Document_and_Entity_Informatio
Document and Entity Information | 9 Months Ended | |
Sep. 30, 2014 | Oct. 31, 2014 | |
Document Information [Line Items] | ' | ' |
Document Type | '10-Q | ' |
Amendment Flag | 'false | ' |
Document Period End Date | 30-Sep-14 | ' |
Document Fiscal Year Focus | '2014 | ' |
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 | ' | 947,602,114 |
CONSOLIDATED_STATEMENTS_OF_FIN
CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION (USD $) | Sep. 30, 2014 | Dec. 31, 2013 | ||
In Thousands, unless otherwise specified | ||||
ASSETS | ' | ' | ||
Cash and cash equivalents (including cash pledged as collateral of $1,011,566 and $371,790, respectively) | $1,178,621 | $552,436 | [1] | |
Reverse repurchase agreements | 0 | 100,000 | [1] | |
Securities borrowed | 0 | 2,582,893 | [1] | |
Investments, at fair value: | ' | ' | ||
U.S. Treasury securities (including pledged assets of $0 and $1,113,027, respectively) | 0 | 1,117,915 | [1] | |
Agency mortgage-backed securities (including pledged assets of $71,955,127 and $63,897,873, respectively) | 81,462,387 | 70,388,949 | [1] | |
Agency debentures (including pledged assets of $1,334,181 and $2,931,261, respectively) | 1,334,181 | 2,969,885 | [1] | |
Investment in affiliates | 136,748 | 139,447 | [1] | |
Commercial real estate debt and preferred equity | 1,554,958 | [2] | 1,583,969 | [1],[2] |
Investments in commercial real estate | 73,827 | 60,132 | [1] | |
Corporate debt, held for investment | 144,451 | 117,687 | [1] | |
Receivable for investments sold | 855,161 | 1,193,730 | [1] | |
Accrued interest and dividends receivable | 287,231 | 273,079 | [1] | |
Receivable for investment advisory income (including from affiliates of $8,369 and $6,839, respectively) | 8,369 | 6,839 | [1] | |
Goodwill | 94,781 | 94,781 | [1] | |
Interest rate swaps, at fair value | 198,066 | 559,044 | [1] | |
Other derivatives, at fair value | 19,407 | 146,725 | [1] | |
Other assets | 39,798 | 34,949 | [1] | |
Total assets | 87,387,986 | 81,922,460 | [1] | |
Liabilities: | ' | ' | ||
U.S. Treasury securities sold, not yet purchased, at fair value | 0 | 1,918,394 | [1] | |
Repurchase agreements | 69,610,722 | 61,781,001 | [1] | |
Securities loaned | 7 | 2,527,668 | [1] | |
Payable for investments purchased | 2,153,789 | 764,131 | [1] | |
Convertible Senior Notes | 836,625 | 825,262 | [1] | |
Securitized debt of consolidated VIE | 260,700 | ' | ||
Mortgages payable | 42,635 | 19,332 | [1] | |
Participation sold | 13,768 | 14,065 | [1] | |
Accrued interest payable | 180,345 | 160,921 | [1] | |
Dividends payable | 284,278 | 284,230 | [1] | |
Interest rate swaps, at fair value | 857,658 | 1,141,828 | [1] | |
Other derivatives, at fair value | 0 | 55,518 | [1] | |
Accounts payable and other liabilities | 36,511 | 25,055 | [1] | |
Total liabilities | 74,277,038 | 69,517,405 | [1] | |
Stockholders' Equity: | ' | ' | ||
Common stock, par value $0.01 per share, 1,956,937,500 authorized, 947,591,766 and 947,432,862 issued and outstanding, respectively | 9,476 | 9,474 | [1] | |
Additional paid-in capital | 14,781,308 | 14,765,761 | [1] | |
Accumulated other comprehensive income (loss) | -967,820 | -2,748,933 | [1] | |
Accumulated deficit | -1,625,075 | -534,306 | [1] | |
Total stockholders' equity | 13,110,948 | 12,405,055 | [1] | |
Total liabilities and stockholders' equity | 87,387,986 | 81,922,460 | [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, 2013. | |||
[2] | Includes senior securitized mortgages of consolidated VIE with a carrying value of $398.4 million at September 30, 2014. |
CONSOLIDATED_STATEMENTS_OF_FIN1
CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION (Parenthetical) (USD $) | Sep. 30, 2014 | Dec. 31, 2013 | |
In Thousands, except Share data, unless otherwise specified | |||
Cash pledged as collateral | $1,011,566 | $371,790 | [1] |
U.S. Treasury securities, pledged assets | 0 | 1,113,027 | [1] |
Agency mortgage-backed securities, pledged assets | 71,955,127 | 63,897,873 | [1] |
Agency debentures, pledged assets | 1,334,181 | 2,931,261 | [1] |
Receivable for investment advisory income, from affiliates | 8,369 | 6,839 | [1] |
Preferred Stock, shares authorized | 4,600,000 | ' | |
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 | 947,591,766 | 947,432,862 | [1] |
Common Stock, shares outstanding | 947,591,766 | 947,432,862 | [1] |
Senior Secured mortgages of Consolidated VIE | 1,554,958 | 1,583,969 | |
Senior Securitized Mortgages | ' | ' | |
Senior Secured mortgages of Consolidated VIE | $398,400 | ' | |
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, 2013. |
CONSOLIDATED_STATEMENTS_OF_COM
CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS) (Unaudited) (USD $) | 3 Months Ended | 9 Months Ended | ||||||
In Thousands, except Share data, unless otherwise specified | Sep. 30, 2014 | Sep. 30, 2013 | Sep. 30, 2014 | Sep. 30, 2013 | ||||
Net interest income: | ' | ' | ' | ' | ||||
Interest income | $644,640 | $697,160 | $1,984,503 | $2,147,313 | ||||
Interest expense | 127,069 | 145,476 | 378,147 | 487,321 | ||||
Net interest income | 517,571 | 551,684 | 1,606,356 | 1,659,992 | ||||
Other income (loss): | ' | ' | ' | ' | ||||
Realized gains (losses) on interest rate swaps | -169,083 | [1],[2] | -227,909 | [1],[2] | -650,452 | [1],[2] | -666,112 | [1],[2] |
Realized gains (losses) on termination of interest rate swaps | 0 | -36,658 | -779,333 | -88,685 | ||||
Unrealized gains (losses) on interest rate swaps | 98,593 | 6,343 | -75,287 | 1,441,099 | ||||
Subtotal | -70,490 | -258,224 | -1,505,072 | 686,302 | ||||
Investment advisory income | 8,253 | 9,558 | 20,485 | 35,153 | ||||
Net gains (losses) on disposal of investments | 4,693 | 43,602 | 90,296 | 374,443 | ||||
Dividend income from affiliates | 4,048 | 4,048 | 21,141 | 14,527 | ||||
Net gains (losses) on trading assets | 4,676 | -96,022 | -188,041 | -40,427 | ||||
Net unrealized gains (losses) on interest-only Agency mortgage-backed securities | -37,944 | -7,099 | -56,652 | 184,549 | ||||
Impairment of goodwill | ' | ' | ' | -23,987 | ||||
Loss on previously held equity interest in CreXus | ' | ' | ' | -18,896 | ||||
Other income (loss) | -22,249 | 4,212 | -16,102 | 11,536 | ||||
Subtotal | -38,523 | -41,701 | -128,873 | 536,898 | ||||
Total other income (loss) | -109,013 | -299,925 | -1,633,945 | 1,223,200 | ||||
General and administrative expenses: | ' | ' | ' | ' | ||||
Compensation and management fee | 39,028 | 41,774 | 116,826 | 123,981 | ||||
Other general and administrative expenses | 12,289 | 16,970 | 34,058 | 51,806 | ||||
Total general and administrative expenses | 51,317 | 58,744 | 150,884 | 175,787 | ||||
Income (loss) before income taxes | 357,241 | 193,015 | -178,473 | 2,707,405 | ||||
Income taxes | 2,385 | 557 | 5,534 | 6,456 | ||||
Net income (loss) | 354,856 | 192,458 | -184,007 | 2,700,949 | ||||
Dividends on preferred stock | 17,992 | 17,992 | 53,976 | 53,976 | ||||
Net income (loss) available (related) to common stockholders | 336,864 | 174,466 | -237,983 | 2,646,973 | ||||
Net income (loss) per share available (related) to common stockholders: | ' | ' | ' | ' | ||||
Basic | $0.36 | $0.18 | ($0.25) | $2.79 | ||||
Diluted | $0.35 | $0.18 | ($0.25) | $2.69 | ||||
Weighted average number of common shares outstanding: | ' | ' | ' | ' | ||||
Basic | 947,565,432 | 947,303,205 | 947,513,514 | 947,321,691 | ||||
Diluted | 987,315,527 | 955,690,471 | 947,513,514 | 995,319,670 | ||||
Dividends declared per share of common stock | $0.30 | $0.35 | $0.90 | $1.20 | ||||
Net income (loss) | 354,856 | 192,458 | -184,007 | 2,700,949 | ||||
Other comprehensive income (loss): | ' | ' | ' | ' | ||||
Unrealized gains (losses) on available-for-sale securities | -390,871 | -121,942 | 1,872,427 | -4,133,589 | ||||
Reclassification adjustment for net (gains) losses included in net income (loss) | -4,693 | -43,602 | -91,314 | -374,443 | ||||
Other comprehensive income (loss) | -395,564 | -165,544 | 1,781,113 | -4,508,032 | ||||
Comprehensive income (loss) | ($40,708) | $26,914 | $1,597,106 | ($1,807,083) | ||||
[1] | Interest expense related to the Company's interest rate swaps is recorded in Realized gains (losses) on interest rate swaps. | |||||||
[2] | 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 Comprehensive Income (Loss). |
CONSOLIDATED_STATEMENTS_OF_STO
CONSOLIDATED STATEMENTS OF STOCKHOLDERS' EQUITY (Unaudited) (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 | Common Stock Par Value | Additional Paid-In Capital | Accumulated Other Comprehensive Income (Loss) | Accumulated Deficit | Accumulated Deficit | Accumulated Deficit | Accumulated Deficit | 7.875% Series A Cumulative Redeemable Preferred Stock | 7.625% Series C Cumulative Redeemable Preferred Stock | 7.50% Series D Cumulative Redeemable Preferred Stock | |
In Thousands | 7.875% Series A Cumulative Redeemable Preferred Stock | 7.625% Series C Cumulative Redeemable Preferred Stock | 7.50% Series D Cumulative Redeemable Preferred Stock | ||||||||||||
Beginning balance at Dec. 31, 2012 | $15,924,444 | ' | ' | ' | $9,472 | $14,740,774 | $3,053,242 | ($2,792,103) | ' | ' | ' | $177,088 | $290,514 | $445,457 | |
Net income (loss) | 2,700,949 | ' | ' | ' | ' | ' | ' | 2,700,949 | ' | ' | ' | ' | ' | ' | |
Unrealized gains (losses) on available-for-sale securities | -4,133,589 | ' | ' | ' | ' | ' | -4,133,589 | ' | ' | ' | ' | ' | ' | ' | |
Reclassification adjustment for net (gains) losses included in net income (loss) | -374,443 | ' | ' | ' | ' | ' | -374,443 | ' | ' | ' | ' | ' | ' | ' | |
Exercise of stock options | 2,204 | ' | ' | ' | 2 | 2,202 | ' | ' | ' | ' | ' | ' | ' | ' | |
Stock compensation expense | 1,762 | ' | ' | ' | -3 | 1,765 | ' | ' | ' | ' | ' | ' | ' | ' | |
Net proceeds from direct purchase and dividend reinvestment | 2,166 | ' | ' | ' | 2 | 2,164 | ' | ' | ' | ' | ' | ' | ' | ' | |
Contingent beneficial conversion feature on 4% Convertible Senior Notes | 12,833 | ' | ' | ' | ' | 12,833 | ' | ' | ' | ' | ' | ' | ' | ' | |
Preferred dividends declared | ' | -10,945 | -17,156 | -25,875 | ' | ' | ' | ' | -10,945 | -17,156 | -25,875 | ' | ' | ' | |
Common dividends declared, $0.90 per share | -1,136,626 | ' | ' | ' | ' | ' | ' | -1,136,626 | ' | ' | ' | ' | ' | ' | |
Ending balance at Sep. 30, 2013 | 12,945,724 | ' | ' | ' | 9,473 | 14,759,738 | -1,454,790 | -1,281,756 | ' | ' | ' | 177,088 | 290,514 | 445,457 | |
Beginning balance at Dec. 31, 2013 | 12,405,055 | [1] | ' | ' | ' | 9,474 | 14,765,761 | -2,748,933 | -534,306 | ' | ' | ' | 177,088 | 290,514 | 445,457 |
Net income (loss) | -184,007 | ' | ' | ' | ' | ' | ' | -184,007 | ' | ' | ' | ' | ' | ' | |
Unrealized gains (losses) on available-for-sale securities | 1,872,427 | ' | ' | ' | ' | ' | 1,872,427 | ' | ' | ' | ' | ' | ' | ' | |
Reclassification adjustment for net (gains) losses included in net income (loss) | -91,314 | ' | ' | ' | ' | ' | -91,314 | ' | ' | ' | ' | ' | ' | ' | |
Stock compensation expense | 998 | ' | ' | ' | ' | 998 | ' | ' | ' | ' | ' | ' | ' | ' | |
Net proceeds from direct purchase and dividend reinvestment | 1,786 | ' | ' | ' | 2 | 1,784 | ' | ' | ' | ' | ' | ' | ' | ' | |
Contingent beneficial conversion feature on 4% Convertible Senior Notes | 12,765 | ' | ' | ' | ' | 12,765 | ' | ' | ' | ' | ' | ' | ' | ' | |
Preferred dividends declared | ' | -10,944 | -17,157 | -25,875 | ' | ' | ' | ' | -10,944 | -17,157 | -25,875 | ' | ' | ' | |
Common dividends declared, $0.90 per share | -852,786 | ' | ' | ' | ' | ' | ' | -852,786 | ' | ' | ' | ' | ' | ' | |
Ending balance at Sep. 30, 2014 | $13,110,948 | ' | ' | ' | $9,476 | $14,781,308 | ($967,820) | ($1,625,075) | ' | ' | ' | $177,088 | $290,514 | $445,457 | |
[1] | Derived from the audited consolidated financial statements at December 31, 2013. |
CONSOLIDATED_STATEMENTS_OF_STO1
CONSOLIDATED STATEMENTS OF STOCKHOLDERS' EQUITY (Unaudited) (Parenthetical) (USD $) | 9 Months Ended | |
Sep. 30, 2014 | Sep. 30, 2013 | |
Dividends declared per share of common stock | $0.90 | $1.20 |
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 | $1.43 |
7.50% Series D Cumulative Redeemable Preferred Stock | ' | ' |
Preferred Series dividends declared, per share | $1.41 | $1.41 |
CONSOLIDATED_STATEMENTS_OF_CAS
CONSOLIDATED STATEMENTS OF CASH FLOWS (Unaudited) (USD $) | 9 Months Ended | ||
In Thousands, unless otherwise specified | Sep. 30, 2014 | Sep. 30, 2013 | |
Cash flows from operating activities: | ' | ' | |
Net income (loss) | ($184,007) | $2,700,949 | |
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | ' | ' | |
Amortization of Investment Securities premiums and discounts, net | 466,338 | 943,094 | |
Amortization of commercial real estate investment premiums and discounts, net | 607 | 326 | |
Amortization of intangibles | 445 | 2,614 | |
Amortization of deferred financing costs | 8,023 | 6,114 | |
Amortization of net origination fees and costs, net | -3,337 | ' | |
Amortization of contingent beneficial conversion feature and equity component of Convertible Senior Notes | 24,128 | 11,804 | |
Depreciation expense | 1,264 | ' | |
Net gain on sale of commercial real estate | -2,748 | ' | |
Net (gains) losses on sales of Agency mortgage-backed securities and debentures | -91,314 | -374,443 | |
Stock compensation expense | 998 | 1,762 | |
Impairment of goodwill | ' | 23,987 | |
Loss on previously held equity interest in CreXus | ' | 18,896 | |
Unrealized (gains) losses on interest rate swaps | 75,287 | -1,441,099 | |
Net unrealized (gains) losses on interest-only Agency mortgage-backed securities | 56,652 | -184,549 | |
Net (gains) losses on trading assets | 188,041 | 40,427 | |
Proceeds from repurchase agreements of RCap | 747,790,774 | 1,026,645,402 | |
Payments on repurchase agreements of RCap | -742,842,907 | -1,037,381,608 | |
Proceeds from reverse repurchase agreements | 60,698,578 | 318,678,534 | |
Payments on reverse repurchase agreements | -60,598,578 | -316,898,513 | |
Proceeds from securities borrowed | 23,888,955 | 208,108,715 | |
Payments on securities borrowed | -21,306,062 | -209,387,727 | |
Proceeds from securities loaned | 41,939,298 | 372,155,568 | |
Payments on securities loaned | -44,466,959 | -370,664,793 | |
Proceeds from U.S. Treasury securities | 3,159,253 | 109,762,391 | |
Payments on U.S. Treasury securities | -3,920,425 | -109,750,041 | |
Net payments on derivatives | -98,704 | -26,020 | |
Net change in: | ' | ' | |
Due to / from brokers | 8,596 | 683 | |
Other assets | -2,011 | -11,298 | |
Accrued interest and dividends receivable | -27,362 | 119,211 | |
Receivable for investment advisory income | -1,530 | 7,675 | |
Accrued interest payable | 34,733 | -24,141 | |
Accounts payable and other liabilities | 2,958 | 23,838 | |
Net cash provided by (used in) operating activities | 4,798,984 | -6,892,242 | |
Cash flows from investing activities: | ' | ' | |
Payments on purchases of Agency mortgage-backed securities and debentures | -27,898,595 | -31,529,258 | |
Proceeds from sales of Agency mortgage-backed securities and debentures | 15,529,556 | 42,719,851 | |
Principal payments on Agency mortgage-backed securities | 5,945,647 | 19,550,338 | |
Proceeds from Agency debentures called | ' | 2,147,205 | |
Payments on purchases of corporate debt | -114,183 | -39,717 | |
Proceeds from corporate debt called | ' | 24,252 | |
Principal payments on corporate debt | 88,078 | 3,586 | |
Acquisition of CreXus | ' | -724,889 | |
Origination of commercial real estate investments, net | -206,849 | -563,982 | |
Proceeds from sales of commercial real estate held for sale | 26,019 | 20,192 | |
Principal payments on commercial real estate investments | 237,796 | 50,424 | |
Purchase of investments in real estate | -36,743 | ' | |
Proceeds from derivatives | ' | 7,465 | |
Net cash provided by (used in) investing activities | -6,429,274 | 31,665,467 | |
Cash flows from financing activities: | ' | ' | |
Proceeds from repurchase agreements | 147,564,412 | 322,086,276 | |
Principal payments on repurchase agreements | -144,682,558 | -344,924,458 | |
Proceeds from issuance of securitized debt | 260,700 | ' | |
Payment of deferred financing cost | -4,288 | ' | |
Proceeds from exercise of stock options | ' | 2,204 | |
Net proceeds from direct purchases and dividend reinvestments | 1,785 | 2,166 | |
Proceeds from mortgages payable | 23,375 | ' | |
Principal payments on participation sold | -207 | -132 | |
Principal payments on mortgages payable | -30 | ' | |
Net payment on share repurchase | ' | -141,149 | |
Dividends paid | -906,714 | -1,291,199 | |
Net cash provided by (used in) financing activities | 2,256,475 | -24,266,292 | |
Net (decrease) increase in cash and cash equivalents | 626,185 | 506,933 | |
Cash and cash equivalents, beginning of period | 552,436 | [1] | 615,789 |
Cash and cash equivalents, end of period | 1,178,621 | 1,122,722 | |
Supplemental disclosure of cash flow information: | ' | ' | |
Interest received | 2,454,211 | 3,209,456 | |
Dividends received | 21,141 | 17,576 | |
Investment advisory income received | 18,955 | 63,070 | |
Interest paid (excluding interest paid on interest rate swaps) | 370,784 | 517,134 | |
Net interest paid on interest rate swaps | 640,316 | 648,638 | |
Taxes paid | 6,925 | 6,763 | |
Noncash investing activities: | ' | ' | |
Receivable for investments sold | 855,161 | 934,964 | |
Payable for investments purchased | 2,153,789 | 2,546,467 | |
Net change in unrealized gains (losses) on available-for-sale securities, net of reclassification adjustment | 1,781,113 | -4,508,032 | |
Noncash financing activities: | ' | ' | |
Dividends declared, not yet paid | 284,278 | 331,557 | |
Contingent beneficial conversion feature on 4% Convertible Senior Notes | $12,765 | $12,833 | |
[1] | Derived from the audited consolidated financial statements at December 31, 2013. |
DESCRIPTION_OF_BUSINESS
DESCRIPTION OF BUSINESS | 9 Months Ended |
Sep. 30, 2014 | |
DESCRIPTION OF BUSINESS | ' |
1. DESCRIPTION OF BUSINESS | |
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, commercial real estate assets and corporate loans. The Company’s principal business objective is to generate net income for distribution to its stockholders from its investments. The Company is externally managed by Annaly Management Company LLC (the “Manager”). | |
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. | |
- Annaly Commercial Real Estate Group, Inc. (“ACREG,” formerly known as CreXus Investment Corp. (“CreXus”)), a wholly-owned subsidiary that was acquired during the second quarter of 2013 which specializes in acquiring, financing and managing commercial real estate loans and other commercial real estate debt, commercial mortgage-backed securities and other commercial real estate-related assets. | |
- RCap Securities, Inc. (“RCap”), a wholly-owned subsidiary which operates as a broker-dealer, and is a member of the Financial Industry Regulatory Authority (“FINRA”). | |
- Fixed Income Discount Advisory Company (“FIDAC”), a wholly-owned subsidiary which manages an affiliated real estate investment trust (“REIT”) for which it earns fee income. | |
- Annaly Middle Market Lending LLC (formerly known as Charlesfort Capital Management LLC), a wholly-owned subsidiary which engages in corporate middle market lending transactions. | |
- Shannon Funding LLC (“Shannon”), a wholly-owned subsidiary which acquires residential mortgage loans and provides warehouse financing to residential mortgage originators in the United States. | |
The Company has elected to be taxed as a REIT as defined under the Internal Revenue Code of 1986, as amended, and regulations promulgated thereunder (the “Code”). |
BASIS_OF_PRESENTATION
BASIS OF PRESENTATION | 9 Months Ended |
Sep. 30, 2014 | |
BASIS OF PRESENTATION | ' |
2. BASIS OF PRESENTATION | |
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"). | |
The accompanying consolidated financial statements and related notes are unaudited and should be read in conjunction with the audited consolidated financial statements included in the Company’s most recent annual report on Form 10-K. The consolidated financial information as of December 31, 2013 has been derived from audited consolidated financial statements not included herein. | |
In the opinion of management, all normal, recurring adjustments have been included for a fair presentation of this interim financial information. Interim period operating results may not be indicative of the operating results for a full year. |
SIGNIFICANT_ACCOUNTING_POLICIE
SIGNIFICANT ACCOUNTING POLICIES | 9 Months Ended |
Sep. 30, 2014 | |
SIGNIFICANT ACCOUNTING POLICIES | ' |
3. SIGNIFICANT ACCOUNTING POLICIES | |
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. | |
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 subordinated 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. | |
To assess whether the Company has the power to direct the activities of a VIE that most significantly impact the VIE’s economic performance, the Company considers all facts and circumstances, including the Company’s role in establishing the VIE and the Company’s ongoing rights and responsibilities. This assessment includes first, identifying the activities that most significantly impact the VIE’s economic performance; and second, identifying which party, if any, has power over those activities. In general, the parties that make the most significant decisions affecting the VIE or have the right to unilaterally remove those decision makers are deemed to have the power to direct the activities of a VIE. | |
To assess whether the Company has the obligation to absorb losses of the VIE or the right to receive benefits from the VIE that could potentially be significant to the VIE, the Company considers all of its economic interests, including debt and equity investments and other arrangements deemed to be variable interests in the VIE. This assessment requires that the Company applies judgment in determining whether these interests, in the aggregate, are considered potentially significant to the VIE. Factors considered in assessing significance include: the design of the VIE, including its capitalization structure; subordination of interests; payment priority; relative share of interests held across various classes within the VIE’s capital structure; and the reasons why the interests are held by the Company. | |
The Company performs ongoing reassessments of whether changes in the facts and circumstances regarding the Company’s involvement with a VIE causes the Company’s consolidation conclusion regarding the VIE to change. | |
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 to conduct 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 approximately $1.0 billion and $371.8 million at September 30, 2014 and December 31, 2013, respectively. | |
Fair Value Measurements – The Company reports 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 these Notes to 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”). These Agency mortgage-backed securities may include forward contracts for Agency mortgage-backed securities purchases or sales of a generic pool, on a to-be-announced basis (“TBA securities”). The Company also invests in Agency debentures issued by the Federal Home Loan Banks, Freddie Mac and Fannie Mae. | |
Agency mortgage-backed securities and Agency debentures 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 are classified as available-for-sale and 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, including TBA securities that meet the regular-way securities scope exception from derivative accounting. Realized gains and losses on sales of Investment Securities are determined using the average cost method. | |
The Company elected the fair value option for Agency interest-only mortgage-backed securities. 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 are measured at fair value with changes in fair value recorded as Net unrealized gains (losses) on interest-only Agency mortgage-backed securities in the Company’s Consolidated Statements of 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 uses a third-party supplied model to project prepayment speeds. The Company’s prepayment speed projections incorporate underlying loan characteristics (e.g., coupon, term, original loan size, original loan to value, etc.) and market data, including interest rate and home price index forecasts. Adjustments are made for actual prepayment activity. | |
Corporate Debt – 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, 2014 and December 31, 2013. | |
Equity Securities – The Company may invest 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 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”), TBA securities with the intent to net settle (“TBA derivatives”), options on TBA securities (“MBS options”) and U.S. Treasury and Eurodollar 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. Derivatives are accounted for in accordance with the 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 Comprehensive Income (Loss). None of the Company’s derivative transactions have been designated as hedging instruments for accounting purposes. | |
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/sold 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/received for interest rate swaptions is reported as an asset/liability in the Consolidated Statement of Financial Position. 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 Comprehensive Income (Loss). If a swaption expires unexercised, the realized gain (loss) on the swaption would be equal to the premium received/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 - 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 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 Comprehensive Income (Loss). | |
Futures Contracts - Futures contracts are derivatives that track the prices of specific assets. Short sales of futures contracts help mitigate the potential impact of changes in interest rates on the portfolio performance. The Company maintains margin accounts which are 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 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 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 recognized for the quarters and nine months ended September 30, 2014 and 2013. | |
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, 2014 and December 31, 2013. | |
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. In October 2013, the Company sold the operations of Merganser. 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 purchase prices 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 their expected useful lives. | |
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 stockholders. | |
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 subject to federal income tax to the extent of its distributions to stockholders 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, RCap and certain subsidiaries of ACREG, have made separate joint elections to treat these subsidiaries as taxable REIT subsidiaries (“TRSs”). As such, each of these TRSs 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 uncertain 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, 2014 and December 31, 2013. | |
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 loans are comprised of fixed-rate and adjustable-rate loans. Commercial real estate loans are designated as held for investment and are carried at their outstanding principal balance, net of unamortized origination fees and costs, premiums or discounts, less a reserve for estimated losses if necessary. The difference between the principal amount of a loan and proceeds at acquisition is recorded as either a discount or premium. Origination fees and costs, premiums and discounts are amortized or accreted into interest income over the estimated life of the loan. | |
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 unamortized origination fees and costs, premiums or discounts, less a reserve for estimated losses if necessary. Origination fees and costs, premiums and discounts are amortized or accreted into interest income over the estimated life of the investment. | |
Allowance for Losses – The Company evaluates the need for a loss reserve on its commercial real estate loans and preferred equity interests held for investment (collectively referred to as “CRE Debt and Preferred Equity Investments”). 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. | |
The Company may be exposed to various levels of credit risk depending on the nature of its investments and the nature of the assets underlying the investments and credit enhancements, if any, supporting its assets. The Company’s core investment process includes procedures related to the initial approval and periodic monitoring of credit risk and other risks associated with each investment. The Company’s investment underwriting procedures include evaluation of the underlying borrowers’ ability to manage and operate their respective properties. Management reviews loan-to-value metrics upon either the origination or the acquisition of a new investment but generally does not update the loan-to-value metrics in the course of quarterly surveillance. Management generally reviews the most recent financial information produced by the borrower, which may include, but is not limited to, net operating income (“NOI”), debt service coverage ratios, property debt yields (net cash flow or NOI divided by the amount of outstanding indebtedness), loan per unit and rent rolls relating to each of the Company’s CRE Debt and Preferred Equity Investments, and may consider other factors management deems important. Management also reviews market pricing to determine each borrower’s ability to refinance their respective assets at the maturity of each loan. Management also reviews economic trends, both macro as well as those directly affecting the property, and the supply and demand of competing projects in the sub-market in which each subject property is located. | |
In connection with the quarterly surveillance review process, loans are assigned an internal rating of “Performing”, “Watch List”, “Defaulted-Recovery” or “Impaired”. Loans that are deemed to be Performing meet all present contractual obligations and do not qualify for Watch List designation. Watch List loans are defined as Performing loans that are significantly lagging expectations and default is considered imminent. Defaulted–Recovery loans are currently in default; however full recovery of contractual principal and interest is expected. Impaired loans may or may not be in default, impairment is anticipated, and a loan loss provision has been recognized to reflect expected losses. | |
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 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. | |
Investments in commercial real estate are depreciated using the straight-line method over the estimated useful lives of the assets, summarized as follows: | |
Category Term | |
Building 27-40 years | |
Site improvements 2-10 years | |
The Company follows the acquisition method of accounting for acquisitions of operating real estate held for investment, where the purchase price of operating real estate is allocated to tangible assets such as land, building, site improvements and other identified intangibles such as above/below market and in-place leases. | |
The Company evaluates whether real estate acquired in connection with a foreclosure (“REO”) or UCC/deed in lieu of foreclosure (herein collectively referred to as a foreclosure) constitutes a business and whether business combination accounting is applicable. Upon foreclosure of a property, the excess of the carrying value of a loan, if any, over the estimated fair value of the property, less estimated costs to sell, is charged to provision for loan losses. | |
Investments in commercial real estate, including REO, which do not meet the criteria to be classified as held for sale, are separately presented in the Consolidated Statements of Financial Condition as held for investment. Real estate held for sale is reported at the lower of its carrying value or its estimated fair value less estimated costs to sell. Once a property is determined to be held for sale, depreciation is no longer recorded. In addition, if considered material to the overall consolidated financial statements, the results of operations are reclassified to income (loss) from discontinued operations in the Consolidated Statements of Comprehensive Income (Loss). | |
The Company's real estate portfolio (REO and real estate held for investment) is reviewed on a quarterly basis, or more frequently as necessary, to assess whether there are any indicators that the value of its operating real estate may be impaired or that its carrying value may not be recoverable. A property's value is considered impaired if the Company's estimate of the aggregate future undiscounted cash flows to be generated by the property is less than the carrying value of the property. In conducting this review, the Company considers U.S. macroeconomic factors, including real estate sector conditions, together with asset specific and other factors. To the extent impairment has occurred and is considered to be other than temporary, the loss will be measured as the excess of the carrying amount of the property over the calculated fair value of the property. | |
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 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. | |
Broker Dealer Activities | |
In January 2014, RCap ceased its trading activity in U.S. Treasury securities, derivatives and certain securities borrowed and loaned transactions. | |
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 traded in U.S. Treasury securities for its proprietary portfolio, which consisted of long and short positions on U.S Treasury notes and bonds. U.S. Treasury securities were classified as trading investments and were recorded on the trade date at cost. Changes in fair value were reflected in Net gains (losses) on trading assets in the Company’s Consolidated Statement of Comprehensive Income (Loss). Interest income or expense on U.S. Treasury notes and bonds was accrued based on the outstanding principal amount of those investments and their stated terms. | |
Derivatives - RCap entered primarily into U.S. Treasury, Eurodollar, federal funds, German government and U.S. equity index and currency futures and options contracts. RCap maintained a margin account which was 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 were reflected in Net gains (losses) on trading assets in the Company’s Consolidated Statements of Comprehensive Income (Loss). Unrealized gains (losses) were 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 | |
Presentation of Financial Statements – Going Concern (Subtopic 205-40) | |
In August 2014, the FASB issued ASU No. 2014-15, Presentation of Financial Statements – Going Concern (Subtopic 205-04) Disclosure of Uncertainties about an Entity’s Ability to Continue as a Going Concern. This ASU requires management to evaluate whether there are conditions or events, considered in the aggregate, that raise substantial doubt about the Company’s ability to continue as a going concern within one year after the date the financial statements are issued. If conditions or events indicate it is probable that an entity will be unable to meet its obligations as they become due within one year after the financial statements are issued, the update requires additional disclosures. The update is effective for periods beginning after December 15, 2016 with early adoption permitted. ASU 2014-15 is not expected to have an impact on the consolidated financial statements. | |
Presentation of Financial Statements (ASC 205)/Property, Plant and Equipment (ASC 360) | |
In April 2014, the FASB issued ASU No. 2014-08, Presentation of Financial Statements (Topic 205) and Property, Plant and Equipment (Topic 360) Reporting Discontinued Operations and Disclosures of Disposals of Components of an Entity, which raises the threshold for a disposal to be treated as discontinued operations. Under this update, the Company is required to report disposals that represent a strategic shift that has (or will have) a major effect on the Company’s operations and financial results if the component of the Company or group of components meets the criteria to be accounted for as held for sale or the component of the Company or group of components is disposed of by sale. The ASU removes requirements that operations and cash flows have been (or will be) eliminated from the ongoing operations and that the Company will not have any significant continuing involvement with the component in order to be reported as discontinued operations. Additionally, ASU 2014-08 also eliminates a number of scope exceptions and requires additional disclosures for transactions that meet the discontinued operations definition and significant items that are disposed of or held for sale that do not meet the discontinued operations criteria. The ASU is effective for reporting periods beginning after December 15, 2014 with early adoption permitted. Adoption is not expected to have a significant impact on the consolidated financial statements. | |
Balance Sheet (ASC 210) | |
In December 2011, the FASB released ASU 2011-11, Balance Sheet: Disclosures about Offsetting Assets and Liabilities. Under this update, the Company is required to disclose both gross 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, the 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 were 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) | |
In December 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. The 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 was 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. | |
Assets | |
Receivables – Troubled Debt Restructurings by Creditors (ASC 310-40) | |
In January 2014, the FASB issued ASU 2014-04, Receivables–Troubled Debt Restructurings by Creditors, Reclassification of Residential Real Estate Collateralized Consumer Mortgage Loans upon Foreclosure, which clarifies that an in substance repossession or foreclosure has occurred, and a creditor is considered to have received physical possession of residential real estate property collateralizing a consumer mortgage loan, when the creditor obtains legal title to the property upon completion of a foreclosure or the borrower conveys all interest in the property to the creditor through a deed in lieu of foreclosure or similar arrangement. ASU 2014-04 also requires disclosure of the amount of foreclosed residential real estate held by the creditor and the recorded investment in mortgage loans collateralized by residential real estate property in the process of foreclosure. The update is effective for reporting periods beginning after December 15, 2014. Adoption is not expected to have a significant impact on the consolidated financial statements. | |
Revenues | |
Revenue from Contracts with Customers (ASC 606) | |
In May 2014, the FASB issued ASU No. 2014-09, Revenue from Contracts with Customers. This guidance applies to contracts with customers to transfer goods or services and contracts to transfer nonfinancial assets unless those contracts are within the scope of other standards (for example, lease transactions). The update supersedes the revenue recognition requirements in Topic 605, Revenue Recognition and most industry-specific guidance. The core principle of the guidance is that revenue is recognized to depict the transfer of promised goods or services to customers in an amount that reflects the consideration the Company expects to be entitled to in exchange for those goods or services. The guidance in this update will be effective for the Company beginning January 1, 2017. The Company does not expect the update to have a material impact on the consolidated financial statements. | |
Broad Transactions | |
Consolidation (ASC 810) | |
In August 2014, the FASB issued ASU No. 2014-13, Consolidation (Topic 810) Measuring the Financial Assets and the Financial Liabilities of a Consolidated Collateralized Financing Entity. ASU 2014-13 provides a practical expedient to measure the fair value of the financial assets and financial liabilities of a consolidated collateralized financing entity, which the reporting entity has elected to or is required to measure on a fair value basis. When a reporting entity elects the measurement alternative provided in this update, both the financial assets and the financial liabilities are measured based upon the more observable fair value. The update is effective for periods beginning after December 15, 2015 with early adoption permitted. ASU 2014-13 is not expected to have an impact on the consolidated financial statements as the Company has not elected to nor is it required to measure the financial assets and financial liabilities of its consolidated collateralized financing entities at fair value. | |
Transfers and Servicing (ASC 860) | |
In June 2014, the FASB issued ASU No. 2014-11, Repurchase-to-Maturity Transactions, Repurchase Financings, and Disclosures. This update makes limited amendments to the guidance in ASC 860 on accounting for certain repurchase agreements. The ASU requires entities to account for repurchase-to-maturity transactions as secured borrowings, rather than as sales with forward repurchase agreements. The ASU defines a repurchase-to-maturity transaction as a repo that (1) settles at the maturity of the transferred financial asset and (2) does not require the transferor to reacquire the transferred financial asset. In addition, the ASU eliminates accounting guidance on linked repurchase financing transactions. The ASU also expands disclosure requirements related to certain transfers of financial assets that are accounted for as sales and certain transfers accounted for as secured borrowings. The guidance in this update will be effective for the Company beginning January 1, 2015, except for the disclosure requirements for transactions accounted for as secured borrowings, which are required to be presented for interim periods beginning after March 15, 2015. As of September 30, 2014, the Company does not have any repurchase-to-maturity transactions or any linked repurchase financing transactions, therefore, the Company expects that this standard will impact disclosures only and will not have a significant impact on the consolidated financial statements. | |
Industry | |
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. In January 2014, the FASB has officially removed the Investment Companies: Real Estate Property Investments and the Investment Properties projects from its agenda. 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 consolidated financial statements. |
AGENCY_MORTGAGEBACKED_SECURITI
AGENCY MORTGAGE-BACKED SECURITIES | 9 Months Ended | ||||||||||||||||||||||||
Sep. 30, 2014 | |||||||||||||||||||||||||
AGENCY MORTGAGE-BACKED SECURITIES | ' | ||||||||||||||||||||||||
4. AGENCY MORTGAGE-BACKED SECURITIES | |||||||||||||||||||||||||
The following tables present the Company’s available-for-sale Agency mortgage-backed securities portfolio as of September 30, 2014 and December 31, 2013, which were carried at their fair value: | |||||||||||||||||||||||||
30-Sep-14 | Freddie Mac | Fannie Mae | Ginnie Mae | Total | |||||||||||||||||||||
(dollars in thousands) | |||||||||||||||||||||||||
Principal outstanding | $ | 27,571,992 | $ | 49,170,673 | $ | 101,600 | $ | 76,844,265 | |||||||||||||||||
Unamortized premium | 1,933,435 | 3,556,906 | 21,388 | 5,511,729 | |||||||||||||||||||||
Unamortized discount | (11,358 | ) | (10,869 | ) | (369 | ) | (22,596 | ) | |||||||||||||||||
Amortized cost | 29,494,069 | 52,716,710 | 122,619 | 82,333,398 | |||||||||||||||||||||
Gross unrealized gains | 213,771 | 504,236 | 8,001 | 726,008 | |||||||||||||||||||||
Gross unrealized losses | (676,308 | ) | (917,139 | ) | (3,572 | ) | (1,597,019 | ) | |||||||||||||||||
Estimated fair value | $ | 29,031,532 | $ | 52,303,807 | $ | 127,048 | $ | 81,462,387 | |||||||||||||||||
Fixed Rate | Adjustable Rate | Total | |||||||||||||||||||||||
(dollars in thousands) | |||||||||||||||||||||||||
Amortized cost | $ | 79,564,428 | $ | 2,768,970 | $ | 82,333,398 | |||||||||||||||||||
Gross unrealized gains | 592,974 | 133,034 | 726,008 | ||||||||||||||||||||||
Gross unrealized losses | (1,582,120 | ) | (14,899 | ) | (1,597,019 | ) | |||||||||||||||||||
Estimated fair value | $ | 78,575,282 | $ | 2,887,105 | $ | 81,462,387 | |||||||||||||||||||
31-Dec-13 | Freddie Mac | Fannie Mae | Ginnie Mae | Total | |||||||||||||||||||||
(dollars in thousands) | |||||||||||||||||||||||||
Principal outstanding | $ | 24,458,925 | $ | 43,564,657 | $ | 120,739 | $ | 68,144,321 | |||||||||||||||||
Unamortized premium | 1,627,966 | 2,970,813 | 27,085 | 4,625,864 | |||||||||||||||||||||
Unamortized discount | (9,533 | ) | (11,568 | ) | (383 | ) | (21,484 | ) | |||||||||||||||||
Amortized cost | 26,077,358 | 46,523,902 | 147,441 | 72,748,701 | |||||||||||||||||||||
Gross unrealized gains | 227,423 | 456,057 | 9,845 | 693,325 | |||||||||||||||||||||
Gross unrealized losses | (1,267,106 | ) | (1,781,683 | ) | (4,288 | ) | (3,053,077 | ) | |||||||||||||||||
Estimated fair value | $ | 25,037,675 | $ | 45,198,276 | $ | 152,998 | $ | 70,388,949 | |||||||||||||||||
Fixed Rate | Adjustable Rate | Total | |||||||||||||||||||||||
(dollars in thousands) | |||||||||||||||||||||||||
Amortized cost | $ | 68,784,424 | $ | 3,964,277 | $ | 72,748,701 | |||||||||||||||||||
Gross unrealized gains | 538,556 | 154,769 | 693,325 | ||||||||||||||||||||||
Gross unrealized losses | (3,040,153 | ) | (12,924 | ) | (3,053,077 | ) | |||||||||||||||||||
Estimated fair value | $ | 66,282,827 | $ | 4,106,122 | $ | 70,388,949 | |||||||||||||||||||
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, 2014 and December 31, 2013, according to their estimated weighted average life classifications: | |||||||||||||||||||||||||
30-Sep-14 | 31-Dec-13 | ||||||||||||||||||||||||
Weighted Average Life | Estimated | Amortized | Estimated | Amortized | |||||||||||||||||||||
Fair Value | Cost | Fair Value | Cost | ||||||||||||||||||||||
Less than one year | $ | 52,872 | $ | 52,323 | $ | 65,584 | $ | 64,561 | |||||||||||||||||
Greater than one year through five years | 13,835,710 | 13,529,952 | 50,046,013 | 51,710,059 | |||||||||||||||||||||
Greater than five years through ten years | 66,997,257 | 68,148,447 | 14,915,716 | 15,292,973 | |||||||||||||||||||||
Greater than ten years | 576,548 | 602,676 | 5,361,636 | 5,681,108 | |||||||||||||||||||||
Total | $ | 81,462,387 | $ | 82,333,398 | $ | 70,388,949 | $ | 72,748,701 | |||||||||||||||||
The weighted average lives of the Agency mortgage-backed securities at September 30, 2014 and December 31, 2013 in the table above are based upon projected principal prepayment rates. The actual weighted average lives of the Agency mortgage-backed securities could be longer or shorter than projected. | |||||||||||||||||||||||||
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, 2014 and December 31, 2013. | |||||||||||||||||||||||||
30-Sep-14 | 31-Dec-13 | ||||||||||||||||||||||||
Estimated | Gross | Number of | Estimated | Gross | Number of | ||||||||||||||||||||
Fair Value | Unrealized | Securities | Fair Value | Unrealized | Securities | ||||||||||||||||||||
Losses | Losses | ||||||||||||||||||||||||
(dollars in thousands) | |||||||||||||||||||||||||
Less than 12 Months | $ | 10,279,297 | $ | (55,136 | ) | 202 | $ | 47,677,197 | $ | (2,569,474 | ) | 583 | |||||||||||||
12 Months or More | 39,326,443 | (1,541,883 | ) | 363 | 6,102,283 | (483,603 | ) | 55 | |||||||||||||||||
Total | $ | 49,605,740 | $ | (1,597,019 | ) | 565 | $ | 53,779,480 | $ | (3,053,077 | ) | 638 | |||||||||||||
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, 2014, the Company disposed of $4.1 billion and $13.3 billion of Agency mortgage-backed securities, respectively, resulting in a net realized gain of $5.5 million and $176.5 million, respectively. During the quarter and nine months ended September 30, 2013, the Company disposed of $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. 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, 2014 and December 31, 2013 had net unrealized gains of $21.5 million and $78.1 million and an amortized cost of $1.2 billion and $1.0 billion, respectively. |
ACQUISITION_OF_CREXUS
ACQUISITION OF CREXUS | 9 Months Ended | ||||
Sep. 30, 2014 | |||||
ACQUISITION OF CREXUS | ' | ||||
5. 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 fair value of the assets acquired and liabilities assumed 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 Company recognized additional goodwill of $0.4 million during the second half of 2013. In management’s opinion, the goodwill represents the synergies that resulted 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 expensed in the periods in which the costs are incurred. Transaction costs of $7.3 million were incurred during 2013 and were included in other general and administrative expenses in the Consolidated Statements of Comprehensive Income (Loss). |
COMMERCIAL_REAL_ESTATE_INVESTM
COMMERCIAL REAL ESTATE INVESTMENTS | 9 Months Ended | ||||||||||||||||||||||||
Sep. 30, 2014 | |||||||||||||||||||||||||
COMMERCIAL REAL ESTATE INVESTMENTS | ' | ||||||||||||||||||||||||
6. COMMERCIAL REAL ESTATE INVESTMENTS | |||||||||||||||||||||||||
At September 30, 2014 and December 31, 2013, commercial real estate investments were composed of the following: | |||||||||||||||||||||||||
CRE Debt and Preferred Equity Investments | |||||||||||||||||||||||||
30-Sep-14 | 31-Dec-13 | ||||||||||||||||||||||||
Outstanding | Carrying | Percentage | Outstanding | Carrying | Percentage | ||||||||||||||||||||
Principal | Value(1) | of Loan | Principal | Value(1) | of Loan | ||||||||||||||||||||
Portfolio(2) | Portfolio(2) | ||||||||||||||||||||||||
(dollars in thousands) | |||||||||||||||||||||||||
Senior mortgages | $ | 372,210 | $ | 371,285 | 23.9 | % | $ | 669,512 | $ | 667,299 | 42.2 | % | |||||||||||||
Senior securitized mortgages(3) | 399,541 | 398,409 | 25.6 | % | - | - | 0 | % | |||||||||||||||||
Subordinate notes | - | - | 0 | % | 41,059 | 41,408 | 2.6 | % | |||||||||||||||||
Mezzanine loans | 537,578 | 537,654 | 34.5 | % | 626,883 | 628,102 | 39.5 | % | |||||||||||||||||
Preferred equity | 249,769 | 247,610 | 16 | % | 249,769 | 247,160 | 15.7 | % | |||||||||||||||||
Total | $ | 1,559,098 | $ | 1,554,958 | 100 | % | $ | 1,587,223 | $ | 1,583,969 | 100 | % | |||||||||||||
-1 | Carrying value includes unamortized origination fees of $4.4 million and $5.4 million as of September 30, 2014 and December 31, 2013, respectively. | ||||||||||||||||||||||||
-2 | Based on outstanding principal. | ||||||||||||||||||||||||
-3 | Assets of consolidated VIE. | ||||||||||||||||||||||||
30-Sep-14 | |||||||||||||||||||||||||
Senior | Senior | Subordinate | Mezzanine | Preferred | Total | ||||||||||||||||||||
Mortgages | Securitized | Notes | Loans | Equity | |||||||||||||||||||||
Mortgages(1) | |||||||||||||||||||||||||
(dollars in thousands) | |||||||||||||||||||||||||
Beginning balance | $ | 667,299 | $ | - | $ | 41,408 | $ | 628,102 | $ | 247,160 | $ | 1,583,969 | |||||||||||||
Originations & advances (principal) | 114,946 | - | - | 94,748 | - | 209,694 | |||||||||||||||||||
Principal payments | (12,685 | ) | - | (41,059 | ) | (184,052 | ) | - | (237,796 | ) | |||||||||||||||
Sales (principal) | - | - | - | - | - | ||||||||||||||||||||
Amortization & accretion of (premium) discounts | (102 | ) | - | (349 | ) | (1,031 | ) | 82 | (1,400 | ) | |||||||||||||||
Net (increase) decrease in origination fees | (2,267 | ) | (116 | ) | - | (463 | ) | - | (2,846 | ) | |||||||||||||||
Amortization of net origination fees | 2,072 | 547 | - | 350 | 368 | 3,337 | |||||||||||||||||||
Transfers | (397,978 | ) | 397,978 | - | - | - | - | ||||||||||||||||||
Allowance for loan losses | - | - | - | - | - | - | |||||||||||||||||||
Net carrying value | $ | 371,285 | $ | 398,409 | $ | - | $ | 537,654 | $ | 247,610 | $ | 1,554,958 | |||||||||||||
-1 | Assets of consolidated VIE. | ||||||||||||||||||||||||
31-Dec-13 | |||||||||||||||||||||||||
Senior | Subordinate | Mezzanine | Preferred | Total | |||||||||||||||||||||
Mortgages | Notes | Loans | Equity | ||||||||||||||||||||||
(dollars in thousands) | |||||||||||||||||||||||||
Beginning balance | $ | 429,229 | $ | 41,571 | $ | 568,759 | $ | 187,623 | $ | 1,227,182 | |||||||||||||||
Originations & advances (principal) | 240,150 | - | 136,040 | 60,000 | 436,190 | ||||||||||||||||||||
Principal payments | (388 | ) | (90 | ) | (64,035 | ) | - | (64,513 | ) | ||||||||||||||||
Sales (principal) | (13,750 | ) | - | - | - | (13,750 | ) | ||||||||||||||||||
Amortization & accretion of (premium) discounts | (37 | ) | (73 | ) | (192 | ) | 31 | (271 | ) | ||||||||||||||||
Net (increase) decrease in origination fees | (1,106 | ) | - | 14 | (601 | ) | (1,693 | ) | |||||||||||||||||
Amortization of net origination fees | 701 | - | 16 | 107 | 824 | ||||||||||||||||||||
Transfers | 12,500 | - | (12,500 | ) | - | - | |||||||||||||||||||
Allowance for loan losses | - | - | - | - | - | ||||||||||||||||||||
Net carrying value | $ | 667,299 | $ | 41,408 | $ | 628,102 | $ | 247,160 | $ | 1,583,969 | |||||||||||||||
Internal CRE Debt and Preferred Equity Investment Ratings | |||||||||||||||||||||||||
30-Sep-14 | |||||||||||||||||||||||||
Internal Ratings | |||||||||||||||||||||||||
Investment Type | Outstanding | Performing | Watch List | Defaulted-Recovery | Workout | ||||||||||||||||||||
Principal | Percentage of CRE Debt and Preferred Equity Portfolio | ||||||||||||||||||||||||
(dollars in thousands) | |||||||||||||||||||||||||
Senior mortgages | $ | 372,210 | 23.9 | % | $ | 359,237 | $ | - | $ | 12,973 | (2) | $ | - | ||||||||||||
Senior securitized mortgages(1) | 399,541 | 25.6 | % | 399,541 | - | - | - | ||||||||||||||||||
Subordinate notes | - | 0 | % | - | - | - | - | ||||||||||||||||||
Mezzanine loans | 537,578 | 34.5 | % | 522,095 | - | 15,483 | - | ||||||||||||||||||
Preferred equity | 249,769 | 16 | % | 249,769 | - | - | - | ||||||||||||||||||
$ | 1,559,098 | 100 | % | $ | 1,530,642 | $ | - | $ | 28,456 | $ | - | ||||||||||||||
(1) | Assets of consolidated VIE. | ||||||||||||||||||||||||
(2) | Relates to one loan on nonaccrual status. | ||||||||||||||||||||||||
31-Dec-13 | |||||||||||||||||||||||||
Internal Ratings | |||||||||||||||||||||||||
Investment Type | Outstanding | Performing | Watch List | Defaulted-Recovery | Workout | ||||||||||||||||||||
Principal | Percentage of CRE Debt and Preferred Equity Portfolio | ||||||||||||||||||||||||
(dollars in thousands) | |||||||||||||||||||||||||
Senior mortgages | $ | 669,512 | 42.2 | % | $ | 644,039 | $ | - | $ | 25,473 | (1) | $ | - | ||||||||||||
Subordinate notes | 41,059 | 2.6 | % | 41,059 | - | - | - | ||||||||||||||||||
Mezzanine loans | 626,883 | 39.5 | % | 620,883 | - | 6,000 | - | ||||||||||||||||||
Preferred equity | 249,769 | 15.7 | % | 249,769 | - | - | - | ||||||||||||||||||
$ | 1,587,223 | 100 | % | $ | 1,555,750 | $ | - | $ | 31,473 | $ | - | ||||||||||||||
(1) | Relates to one loan on nonaccrual status. | ||||||||||||||||||||||||
Real Estate Acquisitions | |||||||||||||||||||||||||
The following table summarizes acquisitions of real estate held for investment during the nine months ended September 30, 2014: | |||||||||||||||||||||||||
Date of Acquisition | Type | Location | Purchase | Remaining | |||||||||||||||||||||
Price | Lease Term (1) | ||||||||||||||||||||||||
(dollars in thousands) | |||||||||||||||||||||||||
Apr-14 | Single-tenant retail | Tennessee | $ | 19,000 | 2022 | ||||||||||||||||||||
Jun-14 | Multi-tenant retail | Virginia | $ | 17,743 | 2021 | ||||||||||||||||||||
(1) | Does not include extension options. | ||||||||||||||||||||||||
The aforementioned acquisitions were accounted for using the acquisition method of accounting. The Company incurred approximately $1.0 million of transaction costs in connection with the acquisitions, which were expensed during the period ended September 30, 2014 and are reflected in other general and administrative expenses in the accompanying Consolidated Statements of Comprehensive Income (Loss). | |||||||||||||||||||||||||
The following table presents the aggregate allocation of the purchase price: | |||||||||||||||||||||||||
30-Sep-14 | |||||||||||||||||||||||||
(dollars in thousands) | |||||||||||||||||||||||||
Purchase Price Allocation: | |||||||||||||||||||||||||
Land | $ | 9,711 | |||||||||||||||||||||||
Buildings | 25,972 | ||||||||||||||||||||||||
Site improvements | 2,548 | ||||||||||||||||||||||||
Real estate held for investment | 38,231 | ||||||||||||||||||||||||
Intangible assets (liabilities): | |||||||||||||||||||||||||
Leasehold intangible assets | 7,698 | ||||||||||||||||||||||||
Below market lease value | (9,186 | ) | |||||||||||||||||||||||
Total purchase price | $ | 36,743 | |||||||||||||||||||||||
Total Commercial Real Estate Investment | |||||||||||||||||||||||||
30-Sep-14 | 31-Dec-13 | ||||||||||||||||||||||||
(dollars in thousands) | |||||||||||||||||||||||||
Real estate held for investment, at amortized cost | |||||||||||||||||||||||||
Land | $ | 16,350 | $ | 6,639 | |||||||||||||||||||||
Buildings and improvements | 59,619 | 31,100 | |||||||||||||||||||||||
Subtotal | 75,969 | 37,739 | |||||||||||||||||||||||
Less: accumulated depreciation | (2,142 | ) | (877 | ) | |||||||||||||||||||||
Total real estate held for investment at amortized cost, net | 73,827 | 36,862 | |||||||||||||||||||||||
Real estate held for sale at fair value | - | 23,270 | |||||||||||||||||||||||
Total investment in commercial real estate, net | 73,827 | 60,132 | |||||||||||||||||||||||
Net carrying value of CRE Debt and Preferred Equity Investments | 1,554,958 | 1,583,969 | |||||||||||||||||||||||
Total commercial real estate investments | $ | 1,628,785 | $ | 1,644,101 | |||||||||||||||||||||
Securitizations and VIEs | |||||||||||||||||||||||||
In January 2014, the Company closed NLY Commercial Mortgage Trust 2014-FL1 (the “Trust”), a $399.5 million securitization financing transaction which provides permanent, non-recourse financing collateralized by floating-rate first mortgage debt investments originated or co-originated by the Company and is not subject to margin calls. A total of $260.7 million of investment grade bonds were issued by the Trust, representing an advance rate of 65.3% at a weighted average coupon of LIBOR plus 1.74% at closing. The Company is using the proceeds to originate commercial real estate investments. The Company retained bonds rated below investment grade and the only interest-only bond issued by the Trust, which are referred to as the subordinate bonds. | |||||||||||||||||||||||||
The Company incurred approximately $4.3 million of costs in connection with the securitization that have been capitalized and are being amortized to interest expense. Deferred financing costs are included in Other assets in the accompanying Consolidated Statements of Financial Condition. | |||||||||||||||||||||||||
The Trust is structured as a pass-through entity that receives principal and interest on the underlying collateral and distributes those payments to the certificate holders. The Trust is a VIE and the Company is the primary beneficiary as a result of its ability to replace the special servicer without cause through its ownership interest in the subordinate bonds. The Company’s exposure to the obligations of the VIE is generally limited to the Company’s investment in the Trust. Assets of the Trust may only be used to settle obligations of the Trust. Creditors of the Trust have no recourse to the general credit of the Company. The Company is not contractually required to provide and has not provided any form of financial support to the Trust. No gain or loss was recognized upon initial consolidation of the Trust. | |||||||||||||||||||||||||
As of September 30, 2014 the carrying value of the Trust’s assets was $398.4 million, net of $1.1 million of unamortized origination fees, which are included in Commercial real estate debt and preferred equity in the accompanying Consolidated Statements of Financial Condition. As of September 30, 2014, the carrying value of the Trust’s liabilities was $260.7 million, classified as Securitized debt in the accompanying Consolidated Statements of Financial Condition. |
FAIR_VALUE_MEASUREMENTS
FAIR VALUE MEASUREMENTS | 9 Months Ended | |||||||||||||||||||
Sep. 30, 2014 | ||||||||||||||||||||
FAIR VALUE MEASUREMENTS | ' | |||||||||||||||||||
7. FAIR VALUE MEASUREMENTS | ||||||||||||||||||||
The Company follows fair value guidance in accordance with GAAP to account for its financial instruments. The fair value of a financial instrument is the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. | ||||||||||||||||||||
GAAP requires classification of financial instruments into a three-level hierarchy based on the priority of the inputs to the valuation technique. 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. | ||||||||||||||||||||
The Company designates its financial instruments as available for sale or trading depending upon the type of instrument and the Company’s intent and ability to hold such instrument to maturity. Instruments classified as available for sale and trading are reported at fair value on a recurring basis. | ||||||||||||||||||||
The following is a description of the valuation methodologies used for instruments carried at fair value. These methodologies are applied to assets and liabilities across the three level fair value hierarchy, with the observability of inputs determining the appropriate level. | ||||||||||||||||||||
U.S. Treasury securities and investment in affiliates are valued using quoted prices for identical instruments in active markets. Agency mortgage-backed securities, Agency debentures, interest rate swaps, swaptions and other derivatives are valued using quoted prices or internally estimated prices for similar assets using internal models. 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, prepayment speeds, 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 internal models to determine whether prices are reflective of the current market. Management indirectly corroborates its estimates of the fair value derived using internal 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 following table presents the estimated fair values of financial instruments measured at fair value on a recurring basis. | ||||||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||||||
30-Sep-14 | (dollars in thousands) | |||||||||||||||||||
Assets: | ||||||||||||||||||||
U.S. Treasury securities | $ | - | $ | - | $ | - | $ | - | ||||||||||||
Agency mortgage-backed securities | - | 81,462,387 | - | 81,462,387 | ||||||||||||||||
Agency debentures | - | 1,334,181 | - | 1,334,181 | ||||||||||||||||
Investment in affiliates | 136,748 | - | - | 136,748 | ||||||||||||||||
Interest rate swaps | - | 198,066 | - | 198,066 | ||||||||||||||||
Other derivatives | 6,680 | 12,727 | - | 19,407 | ||||||||||||||||
Total Assets | $ | 143,428 | $ | 83,007,361 | $ | - | $ | 83,150,789 | ||||||||||||
Liabilities: | ||||||||||||||||||||
U.S. Treasury securities sold, not yet purchased | $ | - | $ | - | $ | - | $ | - | ||||||||||||
Interest rate swaps | - | 857,658 | - | 857,658 | ||||||||||||||||
Other derivatives | - | - | - | - | ||||||||||||||||
Total Liabilities | $ | - | $ | 857,658 | $ | - | $ | 857,658 | ||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||||||
At December 31, 2013 | (dollars in thousands) | |||||||||||||||||||
Assets: | ||||||||||||||||||||
U.S. Treasury securities | $ | 1,117,915 | $ | - | $ | - | $ | 1,117,915 | ||||||||||||
Agency mortgage-backed securities | - | 70,388,949 | - | 70,388,949 | ||||||||||||||||
Agency debentures | - | 2,969,885 | - | 2,969,885 | ||||||||||||||||
Investment in affiliates | 139,447 | - | - | 139,447 | ||||||||||||||||
Interest rate swaps | - | 559,044 | - | 559,044 | ||||||||||||||||
Other derivatives | 3,487 | 143,238 | - | 146,725 | ||||||||||||||||
Total Assets | $ | 1,260,849 | $ | 74,061,116 | $ | - | $ | 75,321,965 | ||||||||||||
Liabilities: | ||||||||||||||||||||
U.S. Treasury securities sold, not yet purchased | $ | 1,918,394 | - | - | $ | 1,918,394 | ||||||||||||||
Interest rate swaps | - | 1,141,828 | - | 1,141,828 | ||||||||||||||||
Other derivatives | 439 | 55,079 | - | 55,518 | ||||||||||||||||
Total Liabilities | $ | 1,918,833 | $ | 1,196,907 | $ | - | $ | 3,115,740 | ||||||||||||
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 carrying value of short term instruments, including cash and cash equivalents, reverse repurchase agreements and repurchase agreements whose term is less than twelve months, and securities borrowed and securities loaned, generally approximates fair value due to the short term nature of the instruments. | ||||||||||||||||||||
The estimated fair value of commercial real estate debt and preferred equity investments takes into consideration changes in credit spreads and interest rates from the date of origination or purchase to the reporting date. The fair value also reflects consideration of asset-specific maturity dates and other items that could have an impact on the fair value as of the reporting date. | ||||||||||||||||||||
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. | ||||||||||||||||||||
The fair value of repurchase agreements with remaining maturities greater than one year or with embedded optionality are valued as structured notes, with term to maturity, LIBOR rates and the Treasury curve being primary determinants of estimated fair value. | ||||||||||||||||||||
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. | ||||||||||||||||||||
The carrying value of participation sold is based on the loan’s amortized cost. The fair value of participation sold is based on the fair value of the underlying related commercial loan. | ||||||||||||||||||||
The fair value of convertible senior notes is determined using end of day quoted prices in active markets. | ||||||||||||||||||||
The fair value of securitized debt of consolidated VIE is determined using the average of external vendor pricing services. | ||||||||||||||||||||
The following table summarizes the estimated fair value for financial assets and liabilities as of September 30, 2014 and December 31, 2013. | ||||||||||||||||||||
30-Sep-14 | 31-Dec-13 | |||||||||||||||||||
Level in | Carrying | Fair Value | Carrying | Fair Value | ||||||||||||||||
Fair Value | Value | Value | ||||||||||||||||||
Hierarchy | ||||||||||||||||||||
Financial assets: | (dollars in thousands) | |||||||||||||||||||
Cash and cash equivalents | 1 | $ | 1,178,621 | $ | 1,178,621 | $ | 552,436 | $ | 552,436 | |||||||||||
Reverse repurchase agreements | 1 | - | - | 100,000 | 100,000 | |||||||||||||||
Securities borrowed | 1 | - | - | 2,582,893 | 2,582,893 | |||||||||||||||
U.S. Treasury securities | 1 | - | - | 1,117,915 | 1,117,915 | |||||||||||||||
Agency mortgage-backed securities | 2 | 81,462,387 | 81,462,387 | 70,388,949 | 70,388,949 | |||||||||||||||
Agency debentures | 2 | 1,334,181 | 1,334,181 | 2,969,885 | 2,969,885 | |||||||||||||||
Investment in affiliates | 1 | 136,748 | 136,748 | 139,447 | 139,447 | |||||||||||||||
Commercial real estate debt and preferred equity | 3 | 1,554,958 | 1,566,232 | 1,583,969 | 1,581,836 | |||||||||||||||
Corporate debt | 2 | 144,451 | 145,008 | 117,687 | 118,362 | |||||||||||||||
Interest rate swaps | 2 | 198,066 | 198,066 | 559,044 | 559,044 | |||||||||||||||
Other derivatives | 1,2 | 19,407 | 19,407 | 146,725 | 146,725 | |||||||||||||||
Financial liabilities: | ||||||||||||||||||||
U.S. Treasury securities sold, not yet purchased | 1 | $ | - | $ | - | $ | 1,918,394 | $ | 1,918,394 | |||||||||||
Repurchase agreements | 1,2 | 69,610,722 | 69,847,704 | 61,781,001 | 62,134,133 | |||||||||||||||
Securities loaned | 1 | 7 | 7 | 2,527,668 | 2,527,668 | |||||||||||||||
Convertible Senior Notes | 1 | 836,625 | 873,937 | 825,262 | 870,199 | |||||||||||||||
Securitized debt of consolidated VIE | 2 | 260,700 | 262,421 | - | - | |||||||||||||||
Mortgages payable | 2 | 42,635 | 42,595 | 19,332 | 19,240 | |||||||||||||||
Participation sold | 3 | 13,768 | 13,756 | 14,065 | 14,050 | |||||||||||||||
Interest rate swaps | 2 | 857,658 | 857,658 | 1,141,828 | 1,141,828 | |||||||||||||||
Other derivatives | 1,2 | - | - | 55,518 | 55,518 |
SECURED_FINANCING
SECURED FINANCING | 9 Months Ended | ||||||||||||||||
Sep. 30, 2014 | |||||||||||||||||
SECURED FINANCING | ' | ||||||||||||||||
8. SECURED FINANCING | |||||||||||||||||
The Company had outstanding $69.6 billion and $61.8 billion of repurchase agreements with weighted average borrowing rates of 1.61% and 2.33%, after giving effect to the Company’s interest rate swaps, and weighted average remaining maturities of 159 days and 204 days as of September 30, 2014 and December 31, 2013, respectively. | |||||||||||||||||
At September 30, 2014 and December 31, 2013, the repurchase agreements had the following remaining maturities and weighted average rates: | |||||||||||||||||
30-Sep-14 | 31-Dec-13 | ||||||||||||||||
Repurchase Agreements | Weighted | Repurchase Agreements | Weighted | ||||||||||||||
Average Rate | Average Rate | ||||||||||||||||
(dollars in thousands) | |||||||||||||||||
1 day | $ | 2,609,132 | 0.15 | % | $ | - | 0 | % | |||||||||
2 to 29 days | 18,032,715 | 0.3 | % | 21,171,574 | 0.36 | % | |||||||||||
30 to 59 days | 14,241,967 | 0.37 | % | 13,373,921 | 0.43 | % | |||||||||||
60 to 89 days | 2,871,206 | 0.38 | % | 3,592,266 | 0.44 | % | |||||||||||
90 to 119 days | 10,548,578 | 0.37 | % | 4,010,334 | 0.52 | % | |||||||||||
Over 120 days(1) | 21,307,124 | 1.14 | % | 19,632,906 | 1.29 | % | |||||||||||
Total | $ | 69,610,722 | 0.58 | % | $ | 61,781,001 | 0.68 | % | |||||||||
(1) | Approximately 12% and 16% of the total repurchase agreements had a remaining maturity over 1 year as of September 30, 2014 and December 31, 2013, respectively. | ||||||||||||||||
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, 2014 and December 31, 2013. | |||||||||||||||||
30-Sep-14 | 31-Dec-13 | ||||||||||||||||
Reverse Repurchase | Repurchase | Reverse Repurchase | Repurchase | ||||||||||||||
Agreements | Agreements | Agreements | Agreements | ||||||||||||||
(dollars in thousands) | |||||||||||||||||
Gross Amounts | $ | 250,000 | $ | 69,860,722 | $ | 2,524,980 | $ | 64,205,981 | |||||||||
Amounts Offset | (250,000 | ) | (250,000 | ) | (2,424,980 | ) | (2,424,980 | ) | |||||||||
Netted Amounts | $ | - | $ | 69,610,722 | $ | 100,000 | $ | 61,781,001 | |||||||||
Investment Securities pledged as collateral under these secured financings and interest rate swaps had an estimated fair value and accrued interest of $73.3 billion and $230.1 million, respectively, at September 30, 2014 and $67.9 billion and $222.1 million, respectively, at December 31, 2013. |
DERIVATIVE_INSTRUMENTS
DERIVATIVE INSTRUMENTS | 9 Months Ended | ||||||||||||||||||
Sep. 30, 2014 | |||||||||||||||||||
DERIVATIVE INSTRUMENTS | ' | ||||||||||||||||||
9. DERIVATIVE INSTRUMENTS | |||||||||||||||||||
In connection with the Company’s investment/market rate risk management strategy, the Company economically hedges a portion of its interest rate risk by entering into derivative financial instrument contracts, which include interest rate swaps, swaptions and U.S. Treasury futures contracts. The Company also enters into TBA derivatives and MBS options to economically hedge its exposure to market risks. The purpose of using derivatives is to manage overall portfolio risk with the potential to generate additional income for distribution to stockholders. These derivatives are subject to changes in market values 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 of 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. | |||||||||||||||||||
The table below summarizes fair value information about our derivative assets and liabilities as of September 30, 2014 and December 31, 2013: | |||||||||||||||||||
Derivatives Instruments | Balance Sheet Location | 30-Sep-14 | 31-Dec-13 | ||||||||||||||||
Assets: | (dollars in thousands) | ||||||||||||||||||
Interest rate swaps | Interest rate swaps, at fair value | $ | 198,066 | $ | 559,044 | ||||||||||||||
Interest rate swaptions | Other derivative contracts, at fair value | 12,268 | 110,361 | ||||||||||||||||
TBA derivatives | Other derivative contracts, at fair value | 459 | 20,693 | ||||||||||||||||
MBS options | Other derivative contracts, at fair value | - | 12,184 | ||||||||||||||||
Futures contracts | Other derivative contracts, at fair value | 6,680 | 3,487 | ||||||||||||||||
$ | 217,473 | $ | 705,769 | ||||||||||||||||
Liabilities: | |||||||||||||||||||
Interest rate swaps | Interest rate swaps, at fair value | 857,658 | 1,141,828 | ||||||||||||||||
Interest rate swaptions | Other derivative contracts, at fair value | - | 24,662 | ||||||||||||||||
TBA derivatives | Other derivative contracts, at fair value | - | 13,779 | ||||||||||||||||
MBS options | Other derivative contracts, at fair value | - | 16,638 | ||||||||||||||||
Futures contracts | Other derivative contracts, at fair value | - | 439 | ||||||||||||||||
$ | 857,658 | $ | 1,197,346 | ||||||||||||||||
The following table summarizes certain characteristics of the Company’s interest rate swaps at September 30, 2014 and December 31, 2013: | |||||||||||||||||||
30-Sep-14 | |||||||||||||||||||
Maturity | Current | Weighted Average | Weighted Average | Weighted Average | |||||||||||||||
Notional (1) | Pay Rate (2) (3) | Receive Rate (2) | Years to Maturity (2) | ||||||||||||||||
(dollars in thousands) | |||||||||||||||||||
0 - 3 years | $ | 2,202,522 | 1.47 | % | 0.16 | % | 2.84 | ||||||||||||
3 - 6 years | 11,013,000 | 2.06 | % | 0.22 | % | 5.34 | |||||||||||||
6 - 10 years | 13,204,000 | 2.65 | % | 0.22 | % | 8.71 | |||||||||||||
Greater than 10 years | 5,051,800 | 3.58 | % | 0.19 | % | 19.78 | |||||||||||||
Total / Weighted Average | $ | 31,471,322 | 2.48 | % | 0.21 | % | 8.61 | ||||||||||||
(1) | Notional amount includes $800.0 million in forward starting pay fixed swaps. | ||||||||||||||||||
(2) | Excludes forward starting swaps. | ||||||||||||||||||
(3) | Weighted average fixed rate on forward starting pay fixed swaps was 3.24%. | ||||||||||||||||||
31-Dec-13 | |||||||||||||||||||
Maturity | Current | Weighted Average | Weighted Average | Weighted Average | |||||||||||||||
Notional | Pay Rate | Receive Rate | Years to Maturity | ||||||||||||||||
(dollars in thousands) | |||||||||||||||||||
0 - 3 years | $ | 24,286,000 | 1.83 | % | 0.18 | % | 1.98 | ||||||||||||
3 - 6 years | 8,865,410 | 2.02 | % | 0.19 | % | 4.19 | |||||||||||||
6 - 10 years | 15,785,500 | 2.37 | % | 0.23 | % | 7.66 | |||||||||||||
Greater than 10 years | 3,490,000 | 3.62 | % | 0.2 | % | 19.93 | |||||||||||||
Total / Weighted Average | $ | 52,426,910 | 2.14 | % | 0.2 | % | 5.26 | ||||||||||||
The following table summarizes certain characteristics of the Company’s interest rate swaptions at September 30, 2014 and December 31, 2013: | |||||||||||||||||||
30-Sep-14 | Current Underlying | Weighted Average | Weighted Average | Weighted Average | Weighted | ||||||||||||||
Notional | Underlying Pay | Underlying Receive | Underlying Years to | Average Months | |||||||||||||||
Rate | Rate | Maturity | to Expiration | ||||||||||||||||
(dollars in thousands) | |||||||||||||||||||
Long | $ | 1,900,000 | 3.13% | 3M LIBOR | 10.02 | 4.82 | |||||||||||||
Short | $ | - | - | - | - | - | |||||||||||||
31-Dec-13 | Current Underlying | Weighted Average | Weighted Average | Weighted Average | Weighted | ||||||||||||||
Notional | Underlying Pay | Underlying Receive | Underlying Years to | Average Months | |||||||||||||||
Rate | Rate | Maturity | to Expiration | ||||||||||||||||
(dollars in thousands) | |||||||||||||||||||
Long | $ | 5,150,000 | 3.07% | 3M LIBOR | 10.1 | 4.26 | |||||||||||||
Short | $ | 1,000,000 | 3M LIBOR | 2.83% | 5.96 | 23.71 | |||||||||||||
The following table summarizes certain characteristics of the Company’s TBA derivatives as of September 30, 2014 and December 31, 2013: | |||||||||||||||||||
30-Sep-14 | |||||||||||||||||||
Purchase and sale contracts for | Notional | Implied Cost | Implied Market | Net Carrying | |||||||||||||||
derivative TBAs | Basis | Value | Value | ||||||||||||||||
(dollars in thousands) | |||||||||||||||||||
Purchase contracts | $ | - | $ | - | $ | - | $ | - | |||||||||||
Sale contracts | (500,000 | ) | (493,193 | ) | (492,734 | ) | 459 | ||||||||||||
Net TBA derivatives | $ | (500,000 | ) | $ | (493,193 | ) | $ | (492,734 | ) | $ | 459 | ||||||||
31-Dec-13 | |||||||||||||||||||
Purchase and sale contracts for | Notional | Implied Cost | Implied Market | Net Carrying | |||||||||||||||
derivative TBAs | Basis | Value | Value | ||||||||||||||||
(dollars in thousands) | |||||||||||||||||||
Purchase contracts | $ | 2,625,000 | $ | 2,733,682 | $ | 2,722,324 | $ | (11,358 | ) | ||||||||||
Sale contracts | (3,875,000 | ) | (3,923,213 | ) | (3,904,941 | ) | 18,272 | ||||||||||||
Net TBA derivatives | $ | (1,250,000 | ) | $ | (1,189,531 | ) | $ | (1,182,617 | ) | $ | 6,914 | ||||||||
The Company presents derivative contracts on a gross basis on the Consolidated Statements of Financial Condition. Derivative contracts may contain legally enforceable provisions that allow for netting or setting off receivables and payables with each counterparty. The following tables present information about derivative assets and liabilities that are subject to such provisions and can potentially be offset on our Consolidated Statements of Financial Condition as of September 30, 2014 and December 31, 2013, respectively. | |||||||||||||||||||
Amounts Eligible for Offset | |||||||||||||||||||
30-Sep-14 | Gross | Financial | Cash | Net | |||||||||||||||
Amounts | Instruments | Collateral | Amounts | ||||||||||||||||
Assets: | (dollars in thousands) | ||||||||||||||||||
Interest rate swaps, at fair value | $ | 198,066 | $ | (138,466 | ) | $ | -6,600 | $ | 53,000 | ||||||||||
Interest rate swaptions, at fair value | 12,268 | - | - | 12,268 | |||||||||||||||
TBA derivatives, at fair value | 459 | - | - | 459 | |||||||||||||||
MBS options, at fair value | - | - | - | - | |||||||||||||||
Futures contracts, at fair value | 6,680 | - | - | 6,680 | |||||||||||||||
Liabilities: | |||||||||||||||||||
Interest rate swaps, at fair value | $ | 857,658 | $ | (138,466 | ) | $ | (343,206 | ) | $ | 375,986 | |||||||||
Interest rate swaptions, at fair value | - | - | - | - | |||||||||||||||
TBA derivatives, at fair value | - | - | - | - | |||||||||||||||
MBS options, at fair value | - | - | - | - | |||||||||||||||
Futures contracts, at fair value | - | - | - | - | |||||||||||||||
Amounts Eligible for Offset | |||||||||||||||||||
31-Dec-13 | Gross | Financial | Cash | Net | |||||||||||||||
Amounts | Instruments | Collateral | Amounts | ||||||||||||||||
Assets: | (dollars in thousands) | ||||||||||||||||||
Interest rate swaps, at fair value | $ | 559,044 | $ | (408,553 | ) | $ | - | $ | 150,491 | ||||||||||
Interest rate swaptions, at fair value | 110,361 | (24,662 | ) | - | 85,699 | ||||||||||||||
TBA derivatives, at fair value | 20,693 | (9,775 | ) | - | 10,918 | ||||||||||||||
MBS options, at fair value | 12,184 | (3,292 | ) | - | 8,892 | ||||||||||||||
Futures contracts, at fair value | 3,487 | (439 | ) | - | 3,048 | ||||||||||||||
Liabilities: | |||||||||||||||||||
Interest rate swaps, at fair value | $ | 1,141,828 | $ | (408,553 | ) | $ | - | $ | 733,275 | ||||||||||
Interest rate swaptions, at fair value | 24,662 | (24,662 | ) | - | - | ||||||||||||||
TBA derivatives, at fair value | 13,779 | (9,775 | ) | - | 4,004 | ||||||||||||||
MBS options, at fair value | 16,638 | (3,292 | ) | - | 13,346 | ||||||||||||||
Futures contracts, at fair value | 439 | (439 | ) | - | - | ||||||||||||||
The effect of interest rate swaps on the Consolidated Statements of Comprehensive Income (Loss) is as follows: | |||||||||||||||||||
Location on Consolidated Statements of Comprehensive Income (Loss) | |||||||||||||||||||
Realized Gains (Losses) on | Realized Gains (Losses) on | Unrealized Gains (Losses) on | |||||||||||||||||
Interest Rate Swaps(1) | Termination of Interest Rate Swaps | Interest Rate Swaps | |||||||||||||||||
(dollars in thousands) | |||||||||||||||||||
Quarter Ended: | |||||||||||||||||||
30-Sep-14 | $ | (169,083 | ) | $ | - | $ | 98,593 | ||||||||||||
30-Sep-13 | $ | (227,909 | ) | $ | (36,658 | ) | $ | 6,343 | |||||||||||
Nine Months Ended: | |||||||||||||||||||
30-Sep-14 | $ | (650,452 | ) | $ | (779,333 | ) | $ | (75,287 | ) | ||||||||||
30-Sep-13 | $ | (666,112 | ) | $ | (88,685 | ) | $ | 1,441,099 | |||||||||||
(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 Comprehensive Income (Loss). | ||||||||||||||||||
As of September 30, 2014, the swap portfolio, excluding forward starting swaps, had a weighted average pay rate of 2.48% and a weighted average receive rate of 0.21%. The weighted average pay rate at December 31, 2013 was 2.14% and the weighted average receive rate was 0.20%. | |||||||||||||||||||
The effect of other derivative contracts on the Company’s Consolidated Statements of Comprehensive Income (Loss) is as follows: | |||||||||||||||||||
Derivative Instruments | Realized Gain | Unrealized Gain | Amount of Gain/(Loss) | ||||||||||||||||
(Loss) | (Loss) | Recognized in Net Gains | |||||||||||||||||
(Losses) on Trading Assets | |||||||||||||||||||
(dollars in thousands) | |||||||||||||||||||
Quarter Ended September 30, 2014 | |||||||||||||||||||
Net TBA derivatives (1) | $ | (1,864 | ) | $ | 6,992 | $ | 5,128 | ||||||||||||
Net interest rate swaptions | (30,432 | ) | 26,518 | (3,914 | ) | ||||||||||||||
Futures contracts | (2,991 | ) | 6,455 | 3,464 | |||||||||||||||
$ | 4,678 | ||||||||||||||||||
Quarter Ended September 30, 2013 | |||||||||||||||||||
Net TBA derivatives (1) | $ | 42,506 | $ | (58,403 | ) | $ | (15,897 | ) | |||||||||||
Net interest rate swaptions | 59,941 | (119,046 | ) | (59,105 | ) | ||||||||||||||
Futures contracts | (5,239 | ) | (25,628 | ) | (30,867 | ) | |||||||||||||
$ | (105,869 | ) | |||||||||||||||||
Nine Months Ended September 30, 2014 | |||||||||||||||||||
Net TBA derivatives (1) | $ | (46,747 | ) | $ | (8,046 | ) | $ | (54,793 | ) | ||||||||||
Net interest rate swaptions | (102,413 | ) | (24,613 | ) | (127,026 | ) | |||||||||||||
Futures contracts | (15,466 | ) | 3,631 | (11,835 | ) | ||||||||||||||
$ | (193,654 | ) | |||||||||||||||||
Nine Months Ended September 30, 2013 | |||||||||||||||||||
Net TBA derivatives (1) | $ | 51,846 | $ | (60,278 | ) | $ | (8,432 | ) | |||||||||||
Net interest rate swaptions | 60,506 | (74,547 | ) | (14,041 | ) | ||||||||||||||
Futures contracts | (8,298 | ) | (30,642 | ) | (38,940 | ) | |||||||||||||
$ | (61,413 | ) | |||||||||||||||||
(1) | Includes options on TBA securities. | ||||||||||||||||||
Certain of the Company’s derivative contracts are subject to International Swaps and Derivatives Association Master Agreements or other similar agreements which may contain provisions that grant counterparties certain rights with respect to the applicable agreement upon the occurrence of certain events such as (i) a decline in stockholders’ equity 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 any one of items (i) through (iv), or another default under the agreement, the counterparty to the applicable agreement has a right to terminate the agreement 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, 2014 was approximately $660 million, which represents the maximum amount the Company would be required to pay upon termination. This amount is fully collateralized. |
CONVERTIBLE_SENIOR_NOTES
CONVERTIBLE SENIOR NOTES | 9 Months Ended |
Sep. 30, 2014 | |
CONVERTIBLE SENIOR NOTES | ' |
10. 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, 2014. 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, 2014 was 86.3764, which is equivalent to a conversion price of approximately $11.5772 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 $106.0 million and $93.2 million at September 30, 2014 and December 31, 2013, 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, 2014 and December 31, 2013 of $18.5 million and $26.9 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, 2014 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, 2014 and December 31, 2013, $2.4 million and $5.4 million, respectively, of the unamortized 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, 2014 | |
COMMON STOCK AND PREFERRED STOCK | ' |
11. COMMON STOCK AND PREFERRED STOCK | |
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. | |
(A) Common Stock | |
At September 30, 2014 and December 31, 2013, the Company had issued and outstanding 947,591,766 and 947,432,862 shares of common stock, with a par value of $0.01 per share. | |
No options were exercised during the nine months ended September 30, 2014. During the nine months ended September 30, 2013, 166,000 options were exercised for an aggregate exercise price of $2.2 million. | |
During the nine months ended September 30, 2014 and 2013, the Company raised $1.8 million and $2.2 million, by issuing 159,000 shares and 157,000 shares, respectively, through the Direct Purchase and Dividend Reinvestment Program. | |
In October 2012, the Company announced that its board of directors (“Board of Directors”) had authorized the repurchase of up to $1.5 billion of its outstanding common shares over a 12 month period. All common shares purchased were part of a publicly announced plan in open-market transactions. The repurchase plan expired in October 2013. There were no purchases made by the Company under this repurchase plan during the nine months ended September 30, 2013. | |
In March 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, 2014 and 2013. | |
(B) Preferred Stock | |
At September 30, 2014 and December 31, 2013, 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). Through September 30, 2014, the Company had declared and paid all required quarterly dividends on the Series A Preferred Stock. | |
At September 30, 2014 and December 31, 2013, 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). Through September 30, 2014, the Company had declared and paid all required quarterly dividends on the Series C Preferred Stock. | |
At September 30, 2014 and December 31, 2013, 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). Through September 30, 2014, the Company had declared and paid all required quarterly dividends on the Series D Preferred Stock. | |
(C) Distributions to Stockholders | |
During the nine months ended September 30, 2014, the Company declared dividends to common stockholders totaling $852.8 million, or $0.90 per common share, of which $284.3, or $0.30 per common share, was paid to common stockholders on October 31, 2014. During the nine months ended September 30, 2014, the Company declared dividends to Series A Preferred Stock stockholders totaling approximately $10.9 million, or $1.477 per preferred share. During the nine months ended September 30, 2014, the Company declared dividends to Series C Preferred Stock stockholders totaling approximately $17.2 million, or $1.430 per preferred share. During the nine months ended September 30, 2014, the Company declared dividends to Series D Preferred Stock stockholders totaling approximately $25.9 million, or $1.406 per preferred share. | |
During the nine months ended September 30, 2013, the Company declared dividends to common stockholders totaling $1.1 billion or $1.20 per common share, of which $331.6 million, or $0.35 per common share, was paid on October 31, 2013. During the nine months ended September 30, 2013, the Company declared dividends to Series A Preferred Stock stockholders totaling approximately $10.9 million, or $1.477 per preferred share. During the nine months ended September 30, 2013, the Company declared dividends to Series C Preferred Stock stockholders totaling approximately $17.2 million, or $1.430 per preferred share. During the nine months ended September 30, 2013, the Company declared dividends to Series D Preferred Stock stockholders totaling approximately $25.9 million, or $1.406 per preferred share |
GOODWILL
GOODWILL | 9 Months Ended |
Sep. 30, 2014 | |
GOODWILL | ' |
12. GOODWILL | |
At September 30, 2014 and December 31, 2013, goodwill totaled $94.8 million. |
INTEREST_INCOME_AND_INTEREST_E
INTEREST INCOME AND INTEREST EXPENSE | 9 Months Ended | ||||||||||||||||
Sep. 30, 2014 | |||||||||||||||||
INTEREST INCOME AND INTEREST EXPENSE | ' | ||||||||||||||||
13. INTEREST INCOME AND INTEREST EXPENSE | |||||||||||||||||
The table below presents the components of the Company’s interest income and interest expense for the quarters and nine months ended September 30, 2014 and 2013. | |||||||||||||||||
Quarter Ended September 30, | Nine Months Ended September 30, | ||||||||||||||||
2014 | 2013 | 2014 | 2013 | ||||||||||||||
Interest income: | (dollars in thousands) | ||||||||||||||||
Investment Securities | $ | 606,331 | $ | 657,786 | $ | 1,861,037 | $ | 2,066,684 | |||||||||
Commercial investment portfolio(1) | 38,113 | 27,338 | 120,924 | 43,743 | |||||||||||||
U.S. Treasury securities | - | 7,718 | 1,329 | 20,956 | |||||||||||||
Securities loaned | - | 1,787 | 114 | 6,701 | |||||||||||||
Reverse repurchase agreements | 135 | 2,461 | 906 | 8,872 | |||||||||||||
Other | 61 | 70 | 193 | 357 | |||||||||||||
Total interest income | 644,640 | 697,160 | 1,984,503 | 2,147,313 | |||||||||||||
Interest expense: | |||||||||||||||||
Repurchase agreements | 102,750 | 120,123 | 309,654 | 419,132 | |||||||||||||
Convertible Senior Notes | 22,376 | 17,092 | 61,592 | 49,269 | |||||||||||||
U.S. Treasury securities sold, not yet purchased | - | 6,688 | 1,076 | 13,551 | |||||||||||||
Securities borrowed | - | 1,405 | 95 | 5,067 | |||||||||||||
Securitized debt of consolidated VIE | 1,780 | - | 5,244 | - | |||||||||||||
Participation sold | 163 | 168 | 486 | 302 | |||||||||||||
Total interest expense | 127,069 | 145,476 | 378,147 | 487,321 | |||||||||||||
Net interest income | $ | 517,571 | $ | 551,684 | $ | 1,606,356 | $ | 1,659,992 | |||||||||
(1) | Includes commercial real estate debt, preferred equity and corporate debt. |
NET_INCOME_LOSS_PER_COMMON_SHA
NET INCOME (LOSS) PER COMMON SHARE | 9 Months Ended | ||||||||||||||||
Sep. 30, 2014 | |||||||||||||||||
NET INCOME (LOSS) PER COMMON SHARE | ' | ||||||||||||||||
14. NET INCOME (LOSS) PER COMMON SHARE | |||||||||||||||||
The following table presents a reconciliation of net income and shares used in calculating basic and diluted earnings per share for the quarters and nine months ended September 30, 2014 and 2013. | |||||||||||||||||
Quarter Ended September 30, | Nine Months Ended September 30, | ||||||||||||||||
2014 | 2013 | 2014 | 2013 | ||||||||||||||
(dollars in thousands, except per share data) | (dollars in thousands, except per share data) | ||||||||||||||||
Net income (loss) | $ | 354,856 | $ | 192,458 | $ | (184,007 | ) | $ | 2,700,949 | ||||||||
Less: Preferred stock dividends | 17,992 | 17,992 | 53,976 | 53,976 | |||||||||||||
Net income (loss) available to common shareholders, prior to | 336,864 | 174,466 | (237,983 | ) | 2,646,973 | ||||||||||||
adjustment for dilutive potential common shares, if necessary | |||||||||||||||||
Add: Interest on Convertible Senior Notes, if dilutive | 12,226 | 1,075 | - | 31,351 | |||||||||||||
Net income (loss) available to common shareholders, as adjusted | 349,090 | 175,541 | (237,983 | ) | 2,678,324 | ||||||||||||
Weighted average shares of common stock outstanding-basic | 947,565,432 | 947,303,205 | 947,513,514 | 947,321,691 | |||||||||||||
Add: Effect of stock awards and Convertible Senior Notes, if dilutive | 39,750,095 | 8,387,266 | - | 47,997,979 | |||||||||||||
Weighted average shares of common stock outstanding-diluted | 987,315,527 | 955,690,471 | 947,513,514 | 995,319,670 | |||||||||||||
Net income (loss) per share available (related) to common share: | |||||||||||||||||
Basic | $ | 0.36 | $ | 0.18 | $ | (0.25 | ) | $ | 2.79 | ||||||||
Diluted | $ | 0.35 | $ | 0.18 | $ | (0.25 | ) | $ | 2.69 | ||||||||
Options to purchase 2.3 million shares of common stock were outstanding and considered anti-dilutive as their exercise price and option expense exceeded the average stock price for the quarter and nine months ended September 30, 2014. | |||||||||||||||||
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. |
LONGTERM_STOCK_INCENTIVE_PLAN
LONG-TERM STOCK INCENTIVE PLAN | 9 Months Ended | ||||||||||||||||
Sep. 30, 2014 | |||||||||||||||||
LONG-TERM STOCK INCENTIVE PLAN | ' | ||||||||||||||||
15. LONG-TERM STOCK INCENTIVE PLAN | |||||||||||||||||
The Company adopted the 2010 Equity Incentive Plan (the “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 following table sets forth activity related to the Company’s stock options awarded under the Plan: | |||||||||||||||||
Nine Months Ended September 30, | |||||||||||||||||
2014 | 2013 | ||||||||||||||||
Number of Shares | Weighted Average | Number of Shares | Weighted Average | ||||||||||||||
Exercise Price | Exercise Price | ||||||||||||||||
Options outstanding at the beginning of period | 3,581,752 | $ | 15.44 | 5,618,686 | $ | 15.74 | |||||||||||
Granted | - | ` - | - | - | |||||||||||||
Exercised | - | - | (166,375 | ) | 13.25 | ||||||||||||
Forfeited | (1,016,667 | ) | 15.07 | (1,226,803 | ) | 16.26 | |||||||||||
Expired | (305,750 | ) | 17.34 | (356,625 | ) | 17.91 | |||||||||||
Options outstanding at the end of period | 2,259,335 | $ | 15.35 | 3,868,883 | $ | 15.48 | |||||||||||
Options exercisable at the end of period | 2,259,335 | $ | 15.35 | 3,868,883 | $ | 15.48 | |||||||||||
The weighted average remaining contractual term was approximately 3.4 years and 4.0 years for stock options outstanding and exercisable as of September 30, 2014 and 2013, respectively. | |||||||||||||||||
As of September 30, 2014 and 2013, there was no unrecognized compensation cost related to nonvested share-based compensation awards. |
INCOME_TAXES
INCOME TAXES | 9 Months Ended |
Sep. 30, 2014 | |
INCOME TAXES | ' |
16. INCOME TAXES | |
For the quarter and nine months ended September 30, 2014 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 stockholders. To maintain qualification as a REIT, the Company must distribute at least 90% of its annual REIT taxable income to its stockholders and meet certain other requirements such as assets it may hold, income it may generate and its stockholder composition. It is generally the Company’s policy to distribute 100% of its REIT taxable income. To the extent there is any undistributed REIT taxable income at the end of a year, the Company distributes such shortfall within the next year as permitted by the Code. 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. | |
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 as well as certain excise, franchise or business taxes. The Company’s TRSs are subject to federal, state and local taxes. | |
During the quarter and nine months ended September 30, 2014, the Company recorded $0.7 million and $6.1 million, respectively, of income tax expense for income attributable to its TRSs. During the quarter and nine months ended September 30, 2013, the Company’s TRSs recorded $0.6 million and $6.4 million, respectively, of income tax expense for income attributable to those subsidiaries, and the portion of earnings retained based on Code Section 162(m) limitations. | |
The Company’s 2013, 2012 and 2011 federal, state and local tax returns remain open for examination. |
LEASE_COMMITMENTS_AND_CONTINGE
LEASE COMMITMENTS AND CONTINGENCIES | 9 Months Ended | ||||
Sep. 30, 2014 | |||||
LEASE COMMITMENTS AND CONTINGENCIES | ' | ||||
17. 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. In June 2014, the Company entered into a non-cancelable lease for office space which commenced in July 2014 and expires in September 2025. FIDAC has a lease for office space which commenced in October 2010 and expires in February 2016. The lease expense for the quarter ended September 30, 2014 and 2013 was $0.9 million and $0.5 million, respectively. The Company’s aggregate future minimum lease payments total $38.1 million. The following table details the lease payments. | |||||
Year Ending December 31, | Lease Commitments | ||||
(dollars in thousands) | |||||
2014 (remaining) | $ | 574 | |||
2015 | 1,199 | ||||
2016 | 3,591 | ||||
2017 | 3,565 | ||||
2018 | 3,565 | ||||
Later years | 25,557 | ||||
$ | 38,051 | ||||
The Company had no material unfunded loan commitments as of September 30, 2014 and December 31, 2013. | |||||
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. No accrual for contingencies was recognized as of September 30, 2014 and December 31, 2013. |
RISK_MANAGEMENT
RISK MANAGEMENT | 9 Months Ended |
Sep. 30, 2014 | |
RISK MANAGEMENT | ' |
18. RISK MANAGEMENT | |
The primary risks to the Company are liquidity and investment/market 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 financial impact by entering into interest rate agreements such as interest rate swaps, interest rate swaptions and other hedges. | |
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 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 risks, 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, Agency debentures or U.S. Treasury securities. The Company is exposed to credit risk on CRE Debt and Preferred Equity Investments, investments in commercial real estate and corporate debt. The Company is exposed to risk of loss if an issuer, borrower, tenant or 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 issuers, borrowers, tenants and counterparties. |
RCAP_REGULATORY_REQUIREMENTS
RCAP REGULATORY REQUIREMENTS | 9 Months Ended |
Sep. 30, 2014 | |
RCAP REGULATORY REQUIREMENTS | ' |
19. 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, 2014 RCap had a minimum net capital requirement of $0.3 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, 2014 was $400.2 million with excess net capital of $399.9 million. |
RELATED_PARTY_TRANSACTIONS
RELATED PARTY TRANSACTIONS | 9 Months Ended |
Sep. 30, 2014 | |
RELATED PARTY TRANSACTIONS | ' |
20. RELATED PARTY TRANSACTIONS | |
Investment in Affiliate, Available-For-Sale Equity Security | |
At September 30, 2014, 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, 2014 and approximately 45.0 million shares of Chimera at a fair value of approximately $139.4 million at December 31, 2013. At September 30, 2014 and December 31, 2013, the investment in Chimera had an unrealized loss of $2.1 million and an unrealized gain of $0.6 million, respectively. | |
The Company evaluates the near-term prospects of its current investment in Chimera in relation to the severity and length of time of impairment, if any. 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, 2014 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 fair value. As of December 31, 2013, the Company’s investment in Chimera was in an unrealized gain position. | |
Advisory fees | |
For the quarter and nine months ended September 30, 2014, the Company recorded advisory fees from Chimera totaling $8.3 million and $20.5 million, respectively. For the quarter ended September 30, 2013, the Company received 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. At September 30, 2014 and December 31, 2013, the Company had amounts receivable from Chimera of $8.4 million and $6.8 million, respectively. | |
Management Agreement | |
In June 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”). 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. 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. There is no termination fee for a termination of the Management Agreement by either the Company or the Manager. | |
Other | |
During the quarter ended September 30, 2014, the Company made a one-time payment totaling $23.8 million to Chimera to resolve issues raised in derivative demand letters sent to Chimera’s board of directors. This amount is a component of Other income (loss) in the Company’s Consolidated Statements of Comprehensive Income (Loss). |
SUBSEQUENT_EVENTS
SUBSEQUENT EVENTS | 9 Months Ended |
Sep. 30, 2014 | |
SUBSEQUENT EVENTS | ' |
21. SUBSEQUENT EVENTS | |
On November 5, 2014, the Company amended the Management Agreement with the Manager. | |
The Management Agreement provided for an initial term through December 31, 2014 with automatic one-year renewals unless at least two-thirds of the Company’s independent directors or the holders of a majority of the Company’s outstanding shares of common stock elected to terminate the agreement in their sole discretion and for any or no reason. If the election was made to terminate the Management Agreement, the Company was required to deliver to the Manager prior written notice of the Company’s intention to terminate the Management Agreement no less than 180 days prior to the date designated by the Company on which the Manager would cease to provide services. The Management also provided that the Manager could terminate the Management Agreement to providing to the Company prior to notice of its intention to terminate the Management Agreement no less than 180 days prior to the date designated by The Manager on which the Manager would cease to provided services. | |
The amendment to the Management Agreement provides for a two year term ending December 31, 2016 with automatic two-year renewals unless at least two-thirds of the Company’s independent directors or the holders of a majority of the Company’s outstanding shares of common stock elect to terminate the agreement in their sole discretion and for any or no reason. At any time during the term or any renewal term the Company may deliver to the Manager written notice of the Company’s intention to terminate the Management Agreement. The Company must designate a date not less than one year from the date of the notice on which the Management Agreement will terminate. The amendment to the Management Agreement also provides that the Manager may terminate the Management Agreement by providing to the Company prior written notice of its intention to terminate the Management Agreement less than one year prior to date designated by the Manager on which the Manager would cease to stop provide services or such earlier date as determined by the Company in its sole discretion. | |
All of the other terms of the Management Agreement remain unchanged. |
SIGNIFICANT_ACCOUNTING_POLICIE1
SIGNIFICANT ACCOUNTING POLICIES (Policies) | 9 Months Ended |
Sep. 30, 2014 | |
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. | |
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 subordinated 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. | |
To assess whether the Company has the power to direct the activities of a VIE that most significantly impact the VIE’s economic performance, the Company considers all facts and circumstances, including the Company’s role in establishing the VIE and the Company’s ongoing rights and responsibilities. This assessment includes first, identifying the activities that most significantly impact the VIE’s economic performance; and second, identifying which party, if any, has power over those activities. In general, the parties that make the most significant decisions affecting the VIE or have the right to unilaterally remove those decision makers are deemed to have the power to direct the activities of a VIE. | |
To assess whether the Company has the obligation to absorb losses of the VIE or the right to receive benefits from the VIE that could potentially be significant to the VIE, the Company considers all of its economic interests, including debt and equity investments and other arrangements deemed to be variable interests in the VIE. This assessment requires that the Company applies judgment in determining whether these interests, in the aggregate, are considered potentially significant to the VIE. Factors considered in assessing significance include: the design of the VIE, including its capitalization structure; subordination of interests; payment priority; relative share of interests held across various classes within the VIE’s capital structure; and the reasons why the interests are held by the Company. | |
The Company performs ongoing reassessments of whether changes in the facts and circumstances regarding the Company’s involvement with a VIE causes the Company’s consolidation conclusion regarding the VIE to change. | |
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 to conduct 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 approximately $1.0 billion and $371.8 million at September 30, 2014 and December 31, 2013, respectively. | |
Fair Value Measurements | ' |
Fair Value Measurements – The Company reports 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 these Notes to Consolidated Financial Statements. | |
Revenue Recognition | ' |
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”). These Agency mortgage-backed securities may include forward contracts for Agency mortgage-backed securities purchases or sales of a generic pool, on a to-be-announced basis (“TBA securities”). The Company also invests in Agency debentures issued by the Federal Home Loan Banks, Freddie Mac and Fannie Mae. | |
Agency mortgage-backed securities and Agency debentures 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 are classified as available-for-sale and 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, including TBA securities that meet the regular-way securities scope exception from derivative accounting. Realized gains and losses on sales of Investment Securities are determined using the average cost method. | |
The Company elected the fair value option for Agency interest-only mortgage-backed securities. 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 are measured at fair value with changes in fair value recorded as Net unrealized gains (losses) on interest-only Agency mortgage-backed securities in the Company’s Consolidated Statements of 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 uses a third-party supplied model to project prepayment speeds. The Company’s prepayment speed projections incorporate underlying loan characteristics (e.g., coupon, term, original loan size, original loan to value, etc.) and market data, including interest rate and home price index forecasts. Adjustments are made for actual prepayment activity. | |
Corporate Debt | ' |
Corporate Debt – 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, 2014 and December 31, 2013. | |
Equity Securities | ' |
Equity Securities – The Company may invest 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 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”), TBA securities with the intent to net settle (“TBA derivatives”), options on TBA securities (“MBS options”) and U.S. Treasury and Eurodollar 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. Derivatives are accounted for in accordance with the 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 Comprehensive Income (Loss). None of the Company’s derivative transactions have been designated as hedging instruments for accounting purposes. | |
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/sold 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/received for interest rate swaptions is reported as an asset/liability in the Consolidated Statement of Financial Position. 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 Comprehensive Income (Loss). If a swaption expires unexercised, the realized gain (loss) on the swaption would be equal to the premium received/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 - 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 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 Comprehensive Income (Loss). | |
Futures Contracts - Futures contracts are derivatives that track the prices of specific assets. Short sales of futures contracts help mitigate the potential impact of changes in interest rates on the portfolio performance. The Company maintains margin accounts which are 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 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 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 recognized for the quarters and nine months ended September 30, 2014 and 2013. | |
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, 2014 and December 31, 2013. | |
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. In October 2013, the Company sold the operations of Merganser. 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 purchase prices 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 their expected useful 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 stockholders. | |
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 subject to federal income tax to the extent of its distributions to stockholders 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, RCap and certain subsidiaries of ACREG, have made separate joint elections to treat these subsidiaries as taxable REIT subsidiaries (“TRSs”). As such, each of these TRSs 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 uncertain 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, 2014 and December 31, 2013. | |
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 loans are comprised of fixed-rate and adjustable-rate loans. Commercial real estate loans are designated as held for investment and are carried at their outstanding principal balance, net of unamortized origination fees and costs, premiums or discounts, less a reserve for estimated losses if necessary. The difference between the principal amount of a loan and proceeds at acquisition is recorded as either a discount or premium. Origination fees and costs, premiums and discounts are amortized or accreted into interest income over the estimated life of the loan. | |
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 unamortized origination fees and costs, premiums or discounts, less a reserve for estimated losses if necessary. Origination fees and costs, premiums and discounts are amortized or accreted into interest income over the estimated life of the investment. | |
Allowance for Losses – The Company evaluates the need for a loss reserve on its commercial real estate loans and preferred equity interests held for investment (collectively referred to as “CRE Debt and Preferred Equity Investments”). 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. | |
The Company may be exposed to various levels of credit risk depending on the nature of its investments and the nature of the assets underlying the investments and credit enhancements, if any, supporting its assets. The Company’s core investment process includes procedures related to the initial approval and periodic monitoring of credit risk and other risks associated with each investment. The Company’s investment underwriting procedures include evaluation of the underlying borrowers’ ability to manage and operate their respective properties. Management reviews loan-to-value metrics upon either the origination or the acquisition of a new investment but generally does not update the loan-to-value metrics in the course of quarterly surveillance. Management generally reviews the most recent financial information produced by the borrower, which may include, but is not limited to, net operating income (“NOI”), debt service coverage ratios, property debt yields (net cash flow or NOI divided by the amount of outstanding indebtedness), loan per unit and rent rolls relating to each of the Company’s CRE Debt and Preferred Equity Investments, and may consider other factors management deems important. Management also reviews market pricing to determine each borrower’s ability to refinance their respective assets at the maturity of each loan. Management also reviews economic trends, both macro as well as those directly affecting the property, and the supply and demand of competing projects in the sub-market in which each subject property is located. | |
In connection with the quarterly surveillance review process, loans are assigned an internal rating of “Performing”, “Watch List”, “Defaulted-Recovery” or “Impaired”. Loans that are deemed to be Performing meet all present contractual obligations and do not qualify for Watch List designation. Watch List loans are defined as Performing loans that are significantly lagging expectations and default is considered imminent. Defaulted–Recovery loans are currently in default; however full recovery of contractual principal and interest is expected. Impaired loans may or may not be in default, impairment is anticipated, and a loan loss provision has been recognized to reflect expected losses. | |
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 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. | |
Investments in commercial real estate are depreciated using the straight-line method over the estimated useful lives of the assets, summarized as follows: | |
Category Term | |
Building 27-40 years | |
Site improvements 2-10 years | |
The Company follows the acquisition method of accounting for acquisitions of operating real estate held for investment, where the purchase price of operating real estate is allocated to tangible assets such as land, building, site improvements and other identified intangibles such as above/below market and in-place leases. | |
The Company evaluates whether real estate acquired in connection with a foreclosure (“REO”) or UCC/deed in lieu of foreclosure (herein collectively referred to as a foreclosure) constitutes a business and whether business combination accounting is applicable. Upon foreclosure of a property, the excess of the carrying value of a loan, if any, over the estimated fair value of the property, less estimated costs to sell, is charged to provision for loan losses. | |
Investments in commercial real estate, including REO, which do not meet the criteria to be classified as held for sale, are separately presented in the Consolidated Statements of Financial Condition as held for investment. Real estate held for sale is reported at the lower of its carrying value or its estimated fair value less estimated costs to sell. Once a property is determined to be held for sale, depreciation is no longer recorded. In addition, if considered material to the overall consolidated financial statements, the results of operations are reclassified to income (loss) from discontinued operations in the Consolidated Statements of Comprehensive Income (Loss). | |
The Company's real estate portfolio (REO and real estate held for investment) is reviewed on a quarterly basis, or more frequently as necessary, to assess whether there are any indicators that the value of its operating real estate may be impaired or that its carrying value may not be recoverable. A property's value is considered impaired if the Company's estimate of the aggregate future undiscounted cash flows to be generated by the property is less than the carrying value of the property. In conducting this review, the Company considers U.S. macroeconomic factors, including real estate sector conditions, together with asset specific and other factors. To the extent impairment has occurred and is considered to be other than temporary, the loss will be measured as the excess of the carrying amount of the property over the calculated fair value of the property. | |
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 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. | |
Broker Dealer Activities | ' |
Broker Dealer Activities | |
In January 2014, RCap ceased its trading activity in U.S. Treasury securities, derivatives and certain securities borrowed and loaned transactions. | |
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 traded in U.S. Treasury securities for its proprietary portfolio, which consisted of long and short positions on U.S Treasury notes and bonds. U.S. Treasury securities were classified as trading investments and were recorded on the trade date at cost. Changes in fair value were reflected in Net gains (losses) on trading assets in the Company’s Consolidated Statement of Comprehensive Income (Loss). Interest income or expense on U.S. Treasury notes and bonds was accrued based on the outstanding principal amount of those investments and their stated terms. | |
Derivatives - RCap entered primarily into U.S. Treasury, Eurodollar, federal funds, German government and U.S. equity index and currency futures and options contracts. RCap maintained a margin account which was 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 were reflected in Net gains (losses) on trading assets in the Company’s Consolidated Statements of Comprehensive Income (Loss). Unrealized gains (losses) were 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 | ' |
A Summary of Recent Accounting Pronouncements Follows: | |
Presentation | |
Presentation of Financial Statements – Going Concern (Subtopic 205-40) | |
In August 2014, the FASB issued ASU No. 2014-15, Presentation of Financial Statements – Going Concern (Subtopic 205-04) Disclosure of Uncertainties about an Entity’s Ability to Continue as a Going Concern. This ASU requires management to evaluate whether there are conditions or events, considered in the aggregate, that raise substantial doubt about the Company’s ability to continue as a going concern within one year after the date the financial statements are issued. If conditions or events indicate it is probable that an entity will be unable to meet its obligations as they become due within one year after the financial statements are issued, the update requires additional disclosures. The update is effective for periods beginning after December 15, 2016 with early adoption permitted. ASU 2014-15 is not expected to have an impact on the consolidated financial statements. | |
Presentation of Financial Statements (ASC 205)/Property, Plant and Equipment (ASC 360) | |
In April 2014, the FASB issued ASU No. 2014-08, Presentation of Financial Statements (Topic 205) and Property, Plant and Equipment (Topic 360) Reporting Discontinued Operations and Disclosures of Disposals of Components of an Entity, which raises the threshold for a disposal to be treated as discontinued operations. Under this update, the Company is required to report disposals that represent a strategic shift that has (or will have) a major effect on the Company’s operations and financial results if the component of the Company or group of components meets the criteria to be accounted for as held for sale or the component of the Company or group of components is disposed of by sale. The ASU removes requirements that operations and cash flows have been (or will be) eliminated from the ongoing operations and that the Company will not have any significant continuing involvement with the component in order to be reported as discontinued operations. Additionally, ASU 2014-08 also eliminates a number of scope exceptions and requires additional disclosures for transactions that meet the discontinued operations definition and significant items that are disposed of or held for sale that do not meet the discontinued operations criteria. The ASU is effective for reporting periods beginning after December 15, 2014 with early adoption permitted. Adoption is not expected to have a significant impact on the consolidated financial statements. | |
Balance Sheet (ASC 210) | |
In December 2011, the FASB released ASU 2011-11, Balance Sheet: Disclosures about Offsetting Assets and Liabilities. Under this update, the Company is required to disclose both gross 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, the 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 were 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) | |
In December 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. The 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 was 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. | |
Assets | |
Receivables – Troubled Debt Restructurings by Creditors (ASC 310-40) | |
In January 2014, the FASB issued ASU 2014-04, Receivables–Troubled Debt Restructurings by Creditors, Reclassification of Residential Real Estate Collateralized Consumer Mortgage Loans upon Foreclosure, which clarifies that an in substance repossession or foreclosure has occurred, and a creditor is considered to have received physical possession of residential real estate property collateralizing a consumer mortgage loan, when the creditor obtains legal title to the property upon completion of a foreclosure or the borrower conveys all interest in the property to the creditor through a deed in lieu of foreclosure or similar arrangement. ASU 2014-04 also requires disclosure of the amount of foreclosed residential real estate held by the creditor and the recorded investment in mortgage loans collateralized by residential real estate property in the process of foreclosure. The update is effective for reporting periods beginning after December 15, 2014. Adoption is not expected to have a significant impact on the consolidated financial statements. | |
Revenues | |
Revenue from Contracts with Customers (ASC 606) | |
In May 2014, the FASB issued ASU No. 2014-09, Revenue from Contracts with Customers. This guidance applies to contracts with customers to transfer goods or services and contracts to transfer nonfinancial assets unless those contracts are within the scope of other standards (for example, lease transactions). The update supersedes the revenue recognition requirements in Topic 605, Revenue Recognition and most industry-specific guidance. The core principle of the guidance is that revenue is recognized to depict the transfer of promised goods or services to customers in an amount that reflects the consideration the Company expects to be entitled to in exchange for those goods or services. The guidance in this update will be effective for the Company beginning January 1, 2017. The Company does not expect the update to have a material impact on the consolidated financial statements. | |
Broad Transactions | |
Consolidation (ASC 810) | |
In August 2014, the FASB issued ASU No. 2014-13, Consolidation (Topic 810) Measuring the Financial Assets and the Financial Liabilities of a Consolidated Collateralized Financing Entity. ASU 2014-13 provides a practical expedient to measure the fair value of the financial assets and financial liabilities of a consolidated collateralized financing entity, which the reporting entity has elected to or is required to measure on a fair value basis. When a reporting entity elects the measurement alternative provided in this update, both the financial assets and the financial liabilities are measured based upon the more observable fair value. The update is effective for periods beginning after December 15, 2015 with early adoption permitted. ASU 2014-13 is not expected to have an impact on the consolidated financial statements as the Company has not elected to nor is it required to measure the financial assets and financial liabilities of its consolidated collateralized financing entities at fair value. | |
Transfers and Servicing (ASC 860) | |
In June 2014, the FASB issued ASU No. 2014-11, Repurchase-to-Maturity Transactions, Repurchase Financings, and Disclosures. This update makes limited amendments to the guidance in ASC 860 on accounting for certain repurchase agreements. The ASU requires entities to account for repurchase-to-maturity transactions as secured borrowings, rather than as sales with forward repurchase agreements. The ASU defines a repurchase-to-maturity transaction as a repo that (1) settles at the maturity of the transferred financial asset and (2) does not require the transferor to reacquire the transferred financial asset. In addition, the ASU eliminates accounting guidance on linked repurchase financing transactions. The ASU also expands disclosure requirements related to certain transfers of financial assets that are accounted for as sales and certain transfers accounted for as secured borrowings. The guidance in this update will be effective for the Company beginning January 1, 2015, except for the disclosure requirements for transactions accounted for as secured borrowings, which are required to be presented for interim periods beginning after March 15, 2015. As of September 30, 2014, the Company does not have any repurchase-to-maturity transactions or any linked repurchase financing transactions, therefore, the Company expects that this standard will impact disclosures only and will not have a significant impact on the consolidated financial statements. | |
Industry | |
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. In January 2014, the FASB has officially removed the Investment Companies: Real Estate Property Investments and the Investment Properties projects from its agenda. 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 consolidated financial statements. |
AGENCY_MORTGAGEBACKED_SECURITI1
AGENCY MORTGAGE-BACKED SECURITIES (Tables) | 9 Months Ended | ||||||||||||||||||||||||
Sep. 30, 2014 | |||||||||||||||||||||||||
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, 2014 and December 31, 2013, which were carried at their fair value: | |||||||||||||||||||||||||
30-Sep-14 | Freddie Mac | Fannie Mae | Ginnie Mae | Total | |||||||||||||||||||||
(dollars in thousands) | |||||||||||||||||||||||||
Principal outstanding | $ | 27,571,992 | $ | 49,170,673 | $ | 101,600 | $ | 76,844,265 | |||||||||||||||||
Unamortized premium | 1,933,435 | 3,556,906 | 21,388 | 5,511,729 | |||||||||||||||||||||
Unamortized discount | (11,358 | ) | (10,869 | ) | (369 | ) | (22,596 | ) | |||||||||||||||||
Amortized cost | 29,494,069 | 52,716,710 | 122,619 | 82,333,398 | |||||||||||||||||||||
Gross unrealized gains | 213,771 | 504,236 | 8,001 | 726,008 | |||||||||||||||||||||
Gross unrealized losses | (676,308 | ) | (917,139 | ) | (3,572 | ) | (1,597,019 | ) | |||||||||||||||||
Estimated fair value | $ | 29,031,532 | $ | 52,303,807 | $ | 127,048 | $ | 81,462,387 | |||||||||||||||||
Fixed Rate | Adjustable Rate | Total | |||||||||||||||||||||||
(dollars in thousands) | |||||||||||||||||||||||||
Amortized cost | $ | 79,564,428 | $ | 2,768,970 | $ | 82,333,398 | |||||||||||||||||||
Gross unrealized gains | 592,974 | 133,034 | 726,008 | ||||||||||||||||||||||
Gross unrealized losses | (1,582,120 | ) | (14,899 | ) | (1,597,019 | ) | |||||||||||||||||||
Estimated fair value | $ | 78,575,282 | $ | 2,887,105 | $ | 81,462,387 | |||||||||||||||||||
31-Dec-13 | Freddie Mac | Fannie Mae | Ginnie Mae | Total | |||||||||||||||||||||
(dollars in thousands) | |||||||||||||||||||||||||
Principal outstanding | $ | 24,458,925 | $ | 43,564,657 | $ | 120,739 | $ | 68,144,321 | |||||||||||||||||
Unamortized premium | 1,627,966 | 2,970,813 | 27,085 | 4,625,864 | |||||||||||||||||||||
Unamortized discount | (9,533 | ) | (11,568 | ) | (383 | ) | (21,484 | ) | |||||||||||||||||
Amortized cost | 26,077,358 | 46,523,902 | 147,441 | 72,748,701 | |||||||||||||||||||||
Gross unrealized gains | 227,423 | 456,057 | 9,845 | 693,325 | |||||||||||||||||||||
Gross unrealized losses | (1,267,106 | ) | (1,781,683 | ) | (4,288 | ) | (3,053,077 | ) | |||||||||||||||||
Estimated fair value | $ | 25,037,675 | $ | 45,198,276 | $ | 152,998 | $ | 70,388,949 | |||||||||||||||||
Fixed Rate | Adjustable Rate | Total | |||||||||||||||||||||||
(dollars in thousands) | |||||||||||||||||||||||||
Amortized cost | $ | 68,784,424 | $ | 3,964,277 | $ | 72,748,701 | |||||||||||||||||||
Gross unrealized gains | 538,556 | 154,769 | 693,325 | ||||||||||||||||||||||
Gross unrealized losses | (3,040,153 | ) | (12,924 | ) | (3,053,077 | ) | |||||||||||||||||||
Estimated fair value | $ | 66,282,827 | $ | 4,106,122 | $ | 70,388,949 | |||||||||||||||||||
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, 2014 and December 31, 2013, according to their estimated weighted average life classifications: | |||||||||||||||||||||||||
30-Sep-14 | 31-Dec-13 | ||||||||||||||||||||||||
Weighted Average Life | Estimated | Amortized | Estimated | Amortized | |||||||||||||||||||||
Fair Value | Cost | Fair Value | Cost | ||||||||||||||||||||||
Less than one year | $ | 52,872 | $ | 52,323 | $ | 65,584 | $ | 64,561 | |||||||||||||||||
Greater than one year through five years | 13,835,710 | 13,529,952 | 50,046,013 | 51,710,059 | |||||||||||||||||||||
Greater than five years through ten years | 66,997,257 | 68,148,447 | 14,915,716 | 15,292,973 | |||||||||||||||||||||
Greater than ten years | 576,548 | 602,676 | 5,361,636 | 5,681,108 | |||||||||||||||||||||
Total | $ | 81,462,387 | $ | 82,333,398 | $ | 70,388,949 | $ | 72,748,701 | |||||||||||||||||
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, 2014 and December 31, 2013. | |||||||||||||||||||||||||
30-Sep-14 | 31-Dec-13 | ||||||||||||||||||||||||
Estimated | Gross | Number of | Estimated | Gross | Number of | ||||||||||||||||||||
Fair Value | Unrealized | Securities | Fair Value | Unrealized | Securities | ||||||||||||||||||||
Losses | Losses | ||||||||||||||||||||||||
(dollars in thousands) | |||||||||||||||||||||||||
Less than 12 Months | $ | 10,279,297 | $ | (55,136 | ) | 202 | $ | 47,677,197 | $ | (2,569,474 | ) | 583 | |||||||||||||
12 Months or More | 39,326,443 | (1,541,883 | ) | 363 | 6,102,283 | (483,603 | ) | 55 | |||||||||||||||||
Total | $ | 49,605,740 | $ | (1,597,019 | ) | 565 | $ | 53,779,480 | $ | (3,053,077 | ) | 638 |
ACQUISITION_OF_CREXUS_Tables
ACQUISITION OF CREXUS (Tables) | 9 Months Ended | ||||
Sep. 30, 2014 | |||||
Summary of Aggregate Consideration and Preliminary Fair Value of Assumed Assets and Liabilities | ' | ||||
The following table summarizes the aggregate consideration and fair value of the assets acquired and liabilities assumed 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, 2014 | |||||||||||||||||||||||||
Commercial Real Estate Investments | ' | ||||||||||||||||||||||||
At September 30, 2014 and December 31, 2013, commercial real estate investments were composed of the following: | |||||||||||||||||||||||||
CRE Debt and Preferred Equity Investments | |||||||||||||||||||||||||
30-Sep-14 | 31-Dec-13 | ||||||||||||||||||||||||
Outstanding | Carrying | Percentage | Outstanding | Carrying | Percentage | ||||||||||||||||||||
Principal | Value(1) | of Loan | Principal | Value(1) | of Loan | ||||||||||||||||||||
Portfolio(2) | Portfolio(2) | ||||||||||||||||||||||||
(dollars in thousands) | |||||||||||||||||||||||||
Senior mortgages | $ | 372,210 | $ | 371,285 | 23.9 | % | $ | 669,512 | $ | 667,299 | 42.2 | % | |||||||||||||
Senior securitized mortgages(3) | 399,541 | 398,409 | 25.6 | % | - | - | 0 | % | |||||||||||||||||
Subordinate notes | - | - | 0 | % | 41,059 | 41,408 | 2.6 | % | |||||||||||||||||
Mezzanine loans | 537,578 | 537,654 | 34.5 | % | 626,883 | 628,102 | 39.5 | % | |||||||||||||||||
Preferred equity | 249,769 | 247,610 | 16 | % | 249,769 | 247,160 | 15.7 | % | |||||||||||||||||
Total | $ | 1,559,098 | $ | 1,554,958 | 100 | % | $ | 1,587,223 | $ | 1,583,969 | 100 | % | |||||||||||||
-1 | Carrying value includes unamortized origination fees of $4.4 million and $5.4 million as of September 30, 2014 and December 31, 2013, respectively. | ||||||||||||||||||||||||
-2 | Based on outstanding principal. | ||||||||||||||||||||||||
-3 | Assets of consolidated VIE. | ||||||||||||||||||||||||
30-Sep-14 | |||||||||||||||||||||||||
Senior | Senior | Subordinate | Mezzanine | Preferred | Total | ||||||||||||||||||||
Mortgages | Securitized | Notes | Loans | Equity | |||||||||||||||||||||
Mortgages(1) | |||||||||||||||||||||||||
(dollars in thousands) | |||||||||||||||||||||||||
Beginning balance | $ | 667,299 | $ | - | $ | 41,408 | $ | 628,102 | $ | 247,160 | $ | 1,583,969 | |||||||||||||
Originations & advances (principal) | 114,946 | - | - | 94,748 | - | 209,694 | |||||||||||||||||||
Principal payments | (12,685 | ) | - | (41,059 | ) | (184,052 | ) | - | (237,796 | ) | |||||||||||||||
Sales (principal) | - | - | - | - | - | ||||||||||||||||||||
Amortization & accretion of (premium) discounts | (102 | ) | - | (349 | ) | (1,031 | ) | 82 | (1,400 | ) | |||||||||||||||
Net (increase) decrease in origination fees | (2,267 | ) | (116 | ) | - | (463 | ) | - | (2,846 | ) | |||||||||||||||
Amortization of net origination fees | 2,072 | 547 | - | 350 | 368 | 3,337 | |||||||||||||||||||
Transfers | (397,978 | ) | 397,978 | - | - | - | - | ||||||||||||||||||
Allowance for loan losses | - | - | - | - | - | - | |||||||||||||||||||
Net carrying value | $ | 371,285 | $ | 398,409 | $ | - | $ | 537,654 | $ | 247,610 | $ | 1,554,958 | |||||||||||||
-1 | Assets of consolidated VIE. | ||||||||||||||||||||||||
31-Dec-13 | |||||||||||||||||||||||||
Senior | Subordinate | Mezzanine | Preferred | Total | |||||||||||||||||||||
Mortgages | Notes | Loans | Equity | ||||||||||||||||||||||
(dollars in thousands) | |||||||||||||||||||||||||
Beginning balance | $ | 429,229 | $ | 41,571 | $ | 568,759 | $ | 187,623 | $ | 1,227,182 | |||||||||||||||
Originations & advances (principal) | 240,150 | - | 136,040 | 60,000 | 436,190 | ||||||||||||||||||||
Principal payments | (388 | ) | (90 | ) | (64,035 | ) | - | (64,513 | ) | ||||||||||||||||
Sales (principal) | (13,750 | ) | - | - | - | (13,750 | ) | ||||||||||||||||||
Amortization & accretion of (premium) discounts | (37 | ) | (73 | ) | (192 | ) | 31 | (271 | ) | ||||||||||||||||
Net (increase) decrease in origination fees | (1,106 | ) | - | 14 | (601 | ) | (1,693 | ) | |||||||||||||||||
Amortization of net origination fees | 701 | - | 16 | 107 | 824 | ||||||||||||||||||||
Transfers | 12,500 | - | (12,500 | ) | - | - | |||||||||||||||||||
Allowance for loan losses | - | - | - | - | - | ||||||||||||||||||||
Net carrying value | $ | 667,299 | $ | 41,408 | $ | 628,102 | $ | 247,160 | $ | 1,583,969 | |||||||||||||||
Internal Loan and Preferred Equity Ratings | ' | ||||||||||||||||||||||||
Internal CRE Debt and Preferred Equity Investment Ratings | |||||||||||||||||||||||||
30-Sep-14 | |||||||||||||||||||||||||
Internal Ratings | |||||||||||||||||||||||||
Investment Type | Outstanding | Performing | Watch List | Defaulted-Recovery | Workout | ||||||||||||||||||||
Principal | Percentage of CRE Debt and Preferred Equity Portfolio | ||||||||||||||||||||||||
(dollars in thousands) | |||||||||||||||||||||||||
Senior mortgages | $ | 372,210 | 23.9 | % | $ | 359,237 | $ | - | $ | 12,973 | (2) | $ | - | ||||||||||||
Senior securitized mortgages(1) | 399,541 | 25.6 | % | 399,541 | - | - | - | ||||||||||||||||||
Subordinate notes | - | 0 | % | - | - | - | - | ||||||||||||||||||
Mezzanine loans | 537,578 | 34.5 | % | 522,095 | - | 15,483 | - | ||||||||||||||||||
Preferred equity | 249,769 | 16 | % | 249,769 | - | - | - | ||||||||||||||||||
$ | 1,559,098 | 100 | % | $ | 1,530,642 | $ | - | $ | 28,456 | $ | - | ||||||||||||||
(1) | Assets of consolidated VIE. | ||||||||||||||||||||||||
(2) | Relates to one loan on nonaccrual status. | ||||||||||||||||||||||||
31-Dec-13 | |||||||||||||||||||||||||
Internal Ratings | |||||||||||||||||||||||||
Investment Type | Outstanding | Performing | Watch List | Defaulted-Recovery | Workout | ||||||||||||||||||||
Principal | Percentage of CRE Debt and Preferred Equity Portfolio | ||||||||||||||||||||||||
(dollars in thousands) | |||||||||||||||||||||||||
Senior mortgages | $ | 669,512 | 42.2 | % | $ | 644,039 | $ | - | $ | 25,473 | (1) | $ | - | ||||||||||||
Subordinate notes | 41,059 | 2.6 | % | 41,059 | - | - | - | ||||||||||||||||||
Mezzanine loans | 626,883 | 39.5 | % | 620,883 | - | 6,000 | - | ||||||||||||||||||
Preferred equity | 249,769 | 15.7 | % | 249,769 | - | - | - | ||||||||||||||||||
$ | 1,587,223 | 100 | % | $ | 1,555,750 | $ | - | $ | 31,473 | $ | - | ||||||||||||||
(1) | Relates to one loan on nonaccrual status. | ||||||||||||||||||||||||
Summary of Acquisitions of Real Estate Held for Investment | ' | ||||||||||||||||||||||||
Real Estate Acquisitions | |||||||||||||||||||||||||
The following table summarizes acquisitions of real estate held for investment during the nine months ended September 30, 2014: | |||||||||||||||||||||||||
Date of Acquisition | Type | Location | Purchase | Remaining | |||||||||||||||||||||
Price | Lease Term (1) | ||||||||||||||||||||||||
(dollars in thousands) | |||||||||||||||||||||||||
Apr-14 | Single-tenant retail | Tennessee | $ | 19,000 | 2022 | ||||||||||||||||||||
Jun-14 | Multi-tenant retail | Virginia | $ | 17,743 | 2021 | ||||||||||||||||||||
Aggregate Allocation of Purchase Price | ' | ||||||||||||||||||||||||
The following table presents the aggregate allocation of the purchase price: | |||||||||||||||||||||||||
30-Sep-14 | |||||||||||||||||||||||||
(dollars in thousands) | |||||||||||||||||||||||||
Purchase Price Allocation: | |||||||||||||||||||||||||
Land | $ | 9,711 | |||||||||||||||||||||||
Buildings | 25,972 | ||||||||||||||||||||||||
Site improvements | 2,548 | ||||||||||||||||||||||||
Real estate held for investment | 38,231 | ||||||||||||||||||||||||
Intangible assets (liabilities): | |||||||||||||||||||||||||
Leasehold intangible assets | 7,698 | ||||||||||||||||||||||||
Below market lease value | (9,186 | ) | |||||||||||||||||||||||
Total purchase price | $ | 36,743 | |||||||||||||||||||||||
Total Commercial Real Estate Held for Investment | ' | ||||||||||||||||||||||||
Total Commercial Real Estate Investment | |||||||||||||||||||||||||
30-Sep-14 | 31-Dec-13 | ||||||||||||||||||||||||
(dollars in thousands) | |||||||||||||||||||||||||
Real estate held for investment, at amortized cost | |||||||||||||||||||||||||
Land | $ | 16,350 | $ | 6,639 | |||||||||||||||||||||
Buildings and improvements | 59,619 | 31,100 | |||||||||||||||||||||||
Subtotal | 75,969 | 37,739 | |||||||||||||||||||||||
Less: accumulated depreciation | (2,142 | ) | (877 | ) | |||||||||||||||||||||
Total real estate held for investment at amortized cost, net | 73,827 | 36,862 | |||||||||||||||||||||||
Real estate held for sale at fair value | - | 23,270 | |||||||||||||||||||||||
Total investment in commercial real estate, net | 73,827 | 60,132 | |||||||||||||||||||||||
Net carrying value of CRE Debt and Preferred Equity Investments | 1,554,958 | 1,583,969 | |||||||||||||||||||||||
Total commercial real estate investments | $ | 1,628,785 | $ | 1,644,101 |
FAIR_VALUE_MEASUREMENTS_Tables
FAIR VALUE MEASUREMENTS (Tables) | 9 Months Ended | |||||||||||||||||||
Sep. 30, 2014 | ||||||||||||||||||||
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 | Total | |||||||||||||||||
30-Sep-14 | (dollars in thousands) | |||||||||||||||||||
Assets: | ||||||||||||||||||||
U.S. Treasury securities | $ | - | $ | - | $ | - | $ | - | ||||||||||||
Agency mortgage-backed securities | - | 81,462,387 | - | 81,462,387 | ||||||||||||||||
Agency debentures | - | 1,334,181 | - | 1,334,181 | ||||||||||||||||
Investment in affiliates | 136,748 | - | - | 136,748 | ||||||||||||||||
Interest rate swaps | - | 198,066 | - | 198,066 | ||||||||||||||||
Other derivatives | 6,680 | 12,727 | - | 19,407 | ||||||||||||||||
Total Assets | $ | 143,428 | $ | 83,007,361 | $ | - | $ | 83,150,789 | ||||||||||||
Liabilities: | ||||||||||||||||||||
U.S. Treasury securities sold, not yet purchased | $ | - | $ | - | $ | - | $ | - | ||||||||||||
Interest rate swaps | - | 857,658 | - | 857,658 | ||||||||||||||||
Other derivatives | - | - | - | - | ||||||||||||||||
Total Liabilities | $ | - | $ | 857,658 | $ | - | $ | 857,658 | ||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||||||
At December 31, 2013 | (dollars in thousands) | |||||||||||||||||||
Assets: | ||||||||||||||||||||
U.S. Treasury securities | $ | 1,117,915 | $ | - | $ | - | $ | 1,117,915 | ||||||||||||
Agency mortgage-backed securities | - | 70,388,949 | - | 70,388,949 | ||||||||||||||||
Agency debentures | - | 2,969,885 | - | 2,969,885 | ||||||||||||||||
Investment in affiliates | 139,447 | - | - | 139,447 | ||||||||||||||||
Interest rate swaps | - | 559,044 | - | 559,044 | ||||||||||||||||
Other derivatives | 3,487 | 143,238 | - | 146,725 | ||||||||||||||||
Total Assets | $ | 1,260,849 | $ | 74,061,116 | $ | - | $ | 75,321,965 | ||||||||||||
Liabilities: | ||||||||||||||||||||
U.S. Treasury securities sold, not yet purchased | $ | 1,918,394 | - | - | $ | 1,918,394 | ||||||||||||||
Interest rate swaps | - | 1,141,828 | - | 1,141,828 | ||||||||||||||||
Other derivatives | 439 | 55,079 | - | 55,518 | ||||||||||||||||
Total Liabilities | $ | 1,918,833 | $ | 1,196,907 | $ | - | $ | 3,115,740 | ||||||||||||
Schedule of Estimated Fair Value for All Financial Assets and Liabilities | ' | |||||||||||||||||||
The following table summarizes the estimated fair value for financial assets and liabilities as of September 30, 2014 and December 31, 2013. | ||||||||||||||||||||
30-Sep-14 | 31-Dec-13 | |||||||||||||||||||
Level in | Carrying | Fair Value | Carrying | Fair Value | ||||||||||||||||
Fair Value | Value | Value | ||||||||||||||||||
Hierarchy | ||||||||||||||||||||
Financial assets: | (dollars in thousands) | |||||||||||||||||||
Cash and cash equivalents | 1 | $ | 1,178,621 | $ | 1,178,621 | $ | 552,436 | $ | 552,436 | |||||||||||
Reverse repurchase agreements | 1 | - | - | 100,000 | 100,000 | |||||||||||||||
Securities borrowed | 1 | - | - | 2,582,893 | 2,582,893 | |||||||||||||||
U.S. Treasury securities | 1 | - | - | 1,117,915 | 1,117,915 | |||||||||||||||
Agency mortgage-backed securities | 2 | 81,462,387 | 81,462,387 | 70,388,949 | 70,388,949 | |||||||||||||||
Agency debentures | 2 | 1,334,181 | 1,334,181 | 2,969,885 | 2,969,885 | |||||||||||||||
Investment in affiliates | 1 | 136,748 | 136,748 | 139,447 | 139,447 | |||||||||||||||
Commercial real estate debt and preferred equity | 3 | 1,554,958 | 1,566,232 | 1,583,969 | 1,581,836 | |||||||||||||||
Corporate debt | 2 | 144,451 | 145,008 | 117,687 | 118,362 | |||||||||||||||
Interest rate swaps | 2 | 198,066 | 198,066 | 559,044 | 559,044 | |||||||||||||||
Other derivatives | 1,2 | 19,407 | 19,407 | 146,725 | 146,725 | |||||||||||||||
Financial liabilities: | ||||||||||||||||||||
U.S. Treasury securities sold, not yet purchased | 1 | $ | - | $ | - | $ | 1,918,394 | $ | 1,918,394 | |||||||||||
Repurchase agreements | 1,2 | 69,610,722 | 69,847,704 | 61,781,001 | 62,134,133 | |||||||||||||||
Securities loaned | 1 | 7 | 7 | 2,527,668 | 2,527,668 | |||||||||||||||
Convertible Senior Notes | 1 | 836,625 | 873,937 | 825,262 | 870,199 | |||||||||||||||
Securitized debt of consolidated VIE | 2 | 260,700 | 262,421 | - | - | |||||||||||||||
Mortgages payable | 2 | 42,635 | 42,595 | 19,332 | 19,240 | |||||||||||||||
Participation sold | 3 | 13,768 | 13,756 | 14,065 | 14,050 | |||||||||||||||
Interest rate swaps | 2 | 857,658 | 857,658 | 1,141,828 | 1,141,828 | |||||||||||||||
Other derivatives | 1,2 | - | - | 55,518 | 55,518 |
SECURED_FINANCING_Tables
SECURED FINANCING (Tables) | 9 Months Ended | ||||||||||||||||
Sep. 30, 2014 | |||||||||||||||||
Schedule of Repurchase Agreements Remaining Maturity and Weighted Average Rates | ' | ||||||||||||||||
At September 30, 2014 and December 31, 2013, the repurchase agreements had the following remaining maturities and weighted average rates: | |||||||||||||||||
30-Sep-14 | 31-Dec-13 | ||||||||||||||||
Repurchase Agreements | Weighted | Repurchase Agreements | Weighted | ||||||||||||||
Average Rate | Average Rate | ||||||||||||||||
(dollars in thousands) | |||||||||||||||||
1 day | $ | 2,609,132 | 0.15 | % | $ | - | 0 | % | |||||||||
2 to 29 days | 18,032,715 | 0.3 | % | 21,171,574 | 0.36 | % | |||||||||||
30 to 59 days | 14,241,967 | 0.37 | % | 13,373,921 | 0.43 | % | |||||||||||
60 to 89 days | 2,871,206 | 0.38 | % | 3,592,266 | 0.44 | % | |||||||||||
90 to 119 days | 10,548,578 | 0.37 | % | 4,010,334 | 0.52 | % | |||||||||||
Over 120 days(1) | 21,307,124 | 1.14 | % | 19,632,906 | 1.29 | % | |||||||||||
Total | $ | 69,610,722 | 0.58 | % | $ | 61,781,001 | 0.68 | % | |||||||||
(1) | Approximately 12% and 16% of the total repurchase agreements had a remaining maturity over 1 year as of September 30, 2014 and December 31, 2013, respectively. | ||||||||||||||||
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, 2014 and December 31, 2013. | |||||||||||||||||
30-Sep-14 | 31-Dec-13 | ||||||||||||||||
Reverse Repurchase | Repurchase | Reverse Repurchase | Repurchase | ||||||||||||||
Agreements | Agreements | Agreements | Agreements | ||||||||||||||
(dollars in thousands) | |||||||||||||||||
Gross Amounts | $ | 250,000 | $ | 69,860,722 | $ | 2,524,980 | $ | 64,205,981 | |||||||||
Amounts Offset | (250,000 | ) | (250,000 | ) | (2,424,980 | ) | (2,424,980 | ) | |||||||||
Netted Amounts | $ | - | $ | 69,610,722 | $ | 100,000 | $ | 61,781,001 |
DERIVATIVE_INSTRUMENTS_Tables
DERIVATIVE INSTRUMENTS (Tables) | 9 Months Ended | ||||||||||||||||||
Sep. 30, 2014 | |||||||||||||||||||
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, 2014 and December 31, 2013: | |||||||||||||||||||
Derivatives Instruments | Balance Sheet Location | 30-Sep-14 | 31-Dec-13 | ||||||||||||||||
Assets: | (dollars in thousands) | ||||||||||||||||||
Interest rate swaps | Interest rate swaps, at fair value | $ | 198,066 | $ | 559,044 | ||||||||||||||
Interest rate swaptions | Other derivative contracts, at fair value | 12,268 | 110,361 | ||||||||||||||||
TBA derivatives | Other derivative contracts, at fair value | 459 | 20,693 | ||||||||||||||||
MBS options | Other derivative contracts, at fair value | - | 12,184 | ||||||||||||||||
Futures contracts | Other derivative contracts, at fair value | 6,680 | 3,487 | ||||||||||||||||
$ | 217,473 | $ | 705,769 | ||||||||||||||||
Liabilities: | |||||||||||||||||||
Interest rate swaps | Interest rate swaps, at fair value | 857,658 | 1,141,828 | ||||||||||||||||
Interest rate swaptions | Other derivative contracts, at fair value | - | 24,662 | ||||||||||||||||
TBA derivatives | Other derivative contracts, at fair value | - | 13,779 | ||||||||||||||||
MBS options | Other derivative contracts, at fair value | - | 16,638 | ||||||||||||||||
Futures contracts | Other derivative contracts, at fair value | - | 439 | ||||||||||||||||
$ | 857,658 | $ | 1,197,346 | ||||||||||||||||
Offsetting of Derivative Assets and Liabilities | ' | ||||||||||||||||||
The following tables present information about derivative assets and liabilities that are subject to such provisions and can potentially be offset on our Consolidated Statements of Financial Condition as of September 30, 2014 and December 31, 2013, respectively. | |||||||||||||||||||
Amounts Eligible for Offset | |||||||||||||||||||
30-Sep-14 | Gross | Financial | Cash | Net | |||||||||||||||
Amounts | Instruments | Collateral | Amounts | ||||||||||||||||
Assets: | (dollars in thousands) | ||||||||||||||||||
Interest rate swaps, at fair value | $ | 198,066 | $ | (138,466 | ) | $ | -6,600 | $ | 53,300 | ||||||||||
Interest rate swaptions, at fair value | 12,268 | - | - | 12,268 | |||||||||||||||
TBA derivatives, at fair value | 459 | - | - | 459 | |||||||||||||||
MBS options, at fair value | - | - | - | - | |||||||||||||||
Futures contracts, at fair value | 6,680 | - | - | 6,680 | |||||||||||||||
Liabilities: | |||||||||||||||||||
Interest rate swaps, at fair value | $ | 857,658 | $ | (138,466 | ) | $ | (343,206 | ) | $ | 375,986 | |||||||||
Interest rate swaptions, at fair value | - | - | - | - | |||||||||||||||
TBA derivatives, at fair value | - | - | - | - | |||||||||||||||
MBS options, at fair value | - | - | - | - | |||||||||||||||
Futures contracts, at fair value | - | - | - | - | |||||||||||||||
Amounts Eligible for Offset | |||||||||||||||||||
31-Dec-13 | Gross | Financial | Cash | Net | |||||||||||||||
Amounts | Instruments | Collateral | Amounts | ||||||||||||||||
Assets: | (dollars in thousands) | ||||||||||||||||||
Interest rate swaps, at fair value | $ | 559,044 | $ | (408,553 | ) | $ | - | $ | 150,491 | ||||||||||
Interest rate swaptions, at fair value | 110,361 | (24,662 | ) | - | 85,699 | ||||||||||||||
TBA derivatives, at fair value | 20,693 | (9,775 | ) | - | 10,918 | ||||||||||||||
MBS options, at fair value | 12,184 | (3,292 | ) | - | 8,892 | ||||||||||||||
Futures contracts, at fair value | 3,487 | (439 | ) | - | 3,048 | ||||||||||||||
Liabilities: | |||||||||||||||||||
Interest rate swaps, at fair value | $ | 1,141,828 | $ | (408,553 | ) | $ | - | $ | 733,275 | ||||||||||
Interest rate swaptions, at fair value | 24,662 | (24,662 | ) | - | - | ||||||||||||||
TBA derivatives, at fair value | 13,779 | (9,775 | ) | - | 4,004 | ||||||||||||||
MBS options, at fair value | 16,638 | (3,292 | ) | - | 13,346 | ||||||||||||||
Futures contracts, at fair value | 439 | (439 | ) | - | - | ||||||||||||||
Schedule of Derivative Instruments in Statement of Operations and Comprehensive Income Loss | ' | ||||||||||||||||||
The effect of interest rate swaps on the Consolidated Statements of Comprehensive Income (Loss) is as follows: | |||||||||||||||||||
Location on Consolidated Statements of Comprehensive Income (Loss) | |||||||||||||||||||
Realized Gains (Losses) on | Realized Gains (Losses) on | Unrealized Gains (Losses) on | |||||||||||||||||
Interest Rate Swaps(1) | Termination of Interest Rate Swaps | Interest Rate Swaps | |||||||||||||||||
(dollars in thousands) | |||||||||||||||||||
Quarter Ended: | |||||||||||||||||||
30-Sep-14 | $ | (169,083 | ) | $ | - | $ | 98,593 | ||||||||||||
30-Sep-13 | $ | (227,909 | ) | $ | (36,658 | ) | $ | 6,343 | |||||||||||
Nine Months Ended: | |||||||||||||||||||
30-Sep-14 | $ | (650,452 | ) | $ | (779,333 | ) | $ | (75,287 | ) | ||||||||||
30-Sep-13 | $ | (666,112 | ) | $ | (88,685 | ) | $ | 1,441,099 | |||||||||||
(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 Comprehensive Income (Loss). | ||||||||||||||||||
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 Comprehensive Income (Loss) is as follows: | |||||||||||||||||||
Derivative Instruments | Realized Gain | Unrealized Gain | Amount of Gain/(Loss) | ||||||||||||||||
(Loss) | (Loss) | Recognized in Net Gains | |||||||||||||||||
(Losses) on Trading Assets | |||||||||||||||||||
(dollars in thousands) | |||||||||||||||||||
Quarter Ended September 30, 2014 | |||||||||||||||||||
Net TBA derivatives (1) | $ | (1,864 | ) | $ | 6,992 | $ | 5,128 | ||||||||||||
Net interest rate swaptions | (30,432 | ) | 26,518 | (3,914 | ) | ||||||||||||||
Futures contracts | (2,991 | ) | 6,455 | 3,464 | |||||||||||||||
$ | 4,678 | ||||||||||||||||||
Quarter Ended September 30, 2013 | |||||||||||||||||||
Net TBA derivatives (1) | $ | 42,506 | $ | (58,403 | ) | $ | (15,897 | ) | |||||||||||
Net interest rate swaptions | 59,941 | (119,046 | ) | (59,105 | ) | ||||||||||||||
Futures contracts | (5,239 | ) | (25,628 | ) | (30,867 | ) | |||||||||||||
$ | (105,869 | ) | |||||||||||||||||
Nine Months Ended September 30, 2014 | |||||||||||||||||||
Net TBA derivatives (1) | $ | (46,747 | ) | $ | (8,046 | ) | $ | (54,793 | ) | ||||||||||
Net interest rate swaptions | (102,413 | ) | (24,613 | ) | (127,026 | ) | |||||||||||||
Futures contracts | (15,466 | ) | 3,631 | (11,835 | ) | ||||||||||||||
$ | (193,654 | ) | |||||||||||||||||
Nine Months Ended September 30, 2013 | |||||||||||||||||||
Net TBA derivatives (1) | $ | 51,846 | $ | (60,278 | ) | $ | (8,432 | ) | |||||||||||
Net interest rate swaptions | 60,506 | (74,547 | ) | (14,041 | ) | ||||||||||||||
Futures contracts | (8,298 | ) | (30,642 | ) | (38,940 | ) | |||||||||||||
$ | (61,413 | ) | |||||||||||||||||
(1) | Includes options on TBA securities. | ||||||||||||||||||
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, 2014 and December 31, 2013: | |||||||||||||||||||
30-Sep-14 | |||||||||||||||||||
Maturity | Current | Weighted Average | Weighted Average | Weighted Average | |||||||||||||||
Notional (1) | Pay Rate (2) (3) | Receive Rate (2) | Years to Maturity (2) | ||||||||||||||||
(dollars in thousands) | |||||||||||||||||||
0 - 3 years | $ | 2,202,522 | 1.47 | % | 0.16 | % | 2.84 | ||||||||||||
3 - 6 years | 11,013,000 | 2.06 | % | 0.22 | % | 5.34 | |||||||||||||
6 - 10 years | 13,204,000 | 2.65 | % | 0.22 | % | 8.71 | |||||||||||||
Greater than 10 years | 5,051,800 | 3.58 | % | 0.19 | % | 19.78 | |||||||||||||
Total / Weighted Average | $ | 31,471,322 | 2.48 | % | 0.21 | % | 8.61 | ||||||||||||
(1) | Notional amount includes $800.0 million in forward starting pay fixed swaps. | ||||||||||||||||||
(2) | Excludes forward starting swaps. | ||||||||||||||||||
(3) | Weighted average fixed rate on forward starting pay fixed swaps was 3.24%. | ||||||||||||||||||
31-Dec-13 | |||||||||||||||||||
Maturity | Current | Weighted Average | Weighted Average | Weighted Average | |||||||||||||||
Notional | Pay Rate | Receive Rate | Years to Maturity | ||||||||||||||||
(dollars in thousands) | |||||||||||||||||||
0 - 3 years | $ | 24,286,000 | 1.83 | % | 0.18 | % | 1.98 | ||||||||||||
3 - 6 years | 8,865,410 | 2.02 | % | 0.19 | % | 4.19 | |||||||||||||
6 - 10 years | 15,785,500 | 2.37 | % | 0.23 | % | 7.66 | |||||||||||||
Greater than 10 years | 3,490,000 | 3.62 | % | 0.2 | % | 19.93 | |||||||||||||
Total / Weighted Average | $ | 52,426,910 | 2.14 | % | 0.2 | % | 5.26 | ||||||||||||
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, 2014 and December 31, 2013: | |||||||||||||||||||
30-Sep-14 | Current Underlying | Weighted Average | Weighted Average | Weighted Average | Weighted | ||||||||||||||
Notional | Underlying Pay | Underlying Receive | Underlying Years to | Average Months | |||||||||||||||
Rate | Rate | Maturity | to Expiration | ||||||||||||||||
(dollars in thousands) | |||||||||||||||||||
Long | $ | 1,900,000 | 3.13% | 3M LIBOR | 10.02 | 4.82 | |||||||||||||
Short | $ | - | - | - | - | - | |||||||||||||
31-Dec-13 | Current Underlying | Weighted Average | Weighted Average | Weighted Average | Weighted | ||||||||||||||
Notional | Underlying Pay | Underlying Receive | Underlying Years to | Average Months | |||||||||||||||
Rate | Rate | Maturity | to Expiration | ||||||||||||||||
(dollars in thousands) | |||||||||||||||||||
Long | $ | 5,150,000 | 3.07% | 3M LIBOR | 10.1 | 4.26 | |||||||||||||
Short | $ | 1,000,000 | 3M LIBOR | 2.83% | 5.96 | 23.71 | |||||||||||||
TBA Derivatives | ' | ||||||||||||||||||
Summary of Certain Characteristics of Derivatives | ' | ||||||||||||||||||
The following table summarizes certain characteristics of the Company’s TBA derivatives as of September 30, 2014 and December 31, 2013: | |||||||||||||||||||
30-Sep-14 | |||||||||||||||||||
Purchase and sale contracts for | Notional | Implied Cost | Implied Market | Net Carrying | |||||||||||||||
derivative TBAs | Basis | Value | Value | ||||||||||||||||
(dollars in thousands) | |||||||||||||||||||
Purchase contracts | $ | - | $ | - | $ | - | $ | - | |||||||||||
Sale contracts | (500,000 | ) | (493,193 | ) | (492,734 | ) | 459 | ||||||||||||
Net TBA derivatives | $ | (500,000 | ) | $ | (493,193 | ) | $ | (492,734 | ) | $ | 459 | ||||||||
31-Dec-13 | |||||||||||||||||||
Purchase and sale contracts for | Notional | Implied Cost | Implied Market | Net Carrying | |||||||||||||||
derivative TBAs | Basis | Value | Value | ||||||||||||||||
(dollars in thousands) | |||||||||||||||||||
Purchase contracts | $ | 2,625,000 | $ | 2,733,682 | $ | 2,722,324 | $ | (11,358 | ) | ||||||||||
Sale contracts | (3,875,000 | ) | (3,923,213 | ) | (3,904,941 | ) | 18,272 | ||||||||||||
Net TBA derivatives | $ | (1,250,000 | ) | $ | (1,189,531 | ) | $ | (1,182,617 | ) | $ | 6,914 |
INTEREST_INCOME_AND_INTEREST_E1
INTEREST INCOME AND INTEREST EXPENSE (Tables) | 9 Months Ended | ||||||||||||||||
Sep. 30, 2014 | |||||||||||||||||
Components of Company's Interest Income and Interest Expense | ' | ||||||||||||||||
The table below presents the components of the Company’s interest income and interest expense for the quarters and nine months ended September 30, 2014 and 2013. | |||||||||||||||||
Quarter Ended September 30, | Nine Months Ended September 30, | ||||||||||||||||
2014 | 2013 | 2014 | 2013 | ||||||||||||||
Interest income: | (dollars in thousands) | ||||||||||||||||
Investment Securities | $ | 606,331 | $ | 657,786 | $ | 1,861,037 | $ | 2,066,684 | |||||||||
Commercial investment portfolio(1) | 38,113 | 27,338 | 120,924 | 43,743 | |||||||||||||
U.S. Treasury securities | - | 7,718 | 1,329 | 20,956 | |||||||||||||
Securities loaned | - | 1,787 | 114 | 6,701 | |||||||||||||
Reverse repurchase agreements | 135 | 2,461 | 906 | 8,872 | |||||||||||||
Other | 61 | 70 | 193 | 357 | |||||||||||||
Total interest income | 644,640 | 697,160 | 1,984,503 | 2,147,313 | |||||||||||||
Interest expense: | |||||||||||||||||
Repurchase agreements | 102,750 | 120,123 | 309,654 | 419,132 | |||||||||||||
Convertible Senior Notes | 22,376 | 17,092 | 61,592 | 49,269 | |||||||||||||
U.S. Treasury securities sold, not yet purchased | - | 6,688 | 1,076 | 13,551 | |||||||||||||
Securities borrowed | - | 1,405 | 95 | 5,067 | |||||||||||||
Securitized debt of consolidated VIE | 1,780 | - | 5,244 | - | |||||||||||||
Participation sold | 163 | 168 | 486 | 302 | |||||||||||||
Total interest expense | 127,069 | 145,476 | 378,147 | 487,321 | |||||||||||||
Net interest income | $ | 517,571 | $ | 551,684 | $ | 1,606,356 | $ | 1,659,992 | |||||||||
(1) | Includes commercial real estate debt, preferred equity and corporate debt. |
NET_INCOME_LOSS_PER_COMMON_SHA1
NET INCOME (LOSS) PER COMMON SHARE (Tables) | 9 Months Ended | ||||||||||||||||
Sep. 30, 2014 | |||||||||||||||||
Schedule of Earnings Per Share Reconciliation | ' | ||||||||||||||||
The following table presents a reconciliation of net income and shares used in calculating basic and diluted earnings per share for the quarters and nine months ended September 30, 2014 and 2013. | |||||||||||||||||
Quarter Ended September 30, | Nine Months Ended September 30, | ||||||||||||||||
2014 | 2013 | 2014 | 2013 | ||||||||||||||
(dollars in thousands, except per share data) | (dollars in thousands, except per share data) | ||||||||||||||||
Net income (loss) | $ | 354,856 | $ | 192,458 | $ | (184,007 | ) | $ | 2,700,949 | ||||||||
Less: Preferred stock dividends | 17,992 | 17,992 | 53,976 | 53,976 | |||||||||||||
Net income (loss) available to common shareholders, prior to | 336,864 | 174,466 | (237,983 | ) | 2,646,973 | ||||||||||||
adjustment for dilutive potential common shares, if necessary | |||||||||||||||||
Add: Interest on Convertible Senior Notes, if dilutive | 12,226 | 1,075 | - | 31,351 | |||||||||||||
Net income (loss) available to common shareholders, as adjusted | 349,090 | 175,541 | (237,983 | ) | 2,678,324 | ||||||||||||
Weighted average shares of common stock outstanding-basic | 947,565,432 | 947,303,205 | 947,513,514 | 947,321,691 | |||||||||||||
Add: Effect of stock awards and Convertible Senior Notes, if dilutive | 39,750,095 | 8,387,266 | - | 47,997,979 | |||||||||||||
Weighted average shares of common stock outstanding-diluted | 987,315,527 | 955,690,471 | 947,513,514 | 995,319,670 | |||||||||||||
Net income (loss) per share available (related) to common share: | |||||||||||||||||
Basic | $ | 0.36 | $ | 0.18 | $ | (0.25 | ) | $ | 2.79 | ||||||||
Diluted | $ | 0.35 | $ | 0.18 | $ | (0.25 | ) | $ | 2.69 |
LONGTERM_STOCK_INCENTIVE_PLAN_
LONG-TERM STOCK INCENTIVE PLAN (Tables) | 9 Months Ended | ||||||||||||||||
Sep. 30, 2014 | |||||||||||||||||
Schedule of Issued and Outstanding Stock Options | ' | ||||||||||||||||
The following table sets forth activity related to the Company’s stock options awarded under the Plan: | |||||||||||||||||
Nine Months Ended September 30, | |||||||||||||||||
2014 | 2013 | ||||||||||||||||
Number of Shares | Weighted Average | Number of Shares | Weighted Average | ||||||||||||||
Exercise Price | Exercise Price | ||||||||||||||||
Options outstanding at the beginning of period | 3,581,752 | $ | 15.44 | 5,618,686 | $ | 15.74 | |||||||||||
Granted | - | ` - | - | - | |||||||||||||
Exercised | - | - | (166,375 | ) | 13.25 | ||||||||||||
Forfeited | (1,016,667 | ) | 15.07 | (1,226,803 | ) | 16.26 | |||||||||||
Expired | (305,750 | ) | 17.34 | (356,625 | ) | 17.91 | |||||||||||
Options outstanding at the end of period | 2,259,335 | $ | 15.35 | 3,868,883 | $ | 15.48 | |||||||||||
Options exercisable at the end of period | 2,259,335 | $ | 15.35 | 3,868,883 | $ | 15.48 |
LEASE_COMMITMENTS_AND_CONTINGE1
LEASE COMMITMENTS AND CONTINGENCIES (Tables) | 9 Months Ended | ||||
Sep. 30, 2014 | |||||
Lease Commitments and Contingencies | ' | ||||
The following table details the lease payments. | |||||
Year Ending December 31, | Lease Commitments | ||||
(dollars in thousands) | |||||
2014 (remaining) | $ | 574 | |||
2015 | 1,199 | ||||
2016 | 3,591 | ||||
2017 | 3,565 | ||||
2018 | 3,565 | ||||
Later years | 25,557 | ||||
$ | 38,051 |
Organization_and_Significant_A
Organization and Significant Accounting Policies - Narrative (Detail) (USD $) | Sep. 30, 2014 | Dec. 31, 2013 |
Schedule Of Significant Accounting Policies [Line Items] | ' | ' |
Allowance for loan losses | $0 | $0 |
Interest Rate Swaps | ' | ' |
Schedule Of Significant Accounting Policies [Line Items] | ' | ' |
Cash on margin with counterparty to interest rate swaps | $1,000,000,000 | $371,800,000 |
Summary_of_Estimated_Useful_Li
Summary of Estimated Useful Lives of Assets (Detail) | 9 Months Ended |
Sep. 30, 2014 | |
Buildings | Minimum | ' |
Property, Plant and Equipment [Line Items] | ' |
Estimated useful lives of assets | '27 years |
Buildings | Maximum | ' |
Property, Plant and Equipment [Line Items] | ' |
Estimated useful lives of assets | '40 years |
Site Improvements | Minimum | ' |
Property, Plant and Equipment [Line Items] | ' |
Estimated useful lives of assets | '2 years |
Site Improvements | Maximum | ' |
Property, Plant and Equipment [Line Items] | ' |
Estimated useful lives of assets | '10 years |
Recovered_Sheet1
Agency Mortgage-Backed Securities - Portfolio (Detail) (USD $) | Sep. 30, 2014 | Dec. 31, 2013 | |
In Thousands, unless otherwise specified | |||
Mortgage-Backed Securities Portfolio: | ' | ' | |
Estimated fair value | $81,462,387 | $70,388,949 | [1] |
Agency Mortgage Backed Securities | ' | ' | |
Mortgage-Backed Securities Portfolio: | ' | ' | |
Principal outstanding | 76,844,265 | 68,144,321 | |
Unamortized premium | 5,511,729 | 4,625,864 | |
Unamortized discount | -22,596 | -21,484 | |
Amortized cost | 82,333,398 | 72,748,701 | |
Gross unrealized gains | 726,008 | 693,325 | |
Gross unrealized losses | -1,597,019 | -3,053,077 | |
Estimated fair value | 81,462,387 | 70,388,949 | |
Agency Mortgage Backed Securities | Fixed Rate | ' | ' | |
Mortgage-Backed Securities Portfolio: | ' | ' | |
Amortized cost | 79,564,428 | 68,784,424 | |
Gross unrealized gains | 592,974 | 538,556 | |
Gross unrealized losses | -1,582,120 | -3,040,153 | |
Estimated fair value | 78,575,282 | 66,282,827 | |
Agency Mortgage Backed Securities | Adjustable Rate | ' | ' | |
Mortgage-Backed Securities Portfolio: | ' | ' | |
Amortized cost | 2,768,970 | 3,964,277 | |
Gross unrealized gains | 133,034 | 154,769 | |
Gross unrealized losses | -14,899 | -12,924 | |
Estimated fair value | 2,887,105 | 4,106,122 | |
Agency Mortgage Backed Securities | Freddie Mac | ' | ' | |
Mortgage-Backed Securities Portfolio: | ' | ' | |
Principal outstanding | 27,571,992 | 24,458,925 | |
Unamortized premium | 1,933,435 | 1,627,966 | |
Unamortized discount | -11,358 | -9,533 | |
Amortized cost | 29,494,069 | 26,077,358 | |
Gross unrealized gains | 213,771 | 227,423 | |
Gross unrealized losses | -676,308 | -1,267,106 | |
Estimated fair value | 29,031,532 | 25,037,675 | |
Agency Mortgage Backed Securities | Fannie Mae | ' | ' | |
Mortgage-Backed Securities Portfolio: | ' | ' | |
Principal outstanding | 49,170,673 | 43,564,657 | |
Unamortized premium | 3,556,906 | 2,970,813 | |
Unamortized discount | -10,869 | -11,568 | |
Amortized cost | 52,716,710 | 46,523,902 | |
Gross unrealized gains | 504,236 | 456,057 | |
Gross unrealized losses | -917,139 | -1,781,683 | |
Estimated fair value | 52,303,807 | 45,198,276 | |
Agency Mortgage Backed Securities | Ginnie Mae | ' | ' | |
Mortgage-Backed Securities Portfolio: | ' | ' | |
Principal outstanding | 101,600 | 120,739 | |
Unamortized premium | 21,388 | 27,085 | |
Unamortized discount | -369 | -383 | |
Amortized cost | 122,619 | 147,441 | |
Gross unrealized gains | 8,001 | 9,845 | |
Gross unrealized losses | -3,572 | -4,288 | |
Estimated fair value | $127,048 | $152,998 | |
[1] | Derived from the audited consolidated financial statements at December 31, 2013. |
Recovered_Sheet2
Agency Mortgage-Backed Securities - Weighted Average Life (Detail) (USD $) | Sep. 30, 2014 | Dec. 31, 2013 | |
In Thousands, unless otherwise specified | |||
Fair Value of Agency Mortgage-Backed Securities according to their estimated weighted-average life: | ' | ' | |
Estimated fair value | $81,462,387 | $70,388,949 | [1] |
Agency Mortgage Backed Securities | ' | ' | |
Fair Value of Agency Mortgage-Backed Securities according to their estimated weighted-average life: | ' | ' | |
Less than one year | 52,872 | 65,584 | |
Greater than one year through five years | 13,835,710 | 50,046,013 | |
Greater than five years through ten years | 66,997,257 | 14,915,716 | |
Greater than ten years | 576,548 | 5,361,636 | |
Estimated fair value | 81,462,387 | 70,388,949 | |
Amortized Cost of Agency Mortgage-Backed Securities according to their estimated weighted-average life: | ' | ' | |
Less than one year | 52,323 | 64,561 | |
Greater than one year through five years | 13,529,952 | 51,710,059 | |
Greater than five years through ten years | 68,148,447 | 15,292,973 | |
Greater than ten years | 602,676 | 5,681,108 | |
Total | $82,333,398 | $72,748,701 | |
[1] | Derived from the audited consolidated financial statements at December 31, 2013. |
Agency_MortgageBacked_Securiti2
Agency Mortgage-Backed Securities - Unrealized Loss Position (Detail) (USD $) | Sep. 30, 2014 | Dec. 31, 2013 |
In Thousands, unless otherwise specified | Securities | Securities |
Unrealized Loss Position For: | ' | ' |
Estimated Fair Value | $49,605,740 | $53,779,480 |
Gross Unrealized Losses | -1,597,019 | -3,053,077 |
Number of Securities | 565 | 638 |
Available For Sale Securities, Continuous Unrealized Loss Positions, Less Than 12 Months | ' | ' |
Unrealized Loss Position For: | ' | ' |
Estimated Fair Value | 10,279,297 | 47,677,197 |
Gross Unrealized Losses | -55,136 | -2,569,474 |
Number of Securities | 202 | 583 |
Available For Sale Securities, Continuous Unrealized Loss Positions, Greater Than 12 Months | ' | ' |
Unrealized Loss Position For: | ' | ' |
Estimated Fair Value | 39,326,443 | 6,102,283 |
Gross Unrealized Losses | ($1,541,883) | ($483,603) |
Number of Securities | 363 | 55 |
Agency_MortgageBacked_Securiti3
Agency Mortgage-Backed Securities - Narrative (Detail) (USD $) | 3 Months Ended | 9 Months Ended | ||||||
Sep. 30, 2014 | Sep. 30, 2013 | Sep. 30, 2014 | Sep. 30, 2013 | Sep. 30, 2014 | Dec. 31, 2013 | Sep. 30, 2014 | Dec. 31, 2013 | |
Interest-only securities | Interest-only securities | Accumulated Other Comprehensive Income (Loss) | Accumulated Other Comprehensive Income (Loss) | |||||
Interest-only securities | Interest-only securities | |||||||
Mortgage-Backed Securities Sold: | ' | ' | ' | ' | ' | ' | ' | ' |
Mortgage-Backed securities sold, carrying value | $4,100,000,000 | $12,800,000,000 | $13,300,000,000 | $42,600,000,000 | ' | ' | ' | ' |
Mortgage-Backed securities sold, realized gain | 5,500,000 | 43,600,000 | 176,500,000 | 374,400,000 | ' | ' | ' | ' |
Unrealized gains | ' | ' | ' | ' | ' | ' | 21,500,000 | 78,100,000 |
Amortized cost | ' | ' | ' | ' | $1,200,000,000 | $1,000,000,000 | ' | ' |
Acquisition_of_Crexus_Narrativ
Acquisition of Crexus - Narrative (Detail) (USD $) | 6 Months Ended | 9 Months Ended | 12 Months Ended | |
Jun. 30, 2013 | Sep. 30, 2014 | Dec. 31, 2013 | ||
Business Acquisition [Line Items] | ' | ' | ' | |
Business acquisition agreement date | ' | 30-Jan-13 | ' | |
Goodwill | $71,400,000 | $94,781,000 | $94,781,000 | [1] |
Goodwill adjustment | 400,000 | ' | ' | |
Business combination loss recognized | 18,900,000 | ' | ' | |
Business acquisition transaction cost | ' | ' | $7,300,000 | |
[1] | Derived from the audited consolidated financial statements at December 31, 2013. |
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, 2014 | Dec. 31, 2013 | Jun. 30, 2013 | Apr. 17, 2013 | Apr. 17, 2013 | Apr. 17, 2013 | Apr. 17, 2013 | Apr. 17, 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, Total | ' | ' | ' | 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 | 94,781 | 94,781 | [1] | 71,400 | ' | 71,350 | ' | ' | ' |
Recognized amounts of identifiable assets | ' | ' | ' | ' | $982,788 | ' | ' | ' | |
[1] | Derived from the audited consolidated financial statements at December 31, 2013. |
CRE_Debt_and_Preferred_Equity_
CRE Debt and Preferred Equity Investments (Detail) (USD $) | Sep. 30, 2014 | Jan. 31, 2014 | Dec. 31, 2013 | ||
In Thousands, unless otherwise specified | |||||
Transaction to Real Estate Investments [Line Items] | ' | ' | ' | ||
Carrying Value | $1,554,958 | $399,500 | $1,583,969 | ||
Commercial Mortgage | ' | ' | ' | ||
Transaction to Real Estate Investments [Line Items] | ' | ' | ' | ||
Outstanding Principal | 1,559,098 | ' | 1,587,223 | ||
Carrying Value | 1,554,958 | [1] | ' | 1,583,969 | [1] |
Percentage of Loan Portfolio | 100.00% | [2] | ' | 100.00% | [2] |
Commercial Mortgage | Senior Mortgages | ' | ' | ' | ||
Transaction to Real Estate Investments [Line Items] | ' | ' | ' | ||
Outstanding Principal | 372,210 | ' | 669,512 | ||
Carrying Value | 371,285 | [1] | ' | 667,299 | [1] |
Percentage of Loan Portfolio | 23.90% | [2] | ' | 42.20% | [2] |
Commercial Mortgage | Senior Securitized Mortgages | ' | ' | ' | ||
Transaction to Real Estate Investments [Line Items] | ' | ' | ' | ||
Outstanding Principal | 399,541 | [3] | ' | ' | |
Carrying Value | 398,409 | [1],[3] | ' | ' | |
Percentage of Loan Portfolio | 25.60% | [2],[3] | ' | 0.00% | [2],[3] |
Commercial Mortgage | Subordinated Notes | ' | ' | ' | ||
Transaction to Real Estate Investments [Line Items] | ' | ' | ' | ||
Outstanding Principal | ' | ' | 41,059 | ||
Carrying Value | ' | ' | 41,408 | [1] | |
Percentage of Loan Portfolio | 0.00% | [2] | ' | 2.60% | [2] |
Commercial Mortgage | Mezzanine Loans | ' | ' | ' | ||
Transaction to Real Estate Investments [Line Items] | ' | ' | ' | ||
Outstanding Principal | 537,578 | ' | 626,883 | ||
Carrying Value | 537,654 | [1] | ' | 628,102 | [1] |
Percentage of Loan Portfolio | 34.50% | [2] | ' | 39.50% | [2] |
Commercial Mortgage | Preferred Equity Interests | ' | ' | ' | ||
Transaction to Real Estate Investments [Line Items] | ' | ' | ' | ||
Outstanding Principal | 249,769 | ' | 249,769 | ||
Carrying Value | $247,610 | [1] | ' | $247,160 | [1] |
Percentage of Loan Portfolio | 16.00% | [2] | ' | 15.70% | [2] |
[1] | Carrying value includes unamortized origination fees of $4.4 million and $5.4 million as of September 30, 2014 and December 31, 2013, respectively. | ||||
[2] | Based on outstanding principal. | ||||
[3] | Assets of consolidated VIE. |
CRE_Debt_and_Preferred_Equity_1
CRE Debt and Preferred Equity Investments (Parenthetical) (Detail) (Commercial Mortgage, USD $) | Sep. 30, 2014 | Dec. 31, 2013 |
In Millions, unless otherwise specified | ||
Commercial Mortgage | ' | ' |
Transaction to Real Estate Investments [Line Items] | ' | ' |
Net origination fees | $4.40 | $5.30 |
CRE_Debt_and_Preferred_Equity_2
CRE Debt and Preferred Equity Investments -Based on Outstanding Principal (Detail) (USD $) | 9 Months Ended | 12 Months Ended | |||
In Thousands, unless otherwise specified | Sep. 30, 2014 | Dec. 31, 2013 | Jan. 31, 2014 | ||
Transaction to Real Estate Investments [Line Items] | ' | ' | ' | ||
Beginning balance | $1,583,969 | $1,227,182 | ' | ||
Originations & advances (principal) | 209,694 | 436,190 | ' | ||
Principal payments | -237,796 | -64,513 | ' | ||
Sales (principal) | ' | -13,750 | ' | ||
Amortization & accretion of (premium) discounts | -1,400 | -271 | ' | ||
Net (increase) decrease in origination fees | -2,846 | -1,693 | ' | ||
Amortization of net origination fees | -3,337 | 824 | ' | ||
Allowance for loan losses | ' | ' | ' | ||
Net carrying value | 1,554,958 | 1,583,969 | 399,500 | ||
Commercial Mortgage | ' | ' | ' | ||
Transaction to Real Estate Investments [Line Items] | ' | ' | ' | ||
Net carrying value | 1,554,958 | [1] | 1,583,969 | [1] | ' |
Commercial Mortgage | Senior Mortgages | ' | ' | ' | ||
Transaction to Real Estate Investments [Line Items] | ' | ' | ' | ||
Beginning balance | 667,299 | 429,229 | ' | ||
Originations & advances (principal) | 114,946 | 240,150 | ' | ||
Principal payments | -12,685 | -388 | ' | ||
Sales (principal) | ' | -13,750 | ' | ||
Amortization & accretion of (premium) discounts | -102 | -37 | ' | ||
Net (increase) decrease in origination fees | -2,267 | -1,106 | ' | ||
Amortization of net origination fees | 2,072 | 701 | ' | ||
Transfers | -397,978 | 12,500 | ' | ||
Allowance for loan losses | ' | ' | ' | ||
Net carrying value | 371,285 | [1] | 667,299 | [1] | ' |
Commercial Mortgage | Senior Securitized Mortgages | ' | ' | ' | ||
Transaction to Real Estate Investments [Line Items] | ' | ' | ' | ||
Net (increase) decrease in origination fees | -116 | [2] | ' | ' | |
Amortization of net origination fees | 547 | [2] | ' | ' | |
Transfers | 397,978 | [2] | ' | ' | |
Allowance for loan losses | ' | [2] | ' | ' | |
Net carrying value | 398,409 | [1],[2] | ' | ' | |
Commercial Mortgage | Subordinated Notes | ' | ' | ' | ||
Transaction to Real Estate Investments [Line Items] | ' | ' | ' | ||
Beginning balance | 41,408 | 41,571 | ' | ||
Principal payments | -41,059 | -90 | ' | ||
Amortization & accretion of (premium) discounts | -349 | -73 | ' | ||
Allowance for loan losses | ' | ' | ' | ||
Net carrying value | ' | 41,408 | [1] | ' | |
Commercial Mortgage | Mezzanine Loans | ' | ' | ' | ||
Transaction to Real Estate Investments [Line Items] | ' | ' | ' | ||
Beginning balance | 628,102 | 568,759 | ' | ||
Originations & advances (principal) | 94,748 | 136,040 | ' | ||
Principal payments | -184,052 | -64,035 | ' | ||
Amortization & accretion of (premium) discounts | -1,031 | -192 | ' | ||
Net (increase) decrease in origination fees | -463 | 14 | ' | ||
Amortization of net origination fees | 350 | 16 | ' | ||
Transfers | ' | -12,500 | ' | ||
Allowance for loan losses | ' | ' | ' | ||
Net carrying value | 537,654 | [1] | 628,102 | [1] | ' |
Commercial Mortgage | Preferred Equity Interests | ' | ' | ' | ||
Transaction to Real Estate Investments [Line Items] | ' | ' | ' | ||
Beginning balance | 247,160 | 187,623 | ' | ||
Originations & advances (principal) | ' | 60,000 | ' | ||
Amortization & accretion of (premium) discounts | 82 | 31 | ' | ||
Net (increase) decrease in origination fees | ' | -601 | ' | ||
Amortization of net origination fees | 368 | 107 | ' | ||
Allowance for loan losses | ' | ' | ' | ||
Net carrying value | $247,610 | [1] | $247,160 | [1] | ' |
[1] | Carrying value includes unamortized origination fees of $4.4 million and $5.4 million as of September 30, 2014 and December 31, 2013, respectively. | ||||
[2] | Assets of consolidated VIE. |
Internal_CRE_Debt_and_Preferre
Internal CRE Debt and Preferred Equity Ratings (Detail) (Commercial Mortgage, USD $) | Sep. 30, 2014 | Dec. 31, 2013 | ||
In Thousands, unless otherwise specified | ||||
Transaction to Real Estate Investments [Line Items] | ' | ' | ||
Performing Loans | $1,530,642 | $1,555,750 | ||
Internal Ratings Watch List | ' | ' | ||
Defaulted-Recovery | 28,456 | 31,473 | ||
Workout | ' | ' | ||
Senior Mortgages | ' | ' | ||
Transaction to Real Estate Investments [Line Items] | ' | ' | ||
Performing Loans | 359,237 | 644,039 | ||
Internal Ratings Watch List | ' | ' | ||
Defaulted-Recovery | 12,973 | [1] | 25,473 | [1] |
Workout | ' | ' | ||
Senior Securitized Mortgages | ' | ' | ||
Transaction to Real Estate Investments [Line Items] | ' | ' | ||
Performing Loans | 399,541 | [2] | ' | |
Internal Ratings Watch List | ' | [2] | ' | |
Workout | ' | [2] | ' | |
Subordinated Notes | ' | ' | ||
Transaction to Real Estate Investments [Line Items] | ' | ' | ||
Performing Loans | ' | 41,059 | ||
Internal Ratings Watch List | ' | ' | ||
Workout | ' | ' | ||
Mezzanine Loans | ' | ' | ||
Transaction to Real Estate Investments [Line Items] | ' | ' | ||
Performing Loans | 522,095 | 620,883 | ||
Internal Ratings Watch List | ' | ' | ||
Defaulted-Recovery | 15,483 | 6,000 | ||
Workout | ' | ' | ||
Preferred Equity Interests | ' | ' | ||
Transaction to Real Estate Investments [Line Items] | ' | ' | ||
Performing Loans | 249,769 | 249,769 | ||
Internal Ratings Watch List | ' | ' | ||
Workout | ' | ' | ||
[1] | Relates to one loan on nonaccrual status. | |||
[2] | Assets of consolidated VIE. |
Summary_of_Acquisitions_of_Rea
Summary of Acquisitions of Real Estate Held for Investment (Detail) (USD $) | 9 Months Ended | |
In Thousands, unless otherwise specified | Sep. 30, 2014 | |
Transaction to Real Estate Investments [Line Items] | ' | |
Purchase Price | $36,743 | |
TENNESSEE | Single-tenant retail [Member] | ' | |
Transaction to Real Estate Investments [Line Items] | ' | |
Date of Acquisition | 30-Apr-14 | |
Purchase Price | 19,000 | |
Remaining Lease Term | '2022 | [1] |
VIRGINIA | Multi-tenant retail [Member] | ' | |
Transaction to Real Estate Investments [Line Items] | ' | |
Date of Acquisition | 30-Jun-14 | |
Purchase Price | $17,743 | |
Remaining Lease Term | '2021 | [1] |
[1] | Does not include extension options. |
Recovered_Sheet3
Commercial Real Estate Investments - Additional Information (Detail) (USD $) | 1 Months Ended | 9 Months Ended | 12 Months Ended |
Jan. 31, 2014 | Sep. 30, 2014 | Dec. 31, 2013 | |
Real Estate Properties [Line Items] | ' | ' | ' |
Transaction costs related to acquisitions | ' | ' | $7,300,000 |
Securitization financing transaction, purchase | 399,500,000 | 1,554,958,000 | 1,583,969,000 |
Securitization financing transaction, total | 260,700,000 | 260,700,000 | ' |
Securitization financing transaction, weighted average rate | 65.30% | ' | ' |
Securitization financing transaction, variable interest rate | 1.74% | ' | ' |
Securitization financing transaction, variable interest rate description | ' | 'LIBOR plus 1.74% at closing | ' |
General and Administrative Expense | ' | ' | ' |
Real Estate Properties [Line Items] | ' | ' | ' |
Transaction costs related to acquisitions | ' | 1,000,000 | ' |
Other Assets | ' | ' | ' |
Real Estate Properties [Line Items] | ' | ' | ' |
Securitization cost | $4,300,000 | ' | ' |
Aggregate_Allocation_of_Purcha
Aggregate Allocation of Purchase Price (Detail) (USD $) | 9 Months Ended |
In Thousands, unless otherwise specified | Sep. 30, 2014 |
Transaction to Real Estate Investments [Line Items] | ' |
Total purchase price | $36,743 |
Land | ' |
Transaction to Real Estate Investments [Line Items] | ' |
Total purchase price | 9,711 |
Buildings | ' |
Transaction to Real Estate Investments [Line Items] | ' |
Total purchase price | 25,972 |
Site Improvements | ' |
Transaction to Real Estate Investments [Line Items] | ' |
Total purchase price | 2,548 |
Real Estate Held for Investment | ' |
Transaction to Real Estate Investments [Line Items] | ' |
Total purchase price | 38,231 |
Leaseholds and Leasehold Improvements [Member] | ' |
Transaction to Real Estate Investments [Line Items] | ' |
Total purchase price | 7,698 |
Below Market Lease Value | ' |
Transaction to Real Estate Investments [Line Items] | ' |
Total purchase price | ($9,186) |
Total_Real_Estate_Held_for_Inv
Total Real Estate Held for Investment (Detail) (USD $) | Sep. 30, 2014 | Dec. 31, 2013 | ||
In Thousands, unless otherwise specified | ||||
Real estate held for investment, at amortized cost | ' | ' | ||
Real estate held for investment, at amortized cost | $75,969 | $37,739 | ||
Less: accumulated depreciation | -2,142 | -877 | ||
Total real estate held for investment at amortized cost, net | 73,827 | 36,862 | ||
Real estate held for sale at fair value | ' | 23,270 | ||
Total investment in commercial real estate, net | 73,827 | 60,132 | [1] | |
Net carrying value of CRE Debt and Preferred Equity Investments | 1,554,958 | [2] | 1,583,969 | [1],[2] |
Total commercial real estate investments | 1,628,785 | 1,644,101 | ||
Land | ' | ' | ||
Real estate held for investment, at amortized cost | ' | ' | ||
Real estate held for investment, at amortized cost | 16,350 | 6,639 | ||
Building Improvements | ' | ' | ||
Real estate held for investment, at amortized cost | ' | ' | ||
Real estate held for investment, at amortized cost | $59,619 | $31,100 | ||
[1] | Derived from the audited consolidated financial statements at December 31, 2013. | |||
[2] | Includes senior securitized mortgages of consolidated VIE with a carrying value of $398.4 million at September 30, 2014. |
Fair_Value_Measurements_Detail
Fair Value Measurements (Detail) (USD $) | Sep. 30, 2014 | Dec. 31, 2013 | |
In Thousands, unless otherwise specified | |||
Assets: | ' | ' | |
U.S. Treasury securities | ' | $1,117,915 | |
Agency mortgage-backed securities | 81,462,387 | 70,388,949 | |
Agency debentures | 1,334,181 | 2,969,885 | |
Investment in affiliates | 136,748 | 139,447 | |
Interest rate swaps | 198,066 | 559,044 | [1] |
Other derivatives | 19,407 | 146,725 | |
Total Assets | 83,150,789 | 75,321,965 | |
Liabilities: | ' | ' | |
U.S. Treasury securities sold, not yet purchased | ' | 1,918,394 | |
Interest rate swaps | 857,658 | 1,141,828 | [1] |
Other derivatives | ' | 55,518 | |
Total Liabilities | 857,658 | 3,115,740 | |
Level 1 | ' | ' | |
Assets: | ' | ' | |
U.S. Treasury securities | ' | 1,117,915 | |
Investment in affiliates | 136,748 | 139,447 | |
Other derivatives | 6,680 | 3,487 | |
Total Assets | 143,428 | 1,260,849 | |
Liabilities: | ' | ' | |
U.S. Treasury securities sold, not yet purchased | ' | 1,918,394 | |
Other derivatives | ' | 439 | |
Total Liabilities | ' | 1,918,833 | |
Level 2 | ' | ' | |
Assets: | ' | ' | |
Agency mortgage-backed securities | 81,462,387 | 70,388,949 | |
Agency debentures | 1,334,181 | 2,969,885 | |
Interest rate swaps | 198,066 | 559,044 | |
Other derivatives | 12,727 | 143,238 | |
Total Assets | 83,007,361 | 74,061,116 | |
Liabilities: | ' | ' | |
Interest rate swaps | 857,658 | 1,141,828 | |
Other derivatives | ' | 55,079 | |
Total Liabilities | $857,658 | $1,196,907 | |
[1] | Derived from the audited consolidated financial statements at December 31, 2013. |
Estimated_Fair_Value_for_All_F
Estimated Fair Value for All Financial Assets and Liabilities (Detail) (USD $) | Sep. 30, 2014 | Jan. 31, 2014 | Dec. 31, 2013 | |
In Thousands, unless otherwise specified | ||||
Financial assets: | ' | ' | ' | |
U.S. Treasury securities | ' | ' | $1,117,915 | |
Agency mortgage-backed securities | 81,462,387 | ' | 70,388,949 | |
Agency debentures | 1,334,181 | ' | 2,969,885 | |
Investment in affiliates | 136,748 | ' | 139,447 | |
Interest rate swaps | 217,473 | ' | 705,769 | |
Other derivatives | 19,407 | ' | 146,725 | |
Financial liabilities: | ' | ' | ' | |
U.S. Treasury securities sold, not yet purchased | ' | ' | 1,918,394 | |
Securities loaned | 7 | ' | 2,527,668 | [1] |
Securitized debt of consolidated VIE | 260,700 | 260,700 | ' | |
Interest rate swaps | 857,658 | ' | 1,197,346 | |
Other derivatives | ' | ' | 55,518 | |
Level 1 | ' | ' | ' | |
Financial assets: | ' | ' | ' | |
U.S. Treasury securities | ' | ' | 1,117,915 | |
Investment in affiliates | 136,748 | ' | 139,447 | |
Other derivatives | 6,680 | ' | 3,487 | |
Financial liabilities: | ' | ' | ' | |
U.S. Treasury securities sold, not yet purchased | ' | ' | 1,918,394 | |
Other derivatives | ' | ' | 439 | |
Level 2 | ' | ' | ' | |
Financial assets: | ' | ' | ' | |
Agency mortgage-backed securities | 81,462,387 | ' | 70,388,949 | |
Agency debentures | 1,334,181 | ' | 2,969,885 | |
Other derivatives | 12,727 | ' | 143,238 | |
Financial liabilities: | ' | ' | ' | |
Other derivatives | ' | ' | 55,079 | |
Estimate of Fair Value, Fair Value Disclosure | Level 1 | ' | ' | ' | |
Financial assets: | ' | ' | ' | |
Cash and cash equivalents | 1,178,621 | ' | 552,436 | |
Reverse repurchase agreements | ' | ' | 100,000 | |
Securities borrowed | ' | ' | 2,582,893 | |
U.S. Treasury securities | ' | ' | 1,117,915 | |
Investment in affiliates | 136,748 | ' | 139,447 | |
Financial liabilities: | ' | ' | ' | |
U.S. Treasury securities sold, not yet purchased | ' | ' | 1,918,394 | |
Securities loaned | 7 | ' | 2,527,668 | |
Convertible Senior Notes | 873,937 | ' | 870,199 | |
Estimate of Fair Value, Fair Value Disclosure | Level 2 | ' | ' | ' | |
Financial assets: | ' | ' | ' | |
Agency mortgage-backed securities | 81,462,387 | ' | 70,388,949 | |
Agency debentures | 1,334,181 | ' | 2,969,885 | |
Corporate debt | 145,008 | ' | 118,362 | |
Interest rate swaps | 198,066 | ' | 559,044 | |
Financial liabilities: | ' | ' | ' | |
Securitized debt of consolidated VIE | 262,421 | ' | ' | |
Mortgages payable | 42,595 | ' | 19,240 | |
Interest rate swaps | 857,658 | ' | 1,141,828 | |
Estimate of Fair Value, Fair Value Disclosure | Level 3 | ' | ' | ' | |
Financial assets: | ' | ' | ' | |
Commercial real estate debt and preferred equity | 1,566,232 | ' | 1,581,836 | |
Financial liabilities: | ' | ' | ' | |
Participation sold | 13,756 | ' | 14,050 | |
Estimate of Fair Value, Fair Value Disclosure | Level 1, Level 2 | ' | ' | ' | |
Financial assets: | ' | ' | ' | |
Other derivatives | 19,407 | ' | 146,725 | |
Financial liabilities: | ' | ' | ' | |
Repurchase agreements | 69,847,704 | ' | 62,134,133 | |
Other derivatives | ' | ' | 55,518 | |
Carrying (Reported) Amount, Fair Value Disclosure | Level 1 | ' | ' | ' | |
Financial assets: | ' | ' | ' | |
Cash and cash equivalents | 1,178,621 | ' | 552,436 | |
Reverse repurchase agreements | ' | ' | 100,000 | |
Securities borrowed | ' | ' | 2,582,893 | |
U.S. Treasury securities | ' | ' | 1,117,915 | |
Investment in affiliates | 136,748 | ' | 139,447 | |
Financial liabilities: | ' | ' | ' | |
U.S. Treasury securities sold, not yet purchased | ' | ' | 1,918,394 | |
Securities loaned | 7 | ' | 2,527,668 | |
Convertible Senior Notes | 836,625 | ' | 825,262 | |
Carrying (Reported) Amount, Fair Value Disclosure | Level 2 | ' | ' | ' | |
Financial assets: | ' | ' | ' | |
Agency mortgage-backed securities | 81,462,387 | ' | 70,388,949 | |
Agency debentures | 1,334,181 | ' | 2,969,885 | |
Corporate debt | 144,451 | ' | 117,687 | |
Interest rate swaps | 198,066 | ' | 559,044 | |
Financial liabilities: | ' | ' | ' | |
Securitized debt of consolidated VIE | 260,700 | ' | ' | |
Mortgages payable | 42,635 | ' | 19,332 | |
Interest rate swaps | 857,658 | ' | 1,141,828 | |
Carrying (Reported) Amount, Fair Value Disclosure | Level 3 | ' | ' | ' | |
Financial assets: | ' | ' | ' | |
Commercial real estate debt and preferred equity | 1,554,958 | ' | 1,583,969 | |
Financial liabilities: | ' | ' | ' | |
Participation sold | 13,768 | ' | 14,065 | |
Carrying (Reported) Amount, Fair Value Disclosure | Level 1, Level 2 | ' | ' | ' | |
Financial assets: | ' | ' | ' | |
Other derivatives | 19,407 | ' | 146,725 | |
Financial liabilities: | ' | ' | ' | |
Repurchase agreements | 69,610,722 | ' | 61,781,001 | |
Other derivatives | ' | ' | $55,518 | |
[1] | Derived from the audited consolidated financial statements at December 31, 2013. |
Repurchase_Agreements_Narrativ
Repurchase Agreements - Narrative (Detail) (USD $) | 9 Months Ended | 12 Months Ended | |
Sep. 30, 2014 | Dec. 31, 2013 | ||
Repurchase Agreements: | ' | ' | |
Repurchase agreements - outstanding | $69,610,722,000 | $61,781,001,000 | [1] |
Repurchase agreements - weighted average borrowing rates | 1.61% | 2.33% | |
Repurchase agreements - weighted average remaining maturities (in days) | '159 days | '204 days | |
Secured financings and interest rate swaps - collateral held, estimated fair value | 73,300,000,000 | 67,900,000,000 | |
Secured financings and interest rate swaps - collateral held, accrued interest | $230,100,000 | $222,100,000 | |
[1] | Derived from the audited consolidated financial statements at December 31, 2013. |
Repurchase_Agreements_Remainin
Repurchase Agreements - Remaining Maturities (Detail) (USD $) | Sep. 30, 2014 | Dec. 31, 2013 | ||
In Thousands, unless otherwise specified | ||||
Repurchase Agreements: | ' | ' | ||
Repurchase agreements | $69,610,722 | $61,781,001 | [1] | |
Weighted average rate | 0.58% | 0.68% | ||
1 day | ' | ' | ||
Repurchase Agreements: | ' | ' | ||
Repurchase agreements | 2,609,132 | ' | ||
Weighted average rate | 0.15% | 0.00% | ||
2 to 29 days | ' | ' | ||
Repurchase Agreements: | ' | ' | ||
Repurchase agreements | 18,032,715 | 21,171,574 | ||
Weighted average rate | 0.30% | 0.36% | ||
30 to 59 days | ' | ' | ||
Repurchase Agreements: | ' | ' | ||
Repurchase agreements | 14,241,967 | 13,373,921 | ||
Weighted average rate | 0.37% | 0.43% | ||
60 to 89 days | ' | ' | ||
Repurchase Agreements: | ' | ' | ||
Repurchase agreements | 2,871,206 | 3,592,266 | ||
Weighted average rate | 0.38% | 0.44% | ||
90 to 119 days | ' | ' | ||
Repurchase Agreements: | ' | ' | ||
Repurchase agreements | 10,548,578 | 4,010,334 | ||
Weighted average rate | 0.37% | 0.52% | ||
Over 120 days | ' | ' | ||
Repurchase Agreements: | ' | ' | ||
Repurchase agreements | $21,307,124 | [2] | $19,632,906 | [2] |
Weighted average rate | 1.14% | [2] | 1.29% | [2] |
[1] | Derived from the audited consolidated financial statements at December 31, 2013. | |||
[2] | Approximately 12% and 16% of the total repurchase agreements had a remaining maturity over 1 year as of September 30, 2014 and December 31, 2013, respectively. |
Repurchase_Agreements_Remainin1
Repurchase Agreements - Remaining Maturities (Parenthetical) (Detail) | 9 Months Ended | 12 Months Ended |
Sep. 30, 2014 | Dec. 31, 2013 | |
Repurchase Agreements: | ' | ' |
Percentage of repurchase agreement | 12.00% | 16.00% |
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, 2014 | Dec. 31, 2013 | |
Repurchase Agreements: | ' | ' | |
Gross amounts -reverse repurchase agreements | $250,000 | $2,524,980 | |
Amounts offset - reverse repurchase agreement | -250,000 | -2,424,980 | |
Netted amounts -reverse repurchase | 0 | 100,000 | [1] |
Gross amounts -repurchase agreement | 69,860,722 | 64,205,981 | |
Amounts offset -repurchase agreement | -250,000 | -2,424,980 | |
Netted amounts -repurchase agreement | $69,610,722 | $61,781,001 | [1] |
[1] | Derived from the audited consolidated financial statements at December 31, 2013. |
Summary_of_Fair_Value_Informat
Summary of Fair Value Information about Derivative Assets and Liabilities (Detail) (USD $) | Sep. 30, 2014 | Dec. 31, 2013 |
In Thousands, unless otherwise specified | ||
Derivatives, Fair Value [Line Items] | ' | ' |
Derivative assets | $217,473 | $705,769 |
Derivative liabilities | 857,658 | 1,197,346 |
Interest Rate Swaps | ' | ' |
Derivatives, Fair Value [Line Items] | ' | ' |
Derivative assets | 198,066 | 559,044 |
Derivative liabilities | 857,658 | 1,141,828 |
Other Derivative Contracts | Interest Rate Swaption | ' | ' |
Derivatives, Fair Value [Line Items] | ' | ' |
Derivative assets | 12,268 | 110,361 |
Derivative liabilities | ' | 24,662 |
Other Derivative Contracts | TBA Derivatives | ' | ' |
Derivatives, Fair Value [Line Items] | ' | ' |
Derivative assets | 459 | 20,693 |
Derivative liabilities | ' | 13,779 |
Other Derivative Contracts | Collateralized Mortgage Backed Securities | ' | ' |
Derivatives, Fair Value [Line Items] | ' | ' |
Derivative assets | ' | 12,184 |
Derivative liabilities | ' | 16,638 |
Other Derivative Contracts | Futures Contracts | ' | ' |
Derivatives, Fair Value [Line Items] | ' | ' |
Derivative assets | 6,680 | 3,487 |
Derivative liabilities | ' | $439 |
Summary_of_Characteristics_of_
Summary of Characteristics of Interest Rate Swaps (Detail) (USD $) | 9 Months Ended | 12 Months Ended | |
In Thousands, unless otherwise specified | Sep. 30, 2014 | Dec. 31, 2013 | |
Derivative Instruments: | ' | ' | |
Weighted Average Pay Rate | 2.48% | 2.14% | |
Weighted Average Receive Rate | 0.21% | 0.20% | |
Interest Rate Swaps | ' | ' | |
Derivative Instruments: | ' | ' | |
Current Notional | $31,471,322 | [1] | $52,426,910 |
Weighted Average Pay Rate | 2.48% | [2],[3] | 2.14% |
Weighted Average Receive Rate | 0.21% | [2] | 0.20% |
Average Years to Maturity | '8 years 7 months 10 days | [2] | '5 years 3 months 4 days |
Interest Rate Swaps | 0 - 3 years | ' | ' | |
Derivative Instruments: | ' | ' | |
Derivative Instruments minimum maturity period | '0 years | '0 years | |
Derivative Instruments maximum maturity period | '3 years | '3 years | |
Current Notional | 2,202,522 | [1] | 24,286,000 |
Weighted Average Pay Rate | 1.47% | [2],[3] | 1.83% |
Weighted Average Receive Rate | 0.16% | [2] | 0.18% |
Average Years to Maturity | '2 years 10 months 2 days | [2] | '1 year 11 months 23 days |
Interest Rate Swaps | 3 - 6 years | ' | ' | |
Derivative Instruments: | ' | ' | |
Derivative Instruments minimum maturity period | '3 years | '3 years | |
Derivative Instruments maximum maturity period | '6 years | '6 years | |
Current Notional | 11,013,000 | [1] | 8,865,410 |
Weighted Average Pay Rate | 2.06% | [2],[3] | 2.02% |
Weighted Average Receive Rate | 0.22% | [2] | 0.19% |
Average Years to Maturity | '5 years 4 months 2 days | [2] | '4 years 2 months 9 days |
Interest Rate Swaps | 6 - 10 years | ' | ' | |
Derivative Instruments: | ' | ' | |
Derivative Instruments minimum maturity period | '6 years | '6 years | |
Derivative Instruments maximum maturity period | '10 years | '10 years | |
Current Notional | 13,204,000 | [1] | 15,785,500 |
Weighted Average Pay Rate | 2.65% | [2],[3] | 2.37% |
Weighted Average Receive Rate | 0.22% | [2] | 0.23% |
Average Years to Maturity | '8 years 8 months 16 days | [2] | '7 years 7 months 28 days |
Interest Rate Swaps | Greater than 10 years | ' | ' | |
Derivative Instruments: | ' | ' | |
Derivative Instruments minimum maturity period | '10 years | '10 years | |
Current Notional | $5,051,800 | [1] | $3,490,000 |
Weighted Average Pay Rate | 3.58% | [2],[3] | 3.62% |
Weighted Average Receive Rate | 0.19% | [2] | 0.20% |
Average Years to Maturity | '19 years 9 months 11 days | [2] | '19 years 11 months 5 days |
[1] | Notional amount includes $800.0 million in forward starting pay fixed swaps. | ||
[2] | Excludes forward starting swaps. | ||
[3] | Weighted average fixed rate on forward starting pay fixed swaps was 3.24%. |
Summary_of_Characteristics_of_1
Summary of Characteristics of Interest Rate Swaps (Parenthetical) (Detail) (USD $) | Sep. 30, 2014 | Dec. 31, 2013 |
In Thousands, unless otherwise specified | ||
Derivative Instruments: | ' | ' |
Weighted average fixed rate | 2.48% | 2.14% |
Forward Starting Pay Fixed Swaps | ' | ' |
Derivative Instruments: | ' | ' |
Notional amount | 800,000 | ' |
Weighted average fixed rate | 3.24% | ' |
Summary_of_Characteristics_of_2
Summary of Characteristics of Interest Rate Swaptions (Detail) (Interest Rate Swaption, USD $) | 9 Months Ended | 12 Months Ended |
In Thousands, unless otherwise specified | Sep. 30, 2014 | Dec. 31, 2013 |
Long | ' | ' |
Derivative Instruments: | ' | ' |
Current Underlying Notional | $1,900,000 | $5,150,000 |
Underlying Pay Rate | '3.13 | '3.07 |
Underlying Receive Rate | '3M LIBOR | '3M LIBOR |
Years to Maturity | '10 years 7 days | '10 years 1 month 6 days |
Months to Expiration | '4 years 9 months 26 days | '4 years 3 months 4 days |
Short | ' | ' |
Derivative Instruments: | ' | ' |
Current Underlying Notional | ' | $1,000,000 |
Underlying Pay Rate | '- | '3M LIBOR |
Underlying Receive Rate | '- | '2.83 |
Years to Maturity | '0 years | '5 years 11 months 16 days |
Months to Expiration | '0 years | '23 years 8 months 16 days |
Summary_of_Characteristics_of_3
Summary of Characteristics of TBA Derivatives (Detail) (TBA Derivatives, USD $) | 9 Months Ended | 12 Months Ended |
In Thousands, unless otherwise specified | Sep. 30, 2014 | Dec. 31, 2013 |
Derivative Instruments: | ' | ' |
Notional | ($500,000) | ($1,250,000) |
Implied Cost Basis | -493,193 | -1,189,531 |
Implied Market Value | -492,734 | -1,182,617 |
Carrying Value | 459 | 6,914 |
Purchase Contracts | ' | ' |
Derivative Instruments: | ' | ' |
Notional | ' | 2,625,000 |
Implied Cost Basis | ' | 2,733,682 |
Implied Market Value | ' | 2,722,324 |
Carrying Value | ' | -11,358 |
Sales Contracts | ' | ' |
Derivative Instruments: | ' | ' |
Notional | -500,000 | -3,875,000 |
Implied Cost Basis | -493,193 | -3,923,213 |
Implied Market Value | -492,734 | -3,904,941 |
Carrying Value | $459 | $18,272 |
Offsetting_of_Derivative_Asset
Offsetting of Derivative Assets and Liabilities (Detail) (USD $) | Sep. 30, 2014 | Dec. 31, 2013 | |
In Thousands, unless otherwise specified | |||
Offsetting Assets [Line Items] | ' | ' | |
Gross Amounts, Liabilities | $0 | $55,518 | [1] |
Interest Rate Swaps | ' | ' | |
Offsetting Assets [Line Items] | ' | ' | |
Gross Amounts, Assets | 198,066 | 559,044 | |
Amounts Eligible for Offset -Financial Instruments, Assets | -138,466 | -408,553 | |
Amounts Eligible for Offset-Cash Collateral, Assets | -6,600 | ' | |
Net Amounts, Assets | 53,000 | 150,491 | |
Gross Amounts, Liabilities | 857,658 | 1,141,828 | |
Amounts Eligible for Offset-Financial Instruments, Liabilities | -138,466 | -408,553 | |
Amounts Eligible for Offset -Cash Collateral, Liabilities | -343,206 | ' | |
Net Amounts, Liabilities | 375,986 | 733,275 | |
Interest Rate Swaption | ' | ' | |
Offsetting Assets [Line Items] | ' | ' | |
Gross Amounts, Assets | 12,268 | 110,361 | |
Amounts Eligible for Offset -Financial Instruments, Assets | ' | -24,662 | |
Net Amounts, Assets | 12,268 | 85,699 | |
Gross Amounts, Liabilities | ' | 24,662 | |
Amounts Eligible for Offset-Financial Instruments, Liabilities | ' | -24,662 | |
TBA Derivatives | ' | ' | |
Offsetting Assets [Line Items] | ' | ' | |
Gross Amounts, Assets | 459 | 20,693 | |
Amounts Eligible for Offset -Financial Instruments, Assets | ' | -9,775 | |
Net Amounts, Assets | 459 | 10,918 | |
Gross Amounts, Liabilities | ' | 13,779 | |
Amounts Eligible for Offset-Financial Instruments, Liabilities | ' | -9,775 | |
Net Amounts, Liabilities | ' | 4,004 | |
Collateralized Mortgage Backed Securities | ' | ' | |
Offsetting Assets [Line Items] | ' | ' | |
Gross Amounts, Assets | ' | 12,184 | |
Amounts Eligible for Offset -Financial Instruments, Assets | ' | -3,292 | |
Net Amounts, Assets | ' | 8,892 | |
Gross Amounts, Liabilities | ' | 16,638 | |
Amounts Eligible for Offset-Financial Instruments, Liabilities | ' | -3,292 | |
Net Amounts, Liabilities | ' | 13,346 | |
Futures Contracts | ' | ' | |
Offsetting Assets [Line Items] | ' | ' | |
Gross Amounts, Assets | 6,680 | 3,487 | |
Amounts Eligible for Offset -Financial Instruments, Assets | ' | -439 | |
Net Amounts, Assets | 6,680 | 3,048 | |
Gross Amounts, Liabilities | ' | 439 | |
Amounts Eligible for Offset-Financial Instruments, Liabilities | ' | ($439) | |
[1] | Derived from the audited consolidated financial statements at December 31, 2013. |
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, 2014 | Sep. 30, 2013 | Sep. 30, 2014 | Sep. 30, 2013 | ||||
Effect of Derivatives on Statement of Operations and Comprehensive Income: | ' | ' | ' | ' | ||||
Realized gains (losses) on interest rate swaps | ($169,083) | [1],[2] | ($227,909) | [1],[2] | ($650,452) | [1],[2] | ($666,112) | [1],[2] |
Realized gain (losses) on termination of interest rate swaps | 0 | -36,658 | -779,333 | -88,685 | ||||
Unrealized gains (losses) on interest rate swaps | $98,593 | $6,343 | ($75,287) | $1,441,099 | ||||
[1] | Interest expense related to the Company's interest rate swaps is recorded in Realized gains (losses) on interest rate swaps. | |||||||
[2] | 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 Comprehensive Income (Loss). |
Derivative_Instruments_Narrati
Derivative Instruments - Narrative (Detail) (USD $) | Sep. 30, 2014 | Dec. 31, 2013 |
In Millions, unless otherwise specified | ||
Derivative Instruments: | ' | ' |
Interest rate swaps - weighted average pay rate, percentage | 2.48% | 2.14% |
Interest rate swaps - weighted average receive rate, percentage | 0.21% | 0.20% |
Derivative instruments, net liability position, aggregate fair value | $660 | ' |
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, 2014 | Sep. 30, 2013 | Sep. 30, 2014 | Sep. 30, 2013 | ||||
Derivative Instruments: | ' | ' | ' | ' | ||||
Unrealized Gain (Loss) | $98,593 | $6,343 | ($75,287) | $1,441,099 | ||||
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Trading Assets | 4,678 | -105,869 | -193,654 | -61,413 | ||||
TBA Derivatives | ' | ' | ' | ' | ||||
Derivative Instruments: | ' | ' | ' | ' | ||||
Realized Gain (Loss) | -1,864 | [1] | 42,506 | [1] | -46,747 | [1] | 51,846 | [1] |
Unrealized Gain (Loss) | 6,992 | [1] | -58,403 | [1] | -8,046 | [1] | -60,278 | [1] |
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Trading Assets | 5,128 | [1] | -15,897 | [1] | -54,793 | [1] | -8,432 | [1] |
Interest Rate Swaption | ' | ' | ' | ' | ||||
Derivative Instruments: | ' | ' | ' | ' | ||||
Realized Gain (Loss) | -30,432 | 59,941 | -102,413 | 60,506 | ||||
Unrealized Gain (Loss) | 26,518 | -119,046 | -24,613 | -74,547 | ||||
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Trading Assets | -3,914 | -59,105 | -127,026 | -14,041 | ||||
Futures Contracts | ' | ' | ' | ' | ||||
Derivative Instruments: | ' | ' | ' | ' | ||||
Realized Gain (Loss) | -2,991 | -5,239 | -15,466 | -8,298 | ||||
Unrealized Gain (Loss) | 6,455 | -25,628 | 3,631 | -30,642 | ||||
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Trading Assets | $3,464 | ($30,867) | ($11,835) | ($38,940) | ||||
[1] | Includes options on TBA securities. |
Convertible_Senior_Notes_Narra
Convertible Senior Notes - Narrative (Detail) (USD $) | 9 Months Ended | 12 Months Ended | 0 Months Ended | 1 Months Ended | 9 Months Ended | ||
Sep. 30, 2014 | Dec. 31, 2010 | Dec. 31, 2013 | 31-May-12 | 31-May-12 | Sep. 30, 2014 | Dec. 31, 2013 | |
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 | Convertible Senior Notes 5.00 Percent Due 2015 | |
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 | 'Semi-annually | ' | ' | ' | ' | 'Semi-annually | ' |
Issued convertible senior notes, net proceeds following underwriting expenses | ' | 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 | 86.3764 | ' | ' | ' | ' | ' | ' |
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 | $11.58 | ' | ' | ' | ' | ' | ' |
Intrinsic value of the contingent beneficial conversion feature | 106,000,000 | ' | 93,200,000 | ' | ' | ' | ' |
Convertible senior notes, unamortized discount | 18,500,000 | ' | 26,900,000 | ' | ' | 2,400,000 | 5,400,000 |
Convertible senior notes, contingent beneficial conversion feature | ' | ' | ' | $11,700,000 | ' | ' | ' |
Recovered_Sheet4
Common Stock and Preferred Stock - Narrative (Detail) (USD $) | 0 Months Ended | 3 Months Ended | 9 Months Ended | 0 Months Ended | 9 Months Ended | 12 Months Ended | 9 Months Ended | 12 Months Ended | 9 Months Ended | 9 Months Ended | 12 Months Ended | |||||||||||||
Oct. 31, 2013 | Oct. 16, 2012 | Sep. 30, 2014 | Sep. 30, 2013 | Sep. 30, 2014 | Sep. 30, 2013 | Dec. 31, 2013 | Oct. 31, 2014 | Sep. 30, 2014 | Sep. 30, 2013 | Dec. 31, 2013 | Sep. 30, 2014 | Sep. 30, 2013 | Dec. 31, 2013 | Sep. 30, 2014 | Sep. 30, 2013 | Dec. 31, 2013 | Sep. 30, 2014 | Sep. 30, 2013 | Dec. 31, 2013 | |||||
Subsequent Event [Member] | 7.875% Series A Cumulative Redeemable Preferred Stock | 7.875% Series A Cumulative Redeemable Preferred Stock | 7.875% Series A Cumulative Redeemable Preferred Stock | 7.625% Series C 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 | 7.50% Series D Cumulative Redeemable 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 | ||||||||||||
Class of Stock [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ||||
Common 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 | ' | 4,600,000 | ' | ' | ' | 7,412,500 | ' | 7,412,500 | [1] | 12,650,000 | ' | 12,650,000 | [1] | 18,400,000 | ' | 18,400,000 | [1] | 18,400,000 | ' | ' | |
Common Stock, shares issued | ' | ' | 947,591,766 | ' | 947,591,766 | ' | 947,432,862 | [1] | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||
Common Stock, shares outstanding | ' | ' | 947,591,766 | ' | 947,591,766 | ' | 947,432,862 | [1] | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||
Options exercised under incentive plans, shares | ' | ' | ' | ' | 0 | 166,375 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ||||
Aggregate exercise price of options exercised under incentive plans | ' | ' | ' | ' | $0 | $2,200,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ||||
Direct purchase and dividend reinvestment program - value raised | ' | ' | ' | ' | 1,786,000 | 2,166,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ||||
Direct purchase and dividend reinvestment program - issued shares | ' | ' | ' | ' | 159,000 | 157,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ||||
Common stock repurchase program, authorized amount | ' | 1,500,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ||||
Common stock repurchase program, repurchased share | ' | ' | ' | ' | ' | 0 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ||||
Common stock repurchase program, repurchased value | ' | ' | ' | ' | ' | 0 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ||||
Description of common stock equity distribution agreement | ' | ' | ' | ' | 'In March 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 2012 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ||||
Number of common shares authorized for issuance under the Distribution Agency Agreement | ' | ' | 125,000,000 | 125,000,000 | 125,000,000 | 125,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ||||
Preferred Stock, shares issued | ' | ' | ' | ' | ' | ' | ' | ' | 7,412,500 | ' | 7,412,500 | [1] | 12,000,000 | ' | 12,000,000 | [1] | 18,400,000 | ' | 18,400,000 | [1] | 18,400,000 | ' | 18,400,000 | |
Preferred Stock, shares outstanding | ' | ' | ' | ' | ' | ' | ' | ' | 7,412,500 | ' | 7,412,500 | [1] | 12,000,000 | ' | 12,000,000 | [1] | 18,400,000 | ' | 18,400,000 | [1] | 18,400,000 | ' | 18,400,000 | |
Preferred Stock, par value | ' | ' | ' | ' | ' | ' | ' | ' | $0.01 | ' | $0.01 | $0.01 | ' | $0.01 | ' | ' | ' | $0.01 | ' | $0.01 | ||||
Preferred Stock liquidation preference, per share | ' | ' | ' | ' | ' | ' | ' | ' | $25 | ' | $25 | $25 | ' | $25 | ' | ' | ' | $25 | ' | $25 | ||||
Preferred Stock dividend rate, percentage | ' | ' | ' | ' | ' | ' | ' | ' | 7.88% | ' | 7.88% | 7.63% | ' | 7.63% | 7.50% | ' | ' | 7.50% | ' | 7.50% | ||||
Preferred Stock redeemable price, per share | ' | ' | ' | ' | ' | ' | ' | ' | $25 | ' | $25 | $25 | ' | $25 | ' | ' | ' | $25 | ' | $25 | ||||
Preferred Stock redemption date | ' | ' | ' | ' | ' | ' | ' | ' | 5-Apr-09 | ' | ' | 16-May-17 | ' | ' | 13-Sep-17 | ' | ' | 13-Sep-17 | ' | ' | ||||
Common stock - dividend declared | 331,600,000 | ' | ' | ' | 852,786,000 | 1,136,626,000 | ' | 284,300,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ||||
Dividends declared per share of common stock | $0.35 | ' | $0.30 | $0.35 | $0.90 | $1.20 | ' | $0.30 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ||||
Preferred dividends declared | ' | ' | ' | ' | ' | ' | ' | ' | $10,900,000 | $10,900,000 | ' | $17,200,000 | $17,200,000 | ' | $25,900,000 | $25,900,000 | ' | $25,875,000 | $25,875,000 | ' | ||||
Preferred Series dividends declared, per share | ' | ' | ' | ' | ' | ' | ' | ' | $1.48 | $1.48 | ' | $1.43 | $1.43 | ' | $1.41 | $1.41 | ' | $1.41 | $1.41 | ' | ||||
[1] | Derived from the audited consolidated financial statements at December 31, 2013. |
Goodwill_Narrative_Detail
Goodwill - Narrative (Detail) (USD $) | Sep. 30, 2014 | Dec. 31, 2013 | Jun. 30, 2013 | |
In Thousands, unless otherwise specified | ||||
Goodwill and Intangible Assets Disclosure [Line Items] | ' | ' | ' | |
Goodwill | $94,781 | $94,781 | [1] | $71,400 |
[1] | Derived from the audited consolidated financial statements at December 31, 2013. |
Components_of_Companys_Interes
Components of Company's Interest Income and Interest Expense (Detail) (USD $) | 3 Months Ended | 9 Months Ended | ||||||
In Thousands, unless otherwise specified | Sep. 30, 2014 | Sep. 30, 2013 | Sep. 30, 2014 | Sep. 30, 2013 | ||||
Interest income: | ' | ' | ' | ' | ||||
Investment Securities | $606,331 | $657,786 | $1,861,037 | $2,066,684 | ||||
Commercial investment portfolio | 38,113 | [1] | 27,338 | [1] | 120,924 | [1] | 43,743 | [1] |
U.S. Treasury securities | ' | 7,718 | 1,329 | 20,956 | ||||
Securities loaned | ' | 1,787 | 114 | 6,701 | ||||
Reverse repurchase agreements | 135 | 2,461 | 906 | 8,872 | ||||
Other | 61 | 70 | 193 | 357 | ||||
Total interest income | 644,640 | 697,160 | 1,984,503 | 2,147,313 | ||||
Interest expense: | ' | ' | ' | ' | ||||
Repurchase agreements | 102,750 | 120,123 | 309,654 | 419,132 | ||||
Convertible Senior Notes | 22,376 | 17,092 | 61,592 | 49,269 | ||||
U.S. Treasury securities sold, not yet purchased | ' | 6,688 | 1,076 | 13,551 | ||||
Securities borrowed | ' | 1,405 | 95 | 5,067 | ||||
Securitized debt of consolidated VIE | 1,780 | ' | 5,244 | ' | ||||
Participation sold | 163 | 168 | 486 | 302 | ||||
Total interest expense | 127,069 | 145,476 | 378,147 | 487,321 | ||||
Net interest income | $517,571 | $551,684 | $1,606,356 | $1,659,992 | ||||
[1] | Includes commercial real estate debt, preferred equity and corporate debt. |
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, 2014 | Sep. 30, 2013 | Sep. 30, 2014 | Sep. 30, 2013 |
Net Income Per Common Share: | ' | ' | ' | ' |
Net income (loss) | $354,856 | $192,458 | ($184,007) | $2,700,949 |
Less: Preferred stock dividends | 17,992 | 17,992 | 53,976 | 53,976 |
Net income (loss) available to common shareholders, prior to adjustment for dilutive potential common shares, if necessary | 336,864 | 174,466 | -237,983 | 2,646,973 |
Add: Interest on Convertible Senior Notes, if dilutive | 12,226 | 1,075 | ' | 31,351 |
Net income (loss) available to common shareholders, as adjusted | $349,090 | $175,541 | ($237,983) | $2,678,324 |
Weighted average shares of common stock outstanding-basic | 947,565,432 | 947,303,205 | 947,513,514 | 947,321,691 |
Add: Effect of stock awards and Convertible Senior Notes, if dilutive | 39,750,095 | 8,387,266 | ' | 47,997,979 |
Weighted average shares of common stock outstanding-diluted | 987,315,527 | 955,690,471 | 947,513,514 | 995,319,670 |
Net income (loss) per share available (related) to common share: | ' | ' | ' | ' |
Basic | $0.36 | $0.18 | ($0.25) | $2.79 |
Diluted | $0.35 | $0.18 | ($0.25) | $2.69 |
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, 2014 | Sep. 30, 2013 | Sep. 30, 2014 | Sep. 30, 2013 |
Net Income Per Common Share: | ' | ' | ' | ' |
Options to purchase common stock outstanding that would be considered anti-dilutive | 2.3 | 3.8 | 2.3 | 2.8 |
LongTerm_Stock_Incentive_Plans
Long-Term Stock Incentive Plans - Narrative (Detail) (USD $) | 9 Months Ended | |
Sep. 30, 2014 | Sep. 30, 2013 | |
Long-Term Stock Incentive Plans: | ' | ' |
Weighted average remaining contractual term of stock options outstanding, years | '3 years 4 months 24 days | '4 years |
Weighted average remaining contractual term of stock options exercisable, years | '3 years 4 months 24 days | '4 years |
Unrecognized compensation cost | $0 | $0 |
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, 2014 | Sep. 30, 2013 | |
Long-Term Stock Incentive Plans: | ' | ' |
Options outstanding at the beginning of period | 3,581,752 | 5,618,686 |
Granted | ' | ' |
Exercised | 0 | -166,375 |
Forfeited | -1,016,667 | -1,226,803 |
Expired | -305,750 | -356,625 |
Options outstanding at the end of period | 2,259,335 | 3,868,883 |
Options exercisable at the end of the period | 2,259,335 | 3,868,883 |
Options outstanding at the beginning of year, weighted average exercise price | $15.44 | $15.74 |
Granted | ' | ' |
Exercised | ' | $13.25 |
Forfeited | $15.07 | $16.26 |
Expired | $17.34 | $17.91 |
Options outstanding at the end of year, weighted average exercise price | $15.35 | $15.48 |
Options exercisable at the end of the year, exercise price | $15.35 | $15.48 |
Income_Taxes_Narrative_Detail
Income Taxes - Narrative (Detail) (USD $) | 3 Months Ended | 9 Months Ended | ||
In Millions, unless otherwise specified | Sep. 30, 2014 | Sep. 30, 2013 | Sep. 30, 2014 | Sep. 30, 2013 |
Income Taxes: | ' | ' | ' | ' |
Years federal and state tax returns remain open for examination | ' | ' | '2013, 2012 and 2011 | ' |
Real Estate Investment Trust | ' | ' | ' | ' |
Income Taxes: | ' | ' | ' | ' |
REIT Taxable income distributed | ' | ' | 100.00% | ' |
Income tax expense for income and the portion of earnings retained based on Section 162(m) limitations | $0.70 | $0.60 | $6.10 | $6.40 |
Recovered_Sheet5
Lease Commitments And Contingencies - Narrative (Detail) (USD $) | 9 Months Ended | |
In Millions, unless otherwise specified | Sep. 30, 2014 | Sep. 30, 2013 |
Lease Commitments and Contingencies: | ' | ' |
Aggregate future net minimum lease payments | $38.10 | ' |
Lease expense | $0.90 | $0.50 |
Recovered_Sheet6
Lease Commitments And Contingencies (Detail) (USD $) | Sep. 30, 2014 |
In Thousands, unless otherwise specified | |
Lease Commitments and Contingencies: | ' |
Lease Commitment - 2014 | $574 |
Lease Commitment - 2015 | 1,199 |
Lease Commitment - 2016 | 3,591 |
Lease Commitment - 2017 | 3,565 |
Lease Commitment - 2018 | 3,565 |
Lease Commitment - Later years | 25,557 |
Aggregate future minimum lease payments | $38,051 |
RCap_Regulatory_Requirements_N
RCap Regulatory Requirements - Narrative (Detail) (USD $) | Sep. 30, 2014 |
In Millions, unless otherwise specified | |
RCAP Regulatory Requirements: | ' |
Minimum net capital requirement | $0.30 |
Regulatory net capital | 400.2 |
Regulatory net capital, excess net capital | $399.90 |
Related_Party_Transactions_Det
Related Party Transactions (Detail) (USD $) | 9 Months Ended | 3 Months Ended | 9 Months Ended | 3 Months Ended | 9 Months Ended | ||||
Share data in Millions, unless otherwise specified | Sep. 30, 2014 | Dec. 31, 2013 | Sep. 30, 2014 | Sep. 30, 2013 | Sep. 30, 2014 | Dec. 31, 2013 | Sep. 30, 2014 | Sep. 30, 2013 | |
Chimera | Chimera | Chimera | Chimera | Chimera | Chimera and CreXus | ||||
Deferred Derivative Gain (Loss) [Member] | |||||||||
Investments with affiliate, available-for-sale equity securities - shares | ' | ' | 45 | ' | 45 | 45 | ' | ' | |
Investments with affiliate, available-for-sale equity securities - fair value | ' | ' | $136,700,000 | ' | $136,700,000 | $139,400,000 | ' | ' | |
Investments with affiliate, available-for-sale equity securities - unrealized loss | ' | ' | -2,100,000 | ' | -2,100,000 | ' | ' | ' | |
Investments with affiliate, available-for-sale equity securities - unrealized gains | ' | ' | ' | ' | ' | 600,000 | ' | ' | |
Advisory fees from affiliate | ' | ' | 8,300,000 | 5,900,000 | 20,500,000 | ' | ' | 23,300,000 | |
Receivable from affiliate | 8,369,000 | 6,839,000 | [1] | 8,400,000 | ' | 8,400,000 | 6,800,000 | ' | ' |
Basis for management fee | 'Amount equal to 1/12th of 1.05% of stockholders' equity, | ' | ' | ' | ' | ' | ' | ' | |
One-time payment made to related party | ' | ' | ' | ' | ' | ' | $23,800,000 | ' | |
[1] | Derived from the audited consolidated financial statements at December 31, 2013. |
Subsequent_Events_Narrative_De
Subsequent Events - Narrative (Detail) | 9 Months Ended | 0 Months Ended | 9 Months Ended | ||
Sep. 30, 2014 | Sep. 30, 2014 | Nov. 05, 2014 | Nov. 05, 2014 | Sep. 30, 2013 | |
Minimum | Subsequent Event [Member] | Subsequent Event [Member] | Subsequent Event [Member] | ||
Amendment Agreement | Amendment Agreement | Management Agreement | |||
Minimum | |||||
Subsequent Event [Line Items] | ' | ' | ' | ' | ' |
Agreement, amended date | ' | ' | ' | ' | '2014-11-05 |
Initial term of management agreement expiration date | 31-Dec-14 | ' | 31-Dec-16 | ' | ' |
Renewal term | '1 year | ' | '2 years | ' | ' |
Management agreement, termination, description | 'At least two-thirds of the Company's independent directors or the holders of a majority of the Company's outstanding shares of common stock elected to terminate the agreement in their sole discretion and for any or no reason. | ' | 'At least two-thirds of the Company's independent directors or the holders of a majority of the Company's outstanding shares of common stock elect not to renew the agreement in their sole discretion and for any or no reason. | ' | ' |
Management Agreement, termination, written notice period, number of days | ' | '180 days | ' | ' | ' |
Management Agreement, term | ' | ' | '2 years | ' | ' |
Management agreement, required period to terminate from the date of the notice | ' | ' | ' | '1 year | ' |