(2) | 1 | 824,512 | 883,698 | 825,541 | 899,192 | ||||||||||||||||
Mortgages payable(6) | 2 | 19,346 | 19,282 | - | - | ||||||||||||||||
Participation sold(7) | 3 | 14,164 | 14,095 | - | - | ||||||||||||||||
Interest rate swaps | 2 | 1,504,258 | 1,504,258 | 2,584,907 | 2,584,907 | ||||||||||||||||
Other derivatives(8) | 1,2 | 125,468 | 125,468 | - | - | ||||||||||||||||
-1 | Carrying value approximates fair value due to the short-term maturities of these items. | ||||||||||||||||||||
-2 | Fair value is determined using end of day quoted prices in active markets. | ||||||||||||||||||||
-3 | Commercial real estate debt and preferred equity includes commercial mortgage loans and preferred equity held for investment. Commercial real estate debt and preferred equity are held for investment and are carried at their outstanding principal balance, net of an unamortized origination fee, premium or discount, less a reserve for estimated losses. The estimated fair value of the commercial real estate debt and preferred equity takes into consideration expected changes in interest rates and changes in the underlying collateral cash flows. The fair value of commercial real estate debt and preferred equity is based on the investment’s contractual cash flows and estimated changes in the yield curve. The fair value also reflects consideration of changes in credit risk since the loan was originated or purchased. | ||||||||||||||||||||
-4 | The carrying value of corporate debt is based on amortized cost less an allowance for loan losses, if necessary. Estimates of fair value of corporate debt require the use of judgments and inputs including, but not limited to, the enterprise value of the borrower (i.e., an estimate of the total fair value of the borrower's debt and equity), the nature and realizable value of any collateral, the borrower’s ability to make payments when due and its earnings history. Management also considers factors that affect the macro and local economic markets in which the borrower operates. | ||||||||||||||||||||
-5 | The fair value of repurchase agreements with maturities greater than one year are valued as pay fixed versus receive floating interest rate swaps. | ||||||||||||||||||||
-6 | The fair value of mortgages payable is calculated using the estimated yield of a new par loan to value the remaining terms in place. A par loan is created using the identical terms of the existing loan; however the coupon is derived by using the original spread against the interpolated treasury. The fair value of mortgages payable also reflects consideration of the value of the underlying collateral and changes in credit risk from the time the debt was originated. | ||||||||||||||||||||
-7 | The carrying value of participation sold is based on the loan’s amortized cost less an allowance for loan losses, if necessary. The fair value of participation sold is based on the fair value of the underlying related commercial loan. | ||||||||||||||||||||
-8 | Other derivatives include swaptions, TBA derivatives, MBS options and futures contracts. A complete discussion of the methodology utilized by the Company to estimate the fair value of these derivative instruments is included in the summary of the Company’s significant accounting policies in the notes to these consolidated financial statements. |
REPURCHASE_AGREEMENTS_Tables
REPURCHASE AGREEMENTS (Tables) | 9 Months Ended | ||||||||||||||||
Sep. 30, 2013 | |||||||||||||||||
Schedule of Repurchase Agreements Remaining Maturity and Weighted Average Rates | ' | ||||||||||||||||
At September 30, 2013 and December 31, 2012, the repurchase agreements had the following remaining maturities and weighted average rates: | |||||||||||||||||
30-Sep-13 | 31-Dec-12 | ||||||||||||||||
Repurchase | Weighted Average Rate | Repurchase Agreements | Weighted Average Rate | ||||||||||||||
Agreements | |||||||||||||||||
(dollars in thousands) | |||||||||||||||||
1 day | $ | 6,827,874 | 0.21 | % | $ | - | - | ||||||||||
2 to 29 days | 17,171,077 | 0.41 | % | 33,191,448 | 0.5 | % | |||||||||||
30 to 59 days | 13,302,830 | 0.42 | % | 28,383,851 | 0.45 | % | |||||||||||
60 to 89 days | 5,722,493 | 0.43 | % | 8,602,680 | 0.42 | % | |||||||||||
90 to 119 days | 8,030,625 | 0.27 | % | 4,804,671 | 0.57 | % | |||||||||||
Over 120 days | 18,156,410 | 1.36 | % | 27,803,047 | 1.03 | % | |||||||||||
Total | $ | 69,211,309 | 0.63 | % | $ | 102,785,697 | 0.63 | % | |||||||||
Summary of Gross Amounts, Amounts Offset and net Amounts of Repurchase Agreement and Reverse Repurchase Agreement | ' | ||||||||||||||||
The following table summarizes the gross amounts of reverse repurchase agreements and repurchase agreements, amounts offset in accordance with netting arrangements and net amounts of repurchase agreements and reverse repurchase agreements as presented in the Consolidated Statements of Financial Condition as of September 30, 2013 and December 31, 2012. | |||||||||||||||||
30-Sep-13 | 31-Dec-12 | ||||||||||||||||
Reverse | Repurchase Agreements | Reverse | Repurchase Agreements | ||||||||||||||
Repurchase | Repurchase | ||||||||||||||||
Agreements | Agreements | ||||||||||||||||
(dollars in thousands) | |||||||||||||||||
Gross Amounts | $ | 5,526,615 | $ | 74,706,850 | $ | 3,650,053 | $ | 104,624,655 | |||||||||
Amounts Offset | (5,495,541 | ) | (5,495,541 | ) | (1,838,958 | ) | (1,838,958 | ) | |||||||||
Netted Amounts | $ | 31,074 | $ | 69,211,309 | $ | 1,811,095 | $ | 102,785,697 | |||||||||
DERIVATIVE_INSTRUMENTS_Tables
DERIVATIVE INSTRUMENTS (Tables) | 9 Months Ended | ||||||||||||||||
Sep. 30, 2013 | |||||||||||||||||
Summarizes Fair Value Information about Derivative Assets Liabilities | ' | ||||||||||||||||
The table below summarizes fair value information about our derivative assets and liabilities as of September 30, 2013 and December 31, 2012: | |||||||||||||||||
September 30, | December 31, | ||||||||||||||||
2013 | 2012 | ||||||||||||||||
Derivatives Instruments | Balance Sheet Location | (dollars in thousands) | |||||||||||||||
Assets | |||||||||||||||||
Interest rate swaps | Interest rate swaps, at fair value | $ | 360,373 | $ | - | ||||||||||||
Interest rate swaptions | Other derivative contracts, at fair value | 62,332 | - | ||||||||||||||
TBA derivatives | Other derivative contracts, at fair value | 21,850 | 1,875 | ||||||||||||||
U.S. Treasury futures | Other derivative contracts, at fair value | 998 | 7,955 | ||||||||||||||
$ | 445,553 | $ | 9,830 | ||||||||||||||
Liabilities | |||||||||||||||||
Interest rate swaps | Interest rate swaps, at fair value | $ | 1,504,258 | $ | 2,584,907 | ||||||||||||
TBA derivatives | Other derivative contracts, at fair value | 66,123 | - | ||||||||||||||
MBS options | Other derivative contracts, at fair value | 33,710 | - | ||||||||||||||
U.S. Treasury futures | Other derivative contracts, at fair value | 25,635 | - | ||||||||||||||
$ | 1,629,726 | $ | 2,584,907 | ||||||||||||||
Schedule of Notional Amounts and Unrealized Gains (losses) of Interest Rate Swap on Gross Basis, Amount Offset and Net Amounts | ' | ||||||||||||||||
The following table summarizes notional amounts and unrealized gains (losses) on or related to interest rate swap contracts on a gross basis, with amounts eligible for offset in accordance with netting arrangements, and gross and net amounts as presented in the Consolidated Statements of Financial Condition as of September 30, 2013 and December 31, 2012, respectively. | |||||||||||||||||
30-Sep-13 | |||||||||||||||||
Interest Rate Swaps - Asset | Interest Rate Swaps - Liability | ||||||||||||||||
Notional | Unrealized | Notional | Unrealized | ||||||||||||||
Gains | Losses | ||||||||||||||||
(dollars in thousands) | |||||||||||||||||
Gross Amounts | $ | 10,410,000 | $ | 360,373 | $ | 41,742,590 | $ | (1,504,258 | ) | ||||||||
Amounts Offset | (8,310,000 | ) | (328,327 | ) | 8,310,000 | 328,327 | |||||||||||
Netted Amounts | $ | 2,100,000 | $ | 32,046 | $ | 50,052,590 | $ | (1,175,931 | ) | ||||||||
31-Dec-12 | |||||||||||||||||
Interest Rate Swaps - Asset | Interest Rate Swaps - Liability | ||||||||||||||||
Notional | Unrealized | Notional | Unrealized | ||||||||||||||
Gains | Losses | ||||||||||||||||
(dollars in thousands) | |||||||||||||||||
Gross Amounts | $ | 1,100,000 | $ | 26,020 | $ | 45,811,800 | $ | (2,610,927 | ) | ||||||||
Amounts Offset | (1,100,000 | ) | (26,020 | ) | 1,100,000 | 26,020 | |||||||||||
Netted Amounts | $ | - | $ | - | $ | 46,911,800 | $ | (2,584,907 | ) | ||||||||
Schedule of Derivative Instruments in Statement of Operations and Comprehensive Income Loss | ' | ||||||||||||||||
The effect of interest rate swaps on the Consolidated Statements of Operations and Comprehensive Income (Loss) is as follows: | |||||||||||||||||
Location on Consolidated Statements of Operations and Comprehensive Income (Loss) | |||||||||||||||||
Realized Gains | Realized Gains (Losses) | Unrealized Gains | |||||||||||||||
(Losses) on | on Termination of | (Losses) on Interest | |||||||||||||||
Interest Rate Swaps | Interest Rate Swaps | Rate Swaps | |||||||||||||||
(dollars in thousands) | |||||||||||||||||
For the Quarters Ended: | |||||||||||||||||
September 30, 2013 | $ | (227,909 | ) | $ | (36,658 | ) | $ | 6,343 | |||||||||
September 30, 2012 | $ | (224,272 | ) | $ | - | $ | (104,197 | ) | |||||||||
For the Nine Months Ended: | |||||||||||||||||
September 30, 2013 | $ | (666,112 | ) | $ | (88,685 | ) | $ | 1,441,099 | |||||||||
September 30, 2012 | $ | (665,614 | ) | $ | (2,385 | ) | $ | (373,773 | ) | ||||||||
Effect of Other Derivative Contracts on the Consolidated Statements of Operations and Comprehensive Income (Loss) | ' | ||||||||||||||||
The effect of other derivative contracts on the Company’s Consolidated Statements of Operations and Comprehensive Income (Loss) is as follows: | |||||||||||||||||
Three Months Ended September 30, 2013 | |||||||||||||||||
Derivative Instruments | Realized Gain (Loss) | Unrealized Gain (Loss) | Amount of | ||||||||||||||
Gain/(Loss) | |||||||||||||||||
Recognized in | |||||||||||||||||
Net Gains (Losses) on Trading Assets | |||||||||||||||||
Net TBA derivatives | $ | 42,506 | $ | (58,403 | ) | $ | (15,897 | ) | |||||||||
Net interest rate swaptions | 59,941 | (119,046 | ) | (59,105 | ) | ||||||||||||
U.S. Treasury futures | (5,239 | ) | (25,628 | ) | (30,868 | ) | |||||||||||
$ | (105,869 | ) | |||||||||||||||
Nine Months Ended September 30, 2013 | |||||||||||||||||
Derivative Instruments | Realized Gain (Loss) | Unrealized Gain (Loss) | Amount of | ||||||||||||||
Gain/(Loss) | |||||||||||||||||
Recognized in | |||||||||||||||||
Net Gains (Losses) on Trading Assets | |||||||||||||||||
Net TBA derivatives | $ | 51,846 | $ | (60,278 | ) | $ | (8,432 | ) | |||||||||
Net interest rate swaptions | 60,506 | (74,547 | ) | (14,041 | ) | ||||||||||||
U.S. Treasury futures | (8,298 | ) | (30,642 | ) | (38,940 | ) | |||||||||||
$ | (61,413 | ) | |||||||||||||||
Interest Rate Swaps | ' | ||||||||||||||||
Summary of Certain Characteristics of Derivatives | ' | ||||||||||||||||
The following table summarizes certain characteristics of the Company’s interest rate swaps at September 30, 2013: | |||||||||||||||||
Maturity | Current | Weighted Average | Weighted | Weighted Average | |||||||||||||
Notional | Pay Rate | Average | Years to Maturity | ||||||||||||||
Receive Rate | |||||||||||||||||
(dollars in thousands) | |||||||||||||||||
0 - 3 years | $ | 24,208,000 | 1.83 | % | 0.2 | % | 2.19 | ||||||||||
3 - 6 years | 11,427,340 | 1.84 | % | 0.21 | % | 4.3 | |||||||||||
6 - 10 years | 13,327,250 | 2.31 | % | 0.25 | % | 7.54 | |||||||||||
Greater than 10 years | 3,190,000 | 3.66 | % | 0.2 | % | 21.03 | |||||||||||
Total/Weighted Average | $ | 52,152,590 | 2.06 | % | 0.21 | % | 5.17 | ||||||||||
Interest Rate Swaption | ' | ||||||||||||||||
Summary of Certain Characteristics of Derivatives | ' | ||||||||||||||||
The following table summarizes certain characteristics of the Company’s interest rate swaptions at September 30, 2013: | |||||||||||||||||
Current Underlying | Weighted | Weighted Average | Weighted | Weighted Average | |||||||||||||
Notional | Average | Underlying | Average | Months to | |||||||||||||
Underlying | Receive Rate | Underlying | Expiration | ||||||||||||||
Pay Rate | Years to | ||||||||||||||||
Maturity | |||||||||||||||||
(dollars in thousands) | |||||||||||||||||
$ | 6,800,000 | 3.02 | % | 3M LIBOR | 9.02 | 3.42 | |||||||||||
TBA Derivatives | ' | ||||||||||||||||
Summary of Certain Characteristics of Derivatives | ' | ||||||||||||||||
The following table summarizes certain characteristics of the Company’s TBA derivatives as of September 30, 2013: | |||||||||||||||||
30-Sep-13 | |||||||||||||||||
(dollars in thousands) | |||||||||||||||||
Purchase and sale contracts for | Notional | Cost Basis | Market Value | Net | |||||||||||||
derivative TBAs | Carrying | ||||||||||||||||
Value | |||||||||||||||||
Purchase contracts | $ | 1,625,000 | $ | 1,682,329 | $ | 1,704,180 | $ | 21,850 | |||||||||
Sale contracts | (3,000,000 | ) | (2,911,416 | ) | (2,977,539 | ) | (66,123 | ) | |||||||||
Net derivative TBA derivatives | $ | (1,375,000 | ) | $ | (1,229,087 | ) | $ | (1,273,359 | ) | $ | (44,273 | ) |
NET_INCOME_PER_COMMON_SHARE_Ta
NET INCOME PER COMMON SHARE (Tables) | 9 Months Ended | ||||||||||||||||
Sep. 30, 2013 | |||||||||||||||||
Schedule of Earnings Per Share Reconciliation | ' | ||||||||||||||||
The following table presents a reconciliation of the net income and shares used in calculating basic and diluted earnings per share for the quarters and nine months ended September 30, 2013 and 2012. | |||||||||||||||||
For the Quarter Ended | For the Nine Months Ended | ||||||||||||||||
September 30, | September 30, | September 30, | September 30, | ||||||||||||||
2013 | 2012 | 2013 | 2012 | ||||||||||||||
(dollars in thousands) | |||||||||||||||||
Net income (loss) | $ | 192,458 | $ | 224,758 | $ | 2,700,949 | $ | 1,035,405 | |||||||||
Less: Preferred stock dividends | 17,992 | 9,367 | 53,976 | 19,813 | |||||||||||||
Net income (loss) available to common | 174,466 | 215,391 | 2,646,973 | 1,015,592 | |||||||||||||
shareholders, prior to adjustment for | |||||||||||||||||
dilutive potential common shares, if | |||||||||||||||||
necessary | |||||||||||||||||
Add: Interest on Convertible Senior Notes, if | 1,075 | 3,193 | 31,351 | 23,850 | |||||||||||||
dilutive | |||||||||||||||||
Net income (loss) available to common | $ | 175,541 | $ | 218,584 | $ | 2,678,324 | $ | 1,039,442 | |||||||||
shareholders, as adjusted | |||||||||||||||||
Weighted average shares of common stock | 947,303,205 | 974,729,078 | 947,321,691 | 973,674,586 | |||||||||||||
outstanding- basic | |||||||||||||||||
Add: Effect of dilutive stock options and | 8,387,266 | 22,278,751 | 47,997,979 | 61,690,665 | |||||||||||||
Convertible Senior Notes, if dilutive | |||||||||||||||||
Weighted average shares of common stock | 955,690,471 | 997,007,829 | 995,319,670 | 1,035,365,251 | |||||||||||||
outstanding- diluted | |||||||||||||||||
Net income (loss) per share available (related) | |||||||||||||||||
to common share: | |||||||||||||||||
$ | 0.18 | $ | 0.22 | $ | 2.79 | $ | 1.04 | ||||||||||
Basic | |||||||||||||||||
Diluted | $ | 0.18 | $ | 0.22 | $ | 2.69 | $ | 1 |
LONGTERM_STOCK_INCENTIVE_PLANS1
LONG-TERM STOCK INCENTIVE PLANS (Tables) | 9 Months Ended | ||||||||||||||||
Sep. 30, 2013 | |||||||||||||||||
Schedule of Issued and Outstanding Stock Options | ' | ||||||||||||||||
The Company has issued and outstanding the following stock options as of September 30, 2013 and 2012: | |||||||||||||||||
For the Nine Months Ended | |||||||||||||||||
30-Sep-13 | 30-Sep-12 | ||||||||||||||||
Number of | Weighted | Number of | Weighted | ||||||||||||||
Shares | Average | Shares | Average | ||||||||||||||
Exercise Price | Exercise Price | ||||||||||||||||
Options outstanding at the beginning of period | 5,618,686 | $ | 15.74 | 6,216,805 | $ | 15.57 | |||||||||||
Granted | - | - | 7,500 | 17.11 | |||||||||||||
Exercised | (166,375 | ) | 13.25 | (443,669 | ) | 13.65 | |||||||||||
Forfeited | (1,226,803 | ) | 16.26 | (2,450 | ) | 16.15 | |||||||||||
Expired | (356,625 | ) | 17.91 | - | - | ||||||||||||
Options outstanding at the end of period | 3,868,883 | $ | 15.48 | 5,778,186 | $ | 15.72 | |||||||||||
Options exercisable at the end of the period | 3,868,883 | $ | 15.48 | 5,147,624 | $ | 16.02 |
LEASE_COMMITMENTS_AND_CONTINGE1
LEASE COMMITMENTS AND CONTINGENCIES (Tables) | 9 Months Ended | ||||||||||||
Sep. 30, 2013 | |||||||||||||
Lease Commitments and Contingencies | ' | ||||||||||||
The following table details the lease payments. | |||||||||||||
Year Ending December | Lease Commitment | Sublease Income | Net Amount | ||||||||||
(dollars in thousands) | |||||||||||||
2013 (remaining) | $ | 734 | $ | 45 | $ | 689 | |||||||
2014 | 2,509 | 60 | 2,449 | ||||||||||
2015 | 159 | - | 159 | ||||||||||
2016 | 27 | - | 27 | ||||||||||
Later years | - | - | - | ||||||||||
$ | 3,429 | $ | 105 | $ | 3,324 |
Recovered_Sheet1
Organization and Significant Accounting Policies - Narrative (Detail) (Interest Rate Swaps, USD $) | Sep. 30, 2013 | Dec. 31, 2012 |
In Millions, unless otherwise specified | ||
Interest Rate Swaps | ' | ' |
Schedule Of Significant Accounting Policies [Line Items] | ' | ' |
Cash on margin with counterparty to interest rate swaps | $740.20 | $527.50 |
Recovered_Sheet2
Agency Mortgage-Backed Securities - Portfolio (Detail) (USD $) | Sep. 30, 2013 | Dec. 31, 2012 | |
In Thousands, unless otherwise specified | |||
Mortgage-Backed Securities Portfolio: | ' | ' | |
Estimated fair value | $79,902,834 | $123,963,207 | [1] |
Agency Mortgage Backed Securities | ' | ' | |
Mortgage-Backed Securities Portfolio: | ' | ' | |
Agency mortgage-backed securities, par value | 76,386,788 | 115,220,004 | |
Unamortized discount | -20,039 | -22,219 | |
Unamortized premium | 4,744,084 | 5,856,207 | |
Amortized cost | 81,110,833 | 121,053,992 | |
Gross unrealized gains | 934,920 | 3,097,216 | |
Gross unrealized losses | -2,142,919 | -188,001 | |
Estimated fair value | 79,902,834 | 123,963,207 | |
Agency Mortgage Backed Securities | Fixed Rate | ' | ' | |
Mortgage-Backed Securities Portfolio: | ' | ' | |
Amortized cost | 76,844,755 | 115,267,274 | |
Gross unrealized gains | 780,365 | 2,838,203 | |
Gross unrealized losses | -2,122,255 | -183,388 | |
Estimated fair value | 75,502,865 | 117,922,089 | |
Agency Mortgage Backed Securities | Adjustable Rate | ' | ' | |
Mortgage-Backed Securities Portfolio: | ' | ' | |
Amortized cost | 4,266,078 | 5,786,718 | |
Gross unrealized gains | 154,555 | 259,013 | |
Gross unrealized losses | -20,664 | -4,613 | |
Estimated fair value | 4,399,969 | 6,041,118 | |
Agency Mortgage Backed Securities | Freddie Mac | ' | ' | |
Mortgage-Backed Securities Portfolio: | ' | ' | |
Agency mortgage-backed securities, par value | 26,837,473 | 44,296,234 | |
Unamortized discount | -8,245 | -9,515 | |
Unamortized premium | 1,635,431 | 2,121,478 | |
Amortized cost | 28,464,659 | 46,408,197 | |
Gross unrealized gains | 285,508 | 1,166,299 | |
Gross unrealized losses | -862,484 | -36,890 | |
Estimated fair value | 27,887,683 | 47,537,606 | |
Agency Mortgage Backed Securities | Fannie Mae | ' | ' | |
Mortgage-Backed Securities Portfolio: | ' | ' | |
Agency mortgage-backed securities, par value | 49,364,721 | 70,649,782 | |
Unamortized discount | -11,415 | -12,315 | |
Unamortized premium | 3,077,589 | 3,695,381 | |
Amortized cost | 52,430,895 | 74,332,848 | |
Gross unrealized gains | 638,337 | 1,913,334 | |
Gross unrealized losses | -1,277,246 | -146,533 | |
Estimated fair value | 51,791,986 | 76,099,649 | |
Agency Mortgage Backed Securities | Ginnie Mae | ' | ' | |
Mortgage-Backed Securities Portfolio: | ' | ' | |
Agency mortgage-backed securities, par value | 184,594 | 273,988 | |
Unamortized discount | -379 | -389 | |
Unamortized premium | 31,064 | 39,348 | |
Amortized cost | 215,279 | 312,947 | |
Gross unrealized gains | 11,075 | 17,583 | |
Gross unrealized losses | -3,189 | -4,578 | |
Estimated fair value | $223,165 | $325,952 | |
[1] | Derived from the audited consolidated financial statements at December 31, 2012. |
Recovered_Sheet3
Agency Mortgage-Backed Securities - Weighted Average Life (Detail) (USD $) | Sep. 30, 2013 | Dec. 31, 2012 | |
In Thousands, unless otherwise specified | |||
Fair Value of Agency Mortgage-Backed Securities according to their estimated weighted-average life: | ' | ' | |
Estimated fair value | $79,902,834 | $123,963,207 | [1] |
Agency Mortgage Backed Securities | ' | ' | |
Fair Value of Agency Mortgage-Backed Securities according to their estimated weighted-average life: | ' | ' | |
Less than one year | 295,075 | 1,264,094 | |
Greater than one year through five years | 66,618,558 | 119,288,168 | |
Greater than five years through ten years | 12,510,264 | 3,104,073 | |
Greater than 10 years | 478,937 | 306,872 | |
Estimated fair value | 79,902,834 | 123,963,207 | |
Amortized Cost of Agency Mortgage-Backed Securities according to their estimated weighted-average life: | ' | ' | |
Less than one year | 291,250 | 1,250,405 | |
Greater than one year through five years | 67,357,639 | 116,510,310 | |
Greater than five years through ten years | 12,929,637 | 2,992,054 | |
Greater than 10 years | 532,307 | 301,223 | |
Total | $81,110,833 | $121,053,992 | |
[1] | Derived from the audited consolidated financial statements at December 31, 2012. |
Agency_MortgageBacked_Securiti2
Agency Mortgage-Backed Securities - Unrealized Loss Position (Detail) (USD $) | 9 Months Ended | 12 Months Ended |
In Thousands, unless otherwise specified | Sep. 30, 2013 | Dec. 31, 2012 |
Securities | Securities | |
Unrealized Loss Position For: | ' | ' |
Unrealized loss position for less than 12 months - estimated fair value | $52,628,291 | $11,220,514 |
Unrealized loss position for less than 12 months - unrealized losses | -2,124,602 | -82,721 |
Unrealized loss position for less than 12 months -number of Securities | 557 | 187 |
Unrealized loss position for 12 months or more - estimated fair value | 276,471 | 147,775 |
Unrealized loss position for 12 months or more - unrealized losses | -18,317 | -105,280 |
Unrealized loss position for 12 months or more - number of Securities | 31 | 39 |
Total unrealized loss position - estimated fair value | 52,904,762 | 11,368,289 |
Total Unrealized Loss Position - Unrealized Losses | ($2,142,919) | ($188,001) |
Total Unrealized Loss Position - number of Securities | 588 | 226 |
Agency_MortgageBacked_Securiti3
Agency Mortgage-Backed Securities - Narrative (Detail) (USD $) | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2013 | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2012 | |
Mortgage-Backed Securities Sold: | ' | ' | ' | ' |
Mortgage-Backed securities sold, carrying value | $12,800,000,000 | $7,000,000,000 | $42,600,000,000 | $17,900,000,000 |
Mortgage-Backed securities sold, realized gain | 43,600,000 | 142,000,000 | 374,400,000 | 317,100,000 |
Interest-only securities | ' | ' | ' | ' |
Mortgage-Backed Securities Sold: | ' | ' | ' | ' |
Amortized cost | 980,800,000 | ' | 980,800,000 | ' |
Accumulated Other Comprehensive Income (Loss) | Interest-only securities | ' | ' | ' | ' |
Mortgage-Backed Securities Sold: | ' | ' | ' | ' |
Unrealized gains | $18,000,000 | ' | $18,000,000 | ' |
Acquisition_of_Crexus_Narrativ
Acquisition of Crexus - Narrative (Detail) (USD $) | 6 Months Ended | 9 Months Ended |
In Millions, unless otherwise specified | Jun. 30, 2013 | Sep. 30, 2013 |
Business Acquisition [Line Items] | ' | ' |
Business acquisition agreement date | ' | 30-Jan-13 |
Goodwill | $71.40 | ' |
Business combination loss recognized | 18.9 | ' |
Business acquisition transaction cost | $7.30 | ' |
Summary_of_Aggregate_Considera
Summary of Aggregate Consideration and Preliminary Fair Value of Assets Acquired and Liabilities Assumed Recognized at Acquisition Date (Detail) (USD $) | Sep. 30, 2013 | Dec. 31, 2012 | Sep. 30, 2013 | Jun. 30, 2013 | Sep. 30, 2013 | Sep. 30, 2013 | Sep. 30, 2013 | |
In Thousands, unless otherwise specified | CreXus | CreXus | CreXus | CreXus | CreXus | |||
Commercial real estate investments | Accrued interest receivable | Participation sold | ||||||
Business Acquisition [Line Items] | ' | ' | ' | ' | ' | ' | ' | |
Cash consideration transferred | ' | ' | $876,267 | ' | ' | ' | ' | |
Fair value of equity interest in CreXus held before the business combination | ' | ' | 106,521 | ' | ' | ' | ' | |
Business Combination, Consideration Transferred, Including Equity Interest in Acquiree Held Prior to Combination | ' | ' | 982,788 | ' | ' | ' | ' | |
Recognized amounts of identifiable assets acquired and liabilities assumed | ' | ' | ' | ' | ' | ' | ' | |
Cash and cash equivalents | ' | ' | 151,843 | ' | ' | ' | ' | |
Recognized amounts of identifiable assets | ' | ' | ' | ' | 796,950 | 3,485 | ' | |
Other assets | ' | ' | 5,617 | ' | ' | ' | ' | |
Mortgages payable | ' | ' | -19,376 | ' | ' | ' | ' | |
Participation sold | ' | ' | ' | ' | ' | ' | -14,352 | |
Accounts payable and accrued expenses | ' | ' | -12,729 | ' | ' | ' | ' | |
Total identifiable net assets | ' | ' | 911,438 | ' | ' | ' | ' | |
Goodwill | 103,245 | 55,417 | [1] | 71,350 | 71,350 | ' | ' | ' |
Recognized amounts of identifiable assets | ' | ' | $982,788 | ' | ' | ' | ' | |
[1] | Derived from the audited consolidated financial statements at December 31, 2012. |
CRE_Debt_and_Preferred_Equity_
CRE Debt and Preferred Equity Investments (Detail) (USD $) | Sep. 30, 2013 | |
In Thousands, unless otherwise specified | ||
Transaction to Real Estate Investments [Line Items] | ' | |
Net investment in commercial mortgage loans and preferred equity | $1,227,182 | |
Carrying Value | 1,231,203 | |
Commercial Mortgage | ' | |
Transaction to Real Estate Investments [Line Items] | ' | |
Net origination fees | -4,021 | |
Outstanding Principal | 1,229,297 | |
Carrying Value | 1,231,203 | |
Percentage of Loan Portfolio | 100.00% | [1] |
Commercial Mortgage | Senior Mortgages | ' | |
Transaction to Real Estate Investments [Line Items] | ' | |
Outstanding Principal | 431,000 | |
Carrying Value | 431,472 | |
Percentage of Loan Portfolio | 35.10% | [1] |
Commercial Mortgage | Subordinated Notes | ' | |
Transaction to Real Estate Investments [Line Items] | ' | |
Outstanding Principal | 41,149 | |
Carrying Value | 41,571 | |
Percentage of Loan Portfolio | 3.30% | [1] |
Commercial Mortgage | Mezzanine Loans | ' | |
Transaction to Real Estate Investments [Line Items] | ' | |
Outstanding Principal | 567,379 | |
Carrying Value | 569,045 | |
Percentage of Loan Portfolio | 46.20% | [1] |
Commercial Mortgage | Preferred Equity Interests | ' | |
Transaction to Real Estate Investments [Line Items] | ' | |
Outstanding Principal | 189,769 | |
Carrying Value | $189,115 | |
Percentage of Loan Portfolio | 15.40% | [1] |
[1] | Based on outstanding principal. |
CRE_Debt_and_Preferred_Equity_1
CRE Debt and Preferred Equity Investments -Based on Outstanding Principal (Detail) (USD $) | 9 Months Ended |
In Thousands, unless otherwise specified | Sep. 30, 2013 |
Transaction to Real Estate Investments [Line Items] | ' |
Beginning principal balance | $936,261 |
Purchases/advances, principal balance | 336,347 |
Sales, principal balance | -13,750 |
Remaining premium (discount) | 1,929 |
Principal payments | -29,584 |
Carrying Value | 1,231,203 |
Commercial Mortgage | ' |
Transaction to Real Estate Investments [Line Items] | ' |
Carrying Value | 1,231,203 |
Commercial Mortgage | Senior Mortgages | ' |
Transaction to Real Estate Investments [Line Items] | ' |
Beginning principal balance | 330,864 |
Purchases/advances, principal balance | 137,764 |
Sales, principal balance | -13,750 |
Remaining premium (discount) | 495 |
Principal payments | -23,901 |
Carrying Value | 431,472 |
Commercial Mortgage | Subordinated Notes | ' |
Transaction to Real Estate Investments [Line Items] | ' |
Beginning principal balance | 41,235 |
Remaining premium (discount) | 422 |
Principal payments | -86 |
Carrying Value | 41,571 |
Commercial Mortgage | Mezzanine Loans | ' |
Transaction to Real Estate Investments [Line Items] | ' |
Beginning principal balance | 524,393 |
Purchases/advances, principal balance | 48,606 |
Remaining premium (discount) | 1,666 |
Principal payments | -5,620 |
Carrying Value | 569,045 |
Commercial Mortgage | Preferred Equity Interests | ' |
Transaction to Real Estate Investments [Line Items] | ' |
Beginning principal balance | 39,769 |
Purchases/advances, principal balance | 150,000 |
Remaining premium (discount) | -654 |
Carrying Value | $189,115 |
Internal_CRE_Debt_and_Preferre
Internal CRE Debt and Preferred Equity Ratings (Detail) (Commercial Mortgage, USD $) | Sep. 30, 2013 | |
In Thousands, unless otherwise specified | ||
Transaction to Real Estate Investments [Line Items] | ' | |
Performing Loans | $1,216,324 | |
Internal Ratings Watch List Loans | 12,973 | |
Workout Loans | ' | |
Senior Mortgages | ' | |
Transaction to Real Estate Investments [Line Items] | ' | |
Performing Loans | 418,027 | |
Internal Ratings Watch List Loans | 12,973 | [1] |
Workout Loans | ' | |
Subordinated Notes | ' | |
Transaction to Real Estate Investments [Line Items] | ' | |
Performing Loans | 41,149 | |
Workout Loans | ' | |
Mezzanine Loans | ' | |
Transaction to Real Estate Investments [Line Items] | ' | |
Performing Loans | 567,379 | |
Workout Loans | ' | |
Preferred Equity Interests | ' | |
Transaction to Real Estate Investments [Line Items] | ' | |
Performing Loans | 189,769 | |
Workout Loans | ' | |
[1] | Loan on non-accrual status. Amount represents recorded investment. |
Total_Real_Estate_Held_for_Inv
Total Real Estate Held for Investment (Detail) (USD $) | Sep. 30, 2013 |
In Thousands, unless otherwise specified | |
Real estate held for investment, at amortized cost | ' |
Total real estate investments, net | $60,424 |
Net carrying value of CRE Debt and Preferred Equity Investment | 1,227,182 |
Real Estate Investment | ' |
Real estate held for investment, at amortized cost | ' |
Real estate held for investment, at amortized cost | 37,738 |
Less: accumulated depreciation | -583 |
Real estate held for investment, net | 37,155 |
Real estate held for sale, at fair value | 23,269 |
Total real estate investments, net | 60,424 |
Net carrying value of CRE Debt and Preferred Equity Investment | 1,227,182 |
Total real estate investments | 1,287,606 |
Real Estate Investment | Land | ' |
Real estate held for investment, at amortized cost | ' |
Real estate held for investment, at amortized cost | 6,639 |
Real Estate Investment | Building Improvements | ' |
Real estate held for investment, at amortized cost | ' |
Real estate held for investment, at amortized cost | $31,099 |
Goodwill_Narrative_Detail
Goodwill - Narrative (Detail) (USD $) | 3 Months Ended | 9 Months Ended | 3 Months Ended | |||||||
In Thousands, unless otherwise specified | Sep. 30, 2013 | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2012 | Dec. 31, 2012 | Sep. 30, 2013 | Jun. 30, 2013 | Jun. 30, 2013 | Mar. 31, 2012 | |
CreXus | CreXus | Merganser | Merganser | |||||||
Goodwill [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | ' | |
Goodwill | $103,245 | ' | $103,245 | ' | $55,417 | [1] | $71,350 | $71,350 | ' | ' |
Impairment of goodwill | ' | ' | 23,987 | ' | ' | ' | ' | 24,000 | ' | |
Earn out payment | ' | ' | ' | $13,387 | ' | ' | ' | ' | $13,400 | |
[1] | Derived from the audited consolidated financial statements at December 31, 2012. |
Fair_Value_Measurements_Detail
Fair Value Measurements (Detail) (USD $) | Sep. 30, 2013 | Dec. 31, 2012 |
In Thousands, unless otherwise specified | ||
Assets: | ' | ' |
Interest rate swaps | $445,553 | $9,830 |
Liabilities: | ' | ' |
Interest rate swaps | 1,629,726 | 2,584,907 |
Level 1 | ' | ' |
Assets: | ' | ' |
U.S. Treasury securities | 2,459,617 | 752,076 |
Investment in affiliate | 136,748 | 234,120 |
Other derivative contracts | 998 | 7,955 |
Liabilities: | ' | ' |
U.S. Treasury securities sold, not yet purchased | 2,403,524 | 495,437 |
Other derivative contracts | 25,635 | ' |
Level 2 | ' | ' |
Assets: | ' | ' |
Agency mortgage-backed securities | 79,902,834 | 123,963,207 |
Agency debentures | 3,128,853 | 3,009,568 |
Interest rate swaps | 360,373 | ' |
Other derivative contracts | 84,182 | 1,875 |
Liabilities: | ' | ' |
Interest rate swaps | 1,504,258 | 2,584,907 |
Other derivative contracts | $99,833 | ' |
Estimated_Fair_Value_for_All_F
Estimated Fair Value for All Financial Assets and Liabilities (Detail) (USD $) | Sep. 30, 2013 | Dec. 31, 2012 | ||
In Thousands, unless otherwise specified | ||||
Financial assets: | ' | ' | ||
Interest rate swaps | $445,553 | $9,830 | ||
Financial liabilities: | ' | ' | ||
Securities loaned | 3,299,090 | 1,808,315 | [1] | |
Interest rate swaps | 1,629,726 | 2,584,907 | ||
Level 1 | ' | ' | ||
Financial assets: | ' | ' | ||
U.S. Treasury securities | 2,459,617 | 752,076 | ||
Investments in affiliates | 136,748 | 234,120 | ||
Other derivatives | 998 | 7,955 | ||
Financial liabilities: | ' | ' | ||
U.S. Treasury securities sold, not yet purchased | 2,403,524 | 495,437 | ||
Other derivatives | 25,635 | ' | ||
Level 2 | ' | ' | ||
Financial assets: | ' | ' | ||
Agency mortgage-backed securities | 79,902,834 | 123,963,207 | ||
Agency debentures | 3,128,853 | 3,009,568 | ||
Interest rate swaps | 360,373 | ' | ||
Other derivatives | 84,182 | 1,875 | ||
Financial liabilities: | ' | ' | ||
Interest rate swaps | 1,504,258 | 2,584,907 | ||
Other derivatives | 99,833 | ' | ||
Estimate of Fair Value, Fair Value Disclosure | Level 1 | ' | ' | ||
Financial assets: | ' | ' | ||
Cash and cash equivalents | 1,122,722 | [2] | 615,789 | [2] |
Reverse repurchase agreements | 31,074 | [2] | 1,811,095 | [2] |
Securities borrowed | 3,439,954 | [2] | 2,160,942 | [2] |
Investments in affiliates | 136,748 | [3] | 234,120 | [3] |
Financial liabilities: | ' | ' | ||
U.S. Treasury securities sold, not yet purchased | 2,403,524 | [3] | 495,437 | [3] |
Convertible Senior Notes | 883,698 | [3] | 899,192 | [3] |
Estimate of Fair Value, Fair Value Disclosure | Level 2 | ' | ' | ||
Financial assets: | ' | ' | ||
U.S. Treasury securities | 2,459,617 | [3] | 752,076 | [3] |
Agency mortgage-backed securities | 79,902,834 | 123,963,207 | ||
Agency debentures | 3,128,853 | 3,009,568 | ||
Corporate debt | 76,049 | [4] | 64,271 | [4] |
Interest rate swaps | 360,373 | ' | ||
Financial liabilities: | ' | ' | ||
Securities loaned | 3,299,090 | [2] | 1,808,315 | [2] |
Mortgages payable | 19,282 | [5] | ' | |
Interest rate swaps | 1,504,258 | 2,584,907 | ||
Estimate of Fair Value, Fair Value Disclosure | Level 3 | ' | ' | ||
Financial assets: | ' | ' | ||
Commercial real estate debt and preferred equity | 1,225,912 | [6] | ' | |
Financial liabilities: | ' | ' | ||
Participation sold | 14,095 | [7] | ' | |
Estimate of Fair Value, Fair Value Disclosure | Level 1, Level 2 | ' | ' | ||
Financial assets: | ' | ' | ||
Other derivatives | 85,180 | [8] | 9,830 | [8] |
Financial liabilities: | ' | ' | ||
Repurchase agreements | 69,586,809 | [2],[9] | 103,332,832 | [2],[9] |
Other derivatives | 125,468 | [8] | ' | |
Carrying (Reported) Amount, Fair Value Disclosure | Level 1 | ' | ' | ||
Financial assets: | ' | ' | ||
Cash and cash equivalents | 1,122,722 | [2] | 615,789 | [2] |
Reverse repurchase agreements | 31,074 | [2] | 1,811,095 | [2] |
Securities borrowed | 3,439,954 | [2] | 2,160,942 | [2] |
Investments in affiliates | 136,748 | [3] | 234,120 | [3] |
Financial liabilities: | ' | ' | ||
U.S. Treasury securities sold, not yet purchased | 2,403,524 | [3] | 495,437 | [3] |
Convertible Senior Notes | 824,512 | [3] | 825,541 | [3] |
Carrying (Reported) Amount, Fair Value Disclosure | Level 2 | ' | ' | ||
Financial assets: | ' | ' | ||
U.S. Treasury securities | 2,459,617 | [3] | 752,076 | [3] |
Agency mortgage-backed securities | 79,902,834 | 123,963,207 | ||
Agency debentures | 3,128,853 | 3,009,568 | ||
Corporate debt | 75,988 | [4] | 63,944 | [4] |
Interest rate swaps | 360,373 | ' | ||
Financial liabilities: | ' | ' | ||
Securities loaned | 3,299,090 | [2] | 1,808,315 | [2] |
Mortgages payable | 19,346 | [5] | ' | |
Interest rate swaps | 1,504,258 | 2,584,907 | ||
Carrying (Reported) Amount, Fair Value Disclosure | Level 3 | ' | ' | ||
Financial assets: | ' | ' | ||
Commercial real estate debt and preferred equity | 1,227,182 | [6] | ' | |
Financial liabilities: | ' | ' | ||
Participation sold | 14,164 | [7] | ' | |
Carrying (Reported) Amount, Fair Value Disclosure | Level 1, Level 2 | ' | ' | ||
Financial assets: | ' | ' | ||
Other derivatives | 85,180 | [8] | 9,830 | [8] |
Financial liabilities: | ' | ' | ||
Repurchase agreements | 69,211,309 | [2],[9] | 102,785,697 | [2],[9] |
Other derivatives | $125,468 | [8] | ' | |
[1] | Derived from the audited consolidated financial statements at December 31, 2012. | |||
[2] | Carrying value approximates fair value due to the short-term maturities of these items. | |||
[3] | Fair value is determined using end of day quoted prices in active markets. | |||
[4] | The carrying value of corporate debt is based on amortized cost less an allowance for loan losses, if necessary. Estimates of fair value of corporate debt require the use of judgments and inputs including, but not limited to, the enterprise value of the borrower (i.e., an estimate of the total fair value of the borrower's debt and equity), the nature and realizable value of any collateral, the borrower's ability to make payments when due and its earnings history. Management also considers factors that affect the macro and local economic markets in which the borrower operates. | |||
[5] | The fair value of mortgages payable is calculated using the estimated yield of a new par loan to value the remaining terms in place. A par loan is created using the identical terms of the existing loan; however the coupon is derived by using the original spread against the interpolated treasury. The fair value of mortgages payable also reflects consideration of the value of the underlying collateral and changes in credit risk from the time the debt was originated. | |||
[6] | Commercial real estate debt and preferred equity includes commercial mortgage loans and preferred equity held for investment. Commercial real estate debt and preferred equity are held for investment and are carried at their outstanding principal balance, net of an unamortized origination fee, premium or discount, less a reserve for estimated losses. The estimated fair value of the commercial real estate debt and preferred equity takes into consideration expected changes in interest rates and changes in the underlying collateral cash flows. The fair value of commercial real estate debt and preferred equity is based on the investment's contractual cash flows and estimated changes in the yield curve. The fair value also reflects consideration of changes in credit risk since the loan was originated or purchased. | |||
[7] | The carrying value of participation sold is based on the loan's amortized cost less an allowance for loan losses, if necessary. The fair value of participation sold is based on the fair value of the underlying related commercial loan. | |||
[8] | Other derivatives include swaptions, TBA derivatives, MBS options and futures contracts. A complete discussion of the methodology utilized by the Company to estimate the fair value of these derivative instruments is included in the summary of the Company's significant accounting policies in the notes to these consolidated financial statements. | |||
[9] | The fair value of repurchase agreements with maturities greater than one year are valued as pay fixed versus receive floating interest rate swaps. |
Repurchase_Agreements_Narrativ
Repurchase Agreements - Narrative (Detail) (USD $) | 9 Months Ended | 12 Months Ended | |
Sep. 30, 2013 | Dec. 31, 2012 | ||
Repurchase Agreements: | ' | ' | |
Repurchase agreements - outstanding | $69,211,309,000 | $102,785,697,000 | [1] |
Repurchase agreements - weighted average borrowing rates | 2.02% | 1.53% | |
Repurchase agreements - weighted average remaining maturities (in days) | '200 days | '191 days | |
Repurchase agreements - collateral held, fair value | 75,900,000,000 | 109,200,000,000 | |
Repurchase agreements - accrued interest | $252,000,000 | $363,800,000 | |
[1] | Derived from the audited consolidated financial statements at December 31, 2012. |
Repurchase_Agreements_Remainin
Repurchase Agreements - Remaining Maturities (Detail) (USD $) | Sep. 30, 2013 | Dec. 31, 2012 | |
In Thousands, unless otherwise specified | |||
Repurchase Agreements: | ' | ' | |
Repurchase agreements | $69,211,309 | $102,785,697 | [1] |
Weighted average rate | 0.63% | 0.63% | |
1 day | ' | ' | |
Repurchase Agreements: | ' | ' | |
Repurchase agreements | 6,827,874 | ' | |
Weighted average rate | 0.21% | ' | |
2 to 29 days | ' | ' | |
Repurchase Agreements: | ' | ' | |
Repurchase agreements | 17,171,077 | 33,191,448 | |
Weighted average rate | 0.41% | 0.50% | |
30 to 59 days | ' | ' | |
Repurchase Agreements: | ' | ' | |
Repurchase agreements | 13,302,830 | 28,383,851 | |
Weighted average rate | 0.42% | 0.45% | |
60 to 89 days | ' | ' | |
Repurchase Agreements: | ' | ' | |
Repurchase agreements | 5,722,493 | 8,602,680 | |
Weighted average rate | 0.43% | 0.42% | |
90 to 119 days | ' | ' | |
Repurchase Agreements: | ' | ' | |
Repurchase agreements | 8,030,625 | 4,804,671 | |
Weighted average rate | 0.27% | 0.57% | |
Over 120 days | ' | ' | |
Repurchase Agreements: | ' | ' | |
Repurchase agreements | $18,156,410 | $27,803,047 | |
Weighted average rate | 1.36% | 1.03% | |
[1] | Derived from the audited consolidated financial statements at December 31, 2012. |
Summary_of_Gross_Amounts_Amoun
Summary of Gross Amounts, Amounts Offset and net Amounts of Repurchase Agreement and Reverse Repurchase Agreement (Detail) (USD $) | 9 Months Ended | 12 Months Ended | |
In Thousands, unless otherwise specified | Sep. 30, 2013 | Dec. 31, 2012 | |
Repurchase Agreements: | ' | ' | |
Gross amounts -reverse repurchase agreements | $5,526,615 | $3,650,053 | |
Amounts offset - reverse repurchase agreement | -5,495,541 | -1,838,958 | |
Netted amounts -reverse repurchase | 31,074 | 1,811,095 | [1] |
Gross amounts -repurchase agreement | 74,706,850 | 104,624,655 | |
Amounts offset -repurchase agreement | -5,495,541 | -1,838,958 | |
Netted amounts -repurchase agreement | $69,211,309 | $102,785,697 | [1] |
[1] | Derived from the audited consolidated financial statements at December 31, 2012. |
Summary_of_Fair_Value_Informat
Summary of Fair Value Information about Derivative Assets and Liabilities (Detail) (USD $) | Sep. 30, 2013 | Dec. 31, 2012 |
In Thousands, unless otherwise specified | ||
Derivatives, Fair Value [Line Items] | ' | ' |
Derivative assets | $445,553 | $9,830 |
Derivative liabilities | 1,629,726 | 2,584,907 |
Interest Rate Swaps | ' | ' |
Derivatives, Fair Value [Line Items] | ' | ' |
Derivative assets | 360,373 | ' |
Derivative liabilities | 1,504,258 | 2,584,907 |
Other Derivative Contracts | Interest Rate Swaption | ' | ' |
Derivatives, Fair Value [Line Items] | ' | ' |
Derivative assets | 62,332 | ' |
Other Derivative Contracts | TBA Derivatives | ' | ' |
Derivatives, Fair Value [Line Items] | ' | ' |
Derivative assets | 21,850 | 1,875 |
Derivative liabilities | 66,123 | ' |
Other Derivative Contracts | Us Treasury futures | ' | ' |
Derivatives, Fair Value [Line Items] | ' | ' |
Derivative assets | 998 | 7,955 |
Derivative liabilities | 25,635 | ' |
Other Derivative Contracts | MBS Options | ' | ' |
Derivatives, Fair Value [Line Items] | ' | ' |
Derivative liabilities | $33,710 | ' |
Summary_of_Characteristics_of_
Summary of Characteristics of Interest Rate Swaps (Detail) (USD $) | Sep. 30, 2013 | Dec. 31, 2012 | Sep. 30, 2013 | Sep. 30, 2013 | Sep. 30, 2013 | Sep. 30, 2013 | Sep. 30, 2013 |
In Thousands, unless otherwise specified | Interest Rate Swaps | Interest Rate Swaps | Interest Rate Swaps | Interest Rate Swaps | Interest Rate Swaps | ||
0 - 3 years | 3 - 6 years | 6 - 10 years | Greater than 10 years | ||||
Derivative Instruments: | ' | ' | ' | ' | ' | ' | ' |
Derivative Instruments minimum maturity period | ' | ' | ' | '0 years | '3 years | '6 years | '10 years |
Derivative Instruments maximum maturity period | ' | ' | ' | '3 years | '6 years | '10 years | ' |
Current Notional | ' | ' | $52,152,590 | $24,208,000 | $11,427,340 | $13,327,250 | $3,190,000 |
Weighted Average Pay Rate | 2.06% | 2.21% | 2.06% | 1.83% | 1.84% | 2.31% | 3.66% |
Weighted Average Receive Rate | 0.21% | 0.24% | 0.21% | 0.20% | 0.21% | 0.25% | 0.20% |
Average Years to Maturity | ' | ' | '5 years 2 months 1 day | '2 years 2 months 8 days | '4 years 3 months 18 days | '7 years 6 months 14 days | '21 years |
Summary_of_Characteristics_of_1
Summary of Characteristics of Interest Rate Swaptions (Detail) (Interest Rate Swaption, USD $) | 9 Months Ended |
In Thousands, unless otherwise specified | Sep. 30, 2013 |
Interest Rate Swaption | ' |
Derivative Instruments: | ' |
Current Underlying Notional | $6,800,000 |
Underlying Pay Rate | 3.02% |
Underlying Receive Rate | '3M LIBOR |
Years to Maturity | '9 years 7 days |
Months to Expiration | '3 months 13 days |
Summary_of_Characteristics_of_2
Summary of Characteristics of TBA Derivatives (Detail) (TBA Derivatives, USD $) | 9 Months Ended |
In Thousands, unless otherwise specified | Sep. 30, 2013 |
Derivative Instruments: | ' |
Notional | ($1,375,000) |
Cost Basis | -1,229,087 |
Market Value | -1,273,359 |
Carrying Value | -44,273 |
Purchase Contracts | ' |
Derivative Instruments: | ' |
Notional | 1,625,000 |
Cost Basis | 1,682,329 |
Market Value | 1,704,180 |
Carrying Value | 21,850 |
Sales Contracts | ' |
Derivative Instruments: | ' |
Notional | -3,000,000 |
Cost Basis | -2,911,416 |
Market Value | -2,977,539 |
Carrying Value | ($66,123) |
Notional_Amounts_and_Unrealize
Notional Amounts and Unrealized Gains (losses) of Interest Rate Swap on Gross Basis, Amount Offset and Net Amounts (Detail) (USD $) | 3 Months Ended | 9 Months Ended | 12 Months Ended | ||
In Thousands, unless otherwise specified | Sep. 30, 2013 | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2012 | Dec. 31, 2012 |
Derivative Instruments Notional And Fair Value [Line Items] | ' | ' | ' | ' | ' |
Netted amounts -notional | ' | ' | $52,200,000 | ' | $46,900,000 |
Netted amounts -unrealized gain (losses) | 6,343 | -104,197 | 1,441,099 | -373,773 | ' |
Interest Rate Swaps - Liability | ' | ' | ' | ' | ' |
Derivative Instruments Notional And Fair Value [Line Items] | ' | ' | ' | ' | ' |
Gross amounts - notional | ' | ' | 41,742,590 | ' | 45,811,800 |
Gross amounts -unrealized losses -liability | ' | ' | -1,504,258 | ' | -2,610,927 |
Amounts offset - notional | ' | ' | 8,310,000 | ' | 1,100,000 |
Amounts offset -unrealized losses -liability | ' | ' | 328,327 | ' | 26,020 |
Netted amounts -notional | ' | ' | 50,052,590 | ' | 46,911,800 |
Netted amounts -unrealized gain (losses) | ' | ' | -1,175,931 | ' | -2,584,907 |
Interest Rate Swaps - Asset | ' | ' | ' | ' | ' |
Derivative Instruments Notional And Fair Value [Line Items] | ' | ' | ' | ' | ' |
Gross amounts - notional | ' | ' | 10,410,000 | ' | 1,100,000 |
Amounts offset - notional | ' | ' | -8,310,000 | ' | -1,100,000 |
Netted amounts -notional | ' | ' | 2,100,000 | ' | ' |
Gross amounts -unrealized gains -assets | ' | ' | 360,373 | ' | 26,020 |
Amounts offset -unrealized gains -assets | ' | ' | -328,327 | ' | -26,020 |
Netted amounts -unrealized gain (losses) | ' | ' | $32,046 | ' | ' |
Derivative_Instruments_Effect_
Derivative Instruments - Effect of Interest Rate Swaps on Consolidated Statements of Comprehensive Income Loss (Detail) (USD $) | 3 Months Ended | 9 Months Ended | ||||||
In Thousands, unless otherwise specified | Sep. 30, 2013 | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2012 | ||||
Effect of Derivatives on Statement of Operations and Comprehensive Income: | ' | ' | ' | ' | ||||
Realized gains (losses) on interest rate swaps | ($227,909) | [1] | ($224,272) | [1] | ($666,112) | [1] | ($665,614) | [1] |
Realized gain (losses) on termination of interest rate swaps | -36,658 | ' | -88,685 | -2,385 | ||||
Unrealized gains (losses) on interest rate swaps | $6,343 | ($104,197) | $1,441,099 | ($373,773) | ||||
[1] | Interest expense related to the Company's interest rate swaps is recorded in Realized gains (losses) on interest rate swaps on the Consolidated Statements of Operations and Comprehensive Income (Loss). |
Derivative_Instruments_Narrati
Derivative Instruments - Narrative (Detail) (USD $) | Sep. 30, 2013 | Dec. 31, 2012 |
In Billions, unless otherwise specified | ||
Derivative Instruments: | ' | ' |
Interest rate swaps - weighted average pay rate, percentage | 2.06% | 2.21% |
Interest rate swaps - weighted average receive rate, percentage | 0.21% | 0.24% |
Derivative instruments, net liability position, aggregate fair value | $1.30 | ' |
Effect_of_Other_Derivative_Con
Effect of Other Derivative Contracts on the Consolidated Statements of Operations and Comprehensive Income (Loss) (Detail) (USD $) | 3 Months Ended | 9 Months Ended | ||
In Thousands, unless otherwise specified | Sep. 30, 2013 | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2012 |
Derivative Instruments: | ' | ' | ' | ' |
Unrealized Gain (Loss) | $6,343 | ($104,197) | $1,441,099 | ($373,773) |
Amount of Gain/(Loss) Recognized in Income on Derivatives | -105,869 | ' | -61,413 | ' |
Other Derivative Contracts | TBA Derivatives | ' | ' | ' | ' |
Derivative Instruments: | ' | ' | ' | ' |
Realized Gain (Loss) | 42,506 | ' | 51,846 | ' |
Unrealized Gain (Loss) | -58,403 | ' | -60,278 | ' |
Amount of Gain/(Loss) Recognized in Income on Derivatives | -15,897 | ' | -8,432 | ' |
Other Derivative Contracts | Interest Rate Swaption | ' | ' | ' | ' |
Derivative Instruments: | ' | ' | ' | ' |
Realized Gain (Loss) | 59,941 | ' | 60,506 | ' |
Unrealized Gain (Loss) | -119,046 | ' | -74,547 | ' |
Amount of Gain/(Loss) Recognized in Income on Derivatives | -59,105 | ' | -14,041 | ' |
Other Derivative Contracts | Us Treasury futures | ' | ' | ' | ' |
Derivative Instruments: | ' | ' | ' | ' |
Realized Gain (Loss) | -5,239 | ' | -8,298 | ' |
Unrealized Gain (Loss) | -25,628 | ' | -30,642 | ' |
Amount of Gain/(Loss) Recognized in Income on Derivatives | ($30,868) | ' | ($38,940) | ' |
Convertible_Senior_Notes_Narra
Convertible Senior Notes - Narrative (Detail) (USD $) | 3 Months Ended | 9 Months Ended | 12 Months Ended | 1 Months Ended | 9 Months Ended | |||
Sep. 30, 2012 | Sep. 30, 2012 | Sep. 30, 2013 | Dec. 31, 2010 | Dec. 31, 2012 | 31-May-12 | Sep. 30, 2013 | Dec. 31, 2012 | |
Convertible Senior Notes 4.00 Percent Due 2015 | Convertible Senior Notes 4.00 Percent Due 2015 | Convertible Senior Notes 4.00 Percent Due 2015 | Convertible Senior Notes 5.00 Percent Due 2015 | Convertible Senior Notes 5.00 Percent Due 2015 | Convertible Senior Notes 5.00 Percent Due 2015 | |||
Y | Y | |||||||
Convertible Senior Notes: | ' | ' | ' | ' | ' | ' | ' | ' |
Issued convertible senior notes, aggregate principal amount | ' | ' | ' | $600,000,000 | ' | $750,000,000 | ' | ' |
Senior debt maturity date | ' | ' | ' | 15-Feb-15 | ' | 15-May-15 | ' | ' |
Issued convertible senior notes, interest rate | ' | ' | ' | 4.00% | ' | 5.00% | ' | ' |
Issued convertible senior notes, frequency of interest payments per year | ' | ' | ' | 2 | ' | 2 | ' | ' |
Issued convertible senior notes, net proceeds following underwriting expenses | ' | 727,500,000 | ' | 582,000,000 | ' | 727,500,000 | ' | ' |
Repurchase of Convertible senior notes | ' | ' | 492,500,000 | ' | ' | ' | ' | ' |
Convertible senior notes convertible into common stock, initial conversion rate, number of shares | ' | ' | ' | 46.607 | ' | ' | 52.7969 | ' |
Convertible senior notes convertible into common stock, subsequent conversion rate, number of shares | ' | ' | 77.3716 | ' | ' | ' | ' | ' |
Convertible senior notes, principal amount applicable for conversion rate | ' | ' | ' | 1,000 | ' | 1,000 | ' | ' |
Convertible senior notes convertible into common stock, initial conversion price | ' | ' | ' | $21.46 | ' | ' | ' | $18.94 |
Convertible senior notes convertible into common stock, subsequent conversion price | ' | ' | $12.92 | ' | ' | ' | ' | ' |
Intrinsic value of the contingent beneficial conversion feature | ' | ' | 88,600,000 | ' | 75,800,000 | ' | ' | ' |
Convertible senior notes, unamortized discount | ' | ' | 26,700,000 | ' | 22,700,000 | ' | 6,300,000 | 9,300,000 |
Convertible senior notes, contingent beneficial conversion feature | $11,717,000 | $11,717,000 | ' | ' | ' | $11,700,000 | ' | ' |
Recovered_Sheet4
Common Stock and Preferred Stock - Narrative (Detail) (USD $) | 0 Months Ended | 1 Months Ended | 3 Months Ended | 9 Months Ended | 12 Months Ended | 1 Months Ended | 9 Months Ended | 0 Months Ended | 9 Months Ended | 1 Months Ended | 9 Months Ended | 12 Months Ended | 0 Months Ended | 9 Months Ended | 1 Months Ended | 9 Months Ended | 12 Months Ended | 9 Months Ended | 12 Months Ended | 1 Months Ended | ||||||||||
Oct. 16, 2012 | Oct. 29, 2012 | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2012 | Dec. 31, 2012 | Oct. 31, 2013 | Sep. 30, 2013 | Sep. 30, 2012 | Sep. 30, 2012 | 16-May-12 | Sep. 30, 2013 | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2013 | Dec. 31, 2012 | 31-May-12 | Sep. 13, 2012 | Sep. 30, 2013 | Sep. 30, 2013 | Sep. 30, 2013 | Dec. 31, 2012 | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2012 | Dec. 31, 2012 | Sep. 30, 2013 | ||
Director | Director | Director | Dividend Paid | 6.00% Series B Cumulative Convertible Preferred Stock | 6.00% Series B Cumulative Convertible Preferred Stock | Common Stock | 7.625% Series C Cumulative Redeemable Preferred Stock | 7.625% Series C Cumulative Redeemable Preferred Stock | 7.625% Series C Cumulative Redeemable Preferred Stock | 7.625% Series C Cumulative Redeemable Preferred Stock | Series C Preferred Stock | Series C Preferred Stock | Series C Preferred Stock | 7.50% Series D Cumulative Redeemable Preferred Stock | 7.50% Series D Cumulative Redeemable Preferred Stock | 7.50% Series D Cumulative Redeemable Preferred Stock | Series D Preferred Stock | Series D Preferred Stock | Series D Preferred Stock | 7.875% Series A Cumulative Redeemable Preferred Stock | 7.875% Series A Cumulative Redeemable Preferred Stock | 7.875% Series A Cumulative Redeemable Preferred Stock | 7.875% Series A Cumulative Redeemable Preferred Stock | |||||||
Dividend Paid | Director | Director | Dividend Paid | Director | Director | Dividend Paid | ||||||||||||||||||||||||
Class of Stock [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |
Options exercised under incentive plans, shares | ' | ' | ' | ' | ' | 166,375 | 443,669 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |
Aggregate exercise price of options exercised under incentive plans | ' | ' | ' | ' | ' | $2,200,000 | $6,100,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |
Direct purchase and dividend reinvestment program - issued shares | ' | ' | ' | ' | ' | 157,000 | 117,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |
Direct purchase and dividend reinvestment program - value raised | ' | ' | ' | ' | ' | 2,166,000 | 1,979,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |
Number of common stock issued upon conversion of Preferred Stock, shares | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 1,300,000 | 4,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |
Description of common stock equity distribution agreement | ' | ' | ' | ' | ' | ' | ' | 'On March 19, 2012, the Company entered into six separate Distribution Agency Agreements ("Distribution Agency Agreements") with each of Merrill Lynch, Pierce, Fenner & Smith Incorporated, Credit Suisse Securities (USA) LLC, Goldman, Sachs & Co., J.P. Morgan Securities LLC, Morgan Stanley & Co. LLC and RCap Securities, Inc. (together, the Agents). | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |
Date of Distribution Agency Agreement with six separate Agents | ' | ' | ' | ' | ' | ' | ' | 'March 19, 2012 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |
Number of common shares authorized for issuance under the Distribution Agency Agreement | ' | ' | ' | ' | ' | ' | ' | 125,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |
Shares of common stock reclassified to redeemable preferred stock | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 12,650,000 | ' | ' | ' | ' | ' | ' | 18,400,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | |
Preferred Stock, shares issued | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 12,000,000 | 12,000,000 | 12,000,000 | ' | ' | ' | 18,400,000 | 18,400,000 | 18,400,000 | 7,412,500 | ' | 7,412,500 | ' | |
Preferred Stock, par value | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | $0.01 | $0.01 | $0.01 | ' | ' | ' | $0.01 | $0.01 | $0.01 | $0.01 | ' | $0.01 | ' | |
Preferred Stock liquidation preference, per share | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | $25 | $25 | $25 | ' | ' | ' | $25 | $25 | $25 | $25 | ' | $25 | ' | |
Capital Stock, par value | ' | ' | ' | $0.01 | ' | $0.01 | ' | $0.01 | [1] | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Common stock, shares authorized | ' | ' | ' | 1,956,937,500 | ' | 1,956,937,500 | ' | 1,956,937,500 | [1] | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Preferred Stock, shares authorized | ' | ' | ' | ' | ' | ' | ' | ' | ' | 4,600,000 | ' | ' | ' | 12,650,000 | ' | ' | ' | ' | ' | ' | 18,400,000 | ' | ' | ' | ' | 7,412,500 | ' | ' | ' | |
Preferred Stock dividend rate, percentage | ' | ' | ' | ' | ' | ' | ' | ' | ' | 6.00% | ' | ' | ' | 7.63% | ' | ' | 7.63% | 7.63% | ' | ' | 7.50% | ' | 7.50% | 7.50% | ' | 7.88% | ' | 7.88% | ' | |
Common stock repurchase program, authorized amount | 1,500,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |
Common stock repurchase program, repurchased share | ' | ' | ' | ' | ' | ' | ' | 27,800,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |
Common stock repurchase program, repurchased value | ' | ' | ' | ' | ' | ' | ' | 397,100,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |
Common stock repurchase program, unsettled value | ' | ' | ' | ' | ' | ' | ' | 141,100,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |
Preferred Stock, shares outstanding | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 12,000,000 | 12,000,000 | ' | ' | ' | ' | 18,400,000 | 18,400,000 | ' | 7,412,500 | ' | 7,412,500 | ' | |
Preferred Stock redeemable price, per share | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | $25 | $25 | ' | ' | ' | ' | $25 | $25 | ' | $25 | ' | $25 | ' | |
Preferred Stock redemption date | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 16-May-17 | ' | ' | ' | ' | ' | 13-Sep-17 | ' | ' | 5-Apr-09 | ' | ' | ' | |
Minimum number of quarters with failure to pay dividends, which triggers voting rights for preferred stock, quarters | ' | ' | ' | 6 | ' | 6 | ' | 6 | ' | ' | ' | ' | ' | ' | ' | ' | 6 | 6 | ' | ' | ' | ' | 6 | 6 | ' | ' | ' | ' | ' | |
Number of Board Of Directors that Preferred Stock owners are entitled to vote to elect when there is a failure to pay quarterly dividends for a set period | ' | ' | ' | 2 | ' | 2 | ' | 2 | ' | ' | ' | ' | ' | ' | ' | ' | 2 | 2 | ' | ' | ' | ' | 2 | 2 | ' | ' | ' | ' | ' | |
Minimum ratio of votes required to materially and adversely change the terms of preferred stock | ' | ' | ' | 0.667 | ' | 0.667 | ' | 0.667 | ' | ' | ' | ' | ' | ' | ' | ' | 0.667 | 0.667 | ' | ' | ' | ' | 0.667 | 0.667 | ' | ' | ' | ' | ' | |
Common stock - dividend declared | ' | ' | 487,200 | ' | ' | 1,136,626,000 | 1,557,537,000 | ' | 331,600 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 1,136,626,000 | ' | ' | ' | ' | ' | ' | ' | ' | |
Dividends Declared Per Share of Common Stock | ' | $0.50 | ' | $0.35 | $0.50 | $1.20 | $1.60 | ' | $0.35 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |
Preferred dividends declared | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | $289,000 | ' | ' | $17,156,000 | $8,579,000 | $5,700,000 | ' | ' | ' | ' | $25,875,000 | $8,600,000 | ' | ' | ' | $10,945,000 | $10,945,000 | ' | $3,600,000 | |
Preferred series dividends declared, per share | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | $0.38 | ' | ' | $1.43 | $0.72 | $0.48 | ' | ' | ' | ' | $1.41 | $0.47 | ' | ' | ' | $1.48 | $1.48 | ' | $0.49 | |
[1] | Derived from the audited consolidated financial statements at December 31, 2012. |
Net_Income_Per_Common_Share_De
Net Income Per Common Share (Detail) (USD $) | 3 Months Ended | 9 Months Ended | ||
In Thousands, except Share data, unless otherwise specified | Sep. 30, 2013 | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2012 |
Net Income Per Common Share: | ' | ' | ' | ' |
Net income (loss) | $192,458 | $224,758 | $2,700,949 | $1,035,405 |
Less: Preferred stock dividends | 17,992 | 9,367 | 53,976 | 19,813 |
Net income (loss) available to common shareholders, prior to adjustment for dilutive potential common shares, if necessary | 174,466 | 215,391 | 2,646,973 | 1,015,592 |
Add: Interest on Convertible Senior Notes, if dilutive | 1,075 | 3,193 | 31,351 | 23,850 |
Net income (loss) available to common shareholders, as adjusted | $175,541 | $218,584 | $2,678,324 | $1,039,442 |
Weighted average shares of common stock outstanding- basic | 947,303,205 | 974,729,078 | 947,321,691 | 973,674,586 |
Add: Effect of dilutive stock options and Convertible Senior Notes, if dilutive | 8,387,266 | 22,278,751 | 47,997,979 | 61,690,665 |
Weighted average shares of common stock outstanding- diluted | 955,690,471 | 997,007,829 | 995,319,670 | 1,035,365,251 |
Net income (loss) per share available (related) to common share: | ' | ' | ' | ' |
Basic | $0.18 | $0.22 | $2.79 | $1.04 |
Diluted | $0.18 | $0.22 | $2.69 | $1 |
Net_Income_Per_Common_Share_Na
Net Income Per Common Share - Narrative (Detail) | 3 Months Ended | 9 Months Ended | ||
In Millions, unless otherwise specified | Sep. 30, 2013 | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2012 |
Net Income Per Common Share: | ' | ' | ' | ' |
Options to purchase common stock outstanding that would be considered anti-dilutive | 3.8 | 1.1 | 2.8 | 1.8 |
Recovered_Sheet5
Long-Term Stock Incentive Plans - Narrative (Detail) (USD $) | 9 Months Ended | |
In Millions, except Share data, unless otherwise specified | Sep. 30, 2013 | Sep. 30, 2012 |
Long-Term Stock Incentive Plans: | ' | ' |
Weighted average remaining contractual term of stock options outstanding, years | '4 years | '4 years 7 months 6 days |
Weighted average remaining contractual term of stock options exercisable, years | '4 years | '4 years 3 months 18 days |
Total unrecognized compensation cost related to nonvested share-based compensation awards | ' | $1.20 |
Stock Options | ' | ' |
Long-Term Stock Incentive Plans: | ' | ' |
Long-term stock compensation - vesting period | '4 years | ' |
Long-term stock compensation - vesting installments | '4 years | ' |
Long-term stock compensation - minimum contractual term | '5 years | ' |
Long-term stock compensation - maximum contractual term | '10 years | ' |
Equity Incentive Plan 2010 | ' | ' |
Long-Term Stock Incentive Plans: | ' | ' |
Long-term stock compensation - ceiling shares | 25,000,000 | ' |
The Prior Plan | Minimum | ' | ' |
Long-Term Stock Incentive Plans: | ' | ' |
Long-term stock compensation - ceiling shares | 500,000 | ' |
Long-term stock compensation - granting of options authorized, percent of diluted outstanding common stock | 9.50% | ' |
The Prior Plan | Maximum | ' | ' |
Long-Term Stock Incentive Plans: | ' | ' |
Long-term stock compensation - ceiling shares | 8,932,921 | ' |
Issued_and_Outstanding_Stock_O
Issued and Outstanding Stock Options (Detail) (USD $) | 9 Months Ended | |
Sep. 30, 2013 | Sep. 30, 2012 | |
Long-Term Stock Incentive Plans: | ' | ' |
Options outstanding at the beginning of period | 5,618,686 | 6,216,805 |
Granted | ' | 7,500 |
Exercised | -166,375 | -443,669 |
Forfeited | -1,226,803 | -2,450 |
Expired | -356,625 | ' |
Options outstanding at the end of period | 3,868,883 | 5,778,186 |
Options exercisable at the end of the period | 3,868,883 | 5,147,624 |
Options outstanding at the beginning of period, weighted average exercise price | $15.74 | $15.57 |
Granted | ' | $17.11 |
Exercised | $13.25 | $13.65 |
Forfeited | $16.26 | $16.15 |
Expired | $17.91 | ' |
Options outstanding at the end of year, weighted average exercise price | $15.48 | $15.72 |
Options exercisable at the end of the year, exercise price | $15.48 | $16.02 |
Income_Taxes_Narrative_Detail
Income Taxes - Narrative (Detail) (USD $) | 3 Months Ended | 9 Months Ended | ||
In Millions, unless otherwise specified | Sep. 30, 2013 | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2012 |
Income Taxes: | ' | ' | ' | ' |
Income tax expense for income and the portion of earnings retained based on 162(m) limitations | $3.90 | $10.60 | ' | $32.70 |
Years federal and state tax returns remain open for examination | ' | ' | '2010, 2011 and 2012 | ' |
Real Estate Investment Trust | ' | ' | ' | ' |
Income Taxes: | ' | ' | ' | ' |
Income tax expense for income and the portion of earnings retained based on 162(m) limitations | $0.60 | $3.30 | 6.4 | $9.30 |
Recovered_Sheet6
Lease Commitments And Contingencies - Narrative (Detail) (USD $) | 3 Months Ended | |
Sep. 30, 2013 | Sep. 30, 2012 | |
Lease Commitments and Contingencies: | ' | ' |
Aggregate future net minimum lease payments | $3,324,000 | ' |
Lease expense | $500,000 | $1,100,000 |
Recovered_Sheet7
Lease Commitments And Contingencies (Detail) (USD $) | Sep. 30, 2013 |
In Thousands, unless otherwise specified | |
Lease Commitments and Contingencies: | ' |
Lease Commitment - 2013 | $734 |
Lease Commitment - 2014 | 2,509 |
Lease Commitment - 2015 | 159 |
Lease Commitment - 2016 | 27 |
Lease Commitment - Later years | ' |
Aggregate future minimum lease payments | 3,429 |
Sublease income - 2013 | 45 |
Sublease income - 2014 | 60 |
Sublease income - 2015 | ' |
Sublease income - 2016 | ' |
Sublease income - Later years | ' |
Aggregate future minimum sublease income | 105 |
Net Lease Commitment - 2013 | 689 |
Net Lease Commitment - 2014 | 2,449 |
Net Lease Commitment - 2015 | 159 |
Net Lease Commitment - 2016 | 27 |
Net Lease Commitment - Later years | ' |
Aggregate future net minimum lease payments | $3,324 |
Interest_Rate_Risk_Narrative_D
Interest Rate Risk - Narrative (Detail) (USD $) | 9 Months Ended | 12 Months Ended |
In Billions, unless otherwise specified | Sep. 30, 2013 | Dec. 31, 2012 |
Interest Rate Risk: | ' | ' |
Derivative instruments, notional amount | $52.20 | $46.90 |
RCap_Regulatory_Requirements_N
RCap Regulatory Requirements - Narrative (Detail) (USD $) | Sep. 30, 2013 |
In Millions, unless otherwise specified | |
RCAP Regulatory Requirements: | ' |
Minimum net capital requirement | $0.20 |
Regulatory net capital | 333.7 |
Regulatory net capital, excess net capital | $333.50 |
Related_Party_Transactions_Det
Related Party Transactions (Detail) (USD $) | 6 Months Ended | 9 Months Ended | 6 Months Ended | 3 Months Ended | 9 Months Ended | ||||||||||
Share data in Millions, unless otherwise specified | Jun. 30, 2013 | Sep. 30, 2013 | Dec. 31, 2012 | Sep. 30, 2013 | Sep. 30, 2013 | Sep. 30, 2013 | Dec. 31, 2012 | Jun. 30, 2013 | Dec. 31, 2012 | Sep. 30, 2013 | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2012 | Dec. 31, 2012 | |
Management Agreement | Automatic Renewal | Chimera | Chimera | CreXus | CreXus | Chimera and CreXus | Chimera and CreXus | Chimera and CreXus | Chimera and CreXus | Chimera and CreXus | |||||
Management Agreement | |||||||||||||||
Investments with affiliate, available-for-sale equity securities - shares | ' | ' | ' | ' | ' | 45 | 45 | ' | 9.5 | ' | ' | ' | ' | ' | |
Investments with affiliate, available-for-sale equity securities - fair value | ' | ' | ' | ' | ' | $136,700,000 | $117,400,000 | ' | $116,700,000 | ' | ' | ' | ' | ' | |
Investments with affiliate, available-for-sale equity securities - unrealized gains | ' | ' | ' | ' | ' | 2,100,000 | 21,500,000 | ' | 8,700,000 | ' | ' | ' | ' | ' | |
Business combination loss recognized | 18,900,000 | ' | ' | ' | ' | ' | ' | 18,900,000 | ' | ' | ' | ' | ' | ' | |
Advisory fees from affiliate | ' | ' | ' | ' | ' | ' | ' | ' | ' | 5,900,000 | 16,400,000 | 23,300,000 | 50,300,000 | ' | |
Receivable for advisory and service fees, from affiliates | ' | $6,653,000 | $14,077,000 | [1] | ' | ' | ' | ' | ' | ' | $6,700,000 | ' | $6,700,000 | ' | $14,100,000 |
Basis for management fee | ' | ' | ' | 'amount equal to 1/12th of 1.05% of stockholders' equity | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |
Initial term of management agreement expiration date | ' | ' | ' | 31-Dec-14 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |
Renewal term | ' | ' | ' | ' | '1 year | ' | ' | ' | ' | ' | ' | ' | ' | ' | |
[1] | Derived from the audited consolidated financial statements at December 31, 2012. |