Document_and_Entity_Informatio
Document and Entity Information | 3 Months Ended | |
Mar. 31, 2015 | Apr. 30, 2015 | |
Document Information [Line Items] | ||
Document Type | 10-Q | |
Amendment Flag | FALSE | |
Document Period End Date | 31-Mar-15 | |
Document Fiscal Year Focus | 2015 | |
Document Fiscal Period Focus | Q1 | |
Trading Symbol | NLY | |
Entity Registrant Name | ANNALY CAPITAL MANAGEMENT INC | |
Entity Central Index Key | 1043219 | |
Current Fiscal Year End Date | -19 | |
Entity Filer Category | Large Accelerated Filer | |
Entity Common Stock, Shares Outstanding | 947,710,129 |
CONSOLIDATED_STATEMENTS_OF_FIN
CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION (USD $) | Mar. 31, 2015 | Dec. 31, 2014 | ||
In Thousands, unless otherwise specified | ||||
ASSETS | ||||
Cash and cash equivalents (including cash pledged as collateral of $1,819,173 and $1,584,701, respectively) | $1,920,326 | $1,741,244 | [1] | |
Reverse repurchase agreements | 100,000 | 100,000 | [1] | |
Investments, at fair value: | ||||
Agency mortgage-backed securities (including pledged assets of $63,865,632 and $74,006,480, respectively) | 69,388,001 | 81,565,256 | [1] | |
Agency debentures (including pledged assets of $691,716 and $1,368,350, respectively) | 995,408 | 1,368,350 | [1] | |
Agency CRT securities | 108,337 | |||
Commercial real estate debt investments (including pledged assets of $104,000 and $0, respectively) | 1,515,903 | [2] | ||
Investment in affiliates | 141,246 | 143,045 | [1] | |
Commercial real estate debt and preferred equity, held for investment (including pledged assets of $72,750 and $0, respectively) | 1,498,406 | [3] | 1,518,165 | [1],[3] |
Investments in commercial real estate | 207,209 | 210,032 | [1] | |
Corporate debt, held for investment | 227,830 | 166,464 | [1] | |
Receivable for investments sold | 2,009,937 | 1,010,094 | [1] | |
Accrued interest and dividends receivable | 247,801 | 278,489 | [1] | |
Receivable for investment advisory income (including from affiliates of $10,268 and $10,402, respectively) | 10,268 | 10,402 | [1] | |
Goodwill | 94,781 | 94,781 | [1] | |
Interest rate swaps, at fair value | 25,908 | 75,225 | [1] | |
Other derivatives, at fair value | 113,503 | 5,499 | [1] | |
Other assets | 70,813 | 68,321 | [1] | |
Total assets | 78,675,677 | 88,355,367 | [1] | |
Liabilities: | ||||
Repurchase agreements | 60,477,378 | 71,361,926 | [1] | |
Payable for investments purchased | 5,205 | 264,984 | [1] | |
Convertible Senior Notes | 749,512 | 845,295 | [1] | |
Securitized debt of consolidated VIEs | 1,491,829 | [4] | 260,700 | [1],[4] |
Mortgages payable | 146,470 | 146,553 | [1] | |
Participation sold | 13,589 | 13,693 | [1] | |
Accrued interest payable | 155,072 | 180,501 | [1] | |
Dividends payable | 284,310 | 284,293 | [1] | |
Interest rate swaps, at fair value | 2,025,170 | 1,608,286 | [1] | |
Other derivatives, at fair value | 61,778 | 8,027 | [1] | |
Accounts payable and other liabilities | 140,774 | 47,328 | [1] | |
Total liabilities | 65,551,087 | 75,021,586 | [1] | |
Stockholders' Equity: | ||||
Common stock, par value $0.01 per share, 1,956,937,500 authorized, 947,698,431 and 947,643,079 issued and outstanding, respectively | 9,477 | 9,476 | [1] | |
Additional paid-in capital | 14,787,117 | 14,786,509 | [1] | |
Accumulated other comprehensive income (loss) | 773,999 | 204,883 | [1] | |
Accumulated deficit | -3,364,147 | -2,585,436 | [1] | |
Total stockholders' equity | 13,119,505 | 13,328,491 | [1] | |
Noncontrolling interest | 5,085 | 5,290 | [1] | |
Total equity | 13,124,590 | 13,333,781 | [1] | |
Total liabilities and equity | 78,675,677 | 88,355,367 | [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, 2014. | |||
[2] | Includes senior securitized commercial mortgage loans of a consolidated VIE carried at fair value of $1.4 billion and $0 at March 31, 2015 and December 31, 2014, respectively. | |||
[3] | Includes senior securitized commercial mortgage loans of a consolidated VIE with a carrying value of $361.2 million and $398.6 million carried at amortized cost, net of an allowance for losses of $0 and $0, at March 31, 2015 and December 31, 2014, respectively. . | |||
[4] | Includes securitized debt of a consolidated VIE carried at fair value of $1.3 billion and $0 at March 31, 2015 and December 31, 2014, respectively. |
CONSOLIDATED_STATEMENTS_OF_FIN1
CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION (Parenthetical) (USD $) | Mar. 31, 2015 | Dec. 31, 2014 | ||
Cash pledged as collateral | $1,819,173,000 | $1,584,701,000 | [1] | |
Agency mortgage-backed securities, pledged assets | 63,865,632,000 | 74,006,480,000 | [1] | |
Agency debentures, pledged assets | 691,716,000 | 1,368,350,000 | [1] | |
Commerical real estate debt investments, pledged assets | 104,000,000 | 0 | [1] | |
Commercial real estate debt and preferred equity, held for investment, pledged assets | 72,750,000 | [2] | 72,750,000 | [1],[2] |
Receivable for investment advisory income, from affiliates | 10,268,000 | 10,402,000 | [1] | |
Common Stock, par value | $0.01 | $0.01 | [1] | |
Common Stock, shares authorized | 1,956,937,500 | 1,956,937,500 | [1] | |
Common Stock, shares issued | 947,698,431 | 947,643,079 | [1] | |
Common Stock, shares outstanding | 947,698,431 | 947,643,079 | [1] | |
Senior Secured mortgages of Consolidated VIE, carrying value | 361,200,000 | 398,600,000 | [1] | |
Subordinated Secured mortgages of Consolidated VIE, fair value | 1,400,000,000 | 0 | [1] | |
Commercial real estate debt and preferred equity, held for investment, allowance for losses | 0 | 0 | [1] | |
Securitized debt of a consolidated VIE | $1,268,809,000 | $0 | [1] | |
7.875% Series A Cumulative Redeemable Preferred Stock | ||||
Preferred Stock, shares authorized | 7,412,500 | 7,412,500 | [1] | |
Preferred Stock, shares issued | 7,412,500 | 7,412,500 | [1] | |
Preferred Stock, shares outstanding | 7,412,500 | 7,412,500 | [1] | |
7.625% Series C Cumulative Redeemable Preferred Stock | ||||
Preferred Stock, shares authorized | 12,650,000 | 12,650,000 | [1] | |
Preferred Stock, shares issued | 12,000,000 | 12,000,000 | [1] | |
Preferred Stock, shares outstanding | 12,000,000 | 12,000,000 | [1] | |
7.50% Series D Cumulative Redeemable Preferred Stock | ||||
Preferred Stock, shares authorized | 18,400,000 | 18,400,000 | [1] | |
Preferred Stock, shares issued | 18,400,000 | 18,400,000 | [1] | |
Preferred Stock, shares outstanding | 18,400,000 | 18,400,000 | [1] | |
[1] | Derived from the audited consolidated financial statements at December 31, 2014. | |||
[2] | Includes senior securitized commercial mortgage loans of a consolidated VIE carried at fair value of $1.4 billion and $0 at March 31, 2015 and December 31, 2014, respectively. |
CONSOLIDATED_STATEMENTS_OF_COM
CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS) (USD $) | 3 Months Ended | |||
In Thousands, except Share data, unless otherwise specified | Mar. 31, 2015 | Mar. 31, 2014 | ||
Net interest income: | ||||
Interest income | $519,172 | $655,901 | ||
Interest expense | 129,420 | 124,971 | ||
Net interest income | 389,752 | 530,930 | ||
Other income (loss): | ||||
Realized gains (losses) on interest rate swaps | -158,239 | [1],[2] | -260,435 | [1],[2] |
Realized gains (losses) on termination of interest rate swaps | -226,462 | -6,842 | ||
Unrealized gains (losses) on interest rate swaps | -466,202 | -348,942 | ||
Subtotal | -850,903 | -616,219 | ||
Investment advisory income | 10,464 | 6,123 | ||
Net gains (losses) on disposal of investments | 62,356 | 79,710 | ||
Dividend income from affiliates | 4,318 | 13,045 | ||
Net gains (losses) on trading assets | -6,906 | -146,228 | ||
Net unrealized gains (losses) on interest-only Agency mortgage-backed securities | -33,546 | -20,793 | ||
Other income (loss) | -1,082 | 1,460 | ||
Subtotal | 35,604 | -66,683 | ||
Total other income (loss) | -815,299 | -682,902 | ||
General and administrative expenses: | ||||
Compensation and management fee | 38,629 | 38,521 | ||
Other general and administrative expenses | 12,309 | 8,857 | ||
Total general and administrative expenses | 50,938 | 47,378 | ||
Income (loss) before income taxes | -476,485 | -199,350 | ||
Income taxes | 14 | 4,001 | ||
Net Income | -476,499 | -203,351 | ||
Net income (loss) attributable to noncontrolling interest | -90 | |||
Net income (loss) attributable to Annaly | -476,409 | -203,351 | ||
Dividends on preferred stock | 17,992 | 17,992 | ||
Net income (loss) available (related) to common stockholders | -494,401 | -221,343 | ||
Net income (loss) per share available (related) to common stockholders: | ||||
Basic | ($0.52) | ($0.23) | ||
Diluted | ($0.52) | ($0.23) | ||
Weighted average number of common shares outstanding: | ||||
Basic | 947,669,831 | 947,458,813 | ||
Diluted | 947,669,831 | 947,458,813 | ||
Dividends Declared Per Share of Common Stock | $0.30 | $0.30 | ||
Net income (loss) | -476,499 | -203,351 | ||
Other comprehensive income (loss): | ||||
Unrealized gains (losses) on available-for-sale securities | 631,472 | 741,172 | ||
Reclassification adjustment for net (gains) losses included in net income (loss) | -62,356 | -80,718 | ||
Other comprehensive income (loss) | 569,116 | 660,454 | ||
Comprehensive income (loss) | 92,617 | 457,103 | ||
Comprehensive income (loss) attributable to noncontrolling interest | -90 | |||
Comprehensive income (loss) attributable to Annaly | $92,707 | $457,103 | ||
[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). | |||
[2] | Consists of interest expense on interest rate swaps. |
CONSOLIDATED_STATEMENTS_OF_STO
CONSOLIDATED STATEMENTS OF STOCKHOLDERS' EQUITY (USD $) | Total | 7.875% Series A Cumulative Redeemable Preferred Stock | 7.625% Series C Cumulative Redeemable Preferred Stock | 7.50% Series D Cumulative Redeemable Preferred Stock | Common Stock Par Value | Additional Paid-In Capital | Accumulated Other Comprehensive Income (Loss) | Accumulated Deficit | Accumulated Deficit | Accumulated Deficit | Accumulated Deficit | Total stockholders' equity | Total stockholders' equity | Total stockholders' equity | Total stockholders' equity | Noncontrolling Interest | 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 | 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, 2013 | $12,405,055 | $9,474 | $14,765,761 | ($2,748,933) | ($534,306) | $12,405,055 | $177,088 | $290,514 | $445,457 | |||||||||||
Net income (loss) | -203,351 | -203,351 | -203,351 | |||||||||||||||||
Unrealized gains (losses) on available-for-sale securities | 741,172 | 741,172 | 741,172 | |||||||||||||||||
Reclassification adjustment for net (gains) losses included in net income (loss) | -80,718 | -80,718 | -80,718 | |||||||||||||||||
Net proceeds from direct purchase and dividend reinvestment | 607 | 1 | 606 | 607 | ||||||||||||||||
Contingent beneficial conversion feature on 4% Convertible Senior Notes | 4,186 | 4,186 | 4,186 | |||||||||||||||||
Preferred dividends declared | -3,648 | -5,719 | -8,625 | -3,648 | -5,719 | -8,625 | -3,648 | -5,719 | -8,625 | |||||||||||
Common dividends declared, $0.90 and $1.20 Per share for 2015 and 2014 respectively | -284,247 | -284,247 | -284,247 | |||||||||||||||||
Ending balance at Mar. 31, 2014 | 12,564,712 | 9,475 | 14,770,553 | -2,088,479 | -1,039,896 | 12,564,712 | 177,088 | 290,514 | 445,457 | |||||||||||
Beginning balance at Dec. 31, 2014 | 13,333,781 | [1] | 9,476 | 14,786,509 | 204,883 | -2,585,436 | 13,328,491 | 5,290 | 177,088 | 290,514 | 445,457 | |||||||||
Net income (loss) | -476,409 | -476,409 | -476,409 | |||||||||||||||||
Net income (loss) attributable to noncontrolling interest | -90 | -90 | ||||||||||||||||||
Unrealized gains (losses) on available-for-sale securities | 631,472 | 631,472 | 631,472 | |||||||||||||||||
Reclassification adjustment for net (gains) losses included in net income (loss) | -62,356 | -62,356 | -62,356 | |||||||||||||||||
Stock compensation expense | 39 | 39 | 39 | |||||||||||||||||
Net proceeds from direct purchase and dividend reinvestment | 570 | 1 | 569 | 570 | ||||||||||||||||
Equity contributions from (distributions to) noncontrolling interest | -115 | -115 | ||||||||||||||||||
Preferred dividends declared | -3,648 | -5,719 | -8,625 | -3,648 | -5,719 | -8,625 | -3,648 | -5,719 | -8,625 | |||||||||||
Common dividends declared, $0.90 and $1.20 Per share for 2015 and 2014 respectively | -284,310 | -284,310 | -284,310 | |||||||||||||||||
Ending balance at Mar. 31, 2015 | $13,124,590 | $9,477 | $14,787,117 | $773,999 | ($3,364,147) | $13,119,505 | $5,085 | $177,088 | $290,514 | $445,457 | ||||||||||
[1] | Derived from the audited consolidated financial statements at December 31, 2014. |
CONSOLIDATED_STATEMENTS_OF_STO1
CONSOLIDATED STATEMENTS OF STOCKHOLDERS' EQUITY (Parenthetical) (USD $) | 3 Months Ended | |
Mar. 31, 2015 | Mar. 31, 2014 | |
Dividends Declared Per Share of Common Stock | $0.30 | $0.30 |
7.875% Series A Cumulative Redeemable Preferred Stock | ||
Preferred series dividends declared, per share | $0.49 | $0.49 |
7.625% Series C Cumulative Redeemable Preferred Stock | ||
Preferred series dividends declared, per share | $0.48 | $0.48 |
7.50% Series D Cumulative Redeemable Preferred Stock | ||
Preferred series dividends declared, per share | $0.47 | $0.47 |
CONSOLIDATED_STATEMENTS_OF_CAS
CONSOLIDATED STATEMENTS OF CASH FLOWS (USD $) | 3 Months Ended | ||
In Thousands, unless otherwise specified | Mar. 31, 2015 | Mar. 31, 2014 | |
Cash flows from operating activities: | |||
Net income (loss) | ($476,499) | ($203,351) | |
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | |||
Amortization of Investment Securities premiums and discounts, net | 284,777 | 118,988 | |
Amortization of commercial real estate investment premiums and discounts, net | -160 | 792 | |
Amortization of intangibles | 1,195 | 99 | |
Amortization of deferred financing costs | 2,914 | 2,813 | |
Amortization of net origination fees and costs, net | -1,190 | -973 | |
Amortization of contingent beneficial conversion feature and equity component of Convertible Senior Notes | 11,758 | 6,410 | |
Depreciation expense | 2,823 | 292 | |
Net gain on sale of commercial real estate | -1,213 | ||
Net (gains) losses on sales of Investment Securities | -62,356 | -80,718 | |
Stock compensation expense | 39 | ||
Unrealized (gains) losses on interest rate swaps | 466,202 | 348,942 | |
Net unrealized (gains) losses on interest-only Agency mortgage-backed securities | 33,546 | 20,793 | |
Net (gains) losses on trading assets | 6,906 | 146,228 | |
Proceeds from repurchase agreements of RCap | 386,000,000 | 329,649,937 | |
Payments on repurchase agreements of RCap | -391,250,000 | -324,602,992 | |
Proceeds from reverse repurchase agreements | 15,325,000 | 35,181,890 | |
Payments on reverse repurchase agreements | -15,325,000 | -35,526,265 | |
Proceeds from securities borrowed | 19,993,580 | ||
Payments on securities borrowed | -17,924,187 | ||
Proceeds from securities loaned | 37,178,735 | ||
Payments on securities loaned | -39,192,893 | ||
Proceeds from U.S. Treasury securities | 3,159,253 | ||
Payments on U.S. Treasury securities | -3,920,425 | ||
Net payments on derivatives | -66,604 | -90,440 | |
Net change in: | |||
Due to / from brokers | 8,596 | ||
Other assets | -2,627 | 3,439 | |
Accrued interest and dividends receivable | 28,886 | -16,035 | |
Receivable for investment advisory income | 134 | 341 | |
Accrued interest payable | -25,425 | 25,032 | |
Accounts payable and other liabilities | 3,709 | 13,801 | |
Net cash provided by (used in) operating activities | -5,041,972 | 4,300,469 | |
Cash flows from investing activities: | |||
Payments on purchases of Agency mortgage-backed securities and debentures | -5,065,764 | -9,367,034 | |
Proceeds from sales of Agency mortgage-backed securities and debentures | 13,973,224 | 6,155,091 | |
Principal payments on Agency mortgage-backed securities | 2,596,964 | 1,675,575 | |
Payments on purchases of corporate debt | -63,015 | -28,705 | |
Principal payments on corporate debt | 1,733 | 1,051 | |
Purchases of commercial real estate debt investments | -185,925 | ||
Sales of commercial real estate debt investments | 41,016 | ||
Purchase of securitized loans at fair value | -1,370,011 | ||
Origination of commercial real estate investments, net | -61,502 | -125,949 | |
Proceeds from sales of commercial real estate held for sale | 20,740 | ||
Principal payments on commercial real estate investments | 82,408 | 69,795 | |
Purchase of investments in real estate | -3,602 | ||
Net cash provided by (used in) investing activities | 9,945,526 | -1,599,436 | |
Cash flows from financing activities: | |||
Proceeds from repurchase agreements | 57,776,249 | 49,726,537 | |
Principal payments on repurchase agreements | -63,410,797 | -52,010,534 | |
Payments on maturity of convertible senior notes | -107,541 | ||
Proceeds from other secured financing | 90,000 | ||
Proceeds from issuance of securitized debt | 1,267,914 | 260,700 | |
Principal repayments on securitized debt | -37,680 | ||
Payment of deferred financing cost | -641 | -4,288 | |
Net proceeds from direct purchases and dividend reinvestments | 569 | 607 | |
Principal payments on participation sold | -76 | -72 | |
Principal payments on mortgages payable | -69 | ||
Distributions to noncontrolling interests | -115 | ||
Dividends paid | -302,285 | -302,222 | |
Net cash provided by (used in) financing activities | -4,724,472 | -2,329,272 | |
Net (decrease) increase in cash and cash equivalents | 179,082 | 371,761 | |
Cash and cash equivalents, beginning of period | 1,741,244 | [1] | 552,436 |
Cash and cash equivalents, end of period | 1,920,326 | 924,197 | |
Supplemental disclosure of cash flow information: | |||
Interest received | 815,765 | 769,627 | |
Dividends received | 4,048 | 13,045 | |
Investment advisory income received | 10,992 | 6,464 | |
Interest paid (excluding interest paid on interest rate swaps) | 124,673 | 118,131 | |
Net interest paid on interest rate swaps | 176,395 | 250,571 | |
Taxes paid | 643 | 2,137 | |
Noncash investing activities: | |||
Receivable for investments sold | 2,009,937 | 19,116 | |
Payable for investments purchased | 5,205 | 1,898,507 | |
Net change in unrealized gains (losses) on available-for-sale securities, net of reclassification adjustment | 569,116 | 660,454 | |
Noncash financing activities: | |||
Dividends declared, not yet paid | 284,310 | 284,247 | |
Convertible Senior Notes 5.00 Percent Due 2015 | |||
Noncash financing activities: | |||
Contingent beneficial conversion feature on 4% Convertible Senior Notes | $4,186 | ||
[1] | Derived from the audited consolidated financial statements at December 31, 2014. |
DESCRIPTION_OF_BUSINESS
DESCRIPTION OF BUSINESS | 3 Months Ended |
Mar. 31, 2015 | |
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 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 (“MML”) (formerly known as Charlesfort Capital Management LLC), a wholly-owned subsidiary which engages in corporate middle market lending transactions. | |
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 | 3 Months Ended | |
Mar. 31, 2015 | ||
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, 2014 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 | 3 Months Ended | ||||||
Mar. 31, 2015 | |||||||
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 and consolidated variable interest entities. 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 applies significant judgment and considers all of its economic interests, including debt and equity investments and other arrangements deemed to be variable interests, both explicit and implicit, 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, cash held in money market funds on an overnight basis and cash pledged as collateral with counterparties. 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. 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 and collateral held in the form of cash on margin with counterparties to its interest rate swaps and other derivatives totaled approximately $1.8 billion and $1.6 billion at March 31, 2015 and December 31, 2014, 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, Agency Debentures and Agency Credit Risk Transfer Securities – 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 and securities in the Agency credit risk transfer (“CRT”) sector. The CRT sector is comprised of the risk sharing transactions issued by Fannie Mae and Freddie Mac, and similarly structured transactions arranged by third party market participants. The securities issued in the CRT sector are designed to synthetically transfer mortgage credit risk from Fannie Mae and Freddie Mac to private investors. | |||||||
Agency mortgage-backed securities, Agency debentures and Agency CRT securities 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 related to Investment Securities. 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. Changes to model assumptions, including interest rates and other market data, as well as periodic revisions to the model will cause changes in the results. 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 March 31, 2015 and December 31, 2014. | |||||||
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, the Company elected to present related assets and liabilities on a gross basis in the Consolidated Statements of Financial Condition. | |||||||
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 or may not be cleared through a derivatives clearing organization (“DCO”). Uncleared 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 DCO’s 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 Condition. The difference between the premium and the fair value of the swaption is reported in Net gains (losses) 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 ended March 31, 2015 and 2014. | |||||||
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 March 31, 2015 and December 31, 2014. | |||||||
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. | |||||||
Reverse repurchase agreements and repurchase agreements with the same counterparty and the same maturity are presented net in the Consolidated Statements of Financial Condition when the terms of the agreements meet the criteria to permit netting. The Company reports cash flows on repurchase agreements as financing activities in the Consolidated Statements of Cash Flows. The Company reports cash flows on reverse repurchase and repurchase agreements entered into by RCap as operating activities in the Consolidated Statements of Cash Flows. | |||||||
Goodwill and Intangible Assets – The Company’s acquisitions of FIDAC and CreXus were accounted for using the acquisition method. Under the acquisition method, net assets and results of operations of acquired companies are included in the consolidated financial statements from the date of acquisition. The purchase prices of FIDAC 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 March 31, 2015 and December 31, 2014. | |||||||
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 originated or purchased by the Company and 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. The Company has also elected the fair value option for multi-family mortgage loans held in a securitization trust that it was required to consolidate. Interest income is recognized as earned determined by the stated coupon and outstanding principal balance. See “Commercial Real Estate Investments” footnote for additional information. | |||||||
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/or for which there is an increased potential for default. 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. Historical cost includes all costs necessary to bring the asset to the condition and location necessary for its intended use, including financing during the construction period. 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 31-40 years | |||||||
Site improvements 1-10 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 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 settlement 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 recorded securities borrowed and loaned transactions as collateralized financings. Securities borrowed transactions required RCap to provide the counterparty with collateral in the form of cash, or other securities. RCap received collateral in the form of cash or other securities for securities loaned transactions. RCap monitored 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 were recorded at contract value. For these transactions, the rebates accrued by RCap were 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. | |||||||
Recent Accounting Pronouncements | |||||||
The following table provides a brief description of recent accounting pronouncements that could potentially impact the Company’s consolidated financial statements: | |||||||
Standard | Description | Date of Adoption | Effect on the financial statements or other | ||||
significant matters | |||||||
Standards that are not yet adopted | |||||||
ASU 2015-05 - Customer's Accounting for Fees Paid in a Cloud Computing Arrangement | This update clarifies that customers should determine whether a cloud computing arrangement includes the license of software by applying the same guidance cloud service providers use. The guidance also eliminates the current requirement that customers analogized to the leasing standard when determining the asset acquired in a software licensing arrangement. | Not expected to have a significant impact on the consolidated financial statements | |||||
ASU 2015-03 Interest - Imputation of Interest (Subtopic 835-30) Simplifying the Presentation of Debt Issuance Costs | This ASU requires that debt issue costs are presented in the balance sheet as a direct deduction from the carrying amount of that debt liability. The recognition and measurement of debt issue costs are not affected. | January 1, 2016 (early adoption permitted) | Impacts presentation only and will not have a significant impact on the consolidated financial statements. | ||||
ASU 2015-02 Consolidation (Topic 810) Amendments to the Consolidation Analysis | This update affects the following areas of the consolidation analysis: limited partnerships and similar entities, evaluation of fees paid to a decision maker or service provider as a variable interest and in determination of the primary beneficiary, effect of related parties on the primary beneficiary determination and for certain investment funds. | Not expected to have a significant impact on the consolidated financial statements | |||||
ASU 2015-01 Income Statement - Extraordinary and Unusual Items (Subtopic 225-20) | This update eliminates from GAAP the concept of extraordinary items. | January 1, 2016 (early adoption permitted) | Not expected to have an impact on the consolidated financial statements. | ||||
ASU 2014-16 Derivatives and Hedging (Topic 815) Determining Whether the Host Contract in a Hybrid Financial Instrument Issued in the Form of a Share is More Akin to Debt or Equity | This ASU provides additional guidance for evaluating whether conversion rights, redemption rights, voting rights, liquidation rights and dividend payment preferences and other features embedded in a share, including preferred stock, contain embedded derivatives requiring bifurcation. The update requires that an entity determine the nature of the host contract by considering all stated and implied terms and features in a hybrid instrument. | January 1, 2016 (early adoption permitted) | Not expected to have an impact on the consolidated financial statements. | ||||
ASU 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. | January 1, 2017 (early adoption permitted) | Not expected to have an impact on the consolidated financial statements. | ||||
ASU 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). | January 1, 2017 | Not expected to have a significant impact on the consolidated financial statements. | ||||
Standards that were adopted | |||||||
ASU 2014-17 Business Combinations (Topic 805): Pushdown Accounting | This amendment provides an acquired entity with the option to apply push down accounting in its separate financial statements upon occurrence of an event in which an acquirer obtains control of the acquired entity. | 18-Nov-14 | Did not have a significant impact on the consolidated financial statements. | ||||
ASU 2014-13, Consolidation (Topic 810) Measuring the Financial Assets and the Financial Liabilities of a Consolidated Collateralized Financing Entity. | This Update 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. | January 1, 2015 (early adoption permitted) | The Company early adopted this ASU and applied the guidance to a commercial mortgage backed securitization transaction. See "Commercial Real Estate Investments" footnote for further disclosure. | ||||
ASU 2014-11, Repurchase-to-Maturity Transactions, Repurchase Financings, and Disclosure. | This update makes limited amendments to the guidance in ASC 860 on accounting for certain repurchase agreements. | 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 | Impacts disclosures only and does not have a significant impact on the consolidated financial statements. | ||||
ASU 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 | This ASU raises the threshold for a disposal to be treated as discontinued operations. | January 1, 2015 (early adoption permitted) | Did not have a significant impact on the consolidated financial statements. | ||||
ASU 2014-04 Receivables–Troubled Debt Restructurings by Creditors, Reclassification of Residential Real Estate Collateralized Consumer Mortgage Loans upon Foreclosure | This update 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 | 1-Jan-15 | Did not have a significant impact on the consolidated financial statements. | ||||
ASU 2013-02, Comprehensive Income: Reporting of Amounts Reclassified Out of Accumulated Other Comprehensive Income | This update requires the provision of information about the amounts reclassified out of accumulated other comprehensive income by component. In addition, it requires presentation of 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 | 1-Jan-14 | Did not have a significant impact on the consolidated financial statements. | ||||
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. | 1-Jan-14 | Did not have a significant impact on the consolidated financial statements. | ||||
AGENCY_MORTGAGEBACKED_SECURITI
AGENCY MORTGAGE-BACKED SECURITIES | 3 Months Ended | ||||||||||||||||||||||||
Mar. 31, 2015 | |||||||||||||||||||||||||
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 March 31, 2015 and December 31, 2014, which were carried at their fair value: | |||||||||||||||||||||||||
31-Mar-15 | Freddie Mac | Fannie Mae | Ginnie Mae | Total | |||||||||||||||||||||
(dollars in thousands) | |||||||||||||||||||||||||
Principal outstanding | $ | 23,214,759 | $ | 40,662,639 | $ | 92,317 | $ | 63,969,715 | |||||||||||||||||
Unamortized premium | 1,814,818 | 2,857,467 | 19,773 | 4,692,058 | |||||||||||||||||||||
Unamortized discount | (7,489 | ) | (7,549 | ) | (347 | ) | (15,385 | ) | |||||||||||||||||
Amortized cost | 25,022,088 | 43,512,557 | 111,743 | 68,646,388 | |||||||||||||||||||||
Gross unrealized gains | 345,566 | 759,828 | 8,374 | 1,113,768 | |||||||||||||||||||||
Gross unrealized losses | (160,483 | ) | (208,764 | ) | (2,908 | ) | (372,155 | ) | |||||||||||||||||
Estimated fair value | $ | 25,207,171 | $ | 44,063,621 | $ | 117,209 | $ | 69,388,001 | |||||||||||||||||
Fixed Rate | Adjustable Rate | Total | |||||||||||||||||||||||
(dollars in thousands) | |||||||||||||||||||||||||
Amortized cost | $ | 65,176,426 | $ | 3,469,962 | 68,646,388 | ||||||||||||||||||||
Gross unrealized gains | 971,043 | 142,725 | 1,113,768 | ||||||||||||||||||||||
Gross unrealized losses | (355,330 | ) | (16,825 | ) | (372,155 | ) | |||||||||||||||||||
Estimated fair value | $ | 65,792,139 | $ | 3,595,862 | $ | 69,388,001 | |||||||||||||||||||
31-Dec-14 | Freddie Mac | Fannie Mae | Ginnie Mae | Total | |||||||||||||||||||||
(dollars in thousands) | |||||||||||||||||||||||||
Principal outstanding | $ | 27,906,221 | $ | 47,979,778 | $ | 97,000 | $ | 75,982,999 | |||||||||||||||||
Unamortized premium | 1,951,798 | 3,396,368 | 20,560 | 5,368,726 | |||||||||||||||||||||
Unamortized discount | (8,985 | ) | (8,857 | ) | (358 | ) | (18,200 | ) | |||||||||||||||||
Amortized cost | 29,849,034 | 51,367,289 | 117,202 | 81,333,525 | |||||||||||||||||||||
Gross unrealized gains | 313,761 | 660,230 | 8,010 | 982,001 | |||||||||||||||||||||
Gross unrealized losses | (322,094 | ) | (424,800 | ) | (3,376 | ) | (750,270 | ) | |||||||||||||||||
Estimated fair value | $ | 29,840,701 | $ | 51,602,719 | $ | 121,836 | $ | 81,565,256 | |||||||||||||||||
Fixed Rate | Adjustable Rate | Total | |||||||||||||||||||||||
(dollars in thousands) | |||||||||||||||||||||||||
Amortized cost | $ | 78,250,313 | $ | 3,083,212 | $ | 81,333,525 | |||||||||||||||||||
Gross unrealized gains | 847,615 | 134,386 | 982,001 | ||||||||||||||||||||||
Gross unrealized losses | (732,533 | ) | (17,737 | ) | (750,270 | ) | |||||||||||||||||||
Estimated fair value | $ | 78,365,395 | $ | 3,199,861 | $ | 81,565,256 | |||||||||||||||||||
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 March 31, 2015 and December 31, 2014, according to their estimated weighted average life classifications: | |||||||||||||||||||||||||
31-Mar-15 | 31-Dec-14 | ||||||||||||||||||||||||
Weighted Average Life | Estimated Fair | Amortized Cost | Estimated Fair | Amortized Cost | |||||||||||||||||||||
Value | Value | ||||||||||||||||||||||||
(dollars in thousands) | |||||||||||||||||||||||||
Less than one year | $ | 27,752 | $ | 27,847 | $ | 43,248 | $ | 42,831 | |||||||||||||||||
Greater than one year through five years | 46,648,676 | 46,120,064 | 42,222,114 | 41,908,586 | |||||||||||||||||||||
Greater than five years through ten years | 22,520,713 | 22,308,291 | 39,018,833 | 39,098,352 | |||||||||||||||||||||
Greater than ten years | 190,860 | 190,186 | 281,061 | 283,756 | |||||||||||||||||||||
Total | $ | 69,388,001 | $ | 68,646,388 | $ | 81,565,256 | $ | 81,333,525 | |||||||||||||||||
The weighted average lives of the Agency mortgage-backed securities at March 31, 2015 and December 31, 2014 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 March 31, 2015 and December 31, 2014. | |||||||||||||||||||||||||
31-Mar-15 | 31-Dec-14 | ||||||||||||||||||||||||
Estimated Fair | Gross Unrealized | Number of | Estimated Fair | Gross Unrealized | Number of | ||||||||||||||||||||
Value | Losses | Securities | Value | Losses | Securities | ||||||||||||||||||||
(dollars in thousands) | |||||||||||||||||||||||||
Less than 12 Months | 2,595,905 | (54,883 | ) | 207 | 4,613,599 | (36,959 | ) | 205 | |||||||||||||||||
12 Months or More | 25,474,816 | (317,272 | ) | 232 | 35,175,194 | (713,311 | ) | 302 | |||||||||||||||||
Total | 28,070,721 | (372,155 | ) | 439 | 39,788,793 | (750,270 | ) | 507 | |||||||||||||||||
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 Agency. | |||||||||||||||||||||||||
During the quarter ended March 31, 2015, the Company disposed of $14.5 billion of Agency mortgage-backed securities, resulting in a net realized gain of $65.3 million. During the quarter ended March 31, 2014, the Company disposed of $4.3 billion of Agency mortgage-backed securities, resulting in a net realized gain of $129.5 million. 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 March 31, 2015 and December 31, 2014 had net unrealized gains (losses) of $(41.6) million and $(8.0) million and an amortized cost of $1.4 billion and $1.2 billion, respectively. |
COMMERCIAL_REAL_ESTATE_INVESTM
COMMERCIAL REAL ESTATE INVESTMENTS | 3 Months Ended | ||||||||||||||||||||||||
Mar. 31, 2015 | |||||||||||||||||||||||||
COMMERCIAL REAL ESTATE INVESTMENTS | 5. COMMERCIAL REAL ESTATE INVESTMENTS | ||||||||||||||||||||||||
At March 31, 2015 and December 31, 2014, commercial real estate investments held for investment were composed of the following: | |||||||||||||||||||||||||
CRE Debt and Preferred Equity Investments | |||||||||||||||||||||||||
31-Mar-15 | 31-Dec-14 | ||||||||||||||||||||||||
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 | 431,872 | 430,228 | 28.7 | % | 384,304 | 383,895 | 25.2 | % | |||||||||||||||||
Senior securitized mortgages(3) | 361,861 | 361,179 | 24.1 | % | 399,541 | 398,634 | 26.3 | % | |||||||||||||||||
Mezzanine loans | 495,305 | 495,405 | 33 | % | 522,474 | 522,731 | 34.4 | % | |||||||||||||||||
Preferred equity | 213,213 | 211,594 | 14.2 | % | 214,653 | 212,905 | 14.1 | % | |||||||||||||||||
Total | $ | 1,502,251 | $ | 1,498,406 | 100 | % | $ | 1,520,972 | $ | 1,518,165 | 100 | % | |||||||||||||
(1) Carrying value includes unamortized origination fees of $4.0 million and $3.0 million as of March 31, 2015 and December 31, 2014, respectively. | |||||||||||||||||||||||||
(2) Based on outstanding principal. | |||||||||||||||||||||||||
(3) Assets of consolidated VIEs. | |||||||||||||||||||||||||
31-Mar-15 | |||||||||||||||||||||||||
Senior | Senior | Mezzanine | Preferred | Total | |||||||||||||||||||||
Mortgages | Securitized | Loans | Equity | ||||||||||||||||||||||
Mortgages(1) | |||||||||||||||||||||||||
(dollars in thousands) | |||||||||||||||||||||||||
Beginning balance | $ | 383,895 | $ | 398,634 | $ | 522,731 | $ | 212,905 | $ | 1,518,165 | |||||||||||||||
Originations & advances (principal) | 47,645 | - | 16,043 | - | 63,688 | ||||||||||||||||||||
Principal payments | (76 | ) | (37,680 | ) | (43,212 | ) | (1,441 | ) | (82,409 | ) | |||||||||||||||
Sales (principal) | - | - | - | - | - | ||||||||||||||||||||
Amortization & accretion of (premium) discounts | (36 | ) | - | (31 | ) | 25 | (42 | ) | |||||||||||||||||
Net (increase) decrease in origination fees | (1,950 | ) | - | (236 | ) | - | (2,186 | ) | |||||||||||||||||
Amortization of net origination fees | 750 | 225 | 110 | 105 | 1,190 | ||||||||||||||||||||
Transfers | - | - | - | - | - | ||||||||||||||||||||
Allowance for loan losses | - | - | - | - | - | ||||||||||||||||||||
Net carrying value | $ | 430,228 | $ | 361,179 | $ | 495,405 | $ | 211,594 | $ | 1,498,406 | |||||||||||||||
(1) Assets of consolidated VIE. | |||||||||||||||||||||||||
31-Dec-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) | 127,112 | - | - | 122,742 | - | 249,854 | |||||||||||||||||||
Principal payments | (12,756 | ) | - | (41,059 | ) | (227,151 | ) | (35,116 | ) | (316,082 | ) | ||||||||||||||
Sales (principal) | - | - | - | - | - | - | |||||||||||||||||||
Amortization & accretion of (premium) discounts | (138 | ) | - | (349 | ) | (1,093 | ) | 108 | (1,472 | ) | |||||||||||||||
Net (increase) decrease in origination fees | (2,427 | ) | (116 | ) | - | (478 | ) | - | (3,021 | ) | |||||||||||||||
Amortization of net origination fees | 2,783 | 772 | - | 609 | 753 | 4,917 | |||||||||||||||||||
Transfers | (397,978 | ) | 397,978 | - | - | - | - | ||||||||||||||||||
Allowance for loan losses | - | - | - | - | - | - | |||||||||||||||||||
Net carrying value | $ | 383,895 | $ | 398,634 | $ | - | $ | 522,731 | $ | 212,905 | $ | 1,518,165 | |||||||||||||
(1) Assets of consolidated VIE. | |||||||||||||||||||||||||
Internal CRE Debt and Preferred Equity Investment Ratings | |||||||||||||||||||||||||
31-Mar-15 | |||||||||||||||||||||||||
Percentage of CRE Debt and | Internal Ratings | ||||||||||||||||||||||||
Investment Type | Outstanding Principal | Preferred Equity Portfolio | Performing | Watch List(2) | Defaulted-Recovery(3) | Impaired | |||||||||||||||||||
(dollars in thousands) | |||||||||||||||||||||||||
Senior mortgages | $ | 431,872 | 28.7 | % | $ | 188,899 | $ | 230,000 | $ | 12,973 | $ | - | |||||||||||||
Senior securitized mortgages(1) | 361,861 | 24.1 | % | 352,611 | 9,250 | - | - | ||||||||||||||||||
Mezzanine loans | 495,305 | 33 | % | 495,305 | - | - | - | ||||||||||||||||||
Preferred equity | 213,213 | 14.2 | % | 162,213 | 51,000 | - | - | ||||||||||||||||||
$ | 1,502,251 | 100 | % | $ | 1,199,028 | $ | 290,250 | $ | 12,973 | $ | - | ||||||||||||||
(1) Assets of consolidated VIE | |||||||||||||||||||||||||
(2) Includes a $230.0 million loan maturing on June 30, 2015 with a risk that the borrower will be unable to refinance the outstanding principal amount before the maturity date, but full recovery is expected. | |||||||||||||||||||||||||
(3) Related to one loan on non-accrual status. | |||||||||||||||||||||||||
31-Dec-14 | |||||||||||||||||||||||||
Percentage of CRE Debt and | Internal Ratings | ||||||||||||||||||||||||
Investment Type | Outstanding Principal | Preferred Equity Portfolio | Performing | Watch List | Defaulted-Recovery | Impaired | |||||||||||||||||||
(dollars in thousands) | |||||||||||||||||||||||||
Senior mortgages | $ | 384,304 | 25.2 | % | $ | 371,331 | $ | - | $ | 12,973 | -2 | $ | - | ||||||||||||
Senior securitized mortgages(1) | 399,541 | 26.3 | % | 390,291 | 9,250 | - | - | ||||||||||||||||||
Subordinate notes | - | 0 | % | - | - | - | - | ||||||||||||||||||
Mezzanine loans | 522,474 | 34.4 | % | 522,474 | - | - | - | ||||||||||||||||||
Preferred equity | 214,653 | 14.1 | % | 214,653 | - | - | - | ||||||||||||||||||
$ | 1,520,972 | 100 | % | $ | 1,498,749 | $ | 9,250 | $ | 12,973 | $ | - | ||||||||||||||
(1) Assets of consolidated VIE. | |||||||||||||||||||||||||
(2) Relates to one loan on nonaccrual status. | |||||||||||||||||||||||||
Real Estate Acquisitions | |||||||||||||||||||||||||
In November 2014, a joint venture, in which the Company has a 90% interest, acquired eleven retail properties located in New York, Ohio and Georgia. The purchase price was funded with cash and a new $104.0 million, ten-year, 4.03% fixed-rate interest-only mortgage loan. | |||||||||||||||||||||||||
There were no acquisitions of real estate during the quarter ended March 31, 2015. The following table summarizes acquisitions of real estate held for investment in 2014: | |||||||||||||||||||||||||
Date of Acquisition | Type | Location | Purchase | Remaining Lease | |||||||||||||||||||||
Price | Term (Years) (1) | ||||||||||||||||||||||||
(dollars in thousands) | |||||||||||||||||||||||||
Apr-14 | Single-tenant retail | Tennessee | $19,000 | 8 | |||||||||||||||||||||
Jun-14 | Multi-tenant retail | Virginia | $17,743 | 7 | |||||||||||||||||||||
Nov-14 | Multi-tenant retail | New York, Ohio, Georgia | $154,000 | 4.6 | |||||||||||||||||||||
(1) Does not include extension options. | |||||||||||||||||||||||||
The aforementioned acquisitions were accounted for using the acquisition method of accounting. No additional real estate acquisition costs were expensed during the period ended March 31, 2015. | |||||||||||||||||||||||||
The following table presents the aggregate allocation of the purchase price: | |||||||||||||||||||||||||
Tennessee | Virginia | Joint Venture | Total | ||||||||||||||||||||||
(dollars in thousands) | |||||||||||||||||||||||||
Purchase Price Allocation: | |||||||||||||||||||||||||
Land | $ | 3,503 | $ | 6,394 | $ | 21,581 | $ | 31,478 | |||||||||||||||||
Buildings | 11,960 | 10,862 | 97,133 | 119,955 | |||||||||||||||||||||
Site improvements | 1,349 | 1,184 | 12,952 | 15,485 | |||||||||||||||||||||
Tenant Improvements | - | - | 9,601 | 9,601 | |||||||||||||||||||||
Real estate held for investment | 16,812 | 18,440 | 141,267 | 176,519 | |||||||||||||||||||||
Intangible assets (liabilities): | |||||||||||||||||||||||||
Leasehold intangible assets | 4,288 | 3,218 | 22,555 | 30,061 | |||||||||||||||||||||
Above market lease | - | - | 5,463 | 5,463 | |||||||||||||||||||||
Below market lease value | (2,100 | ) | (3,915 | ) | (15,285 | ) | (21,300 | ) | |||||||||||||||||
Total purchase price | $ | 19,000 | $ | 17,743 | $ | 154,000 | $ | 190,743 | |||||||||||||||||
The weighted average amortization period for intangible assets and liabilities is 3.7 years. Above market leases and leasehold intangible assets are included in Other assets and below market leases are included in Accounts payable and other liabilities in the Consolidated Statements of Financial Conditi the joint venture at the acquisition date was $15.4 million. The fair value of the acquisition and the related non-controlling interest was determined based on the purchase price.on. The fair value of the 10% non-controlling interest in | |||||||||||||||||||||||||
Total Commercial Real Estate Investment at amortized cost | |||||||||||||||||||||||||
31-Mar-15 | 31-Dec-14 | ||||||||||||||||||||||||
(dollars in thousands) | |||||||||||||||||||||||||
Real estate held for investment, at amortized cost | |||||||||||||||||||||||||
Land | $ | 38,117 | $ | 38,117 | |||||||||||||||||||||
Buildings and improvements | 176,139 | 176,139 | |||||||||||||||||||||||
Subtotal | 214,256 | 214,256 | |||||||||||||||||||||||
Less: accumulated depreciation | (7,047 | ) | (4,224 | ) | |||||||||||||||||||||
Total real estate held for investment at amortized cost, net | 207,209 | 210,032 | |||||||||||||||||||||||
Total investment in commercial real estate, net | 207,209 | 210,032 | |||||||||||||||||||||||
Net carrying value of CRE Debt and Preferred Equity Investments | 1,498,406 | 1,518,165 | |||||||||||||||||||||||
Total commercial real estate investments, at amortized cost | $ | 1,705,615 | $ | 1,728,197 | |||||||||||||||||||||
Depreciation expense was $2.8 million and $0.3 million for the quarters ended March 31, 2015 and 2014, respectively, and is included in Other income (loss) in the Consolidated Statements of Comprehensive Income (Loss). The table below presents the minimum future rentals on noncancelable leases of the Company’s commercial real estate investments as of March 31, 2015. | |||||||||||||||||||||||||
Rental Income | |||||||||||||||||||||||||
The minimum rental amounts due under the leases are generally either subject to scheduled fixed increases or adjustments. The leases generally also require that the tenants reimburse us for certain operating costs. Approximate future minimum rents to be received over the next five years and thereafter for non-cancelable operating leases in effect at March 31, 2015 for the consolidated properties, including consolidated joint venture properties are as follows (in thousands): | |||||||||||||||||||||||||
31-Mar-15 | |||||||||||||||||||||||||
(dollars in thousands) | |||||||||||||||||||||||||
2015 (remaining) | $ | 15,495 | |||||||||||||||||||||||
2016 | 18,684 | ||||||||||||||||||||||||
2017 | 15,977 | ||||||||||||||||||||||||
2018 | 13,620 | ||||||||||||||||||||||||
2019 | 11,301 | ||||||||||||||||||||||||
Later years | 51,241 | ||||||||||||||||||||||||
$ | 126,318 | ||||||||||||||||||||||||
Mortgage loans payable as of March 31, 2015 and December 31, 2014, were as follows: | |||||||||||||||||||||||||
31-Mar-15 | |||||||||||||||||||||||||
Property | Mortgage | Mortgage | Interest Rate | Fixed/Floating | Maturity | Priority | |||||||||||||||||||
Carrying Value | Principal | Rate | Date | ||||||||||||||||||||||
(dollars in thousands) | |||||||||||||||||||||||||
Joint Venture | $ | 103,950 | $ | 103,950 | 4.03 | % | Fixed | 12/6/24 | First liens | ||||||||||||||||
Tennessee | 12,350 | 12,350 | 4.01 | % | Fixed | 6/6/19 | First liens | ||||||||||||||||||
Virginia | 11,025 | 11,025 | 3.58 | % | Fixed | 9/6/19 | First liens | ||||||||||||||||||
Arizona | 16,644 | 16,548 | 3.5 | % | Fixed | 1/1/17 | First liens | ||||||||||||||||||
Nevada | 2,501 | 2,488 | 3.45 | % | Floating (1) | 3/29/17 | First liens | ||||||||||||||||||
$ | 146,470 | $ | 146,361 | ||||||||||||||||||||||
(1) Rate is fixed via an interest rate swap (pay fixed 3.45%, receive floating rate of L+200). | |||||||||||||||||||||||||
31-Dec-14 | |||||||||||||||||||||||||
Property | Mortgage | Mortgage | Interest Rate | Fixed/Floating | Maturity | Priority | |||||||||||||||||||
Carrying Value | Principal | Rate | Date | ||||||||||||||||||||||
(dollars in thousands) | |||||||||||||||||||||||||
Joint Venture | $ | 103,950 | $ | 103,950 | 4.03 | % | Fixed | 12/6/24 | First liens | ||||||||||||||||
Tennessee | 12,350 | 12,350 | 4.01 | % | Fixed | 6/6/19 | First liens | ||||||||||||||||||
Virginia | 11,025 | 11,025 | 3.58 | % | Fixed | 9/6/19 | First liens | ||||||||||||||||||
Arizona | 16,709 | 16,600 | 3.5 | % | Fixed | 1/1/17 | First liens | ||||||||||||||||||
Nevada | 2,519 | 2,505 | 3.45 | % | Floating (1) | 3/29/17 | First liens | ||||||||||||||||||
$ | 146,553 | $ | 146,430 | ||||||||||||||||||||||
(1) Rate is fixed via an interest rate swap (pay fixed 3.45%, receive floating rate of L+200). | |||||||||||||||||||||||||
The following table details future mortgage loan principal payments as of March 31, 2015: | |||||||||||||||||||||||||
Mortgage Loan Principal | |||||||||||||||||||||||||
Payments | |||||||||||||||||||||||||
(dollars in thousands) | |||||||||||||||||||||||||
2015 (remaining) | $ | 291 | |||||||||||||||||||||||
2016 | 399 | ||||||||||||||||||||||||
2017 | 18,346 | ||||||||||||||||||||||||
2018 | - | ||||||||||||||||||||||||
2019 | 23,375 | ||||||||||||||||||||||||
Later years | 103,950 | ||||||||||||||||||||||||
$ | 146,361 | ||||||||||||||||||||||||
VIEs | |||||||||||||||||||||||||
Securitizations | |||||||||||||||||||||||||
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 March 31, 2015 the carrying value of the Trust’s assets was $361.2 million, net of $0.7 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 March 31, 2015, the carrying value of the Trust’s liabilities was $223.0 million, classified as Securitized debt in the accompanying Consolidated Statements of Financial Condition. | |||||||||||||||||||||||||
In February 2015, the Company purchased the junior-most tranche, Class C Certificates of the Freddie Mac securitization, FREMF Mortgage Trust 2015-KLSF (the “FREMF Trust”) for $102.1 million. The underlying portfolio is a pool of 11 floating rate multifamily mortgage loans with a cut-off principal balance of $1.4 billion. The Company was required to consolidate the FREMF Trust’s assets and liabilities of $1.4 billion and $1.3 billion, respectively, at March 31, 2015. | |||||||||||||||||||||||||
The FREMF 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 FREMF 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 of the Class C Certificates and its current designation as the directing certificate holder. The Company’s exposure to the obligations of the VIE is generally limited to the Company’s investment in the FREMF Trust of $102.1 million. Assets of the FREMF Trust may only be used to settle obligations of the FREMF Trust. Creditors of the FREMF 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 FREMF Trust. A nominal loss was recognized upon initial consolidation of the FREMF Trust and $0.6 million of related costs were expensed. | |||||||||||||||||||||||||
Upon consolidation, the Company elected the fair value option for the financial assets and liabilities of the FREMF Trust in order to avoid an accounting mismatch, and to more faithfully represent the economics of its interest in the entity. The fair value option requires that changes in fair value be reflected in the Company’s Consolidated Statements of Comprehensive Income (Loss). The Company has early adopted ASU 2014-13 and applied the fair value measurement practical expedient whereby the Company determines whether the fair value of the financial assets or financial liabilities is more observable as a basis for measuring the less observable financial instruments. The Company has determined that the fair value of the financial liabilities of the FREMF Trust are more observable, since the prices for these liabilities are primarily available from third-party pricing services utilized for multifamily mortgage-backed securities, while the individual assets of the trusts are inherently less capable of precise measurement given their illiquid nature and the limitations on available information related to these assets. Given that the Company’s methodology for valuing the financial assets of the FREMF Trust is an aggregate fair value derived from the fair value of the financial liabilities, the Company has determined that the fair value of each of the financial assets in their entirety should be classified in Level 2 of the fair value measurement hierarchy. | |||||||||||||||||||||||||
The statement of financial condition of the FREMF Trust that is reflected in the Company’s Consolidated Statements of Financial Condition at March 31, 2015 follows: | |||||||||||||||||||||||||
31-Mar-15 | |||||||||||||||||||||||||
(dollars in thousands) | |||||||||||||||||||||||||
Securitized loans at fair value | $ | 1,370,903 | |||||||||||||||||||||||
Accrued interest receivable | 2,431 | ||||||||||||||||||||||||
Total assets | $ | 1,373,334 | |||||||||||||||||||||||
Liabilities and equity | |||||||||||||||||||||||||
Securitized debt (non-recourse) at fair value | $ | 1,268,809 | |||||||||||||||||||||||
Accrued interest payable | 2,204 | ||||||||||||||||||||||||
$ | 1,271,013 | ||||||||||||||||||||||||
Equity | 102,321 | ||||||||||||||||||||||||
Total liabilities and equity | $ | 1,373,334 | |||||||||||||||||||||||
The FREMF Trust mortgage loans had an unpaid principal balance of $1.4 billion, at March 31, 2015. As of March 31, 2015 there are no loans 90 days or more past due or on nonaccrual status. There is no gain or loss attributable to instrument-specific credit risk of the underlying loans or securitized debt securities as of March 31, 2015 based upon theCompany’s process of monitoring events of default on the underlying mortgage loans. | |||||||||||||||||||||||||
The statement of comprehensive income (loss) of the FREMF Trust that is reflected in the Company’s Consolidated Statements of Comprehensive Income (Loss) at March 31, 2015 follows: | |||||||||||||||||||||||||
For the period February 25, 2015 | |||||||||||||||||||||||||
to March 31, 2015 | |||||||||||||||||||||||||
(dollars in thousands) | |||||||||||||||||||||||||
Net interest income: | |||||||||||||||||||||||||
Interest income | $ | 2,742 | |||||||||||||||||||||||
Interest expense | (1,606 | ) | |||||||||||||||||||||||
Net interest income | 1,136 | ||||||||||||||||||||||||
Other income: | |||||||||||||||||||||||||
Unrealized gain (loss) on financial instruments at fair value (1) | 3 | ||||||||||||||||||||||||
Transaction and acquistion expenses | 810 | ||||||||||||||||||||||||
Other income | 813 | ||||||||||||||||||||||||
General and administration expenses | 96 | ||||||||||||||||||||||||
Net income | $ | 227 | |||||||||||||||||||||||
(1) Included in Other income (loss). | |||||||||||||||||||||||||
The geographic concentrations of credit risk exceeding 5% of the total loan balances related to the trusts as of March 31, 2015 follows: | |||||||||||||||||||||||||
Securitized Loans at Fair Value Geographic Concentration of Credit Risk | |||||||||||||||||||||||||
Property Location | Principal Balance | % of Balance | |||||||||||||||||||||||
(dollars in thousands) | |||||||||||||||||||||||||
North Carolina | $ | 516,150 | 37.9 | % | |||||||||||||||||||||
Texas | 339,014 | 24.9 | % | ||||||||||||||||||||||
Ohio | 197,455 | 14.5 | % | ||||||||||||||||||||||
Florida | 156,836 | 11.5 | % | ||||||||||||||||||||||
FAIR_VALUE_MEASUREMENTS
FAIR VALUE MEASUREMENTS | 3 Months Ended | |||||||||||||||||||
Mar. 31, 2015 | ||||||||||||||||||||
FAIR VALUE MEASUREMENTS | 6. 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, futures contracts and investment in affiliate are valued using quoted prices for identical instruments in active markets. Investment Securities, 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 and 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 Investment 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 Investment Securities, interest rate swaps, swaptions, TBA derivatives and MBS options 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 Investment Securities, interest rate swaps, swaptions, TBA derivatives and MBS options as Level 2 inputs in the fair value hierarchy. Additionally, as discussed in the "Commercial Real Estate Investments" footnote, Commercial real estate debt investments are classified as Level 2. | ||||||||||||||||||||
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 | |||||||||||||||||
31-Mar-15 | (dollars in thousands) | |||||||||||||||||||
Assets: | ||||||||||||||||||||
Agency mortgage-backed securities | $ | - | $ | 69,388,001 | $ | - | $ | 69,388,001 | ||||||||||||
Agency debentures | - | 995,408 | - | 995,408 | ||||||||||||||||
Agency CRT securities | - | 108,337 | - | 108,337 | ||||||||||||||||
Commercial real estate debt investments | - | 1,515,903 | - | 1,515,903 | ||||||||||||||||
Investment in affiliate | 141,246 | - | - | 141,246 | ||||||||||||||||
Interest rate swaps | - | 25,908 | - | 25,908 | ||||||||||||||||
Other derivatives | - | 113,503 | - | 113,503 | ||||||||||||||||
Total Assets | $ | 141,246 | $ | 72,147,060 | $ | - | $ | 72,288,306 | ||||||||||||
Liabilities: | ||||||||||||||||||||
Securitized debt of consolidated VIEs | $ | - | $ | 1,268,809 | $ | - | $ | 1,268,809 | ||||||||||||
Interest rate swaps | - | 2,025,170 | - | 2,025,170 | ||||||||||||||||
Other derivatives | 61,778 | - | - | 61,778 | ||||||||||||||||
Total Liabilities | $ | 61,778 | $ | 3,293,979 | $ | - | $ | 3,355,757 | ||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||||||
31-Dec-14 | (dollars in thousands) | |||||||||||||||||||
Assets: | ||||||||||||||||||||
Agency mortgage-backed securities | $ | - | $ | 81,565,256 | $ | - | $ | 81,565,256 | ||||||||||||
Agency debentures | - | 1,368,350 | - | 1,368,350 | ||||||||||||||||
Investment in affiliate | 143,045 | - | - | 143,045 | ||||||||||||||||
Interest rate swaps | - | 75,225 | - | 75,225 | ||||||||||||||||
Other derivatives | 117 | 5,382 | - | 5,499 | ||||||||||||||||
Total Assets | $ | 143,162 | $ | 83,014,213 | $ | - | $ | 83,157,375 | ||||||||||||
Liabilities: | ||||||||||||||||||||
Interest rate swaps | $ | - | $ | 1,608,286 | $ | - | $ | 1,608,286 | ||||||||||||
Other derivatives | 3,769 | 4,258 | - | 8,027 | ||||||||||||||||
Total Liabilities | $ | 3,769 | $ | 1,612,544 | $ | - | $ | 1,616,313 | ||||||||||||
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, methodologies that incorporate market-based transactions 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, 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 VIEs 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 March 31, 2015 and December 31, 2014. | ||||||||||||||||||||
31-Mar-15 | 31-Dec-14 | |||||||||||||||||||
Level in | Carrying | Fair Value | Carrying | Fair Value | ||||||||||||||||
Fair Value | Value | Value | ||||||||||||||||||
Hierarchy | ||||||||||||||||||||
Financial assets: | (dollars in thousands) | |||||||||||||||||||
Cash and cash equivalents | 1 | $ | 1,920,326 | $ | 1,920,326 | $ | 1,741,244 | $ | 1,741,244 | |||||||||||
Reverse repurchase agreements | 1 | 100,000 | 100,000 | 100,000 | 100,000 | |||||||||||||||
Agency mortgage-backed securities | 2 | 69,388,001 | 69,388,001 | 81,565,256 | 81,565,256 | |||||||||||||||
Agency debentures | 2 | 995,408 | 995,408 | 1,368,350 | 1,368,350 | |||||||||||||||
Agency CRT securities | 2 | 108,337 | 108,337 | - | - | |||||||||||||||
Commercial real estate debt investments, at fair value | 2 | 1,515,903 | 1,515,903 | - | - | |||||||||||||||
Investment in affiliate | 1 | 141,246 | 141,246 | 143,045 | 143,045 | |||||||||||||||
Commercial real estate debt and preferred equity, held for investment | 3 | 1,498,406 | 1,513,878 | 1,518,165 | 1,528,444 | |||||||||||||||
Corporate debt | 2 | 227,830 | 228,012 | 166,464 | 166,056 | |||||||||||||||
Interest rate swaps | 2 | 25,908 | 25,908 | 75,225 | 75,225 | |||||||||||||||
Other derivatives | 1,2 | 113,503 | 113,503 | 5,499 | 5,499 | |||||||||||||||
Financial liabilities: | ||||||||||||||||||||
Repurchase agreements | 1,2 | $ | 60,477,378 | $ | 60,691,054 | $ | 71,361,926 | $ | 71,587,222 | |||||||||||
Convertible Senior Notes | 1 | 749,512 | 752,325 | 845,295 | 863,470 | |||||||||||||||
Securitized debt of consolidated VIE | 2 | 1,491,829 | 1,492,102 | 260,700 | 262,061 | |||||||||||||||
Mortgages payable | 2 | 146,470 | 150,765 | 146,553 | 146,611 | |||||||||||||||
Participation sold | 3 | 13,589 | 13,620 | 13,693 | 13,655 | |||||||||||||||
Interest rate swaps | 2 | 2,025,170 | 2,025,170 | 1,608,286 | 1,608,286 | |||||||||||||||
Other derivatives | 1,2 | 61,778 | 61,778 | 8,027 | 8,027 | |||||||||||||||
SECURED_FINANCING
SECURED FINANCING | 3 Months Ended | ||||||||||||||||
Mar. 31, 2015 | |||||||||||||||||
SECURED FINANCING | 7. SECURED FINANCING | ||||||||||||||||
The Company had outstanding $60.5 billion and $71.4 billion of repurchase agreements with weighted average borrowing rates of 1.74% and 1.62%, after giving effect to the Company’s interest rate swaps, and weighted average remaining maturities of 149 days and 141 days as of March 31, 2015 and December 31, 2014, respectively. | |||||||||||||||||
At March 31, 2015 and December 31, 2014, the repurchase agreements had the following remaining maturities and weighted average rates: | |||||||||||||||||
31-Mar-15 | 31-Dec-14 | ||||||||||||||||
Repurchase | Weighted | Repurchase | Weighted | ||||||||||||||
Agreements | Average Rate | Agreements | Average Rate | ||||||||||||||
1 day | $ | 7,658,440 | 0.64 | % | $ | - | 0 | % | |||||||||
2 to 29 days | 16,080,033 | 0.39 | % | 28,354,167 | 0.35 | % | |||||||||||
30 to 59 days | 7,326,177 | 0.4 | % | 17,336,469 | 0.43 | % | |||||||||||
60 to 89 days | 9,534,614 | 0.4 | % | 4,040,677 | 0.38 | % | |||||||||||
90 to 119 days | 4,677,222 | 0.5 | % | 2,945,495 | 0.5 | % | |||||||||||
Over 120 days(1) | 15,200,892 | 1.45 | % | 18,685,118 | 1.24 | % | |||||||||||
Total | $ | 60,477,378 | 0.7 | % | $ | 71,361,926 | 0.61 | % | |||||||||
(1) Approximately 18% and 16% of the total repurchase agreements had a remaining maturity over 1 year as of March 31, 2015 and December 31, 2014, 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 March 31, 2015 and December 31, 2014. Refer to “Derivative Instruments” footnote for information related to the effect of netting arrangements on the Company’s derivative instruments. | |||||||||||||||||
31-Mar-15 | 31-Dec-14 | ||||||||||||||||
Reverse Repurchase | Repurchase | Reverse Repurchase | Repurchase | ||||||||||||||
Agreements | Agreements | Agreements | Agreements | ||||||||||||||
(dollars in thousands) | |||||||||||||||||
Gross Amounts | $ | 1,700,000 | $ | 62,077,378 | $ | 700,000 | $ | 71,961,926 | |||||||||
Amounts Offset | (1,600,000 | ) | (1,600,000 | ) | (600,000 | ) | (600,000 | ) | |||||||||
Netted Amounts | $ | 100,000 | $ | 60,477,378 | $ | 100,000 | $ | 71,361,926 | |||||||||
Investment Securities pledged as collateral under these secured financings and interest rate swaps had an estimated fair value and accrued interest of $64.6 billion and $189.9 million, respectively, at March 31, 2015 and $75.4 billion and $226.6 million, respectively, at December 31, 2014. | |||||||||||||||||
DERIVATIVE_INSTRUMENTS
DERIVATIVE INSTRUMENTS | 3 Months Ended | ||||||||||||||||
Mar. 31, 2015 | |||||||||||||||||
DERIVATIVE INSTRUMENTS | 8. 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 futures contracts. The Company may also enter into TBA derivatives, MBS options and eurodollar futures contracts 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 March 31, 2015 and December 31, 2014: | |||||||||||||||||
Derivatives Instruments | Balance Sheet Location | 31-Mar-15 | 31-Dec-14 | ||||||||||||||
Assets: | (dollars in thousands) | ||||||||||||||||
Interest rate swaps | Interest rate swaps, at fair value | $ | 25,908 | $ | 75,225 | ||||||||||||
Interest rate swaptions | Other derivative contracts, at fair value | 574 | 5,382 | ||||||||||||||
TBA derivatives | Other derivative contracts, at fair value | 112,929 | - | ||||||||||||||
Futures contracts | Other derivative contracts, at fair value | - | 117 | ||||||||||||||
$ | 139,411 | $ | 80,724 | ||||||||||||||
Liabilities: | |||||||||||||||||
Interest rate swaps | Interest rate swaps, at fair value | $ | 2,025,170 | $ | 1,608,286 | ||||||||||||
TBA derivatives | Other derivative contracts, at fair value | - | 4,258 | ||||||||||||||
Futures contracts | Other derivative contracts, at fair value | 61,778 | 3,769 | ||||||||||||||
$ | 2,086,948 | $ | 1,616,313 | ||||||||||||||
The following table summarizes certain characteristics of the Company’s interest rate swaps at March 31, 2015 and December 31, 2014: | |||||||||||||||||
31-Mar-15 | |||||||||||||||||
Maturity | Current | Weighted Average Pay | Weighted Average | Weighted Average | |||||||||||||
Notional (1) | Rate (2) (3) | Receive Rate (2) | Years to Maturity (2) | ||||||||||||||
(dollars in thousands) | |||||||||||||||||
0 - 3 years | $ | 2,852,488 | 1.78 | % | 0.18 | % | 2.45 | ||||||||||
3 - 6 years | 10,463,000 | 1.85 | % | 0.41 | % | 4.99 | |||||||||||
6 - 10 years | 11,110,100 | 2.6 | % | 0.37 | % | 8.64 | |||||||||||
Greater than 10 years | 3,634,400 | 3.7 | % | 0.22 | % | 20.12 | |||||||||||
Total / Weighted Average | $ | 28,059,988 | 2.37 | % | 0.35 | % | 8.09 | ||||||||||
31-Dec-14 | |||||||||||||||||
Maturity | Current | Weighted Average Pay | Weighted Average | Weighted Average | |||||||||||||
Notional (1) | Rate (2) (3) | Receive Rate (2) | Years to Maturity (2) | ||||||||||||||
(dollars in thousands) | |||||||||||||||||
0 - 3 years | $ | 2,502,505 | 1.63 | % | 0.17 | % | 2.64 | ||||||||||
3 - 6 years | 11,138,000 | 2.06 | % | 0.22 | % | 5.18 | |||||||||||
6 - 10 years | 13,069,200 | 2.67 | % | 0.23 | % | 8.57 | |||||||||||
Greater than 10 years | 4,751,800 | 3.58 | % | 0.2 | % | 19.53 | |||||||||||
Total / Weighted Average | $ | 31,461,505 | 2.49 | % | 0.22 | % | 8.38 | ||||||||||
-1 | Notional amount includes $3.0 billion and $500.0 million in forward starting pay fixed swaps as of March 31, 2015 and December 31, 2014, respectively. | ||||||||||||||||
-2 | Excludes forward starting swaps. | ||||||||||||||||
-3 | Weighted average fixed rate on forward starting pay fixed swaps was 1.88% and 3.25% as of March 31, 2015 and December 31, 2014, respectively. | ||||||||||||||||
The following table summarizes certain characteristics of the Company’s interest rate swaptions at March 31, 2015 and December 31, 2014: | |||||||||||||||||
31-Mar-15 | 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 | $ | 1,000,000 | 2.61% | 3M LIBOR | 8.19 | 2.15 | |||||||||||
31-Dec-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 | $ | 1,750,000 | 2.88% | 3M LIBOR | 9.17 | 3.59 | |||||||||||
The following table summarizes certain characteristics of the Company’s TBA derivatives as of March 31, 2015 and December 31, 2014: | |||||||||||||||||
31-Mar-15 | |||||||||||||||||
Purchase and sale contracts for | Notional | Implied Cost Basis | Implied Market Value | Net Carrying Value | |||||||||||||
derivative TBAs | |||||||||||||||||
(dollars in thousands) | |||||||||||||||||
Purchase contracts | $ | 13,750,000 | $ | 14,279,766 | $ | 14,392,695 | $ | 112,929 | |||||||||
Sale contracts | - | - | - | - | |||||||||||||
Net TBA derivatives | $ | 13,750,000 | $ | 14,279,766 | $ | 14,392,695 | $ | 112,929 | |||||||||
31-Dec-14 | |||||||||||||||||
Purchase and sale contracts for | Notional | Implied Cost Basis | Implied Market Value | Net Carrying Value | |||||||||||||
derivative TBAs | |||||||||||||||||
(dollars in thousands) | |||||||||||||||||
Purchase contracts | $ | - | $ | - | $ | - | $ | - | |||||||||
Sale contracts | (375,000 | ) | (375,430 | ) | (379,688 | ) | (4,258 | ) | |||||||||
Net TBA derivatives | $ | (375,000 | ) | $ | (375,430 | ) | $ | (379,688 | ) | $ | (4,258 | ) | |||||
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 March 31, 2015 and December 31, 2014, respectively. | |||||||||||||||||
31-Mar-15 | Amounts Eligible for Offset | ||||||||||||||||
Gross Amounts | Financial Instruments | Cash Collateral | Net Amounts | ||||||||||||||
Assets: | (dollars in thousands) | ||||||||||||||||
Interest rate swaps, at fair value | $ | 25,908 | $ | (24,782 | ) | $ | - | $ | 1,126 | ||||||||
Interest rate swaptions, at fair value | 574 | - | - | 574 | |||||||||||||
TBA derivatives, at fair value | 112,929 | - | - | 112,929 | |||||||||||||
Liabilities: | |||||||||||||||||
Interest rate swaps, at fair value | $ | 2,025,170 | $ | (24,782 | ) | $ | (1,111,199 | ) | $ | 889,189 | |||||||
Futures contracts, at fair value | 61,778 | - | (61,778 | ) | - | ||||||||||||
31-Dec-14 | Amounts Eligible for Offset | ||||||||||||||||
Gross Amounts | Financial Instruments | Cash Collateral | Net Amounts | ||||||||||||||
Assets: | (dollars in thousands) | ||||||||||||||||
Interest rate swaps, at fair value | $ | 75,225 | $ | (66,180 | ) | $ | - | $ | 9,045 | ||||||||
Interest rate swaptions, at fair value | 5,382 | - | - | 5,382 | |||||||||||||
Futures contracts, at fair value | 117 | (117 | ) | - | - | ||||||||||||
Liabilities: | |||||||||||||||||
Interest rate swaps, at fair value | $ | 1,608,286 | $ | (66,180 | ) | $ | (869,302 | ) | $ | 672,804 | |||||||
TBA derivatives, at fair value | 4,258 | - | - | 4,258 | |||||||||||||
Futures contracts, at fair value | 3,769 | (117 | ) | - | 3,652 | ||||||||||||
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: | |||||||||||||||||
31-Mar-15 | $ | (158,239 | ) | $ | (226,462 | ) | $ | (466,202 | ) | ||||||||
31-Mar-14 | $ | (260,435 | ) | $ | (6,842 | ) | $ | (348,942 | ) | ||||||||
(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). | |||||||||||||||||
The effect of other derivative contracts on the Company’s Consolidated Statements of Comprehensive Income (Loss) is as follows: | |||||||||||||||||
Quarter Ended March 31, 2015 | |||||||||||||||||
Derivative Instruments | Realized Gain (Loss) | Unrealized Gain (Loss) | Amount of Gain/(Loss) Recognized in | ||||||||||||||
Net Gains (Losses) on Trading Assets | |||||||||||||||||
(dollars in thousands) | |||||||||||||||||
Net TBA derivatives (1) | $ | (55,644 | ) | $ | 117,188 | $ | 61,544 | ||||||||||
Net interest rate swaptions | $ | (21,891 | ) | $ | 17,083 | $ | (4,808 | ) | |||||||||
Futures | $ | (5,506 | ) | $ | (58,126 | ) | $ | (63,632 | ) | ||||||||
$ | (6,896 | ) | |||||||||||||||
Quarter Ended March 31, 2014 | |||||||||||||||||
Derivative Instruments | Realized Gain (Loss) | Unrealized Gain (Loss) | Amount of Gain/(Loss) Recognized in | ||||||||||||||
Net Gains (Losses) on Trading Assets | |||||||||||||||||
(dollars in thousands) | |||||||||||||||||
Net TBA derivatives (1) | $ | (37,837 | ) | $ | (11,410 | ) | $ | (49,247 | ) | ||||||||
Net interest rate swaptions | $ | (40,943 | ) | $ | (52,917 | ) | $ | (93,860 | ) | ||||||||
Futures | $ | (5,669 | ) | $ | (3,048 | ) | $ | (8,717 | ) | ||||||||
$ | (151,824 | ) | |||||||||||||||
(1) Includes options on TBA securities. |
CONVERTIBLE_SENIOR_NOTES
CONVERTIBLE SENIOR NOTES | 3 Months Ended |
Mar. 31, 2015 | |
CONVERTIBLE SENIOR NOTES | 9. CONVERTIBLE SENIOR NOTES |
In 2010, the Company issued $600.0 million in aggregate principal amount of its 4% convertible senior notes (“4% Convertible Senior Notes”) for net proceeds of approximately $582.0 million. In 2012, the Company repurchased $492.5 million in aggregate principal amount of its 4% Convertible Senior Notes. In February 2015, the 4% Convertible Senior Notes matured and the Company repaid the remaining 4% convertible senior notes for the face amount of $107.5 million. | |
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 March 31, 2015 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 March 31, 2015 and December 31, 2014, $0.5 million and $1.5 million, respectively, of the unamortized discount had not been reflected in interest expense. | |
The 5% Convertible Senior Notes due 2015 are a general corporate obligation and therefore rank junior to collateralized debt of the Company with respect to secured collateral. | |
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. |
COMMON_STOCK_AND_PREFERRED_STO
COMMON STOCK AND PREFERRED STOCK | 3 Months Ended |
Mar. 31, 2015 | |
COMMON STOCK AND PREFERRED STOCK | 10. 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 March 31, 2015 and December 31, 2014, the Company had issued and outstanding 947,698,431 and 947,643,079 shares of common stock, with a par value of $0.01 per share. | |
No options were exercised during the quarters ended March 31, 2015 and 2014. | |
During the quarter ended March 31, 2015, the Company raised $0.6 million, by issuing 53,000 shares, through the Direct Purchase and Dividend Reinvestment Program. During the quarter ended March 31, 2014, the Company raised $0.6 million, by issuing 56,000 shares, through the Direct Purchase and Dividend Reinvestment Program. | |
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 quarters ended March 31, 2015 and 2014. | |
(B) Preferred Stock | |
At March 31, 2015 and December 31, 2014, 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 March 31, 2015, the Company had declared and paid all required quarterly dividends on the Series A Preferred Stock. | |
At March 31, 2015 and December 31, 2014, 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 March 31, 2015, the Company had declared and paid all required quarterly dividends on the Series C Preferred Stock. | |
At March 31, 2015 and December 31, 2014, 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 March 31, 2015, the Company had declared and paid all required quarterly dividends on the Series D 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 senior to the common stock of the Company. | |
(C) Distributions to Stockholders | |
During the quarter ended March 31, 2015, the Company declared dividends to common stockholders totaling $284.3 million, or $0.30 per common share which was paid to common stockholders on April 30, 2015. During the quarter ended March 31, 2015, the Company declared and paid dividends to Series A Preferred Stock stockholders totaling approximately $3.6 million, or $0.492 per preferred share, Series C Preferred Stock stockholders totaling approximately $5.7 million, or $0.477 per preferred share and Series D Preferred Stock stockholders totaling approximately $8.6 million, or $0.469 per preferred share. | |
During the quarter ended March 31, 2014, the Company declared dividends to common stockholders totaling $284.2 million, or $0.30 per common share, paid to common stockholders on April 30, 2014. During the quarter ended March 31, 2014, the Company declared and paid dividends to Series A Preferred stockholders totaling approximately $3.6 million, or $0.492 per preferred share, Series C Preferred stockholders totaling approximately $5.7 million, or $0.477 per preferred share, Series D Preferred stockholders totaling approximately $8.6 million, or $0.469 per preferred share. |
INTEREST_INCOME_AND_INTEREST_E
INTEREST INCOME AND INTEREST EXPENSE | 3 Months Ended | ||||||||
Mar. 31, 2015 | |||||||||
INTEREST INCOME AND INTEREST EXPENSE | 11. INTEREST INCOME AND INTEREST EXPENSE | ||||||||
The table below presents the components of the Company’s interest income and interest expense for the quarters ended March 31, 2015 and 2014. | |||||||||
Quarter Ended March 31, | |||||||||
2015 | 2014 | ||||||||
Interest income: | (dollars in thousands) | ||||||||
Investment Securities | $ | 478,239 | $ | 614,419 | |||||
Commercial investment portfolio(1) | 40,336 | 39,486 | |||||||
U.S. Treasury securities | - | 1,329 | |||||||
Securities loaned | - | 114 | |||||||
Reverse repurchase agreements | 539 | 500 | |||||||
Other | 58 | 53 | |||||||
Total interest income | 519,172 | 655,901 | |||||||
Interest expense: | |||||||||
Repurchase agreements | 102,748 | 103,131 | |||||||
Convertible Senior Notes | 23,627 | 18,897 | |||||||
U.S. Treasury securities sold, not yet purchased | - | 1,076 | |||||||
Securities borrowed | - | 95 | |||||||
Securitized debt of consolidated VIE | 2,882 | 1,611 | |||||||
Participation sold | 159 | 161 | |||||||
Other | 4 | - | |||||||
Total interest expense | 129,420 | 124,971 | |||||||
Net interest income | $ | 389,752 | $ | 530,930 | |||||
(1) Includes commercial real estate debt, preferred equity and corporate debt. |
GOODWILL
GOODWILL | 3 Months Ended |
Mar. 31, 2015 | |
GOODWILL | 12. GOODWILL |
At March 31, 2015 and December 31, 2014, goodwill totaled $94.8 million. |
NET_INCOME_LOSS_PER_COMMON_SHA
NET INCOME (LOSS) PER COMMON SHARE | 3 Months Ended | ||||||||
Mar. 31, 2015 | |||||||||
NET INCOME (LOSS) PER COMMON SHARE | 13. NET INCOME (LOSS) PER COMMON SHARE | ||||||||
The following table presents a reconciliation of net income (loss) and shares used in calculating basic and diluted net income (loss) per share for the quarters ended March 31, 2015 and 2014. | |||||||||
For the Quarter Ended | |||||||||
31-Mar-15 | 31-Mar-14 | ||||||||
(dollars in thousands, except per share data) | |||||||||
Net income (loss) attributable to Annaly | $ | (476,409 | ) | $ | (203,351 | ) | |||
Less: Preferred stock dividends | 17,992 | 17,992 | |||||||
Net income (loss) per share available (related) to common stockholders, prior to adjustment for dilutive potential common shares, if necessary | (494,401 | ) | (221,343 | ) | |||||
Add: Interest on Convertible Senior Notes, if dilutive | - | - | |||||||
Net income (loss) available to common stockholders, as adjusted | (494,401 | ) | (221,343 | ) | |||||
Weighted average shares of common stock outstanding-basic | 947,669,831 | 947,458,813 | |||||||
Add: Effect of stock awards and Convertible Senior Notes, if dilutive | - | - | |||||||
Weighted average shares of common stock outstanding-diluted | 947,669,831 | 947,458,813 | |||||||
Net income (loss) per share available (related) to common share: | |||||||||
Basic | $ | (0.52 | ) | $ | (0.23 | ) | |||
Diluted | $ | (0.52 | ) | $ | (0.23 | ) | |||
Options to purchase 2.3 million and 3.2 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 quarters ended March 31, 2015 and 2014, respectively. |
LONGTERM_STOCK_INCENTIVE_PLAN
LONG-TERM STOCK INCENTIVE PLAN | 3 Months Ended | ||||||||||||||||
Mar. 31, 2015 | |||||||||||||||||
LONG-TERM STOCK INCENTIVE PLAN | 14. 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: | |||||||||||||||||
For the Quarter Ended | |||||||||||||||||
31-Mar-15 | 31-Mar-14 | ||||||||||||||||
Number of Shares | Weighted Average | Number of Shares | Weighted Average | ||||||||||||||
Exercise Price | Exercise Price | ||||||||||||||||
Options outstanding at the beginning of period | 2,259,335 | $ | 15.35 | 3,581,752 | $ | 15.44 | |||||||||||
Granted | - | $ | - | - | $ | - | |||||||||||
Exercised | - | $ | - | - | $ | - | |||||||||||
Forfeited | (8,799 | ) | $ | 14.8 | (353,417 | ) | $ | 14.94 | |||||||||
Expired | - | $ | - | - | $ | - | |||||||||||
Options outstanding at the end of period | 2,250,536 | $ | 15.35 | 3,228,335 | $ | 15.49 | |||||||||||
Options exercisable at the end of the period | 2,250,536 | $ | 15.35 | 3,228,335 | $ | 15.49 | |||||||||||
The weighted average remaining contractual term was approximately 2.8 years and 3.5 years for stock options outstanding and exercisable as of March 31, 2015 and 2014, respectively. | |||||||||||||||||
As of March 31, 2015 and 2014, there was no unrecognized compensation cost related to nonvested share-based compensation awards. |
INCOME_TAXES
INCOME TAXES | 3 Months Ended |
Mar. 31, 2015 | |
INCOME TAXES | 15. INCOME TAXES |
For the quarter ended March 31, 2015 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 was not subject to the Section 162(m) disallowance for the 2014 tax year. | |
The state and local tax jurisdictions for which the Company is subject to tax-filing obligations recognize the Company’s status as a REIT, and therefore, the Company generally does not pay income tax in such jurisdictions. The Company may, however, be subject to certain minimum state and local tax filing fees as well as certain excise, franchise or business taxes. The Company’s TRSs are subject to federal, state and local taxes. | |
During the quarter ended March 31, 2015, the Company recorded $14 thousand of income tax expense for income attributable to its TRSs. During the quarter ended March 31, 2014, the Company’s TRSs recorded $4.0 million 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 | 3 Months Ended | ||||
Mar. 31, 2015 | |||||
LEASE COMMITMENTS AND CONTINGENCIES | 16. LEASE COMMITMENTS AND CONTINGENCIES | ||||
Commitments | |||||
The Company had a non-cancelable lease for office space which commenced in May 2002 and expired 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 quarters ended March 31, 2015 and 2014 was $0.6 million and $0.4 million, respectively. The Company’s aggregate future minimum lease payments total $37.4 million. The following table details the lease payments. | |||||
Years Ending December 31, | Lease Commitments | ||||
(dollars in thousands) | |||||
2015 (remaining) | $ | 1,159 | |||
2016 | 3,591 | ||||
2017 | 3,565 | ||||
2018 | 3,565 | ||||
2019 | 3,565 | ||||
Later years | 21,994 | ||||
$ | 37,439 | ||||
The Company had no material unfunded loan commitments as of March 31, 2015 and December 31, 2014. | |||||
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. There were no material contingencies as of March 31, 2015 and December 31, 2014. |
RISK_MANAGEMENT
RISK MANAGEMENT | 3 Months Ended |
Mar. 31, 2015 | |
RISK MANAGEMENT | 17. 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, excluding Agency CRT 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 guaranteed by the respective Agency or by the full faith and credit of the U.S. government. The Company is exposed to credit risk on CRE Debt and Preferred Equity Investments, investments in commercial real estate, commercial mortgage-backed securities, Agency CRT securities 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 | 3 Months Ended |
Mar. 31, 2015 | |
RCAP REGULATORY REQUIREMENTS | 18. 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 March 31, 2015 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 March 31, 2015 was $399.9 million with excess net capital of $399.6 million. |
RELATED_PARTY_TRANSACTIONS
RELATED PARTY TRANSACTIONS | 3 Months Ended |
Mar. 31, 2015 | |
RELATED PARTY TRANSACTIONS | 19. RELATED PARTY TRANSACTIONS |
Investment in Affiliate, Available-For-Sale Equity Security | |
At March 31, 2015, 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 $141.2 million at March 31, 2015 and approximately 45.0 million shares of Chimera at a fair value of approximately $143.0 million at December 31, 2014. At March 31, 2015 and December 31, 2014, the investment in Chimera had an unrealized gain of $2.4 million and $4.2 million, respectively. | |
Advisory fees | |
For the quarter ended March 31, 2015, the Company recorded advisory fees from Chimera totaling $10.5 million. In August 2014, the management agreement between FIDAC and Chimera was amended and restated to amend certain of the terms and conditions of the prior agreement. Among other amendments to the terms of the prior agreement, effective August 8, 2014, the management fee was increased from 0.75% to 1.20% of Chimera’s gross stockholders’ equity (as defined in the amended and restated management agreement). For the quarter ended March 31, 2014, the Company recorded advisory fees from Chimera totaling $6.1 million. At March 31, 2015 and December 31, 2014, the Company had amounts receivable from Chimera of $10.3 million and $10.4 million, respectively. | |
Management Agreement | |
The Company and the Manager have entered into a management agreement 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”). The management agreement was effective as of July 1, 2013 and applicable for the entire 2013 calendar year and was amended on November 5, 2014 (the management agreement, as amended, is referred to as “Management Agreement”). | |
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. | |
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 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 no less than one year prior to the date designated by the Manager on which the Manager would cease to provide services or such earlier date as determined by the Company in its sole discretion. | |
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 amount paid to the Manager. | |
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. |
SUBSEQUENT_EVENTS
SUBSEQUENT EVENTS | 3 Months Ended |
Mar. 31, 2015 | |
SUBSEQUENT EVENTS | 21. SUBSEQUENT EVENTS (PENDING) |
SIGNIFICANT_ACCOUNTING_POLICIE1
SIGNIFICANT ACCOUNTING POLICIES (Policies) | 3 Months Ended |
Mar. 31, 2015 | |
Principles of Consolidation | Principles of Consolidation – The consolidated financial statements include the accounts of the Company and its wholly-owned subsidiaries and consolidated variable interest entities. 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 applies significant judgment and considers all of its economic interests, including debt and equity investments and other arrangements deemed to be variable interests, both explicit and implicit, 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. | |
Cash and Cash Equivalents | Cash and Cash Equivalents – Cash and cash equivalents include cash on hand, cash held in money market funds on an overnight basis and cash pledged as collateral with counterparties. 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. 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 and collateral held in the form of cash on margin with counterparties to its interest rate swaps and other derivatives totaled approximately $1.8 billion and $1.6 billion at March 31, 2015 and December 31, 2014, 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, Agency Debentures and Agency Credit Risk Transfer Securities – 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 and securities in the Agency credit risk transfer (“CRT”) sector. The CRT sector is comprised of the risk sharing transactions issued by Fannie Mae and Freddie Mac, and similarly structured transactions arranged by third party market participants. The securities issued in the CRT sector are designed to synthetically transfer mortgage credit risk from Fannie Mae and Freddie Mac to private investors. | |
Agency mortgage-backed securities, Agency debentures and Agency CRT securities 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 related to Investment Securities. 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. Changes to model assumptions, including interest rates and other market data, as well as periodic revisions to the model will cause changes in the results. 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 March 31, 2015 and December 31, 2014. |
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, the Company elected to present related assets and liabilities on a gross basis in the Consolidated Statements of Financial Condition. | |
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 or may not be cleared through a derivatives clearing organization (“DCO”). Uncleared 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 DCO’s 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 Condition. The difference between the premium and the fair value of the swaption is reported in Net gains (losses) 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 ended March 31, 2015 and 2014. |
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 March 31, 2015 and December 31, 2014. |
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. |
Reverse repurchase agreements and repurchase agreements with the same counterparty and the same maturity are presented net in the Consolidated Statements of Financial Condition when the terms of the agreements meet the criteria to permit netting. The Company reports cash flows on repurchase agreements as financing activities in the Consolidated Statements of Cash Flows. The Company reports cash flows on reverse repurchase and repurchase agreements entered into by RCap as operating activities in the Consolidated Statements of Cash Flows. | |
Goodwill and Intangible Assets | Goodwill and Intangible Assets – The Company’s acquisitions of FIDAC and CreXus were accounted for using the acquisition method. Under the acquisition method, net assets and results of operations of acquired companies are included in the consolidated financial statements from the date of acquisition. The purchase prices of FIDAC 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 | 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 March 31, 2015 and December 31, 2014. | |
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 originated or purchased by the Company and 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. The Company has also elected the fair value option for multi-family mortgage loans held in a securitization trust that it was required to consolidate. Interest income is recognized as earned determined by the stated coupon and outstanding principal balance. See “Commercial Real Estate Investments” footnote for additional information. | |
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/or default may be considered probable. 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. Historical cost includes all costs necessary to bring the asset to the condition and location necessary for its intended use, including financing during the construction period. 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 31-40 years | |
Site improvements 1-10 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 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 settlement 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 recorded securities borrowed and loaned transactions as collateralized financings. Securities borrowed transactions required RCap to provide the counterparty with collateral in the form of cash, or other securities. RCap received collateral in the form of cash or other securities for securities loaned transactions. RCap monitored 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 were recorded at contract value. For these transactions, the rebates accrued by RCap were 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. |
SIGNIFICANT_ACCOUNTING_POLICIE2
SIGNIFICANT ACCOUNTING POLICIES (Tables) | 3 Months Ended | ||||||
Mar. 31, 2015 | |||||||
Recent Accounting Pronouncements | The following table provides a brief description of recent accounting pronouncements that could potentially impact the Company’s consolidated financial statements: | ||||||
Standard | Description | Date of Adoption | Effect on the financial statements or other significant matters | ||||
Standards that are not yet adopted | |||||||
ASU 2015-05 - Customer's Accounting for Fees Paid in a Cloud Computing Arrangement | This update clarifies that customers should determine whether a cloud computing arrangement includes the license of software by applying the same guidance cloud service providers use. The guidance also eliminates the current requirement that customers analogized to the leasing standard when determining the asset acquired in a software licensing arrangement. | 1-Jan-16 | Not expected to have a significant impact on the consolidated financial statements | ||||
(early adoption permitted) | |||||||
ASU 2015-03 Interest - Imputation of Interest (Subtopic 835-30) Simplifying the Presentation of Debt Issuance Costs | This ASU requires that debt issue costs are presented in the balance sheet as a direct deduction from the carrying amount of that debt liability. The recognition and measurement of debt issue costs are not affected. | 1-Jan-16 | Will presentation only and will not have a significant impact on the consolidated financial statements. | ||||
(early adoption permitted) | |||||||
ASU 2015-02 Consolidation (Topic 810) Amendments to the Consolidation Analysis | This update affects the following areas of the consolidation analysis: limited partnerships and similar entities, evaluation of fees paid to a decision maker or service provider as a variable interest and in determination of the primary beneficiary, effect of related parties on the primary beneficiary determination and for certain investment funds. | 1-Jan-16 | Not expected to have a significant impact on the consolidated financial statements | ||||
(early adoption permitted) | |||||||
ASU 2015-01 Income Statement - Extraordinary and Unusual Items (Subtopic 225-20) | This update eliminates from GAAP the concept of extraordinary items. | 1-Jan-16 | Not expected to have an impact on the consolidated financial statements. | ||||
(early adoption permitted) | |||||||
ASU 2014-16 Derivatives and Hedging (Topic 815) Determining Whether the Host Contract in a Hybrid Financial Instrument Issued in the Form of a Share is More Akin to Debt or Equity | This ASU provides additional guidance for evaluating whether conversion rights, redemption rights, voting rights, liquidation rights and dividend payment preferences and other features embedded in a share, including preferred stock, contain embedded derivatives requiring bifurcation. The update requires that an entity determine the nature of the host contract by considering all stated and implied terms and features in a hybrid instrument. | 1-Jan-16 | Not expected to have an impact on the consolidated financial statements. | ||||
(early adoption permitted) | |||||||
ASU 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. | 1-Jan-17 | Not expected to have an impact on the consolidated financial statements. | ||||
(early adoption permitted) | |||||||
ASU 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). | 1-Jan-17 | Not expected to have a significant impact on the consolidated financial statements. | ||||
Standards that were adopted | |||||||
ASU 2014-17 Business Combinations (Topic 805): Pushdown Accounting | This amendment provides an acquired entity with the option to apply push down accounting in its separate financial statements upon occurrence of an event in which an acquirer obtains control of the acquired entity. | 18-Nov-14 | Did not have a significant impact on the consolidated financial statements. | ||||
ASU 2014-13, Consolidation (Topic 810) Measuring the Financial Assets and the Financial Liabilities of a Consolidated Collateralized Financing Entity. | This Update 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. | 1-Jan-15 | The Company early adopted this ASU [and applied the guidance to a commercial mortgage backed securitization transaction. See Footnote #X Commercial Real Estate Investments for further disclosure.] | ||||
(early adoption permitted) | |||||||
ASU 2014-11, Repurchase-to-Maturity Transactions, Repurchase Financings, and Disclosure. | This update makes limited amendments to the guidance in ASC 860 on accounting for certain repurchase agreements. | 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 | Impacts disclosures only and does not have a significant impact on the consolidated financial statements. | ||||
ASU 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 | This ASU raises the threshold for a disposal to be treated as discontinued operations. | 1-Jan-15 | Did not have a significant impact on the consolidated financial statements. | ||||
(early adoption permitted) | |||||||
ASU 2014-04 Receivables–Troubled Debt Restructurings by Creditors, Reclassification of Residential Real Estate Collateralized Consumer Mortgage Loans upon Foreclosure | This Update 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 | 1-Jan-15 | Did not have a significant impact on the consolidated financial statements. | ||||
ASU 2013-02, Comprehensive Income: Reporting of Amounts Reclassified Out of Accumulated Other Comprehensive Income | This update requires the provision of information about the amounts reclassified out of accumulated other comprehensive income by component. In addition, it requires presentation of 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 | 1-Jan-14 | Did not have a significant impact on the consolidated financial statements. | ||||
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. | 1-Jan-14 | Did not have a significant impact on the consolidated financial statements. |
AGENCY_MORTGAGEBACKED_SECURITI1
AGENCY MORTGAGE-BACKED SECURITIES (Tables) | 3 Months Ended | ||||||||||||||||||||||||
Mar. 31, 2015 | |||||||||||||||||||||||||
Schedule of Available-for-sale Securities Reconciliation | The following tables present the Company’s available-for-sale Agency mortgage-backed securities portfolio as of March 31, 2015 and December 31, 2014, which were carried at their fair value: | ||||||||||||||||||||||||
31-Mar-15 | Freddie Mac | Fannie Mae | Ginnie Mae | Total | |||||||||||||||||||||
(dollars in thousands) | |||||||||||||||||||||||||
Principal outstanding | $ | 23,214,759 | $ | 40,662,639 | $ | 92,317 | $ | 63,969,715 | |||||||||||||||||
Unamortized premium | 1,814,818 | 2,857,467 | 19,773 | 4,692,058 | |||||||||||||||||||||
Unamortized discount | (7,489 | ) | (7,549 | ) | (347 | ) | (15,385 | ) | |||||||||||||||||
Amortized cost | 25,022,088 | 43,512,557 | 111,743 | 68,646,388 | |||||||||||||||||||||
Gross unrealized gains | 345,566 | 759,828 | 8,374 | 1,113,768 | |||||||||||||||||||||
Gross unrealized losses | (160,483 | ) | (208,764 | ) | (2,908 | ) | (372,155 | ) | |||||||||||||||||
Estimated fair value | $ | 25,207,171 | $ | 44,063,621 | $ | 117,209 | $ | 69,388,001 | |||||||||||||||||
Fixed Rate | Adjustable Rate | Total | |||||||||||||||||||||||
(dollars in thousands) | |||||||||||||||||||||||||
Amortized cost | $ | 65,176,426 | $ | 3,469,962 | 68,646,388 | ||||||||||||||||||||
Gross unrealized gains | 971,043 | 142,725 | 1,113,768 | ||||||||||||||||||||||
Gross unrealized losses | (355,330 | ) | (16,825 | ) | (372,155 | ) | |||||||||||||||||||
Estimated fair value | $ | 65,792,139 | $ | 3,595,862 | $ | 69,388,001 | |||||||||||||||||||
31-Dec-14 | Freddie Mac | Fannie Mae | Ginnie Mae | Total | |||||||||||||||||||||
(dollars in thousands) | |||||||||||||||||||||||||
Principal outstanding | $ | 27,906,221 | $ | 47,979,778 | $ | 97,000 | $ | 75,982,999 | |||||||||||||||||
Unamortized premium | 1,951,798 | 3,396,368 | 20,560 | 5,368,726 | |||||||||||||||||||||
Unamortized discount | (8,985 | ) | (8,857 | ) | (358 | ) | (18,200 | ) | |||||||||||||||||
Amortized cost | 29,849,034 | 51,367,289 | 117,202 | 81,333,525 | |||||||||||||||||||||
Gross unrealized gains | 313,761 | 660,230 | 8,010 | 982,001 | |||||||||||||||||||||
Gross unrealized losses | (322,094 | ) | (424,800 | ) | (3,376 | ) | (750,270 | ) | |||||||||||||||||
Estimated fair value | $ | 29,840,701 | $ | 51,602,719 | $ | 121,836 | $ | 81,565,256 | |||||||||||||||||
Fixed Rate | Adjustable Rate | Total | |||||||||||||||||||||||
(dollars in thousands) | |||||||||||||||||||||||||
Amortized cost | $ | 78,250,313 | $ | 3,083,212 | $ | 81,333,525 | |||||||||||||||||||
Gross unrealized gains | 847,615 | 134,386 | 982,001 | ||||||||||||||||||||||
Gross unrealized losses | (732,533 | ) | (17,737 | ) | (750,270 | ) | |||||||||||||||||||
Estimated fair value | $ | 78,365,395 | $ | 3,199,861 | $ | 81,565,256 | |||||||||||||||||||
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 March 31, 2015 and December 31, 2014, according to their estimated weighted average life classifications: | ||||||||||||||||||||||||
31-Mar-15 | 31-Dec-14 | ||||||||||||||||||||||||
Weighted Average Life | Estimated Fair | Amortized Cost | Estimated Fair | Amortized Cost | |||||||||||||||||||||
Value | Value | ||||||||||||||||||||||||
(dollars in thousands) | |||||||||||||||||||||||||
Less than one year | $ | 27,752 | $ | 27,847 | $ | 43,248 | $ | 42,831 | |||||||||||||||||
Greater than one year through five years | 46,648,676 | 46,120,064 | 42,222,114 | 41,908,586 | |||||||||||||||||||||
Greater than five years through ten years | 22,520,713 | 22,308,291 | 39,018,833 | 39,098,352 | |||||||||||||||||||||
Greater than ten years | 190,860 | 190,186 | 281,061 | 283,756 | |||||||||||||||||||||
Total | $ | 69,388,001 | $ | 68,646,388 | $ | 81,565,256 | $ | 81,333,525 | |||||||||||||||||
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 March 31, 2015 and December 31, 2014. | ||||||||||||||||||||||||
31-Mar-15 | 31-Dec-14 | ||||||||||||||||||||||||
Estimated Fair | Gross Unrealized | Number of | Estimated Fair | Gross Unrealized | Number of | ||||||||||||||||||||
Value | Losses | Securities | Value | Losses | Securities | ||||||||||||||||||||
(dollars in thousands) | |||||||||||||||||||||||||
Less than 12 Months | 2,595,905 | (54,883 | ) | 207 | 4,613,599 | (36,959 | ) | 205 | |||||||||||||||||
12 Months or More | 25,474,816 | (317,272 | ) | 232 | 35,175,194 | (713,311 | ) | 302 | |||||||||||||||||
Total | 28,070,721 | (372,155 | ) | 439 | 39,788,793 | (750,270 | ) | 507 |
COMMERCIAL_REAL_ESTATE_INVESTM1
COMMERCIAL REAL ESTATE INVESTMENTS (Tables) | 3 Months Ended | ||||||||||||||||||||||||
Mar. 31, 2015 | |||||||||||||||||||||||||
Commercial Real Estate Investments | At March 31, 2015 and December 31, 2014, commercial real estate investments held for investment were composed of the following: | ||||||||||||||||||||||||
CRE Debt and Preferred Equity Investments | |||||||||||||||||||||||||
31-Mar-15 | 31-Dec-14 | ||||||||||||||||||||||||
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 | 431,872 | 430,228 | 28.7 | % | 384,304 | 383,895 | 25.2 | % | |||||||||||||||||
Senior securitized mortgages(3) | 361,861 | 361,179 | 24.1 | % | 399,541 | 398,634 | 26.3 | % | |||||||||||||||||
Mezzanine loans | 495,305 | 495,405 | 33 | % | 522,474 | 522,731 | 34.4 | % | |||||||||||||||||
Preferred equity | 213,213 | 211,594 | 14.2 | % | 214,653 | 212,905 | 14.1 | % | |||||||||||||||||
Total | $ | 1,502,251 | $ | 1,498,406 | 100 | % | $ | 1,520,972 | $ | 1,518,165 | 100 | % | |||||||||||||
(1) Carrying value includes unamortized origination fees of $4.0 million and $3.0 million as of March 31, 2015 and December 31, 2014, respectively. | |||||||||||||||||||||||||
(2) Based on outstanding principal. | |||||||||||||||||||||||||
(3) Assets of consolidated VIEs. | |||||||||||||||||||||||||
31-Mar-15 | |||||||||||||||||||||||||
Senior | Senior | Mezzanine | Preferred | Total | |||||||||||||||||||||
Mortgages | Securitized | Loans | Equity | ||||||||||||||||||||||
Mortgages(1) | |||||||||||||||||||||||||
(dollars in thousands) | |||||||||||||||||||||||||
Beginning balance | $ | 383,895 | $ | 398,634 | $ | 522,731 | $ | 212,905 | $ | 1,518,165 | |||||||||||||||
Originations & advances (principal) | 47,645 | - | 16,043 | - | 63,688 | ||||||||||||||||||||
Principal payments | (76 | ) | (37,680 | ) | (43,212 | ) | (1,441 | ) | (82,409 | ) | |||||||||||||||
Sales (principal) | - | - | - | - | - | ||||||||||||||||||||
Amortization & accretion of (premium) discounts | (36 | ) | - | (31 | ) | 25 | (42 | ) | |||||||||||||||||
Net (increase) decrease in origination fees | (1,950 | ) | - | (236 | ) | - | (2,186 | ) | |||||||||||||||||
Amortization of net origination fees | 750 | 225 | 110 | 105 | 1,190 | ||||||||||||||||||||
Transfers | - | - | - | - | - | ||||||||||||||||||||
Allowance for loan losses | - | - | - | - | - | ||||||||||||||||||||
Net carrying value | $ | 430,228 | $ | 361,179 | $ | 495,405 | $ | 211,594 | $ | 1,498,406 | |||||||||||||||
(1) Assets of consolidated VIE. | |||||||||||||||||||||||||
31-Dec-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) | 127,112 | - | - | 122,742 | - | 249,854 | |||||||||||||||||||
Principal payments | (12,756 | ) | - | (41,059 | ) | (227,151 | ) | (35,116 | ) | (316,082 | ) | ||||||||||||||
Sales (principal) | - | - | - | - | - | - | |||||||||||||||||||
Amortization & accretion of (premium) discounts | (138 | ) | - | (349 | ) | (1,093 | ) | 108 | (1,472 | ) | |||||||||||||||
Net (increase) decrease in origination fees | (2,427 | ) | (116 | ) | - | (478 | ) | - | (3,021 | ) | |||||||||||||||
Amortization of net origination fees | 2,783 | 772 | - | 609 | 753 | 4,917 | |||||||||||||||||||
Transfers | (397,978 | ) | 397,978 | - | - | - | - | ||||||||||||||||||
Allowance for loan losses | - | - | - | - | - | - | |||||||||||||||||||
Net carrying value | $ | 383,895 | $ | 398,634 | $ | - | $ | 522,731 | $ | 212,905 | $ | 1,518,165 | |||||||||||||
(1) Assets of consolidated VIE. | |||||||||||||||||||||||||
Internal Loan and Preferred Equity Ratings | Internal CRE Debt and Preferred Equity Investment Ratings | ||||||||||||||||||||||||
31-Mar-15 | |||||||||||||||||||||||||
Percentage of CRE Debt and | Internal Ratings | ||||||||||||||||||||||||
Investment Type | Outstanding Principal | Preferred Equity Portfolio | Performing | Watch List(2) | Defaulted-Recovery(3) | Impaired | |||||||||||||||||||
(dollars in thousands) | |||||||||||||||||||||||||
Senior mortgages | $ | 431,872 | 28.7 | % | $ | 188,899 | $ | 230,000 | $ | 12,973 | $ | - | |||||||||||||
Senior securitized mortgages(1) | 361,861 | 24.1 | % | 352,611 | 9,250 | - | - | ||||||||||||||||||
Mezzanine loans | 495,305 | 33 | % | 495,305 | - | - | - | ||||||||||||||||||
Preferred equity | 213,213 | 14.2 | % | 162,213 | 51,000 | - | - | ||||||||||||||||||
$ | 1,502,251 | 100 | % | $ | 1,199,028 | $ | 290,250 | $ | 12,973 | $ | - | ||||||||||||||
(1) Assets of consolidated VIE | |||||||||||||||||||||||||
(2) Includes a $230.0 million loan maturing on June 30, 2015 with a risk that the borrower will be unable to refinance the outstanding principal amount before the maturity date, but full recovery is expected. | |||||||||||||||||||||||||
(3) Related to one loan on non-accrual status. | |||||||||||||||||||||||||
31-Dec-14 | |||||||||||||||||||||||||
Percentage of CRE Debt and | Internal Ratings | ||||||||||||||||||||||||
Investment Type | Outstanding Principal | Preferred Equity Portfolio | Performing | Watch List | Defaulted-Recovery | Impaired | |||||||||||||||||||
(dollars in thousands) | |||||||||||||||||||||||||
Senior mortgages | $ | 384,304 | 25.2 | % | $ | 371,331 | $ | - | $ | 12,973 | -2 | $ | - | ||||||||||||
Senior securitized mortgages(1) | 399,541 | 26.3 | % | 390,291 | 9,250 | - | - | ||||||||||||||||||
Subordinate notes | - | 0 | % | - | - | - | - | ||||||||||||||||||
Mezzanine loans | 522,474 | 34.4 | % | 522,474 | - | - | - | ||||||||||||||||||
Preferred equity | 214,653 | 14.1 | % | 214,653 | - | - | - | ||||||||||||||||||
$ | 1,520,972 | 100 | % | $ | 1,498,749 | $ | 9,250 | $ | 12,973 | $ | - | ||||||||||||||
(1) Assets of consolidated VIE. | |||||||||||||||||||||||||
(2) Relates to one loan on nonaccrual status. | |||||||||||||||||||||||||
Summary of Acquisitions of Real Estate Held for Investment | The following table summarizes acquisitions of real estate held for investment in 2014: | ||||||||||||||||||||||||
Date of Acquisition | Type | Location | Purchase | Remaining Lease Term (Years) (1) | |||||||||||||||||||||
Price | |||||||||||||||||||||||||
(dollars in thousands) | |||||||||||||||||||||||||
Apr-14 | Single-tenant retail | Tennessee | $ | 19,000 | 8 | ||||||||||||||||||||
Jun-14 | Multi-tenant retail | Virginia | $ | 17,743 | 7 | ||||||||||||||||||||
Nov-14 | Multi-tenant retail | New York, Ohio, Georgia | $ | 154,000 | 4.6 | ||||||||||||||||||||
Aggregate Allocation of Purchase Price | The following table presents the aggregate allocation of the purchase price: | ||||||||||||||||||||||||
Tennessee | Virginia | Joint Venture | Total | ||||||||||||||||||||||
(dollars in thousands) | |||||||||||||||||||||||||
Purchase Price Allocation: | |||||||||||||||||||||||||
Land | $ | 3,503 | $ | 6,394 | $ | 21,581 | $ | 31,478 | |||||||||||||||||
Buildings | 11,960 | 10,862 | 97,133 | 119,955 | |||||||||||||||||||||
Site improvements | 1,349 | 1,184 | 12,952 | 15,485 | |||||||||||||||||||||
Tenant Improvements | - | - | 9,601 | 9,601 | |||||||||||||||||||||
Real estate held for investment | 16,812 | 18,440 | 141,267 | 176,519 | |||||||||||||||||||||
Intangible assets (liabilities): | |||||||||||||||||||||||||
Leasehold intangible assets | 4,288 | 3,218 | 22,555 | 30,061 | |||||||||||||||||||||
Above market lease | - | - | 5,463 | 5,463 | |||||||||||||||||||||
Below market lease value | (2,100 | ) | (3,915 | ) | (15,285 | ) | (21,300 | ) | |||||||||||||||||
Total purchase price | $ | 19,000 | $ | 17,743 | $ | 154,000 | $ | 190,743 | |||||||||||||||||
Total Commercial Real Estate Held for Investment | Total Commercial Real Estate Investment at amortized cost | ||||||||||||||||||||||||
31-Mar-15 | 31-Dec-14 | ||||||||||||||||||||||||
(dollars in thousands) | |||||||||||||||||||||||||
Real estate held for investment, at amortized cost | |||||||||||||||||||||||||
Land | $ | 38,117 | $ | 38,117 | |||||||||||||||||||||
Buildings and improvements | 176,139 | 176,139 | |||||||||||||||||||||||
Subtotal | 214,256 | 214,256 | |||||||||||||||||||||||
Less: accumulated depreciation | (7,047 | ) | (4,224 | ) | |||||||||||||||||||||
Total real estate held for investment at amortized cost, net | 207,209 | 210,032 | |||||||||||||||||||||||
Total investment in commercial real estate, net | 207,209 | 210,032 | |||||||||||||||||||||||
Net carrying value of CRE Debt and Preferred Equity Investments | 1,498,406 | 1,518,165 | |||||||||||||||||||||||
Total commercial real estate investments, at amortized cost | $ | 1,705,615 | $ | 1,728,197 | |||||||||||||||||||||
Minimum Future Rentals on Noncancelable Leases | Approximate future minimum rents to be received over the next five years and thereafter for non-cancelable operating leases in effect at March 31, 2015 for the consolidated properties, including consolidated joint venture properties are as follows (in thousands): | ||||||||||||||||||||||||
31-Mar-15 | |||||||||||||||||||||||||
(dollars in thousands) | |||||||||||||||||||||||||
2015 (remaining) | $ | 15,495 | |||||||||||||||||||||||
2016 | 18,684 | ||||||||||||||||||||||||
2017 | 15,977 | ||||||||||||||||||||||||
2018 | 13,620 | ||||||||||||||||||||||||
2019 | 11,301 | ||||||||||||||||||||||||
Later years | 51,241 | ||||||||||||||||||||||||
$ | 126,318 | ||||||||||||||||||||||||
Mortgage loans payable | Mortgage loans payable as of March 31, 2015 and December 31, 2014, were as follows: | ||||||||||||||||||||||||
31-Mar-15 | |||||||||||||||||||||||||
Property | Mortgage | Mortgage | Interest Rate | Fixed/Floating | Maturity | Priority | |||||||||||||||||||
Carrying Value | Principal | Rate | Date | ||||||||||||||||||||||
(dollars in thousands) | |||||||||||||||||||||||||
Joint Venture | $ | 103,950 | $ | 103,950 | 4.03 | % | Fixed | 12/6/24 | First liens | ||||||||||||||||
Tennessee | 12,350 | 12,350 | 4.01 | % | Fixed | 6/6/19 | First liens | ||||||||||||||||||
Virginia | 11,025 | 11,025 | 3.58 | % | Fixed | 9/6/19 | First liens | ||||||||||||||||||
Arizona | 16,644 | 16,548 | 3.5 | % | Fixed | 1/1/17 | First liens | ||||||||||||||||||
Nevada | 2,501 | 2,488 | 3.45 | % | Floating (1) | 3/29/17 | First liens | ||||||||||||||||||
$ | 146,470 | $ | 146,361 | ||||||||||||||||||||||
(1) Rate is fixed via an interest rate swap (pay fixed 3.45%, receive floating rate of L+200). | |||||||||||||||||||||||||
31-Dec-14 | |||||||||||||||||||||||||
Property | Mortgage | Mortgage | Interest Rate | Fixed/Floating | Maturity | Priority | |||||||||||||||||||
Carrying Value | Principal | Rate | Date | ||||||||||||||||||||||
(dollars in thousands) | |||||||||||||||||||||||||
Joint Venture | $ | 103,950 | $ | 103,950 | 4.03 | % | Fixed | 12/6/24 | First liens | ||||||||||||||||
Tennessee | 12,350 | 12,350 | 4.01 | % | Fixed | 6/6/19 | First liens | ||||||||||||||||||
Virginia | 11,025 | 11,025 | 3.58 | % | Fixed | 9/6/19 | First liens | ||||||||||||||||||
Arizona | 16,709 | 16,600 | 3.5 | % | Fixed | 1/1/17 | First liens | ||||||||||||||||||
Nevada | 2,519 | 2,505 | 3.45 | % | Floating (1) | 3/29/17 | First liens | ||||||||||||||||||
$ | 146,553 | $ | 146,430 | ||||||||||||||||||||||
(1) Rate is fixed via an interest rate swap (pay fixed 3.45%, receive floating rate of L+200). | |||||||||||||||||||||||||
Future Mortgage Loan Principal Payments | The following table details future mortgage loan principal payments as of March 31, 2015: | ||||||||||||||||||||||||
Mortgage Loan Principal | |||||||||||||||||||||||||
Payments | |||||||||||||||||||||||||
(dollars in thousands) | |||||||||||||||||||||||||
2015 (remaining) | $ | 291 | |||||||||||||||||||||||
2016 | 399 | ||||||||||||||||||||||||
2017 | 18,346 | ||||||||||||||||||||||||
2018 | - | ||||||||||||||||||||||||
2019 | 23,375 | ||||||||||||||||||||||||
Later years | 103,950 | ||||||||||||||||||||||||
$ | 146,361 | ||||||||||||||||||||||||
Geographic Concentrations of Credit Risk Exceeding 5% of Total Loan Balances | The geographic concentrations of credit risk exceeding 5% of the total loan balances related to the trusts as of March 31, 2015 follows: | ||||||||||||||||||||||||
Securitized loans at fair value Geographic Concentration of Credit Risk | |||||||||||||||||||||||||
Property Location | Principal Balance | % of Balance | |||||||||||||||||||||||
(dollars in thousands) | |||||||||||||||||||||||||
North Carolina | $ | 516,150 | 37.9 | % | |||||||||||||||||||||
Texas | 339,014 | 24.9 | % | ||||||||||||||||||||||
Ohio | 197,455 | 14.5 | % | ||||||||||||||||||||||
Florida | 156,836 | 11.5 | % | ||||||||||||||||||||||
FREMF Trust | |||||||||||||||||||||||||
Statement of financial condition of FREMF Trust Reflected the Consolidated Statements of Financial Condition | The statement of financial condition of the FREMF Trust that is reflected in the Company’s Consolidated Statements of Financial Condition at March 31, 2015 follows: | ||||||||||||||||||||||||
31-Mar-15 | |||||||||||||||||||||||||
(dollars in thousands) | |||||||||||||||||||||||||
Securitized loans at fair value | $ | 1,370,903 | |||||||||||||||||||||||
Accrued interest receivable | 2,431 | ||||||||||||||||||||||||
Total assets | $ | 1,373,334 | |||||||||||||||||||||||
Liabilities and equity | |||||||||||||||||||||||||
Securitized debt (non-recourse) at fair value | $ | 1,268,809 | |||||||||||||||||||||||
Accrued interest payable | 2,204 | ||||||||||||||||||||||||
$ | 1,271,013 | ||||||||||||||||||||||||
Equity | 102,321 | ||||||||||||||||||||||||
Total liabilities and equity | $ | 1,373,334 | |||||||||||||||||||||||
Statement of Comprehensive Income (Loss) of FREMF Trust Reflected the Consolidated Statements of Comprehensive Income (Loss) | The statement of comprehensive income (loss) of the FREMF Trust that is reflected in the Company’s Consolidated Statements of Comprehensive Income (Loss) at March 31, 2015 follows: | ||||||||||||||||||||||||
For the period February 25, 2015 | |||||||||||||||||||||||||
to March 31, 2015 | |||||||||||||||||||||||||
(dollars in thousands) | |||||||||||||||||||||||||
Net interest income: | |||||||||||||||||||||||||
Interest income | $ | 2,742 | |||||||||||||||||||||||
Interest expense | (1,606 | ) | |||||||||||||||||||||||
Net interest income | 1,136 | ||||||||||||||||||||||||
Other income: | |||||||||||||||||||||||||
Unrealized gain (loss) on financial instruments at fair value (1) | 3 | ||||||||||||||||||||||||
Transaction and acquistion expenses | 810 | ||||||||||||||||||||||||
Other income | 813 | ||||||||||||||||||||||||
General and administration expenses | 96 | ||||||||||||||||||||||||
Net income | $ | 227 | |||||||||||||||||||||||
(1) Included in Other income (loss). |
FAIR_VALUE_MEASUREMENTS_Tables
FAIR VALUE MEASUREMENTS (Tables) | 3 Months Ended | |||||||||||||||||||
Mar. 31, 2015 | ||||||||||||||||||||
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 | |||||||||||||||||
31-Mar-15 | (dollars in thousands) | |||||||||||||||||||
Assets: | ||||||||||||||||||||
Agency mortgage-backed securities | $ | - | $ | 69,388,001 | $ | - | $ | 69,388,001 | ||||||||||||
Agency debentures | - | 995,408 | - | 995,408 | ||||||||||||||||
Agency CRT securities | - | 108,337 | - | 108,337 | ||||||||||||||||
Commercial real estate debt investments | - | 1,515,903 | - | 1,515,903 | ||||||||||||||||
Investment in affiliate | 141,246 | - | - | 141,246 | ||||||||||||||||
Interest rate swaps | - | 25,908 | - | 25,908 | ||||||||||||||||
Other derivatives | - | 113,503 | - | 113,503 | ||||||||||||||||
Total Assets | $ | 141,246 | $ | 72,147,060 | $ | - | $ | 72,288,306 | ||||||||||||
Liabilities: | ||||||||||||||||||||
Securitized debt of consolidated VIEs | $ | - | $ | 1,268,809 | $ | - | $ | 1,268,809 | ||||||||||||
Interest rate swaps | - | 2,025,170 | - | 2,025,170 | ||||||||||||||||
Other derivatives | 61,778 | - | - | 61,778 | ||||||||||||||||
Total Liabilities | $ | 61,778 | $ | 3,293,979 | $ | - | $ | 3,355,757 | ||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||||||
31-Dec-14 | (dollars in thousands) | |||||||||||||||||||
Assets: | ||||||||||||||||||||
Agency mortgage-backed securities | $ | - | $ | 81,565,256 | $ | - | $ | 81,565,256 | ||||||||||||
Agency debentures | - | 1,368,350 | - | 1,368,350 | ||||||||||||||||
Investment in affiliate | 143,045 | - | - | 143,045 | ||||||||||||||||
Interest rate swaps | - | 75,225 | - | 75,225 | ||||||||||||||||
Other derivatives | 117 | 5,382 | - | 5,499 | ||||||||||||||||
Total Assets | $ | 143,162 | $ | 83,014,213 | $ | - | $ | 83,157,375 | ||||||||||||
Liabilities: | ||||||||||||||||||||
Interest rate swaps | $ | - | $ | 1,608,286 | $ | - | $ | 1,608,286 | ||||||||||||
Other derivatives | 3,769 | 4,258 | - | 8,027 | ||||||||||||||||
Total Liabilities | $ | 3,769 | $ | 1,612,544 | $ | - | $ | 1,616,313 | ||||||||||||
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 March 31, 2015 and December 31, 2014. | |||||||||||||||||||
31-Mar-15 | 31-Dec-14 | |||||||||||||||||||
Level in | Carrying | Fair Value | Carrying | Fair Value | ||||||||||||||||
Fair Value | Value | Value | ||||||||||||||||||
Hierarchy | ||||||||||||||||||||
Financial assets: | (dollars in thousands) | |||||||||||||||||||
Cash and cash equivalents | 1 | $ | 1,920,326 | $ | 1,920,326 | $ | 1,741,244 | $ | 1,741,244 | |||||||||||
Reverse repurchase agreements | 1 | 100,000 | 100,000 | 100,000 | 100,000 | |||||||||||||||
Agency mortgage-backed securities | 2 | 69,388,001 | 69,388,001 | 81,565,256 | 81,565,256 | |||||||||||||||
Agency debentures | 2 | 995,408 | 995,408 | 1,368,350 | 1,368,350 | |||||||||||||||
Agency CRT securities | 2 | 108,337 | 108,337 | - | - | |||||||||||||||
Commercial real estate debt investments, at fair value | 2 | 1,515,903 | 1,515,903 | - | - | |||||||||||||||
Investment in affiliate | 1 | 141,246 | 141,246 | 143,045 | 143,045 | |||||||||||||||
Commercial real estate debt and preferred equity, held for investment | 3 | 1,498,406 | 1,513,878 | 1,518,165 | 1,528,444 | |||||||||||||||
Corporate debt | 2 | 227,830 | 228,012 | 166,464 | 166,056 | |||||||||||||||
Interest rate swaps | 2 | 25,908 | 25,908 | 75,225 | 75,225 | |||||||||||||||
Other derivatives | 1,2 | 113,503 | 113,503 | 5,499 | 5,499 | |||||||||||||||
Financial liabilities: | ||||||||||||||||||||
Repurchase agreements | 1,2 | $ | 60,477,378 | $ | 60,691,054 | $ | 71,361,926 | $ | 71,587,222 | |||||||||||
Convertible Senior Notes | 1 | 749,512 | 752,325 | 845,295 | 863,470 | |||||||||||||||
Securitized debt of consolidated VIE | 2 | 1,491,829 | 1,492,102 | 260,700 | 262,061 | |||||||||||||||
Mortgages payable | 2 | 146,470 | 150,765 | 146,553 | 146,611 | |||||||||||||||
Participation sold | 3 | 13,589 | 13,620 | 13,693 | 13,655 | |||||||||||||||
Interest rate swaps | 2 | 2,025,170 | 2,025,170 | 1,608,286 | 1,608,286 | |||||||||||||||
Other derivatives | 1,2 | 61,778 | 61,778 | 8,027 | 8,027 | |||||||||||||||
SECURED_FINANCING_Tables
SECURED FINANCING (Tables) | 3 Months Ended | ||||||||||||||||
Mar. 31, 2015 | |||||||||||||||||
Schedule of Repurchase Agreements Remaining Maturity and Weighted Average Rates | At March 31, 2015 and December 31, 2014, the repurchase agreements had the following remaining maturities and weighted average rates: | ||||||||||||||||
31-Mar-15 | 31-Dec-14 | ||||||||||||||||
Repurchase | Weighted | Repurchase | Weighted | ||||||||||||||
Agreements | Average Rate | Agreements | Average Rate | ||||||||||||||
1 day | $ | 7,658,440 | 0.64 | % | $ | - | 0 | % | |||||||||
2 to 29 days | 16,080,033 | 0.39 | % | 28,354,167 | 0.35 | % | |||||||||||
30 to 59 days | 7,326,177 | 0.4 | % | 17,336,469 | 0.43 | % | |||||||||||
60 to 89 days | 9,534,614 | 0.4 | % | 4,040,677 | 0.38 | % | |||||||||||
90 to 119 days | 4,677,222 | 0.5 | % | 2,945,495 | 0.5 | % | |||||||||||
Over 120 days(1) | 15,200,892 | 1.45 | % | 18,685,118 | 1.24 | % | |||||||||||
Total | $ | 60,477,378 | 0.7 | % | $ | 71,361,926 | 0.61 | % | |||||||||
(1) Approximately 18% and 16% of the total repurchase agreements had a remaining maturity over 1 year as of March 31, 2015 and December 31, 2014, 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 March 31, 2015 and December 31, 2014. | ||||||||||||||||
31-Mar-15 | 31-Dec-14 | ||||||||||||||||
Reverse Repurchase | Repurchase | Reverse Repurchase | Repurchase Agreements | ||||||||||||||
Agreements | Agreements | Agreements | |||||||||||||||
(dollars in thousands) | |||||||||||||||||
Gross Amounts | $ | 1,700,000 | $ | 62,077,378 | $ | 700,000 | $ | 71,961,926 | |||||||||
Amounts Offset | (1,600,000 | ) | (1,600,000 | ) | (600,000 | ) | (600,000 | ) | |||||||||
Netted Amounts | $ | 100,000 | $ | 60,477,378 | $ | 100,000 | $ | 71,361,926 |
DERIVATIVE_INSTRUMENTS_Tables
DERIVATIVE INSTRUMENTS (Tables) | 3 Months Ended | ||||||||||||||||||||
Mar. 31, 2015 | |||||||||||||||||||||
Summarizes Fair Value Information about Derivative Assets Liabilities | The table below summarizes fair value information about our derivative assets and liabilities as of March 31, 2015 and December 31, 2014: | ||||||||||||||||||||
Derivatives Instruments | Balance Sheet Location | 31-Mar-15 | 31-Dec-14 | ||||||||||||||||||
Assets: | (dollars in thousands) | ||||||||||||||||||||
Interest rate swaps | Interest rate swaps, at fair value | $ | 25,908 | $ | 75,225 | ||||||||||||||||
Interest rate swaptions | Other derivative contracts, at fair value | 574 | 5,382 | ||||||||||||||||||
TBA derivatives | Other derivative contracts, at fair value | 112,929 | - | ||||||||||||||||||
Futures contracts | Other derivative contracts, at fair value | - | 117 | ||||||||||||||||||
$ | 139,411 | $ | 80,724 | ||||||||||||||||||
Liabilities: | |||||||||||||||||||||
Interest rate swaps | Interest rate swaps, at fair value | $ | 2,025,170 | $ | 1,608,286 | ||||||||||||||||
TBA derivatives | Other derivative contracts, at fair value | - | 4,258 | ||||||||||||||||||
Futures contracts | Other derivative contracts, at fair value | 61,778 | 3,769 | ||||||||||||||||||
$ | 2,086,948 | $ | 1,616,313 | ||||||||||||||||||
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 March 31, 2015 and December 31, 2014, respectively. | ||||||||||||||||||||
31-Mar-15 | Amounts Eligible for Offset | ||||||||||||||||||||
Gross Amounts | Financial Instruments | Cash Collateral | Net Amounts | ||||||||||||||||||
Assets: | (dollars in thousands) | ||||||||||||||||||||
Interest rate swaps, at fair value | $ | 25,908 | $ | (24,782 | ) | $ | - | $ | 1,126 | ||||||||||||
Interest rate swaptions, at fair value | 574 | - | - | 574 | |||||||||||||||||
TBA derivatives, at fair value | 112,929 | - | - | 112,929 | |||||||||||||||||
Liabilities: | |||||||||||||||||||||
Interest rate swaps, at fair value | $ | 2,025,170 | $ | (24,782 | ) | $ | (1,111,199 | ) | $ | 889,189 | |||||||||||
Futures contracts, at fair value | 61,778 | - | (61,778 | ) | - | ||||||||||||||||
31-Dec-14 | Amounts Eligible for Offset | ||||||||||||||||||||
Gross Amounts | Financial Instruments | Cash Collateral | Net Amounts | ||||||||||||||||||
Assets: | (dollars in thousands) | ||||||||||||||||||||
Interest rate swaps, at fair value | $ | 75,225 | $ | (66,180 | ) | $ | - | $ | 9,045 | ||||||||||||
Interest rate swaptions, at fair value | 5,382 | - | - | 5,382 | |||||||||||||||||
Futures contracts, at fair value | 117 | (117 | ) | - | - | ||||||||||||||||
Liabilities: | |||||||||||||||||||||
Interest rate swaps, at fair value | $ | 1,608,286 | $ | (66,180 | ) | $ | (869,302 | ) | $ | 672,804 | |||||||||||
TBA derivatives, at fair value | 4,258 | - | - | 4,258 | |||||||||||||||||
Futures contracts, at fair value | 3,769 | (117 | ) | - | 3,652 | ||||||||||||||||
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: | |||||||||||||||||||||
31-Mar-15 | $ | (158,239 | ) | $ | (226,462 | ) | $ | (466,202 | ) | ||||||||||||
31-Mar-14 | $ | (260,435 | ) | $ | (6,842 | ) | $ | (348,942 | ) | ||||||||||||
-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: | ||||||||||||||||||||
Quarter Ended March 31, 2015 | |||||||||||||||||||||
Derivative Instruments | Realized Gain (Loss) | Unrealized Gain (Loss) | Amount of Gain/(Loss) Recognized in | ||||||||||||||||||
Net Gains (Losses) on Trading Assets | |||||||||||||||||||||
(dollars in thousands) | |||||||||||||||||||||
Net TBA derivatives (1) | $ | (55,644 | ) | $ | 117,188 | $ | 61,544 | ||||||||||||||
Net interest rate swaptions | $ | (21,891 | ) | $ | 17,083 | $ | (4,808 | ) | |||||||||||||
Futures | $ | (5,506 | ) | $ | (58,126 | ) | $ | (63,632 | ) | ||||||||||||
$ | (6,896 | ) | |||||||||||||||||||
Quarter Ended March 31, 2014 | |||||||||||||||||||||
Derivative Instruments | Realized Gain (Loss) | Unrealized Gain (Loss) | Amount of Gain/(Loss) Recognized in | ||||||||||||||||||
Net Gains (Losses) on Trading Assets | |||||||||||||||||||||
(dollars in thousands) | |||||||||||||||||||||
Net TBA derivatives (1) | $ | (37,837 | ) | $ | (11,410 | ) | $ | (49,247 | ) | ||||||||||||
Net interest rate swaptions | $ | (40,943 | ) | $ | (52,917 | ) | $ | (93,860 | ) | ||||||||||||
Futures | $ | (5,669 | ) | $ | (3,048 | ) | $ | (8,717 | ) | ||||||||||||
$ | (151,824 | ) | |||||||||||||||||||
(1) Includes options on TBA securities. | |||||||||||||||||||||
Interest Rate Swaption | |||||||||||||||||||||
Summary of Certain Characteristics of Derivatives | The following table summarizes certain characteristics of the Company’s interest rate swaptions at March 31, 2015 and December 31, 2014: | ||||||||||||||||||||
31-Mar-15 | 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 | $ | 1,000,000 | 2.61 | % | 3M LIBOR | 8.19 | 2.15 | ||||||||||||||
Short | $ | - | - | - | - | - | |||||||||||||||
31-Dec-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 | $ | 1,750,000 | 2.88 | % | 3M LIBOR | 9.17 | 3.59 | ||||||||||||||
Short | $ | - | - | - | - | - | |||||||||||||||
Interest Rate Swaps | |||||||||||||||||||||
Summary of Certain Characteristics of Derivatives | The following table summarizes certain characteristics of the Company’s interest rate swaps at March 31, 2015 and December 31, 2014: | ||||||||||||||||||||
31-Mar-15 | |||||||||||||||||||||
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 | $ | 2,852,488 | 1.78 | % | 0.18 | % | 2.45 | ||||||||||||||
3 - 6 years | 10,463,000 | 1.85 | % | 0.41 | % | 4.99 | |||||||||||||||
6 - 10 years | 11,110,100 | 2.6 | % | 0.37 | % | 8.64 | |||||||||||||||
Greater than 10 years | 3,634,400 | 3.7 | % | 0.22 | % | 20.12 | |||||||||||||||
Total / Weighted Average | $ | 28,059,988 | 2.37 | % | 0.35 | % | 8.09 | ||||||||||||||
31-Dec-14 | |||||||||||||||||||||
Maturity | Current | Weighted Average | Weighted Average | Weighted Average | |||||||||||||||||
Notional (4) | Pay Rate (2) (3) | Receive Rate (2) | Years to Maturity (2) | ||||||||||||||||||
(dollars in thousands) | |||||||||||||||||||||
0 - 3 years | $ | 2,502,505 | 1.63 | % | 0.17 | % | 2.64 | ||||||||||||||
3 - 6 years | 11,138,000 | 2.06 | % | 0.22 | % | 5.18 | |||||||||||||||
6 - 10 years | 13,069,200 | 2.67 | % | 0.23 | % | 8.57 | |||||||||||||||
Greater than 10 years | 4,751,800 | 3.58 | % | 0.2 | % | 19.53 | |||||||||||||||
Total / Weighted Average | $ | 31,461,505 | 2.49 | % | 0.22 | % | 8.38 | ||||||||||||||
(1) | Notional amount includes $3.0 billion and $500.0 million in forward starting pay fixed swaps as of March 31, 2015 and December 31, 2014, respectively. | ||||||||||||||||||||
(2) | Excludes forward starting swaps. | ||||||||||||||||||||
(3) | Weighted average fixed rate on forward starting pay fixed swaps was 1.88% and 3.25% as of March 31, 2015 and December 31, 2014, respectively. | ||||||||||||||||||||
TBA Derivatives | |||||||||||||||||||||
Summary of Certain Characteristics of Derivatives | The following table summarizes certain characteristics of the Company’s TBA derivatives as of March 31, 2015 and December 31, 2014: | ||||||||||||||||||||
31-Mar-15 | |||||||||||||||||||||
Purchase and sale contracts for | Notional | Implied Cost Basis | Implied Market Value | Net Carrying Value | |||||||||||||||||
derivative TBAs | |||||||||||||||||||||
(dollars in thousands) | |||||||||||||||||||||
Purchase contracts | $ | 13,750,000 | $ | 14,279,766 | $ | 14,392,695 | $ | 112,929 | |||||||||||||
Sale contracts | - | - | - | - | |||||||||||||||||
Net TBA derivatives | $ | 13,750,000 | $ | 14,279,766 | $ | 14,392,695 | $ | 112,929 | |||||||||||||
31-Dec-14 | |||||||||||||||||||||
Purchase and sale contracts for | Notional | Implied Cost Basis | Implied Market Value | Net Carrying Value | |||||||||||||||||
derivative TBAs | |||||||||||||||||||||
(dollars in thousands) | |||||||||||||||||||||
Purchase contracts | $ | - | $ | - | $ | - | $ | - | |||||||||||||
Sale contracts | (375,000 | ) | (375,430 | ) | (379,688 | ) | (4,258 | ) | |||||||||||||
Net TBA derivatives | $ | (375,000 | ) | $ | (375,430 | ) | $ | (379,688 | ) | $ | (4,258 | ) | |||||||||
INTEREST_INCOME_AND_INTEREST_E1
INTEREST INCOME AND INTEREST EXPENSE (Tables) | 3 Months Ended | ||||||||
Mar. 31, 2015 | |||||||||
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 ended March 31, 2015 and 2014. | ||||||||
Quarter Ended March 31, | |||||||||
2015 | 2014 | ||||||||
Interest income: | (dollars in thousands) | ||||||||
Investment Securities | $ | 478,239 | $ | 614,419 | |||||
Commercial investment portfolio(1) | 40,336 | 39,486 | |||||||
U.S. Treasury securities | - | 1,329 | |||||||
Securities loaned | - | 114 | |||||||
Reverse repurchase agreements | 539 | 500 | |||||||
Other | 58 | 53 | |||||||
Total interest income | 519,172 | 655,901 | |||||||
Interest expense: | |||||||||
Repurchase agreements | 102,748 | 103,131 | |||||||
Convertible Senior Notes | 23,627 | 18,897 | |||||||
U.S. Treasury securities sold, not yet purchased | - | 1,076 | |||||||
Securities borrowed | - | 95 | |||||||
Securitized debt of consolidated VIE | 2,882 | 1,611 | |||||||
Participation sold | 159 | 161 | |||||||
Other | 4 | - | |||||||
Total interest expense | 129,420 | 124,971 | |||||||
Net interest income | $ | 389,752 | $ | 530,930 | |||||
(1) Includes commercial real estate debt, preferred equity and corporate debt. |
NET_INCOME_LOSS_PER_COMMON_SHA1
NET INCOME (LOSS) PER COMMON SHARE (Tables) | 3 Months Ended | ||||||||
Mar. 31, 2015 | |||||||||
Schedule of Net Income (Loss) Per Share Reconciliation | The following table presents a reconciliation of net income (loss) and shares used in calculating basic and diluted net income (loss) per share for the quarters ended March 31, 2015 and 2014. | ||||||||
For the Quarter Ended | |||||||||
31-Mar-15 | 31-Mar-14 | ||||||||
(dollars in thousands, except per share data) | |||||||||
Net income (loss) attributable to Annaly | $ | (476,409 | ) | $ | (203,351 | ) | |||
Less: Preferred stock dividends | 17,992 | 17,992 | |||||||
Net income (loss) per share available (related) to common stockholders, prior to adjustment for dilutive potential common shares, if necessary | (494,401 | ) | (221,343 | ) | |||||
Add: Interest on Convertible Senior Notes, if dilutive | - | - | |||||||
Net income (loss) available to common stockholders, as adjusted | (494,401 | ) | (221,343 | ) | |||||
Weighted average shares of common stock outstanding-basic | 947,669,831 | 947,458,813 | |||||||
Add: Effect of stock awards and Convertible Senior Notes, if dilutive | - | - | |||||||
Weighted average shares of common stock outstanding-diluted | 947,669,831 | 947,458,813 | |||||||
Net income (loss) per share available (related) to common share: | |||||||||
Basic | $ | (0.52 | ) | $ | (0.23 | ) | |||
Diluted | $ | (0.52 | ) | $ | (0.23 | ) |
LONGTERM_STOCK_INCENTIVE_PLAN_
LONG-TERM STOCK INCENTIVE PLAN (Tables) | 3 Months Ended | ||||||||||||||||
Mar. 31, 2015 | |||||||||||||||||
Schedule of Issued and Outstanding Stock Options | The following table sets forth activity related to the Company’s stock options awarded under the Plan: | ||||||||||||||||
For the Quarter Ended | |||||||||||||||||
31-Mar-15 | 31-Mar-14 | ||||||||||||||||
Number of Shares | Weighted Average | Number of Shares | Weighted Average | ||||||||||||||
Exercise Price | Exercise Price | ||||||||||||||||
Options outstanding at the beginning of period | 2,259,335 | $ | 15.35 | 3,581,752 | $ | 15.44 | |||||||||||
Granted | - | $ | - | - | $ | - | |||||||||||
Exercised | - | $ | - | - | $ | - | |||||||||||
Forfeited | (8,799 | ) | $ | 14.8 | (353,417 | ) | $ | 14.94 | |||||||||
Expired | - | $ | - | - | $ | - | |||||||||||
Options outstanding at the end of period | 2,250,536 | $ | 15.35 | 3,228,335 | $ | 15.49 | |||||||||||
Options exercisable at the end of the period | 2,250,536 | $ | 15.35 | 3,228,335 | $ | 15.49 | |||||||||||
LEASE_COMMITMENTS_AND_CONTINGE1
LEASE COMMITMENTS AND CONTINGENCIES (Tables) | 3 Months Ended | ||||
Mar. 31, 2015 | |||||
Lease Commitments and Contingencies | The following table details the lease payments. | ||||
Years Ending December 31, | Lease Commitments | ||||
(dollars in thousands) | |||||
2015 (remaining) | $ | 1,159 | |||
2016 | 3,591 | ||||
2017 | 3,565 | ||||
2018 | 3,565 | ||||
2019 | 3,565 | ||||
Later years | 21,994 | ||||
$ | 37,439 | ||||
Organization_and_Significant_A
Organization and Significant Accounting Policies - Narrative (Detail) (USD $) | Mar. 31, 2015 | Dec. 31, 2014 |
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 | $1,800,000,000 | $1,600,000,000 |
Summary_of_Estimated_Useful_Li
Summary of Estimated Useful Lives of Assets (Detail) | 3 Months Ended |
Mar. 31, 2015 | |
Building | Minimum | |
Property, Plant and Equipment [Line Items] | |
Estimated useful lives of assets | 31 years |
Building | 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 | 1 year |
Site Improvements | Maximum | |
Property, Plant and Equipment [Line Items] | |
Estimated useful lives of assets | 10 years |
Recent_Accounting_Pronouncemen
Recent Accounting Pronouncements (Detail) | 3 Months Ended |
Mar. 31, 2015 | |
Accounting Standards Update 2015-05 | |
New Accounting Pronouncements or Change in Accounting Principle [Line Items] | |
Standard | ASU 2015-05 - Customer's Accounting for Fees Paid in a Cloud Computing Arrangement |
Description | This update clarifies that customers should determine whether a cloud computing arrangement includes the license of software by applying the same guidance cloud service providers use. The guidance also eliminates the current requirement that customers analogized to the leasing standard when determining the asset acquired in a software licensing arrangement. |
Date of Adoption | January 1, 2016 (early adoption permitted) |
Effect on the financial statements or other significant matters | No |
Accounting Standards Update 2015-03 | |
New Accounting Pronouncements or Change in Accounting Principle [Line Items] | |
Standard | ASU 2015-03 Interest - Imputation of Interest Subtopic 835-30) Simplifying the Presentation of Debt Issuance Costs |
Description | This ASU requires that debt issue costs are presented in the balance sheet as a direct deduction from the carrying amount of that debt liability. The recognition and measurement of debt issue costs are not affected. |
Date of Adoption | January 1, 2016 (early adoption permitted) |
Effect on the financial statements or other significant matters | No |
Accounting Standards Update 2015-02 | |
New Accounting Pronouncements or Change in Accounting Principle [Line Items] | |
Standard | ASU 2015-02 Consolidation (Topic 810) Amendments to the Consolidation Analysis |
Description | This update affects the following areas of the consolidation analysis: limited partnerships and similar entities, evaluation of fees paid to a decision maker or service provider as a variable interest and in determination of the primary beneficiary, effect of related parties on the primary beneficiary determination and for certain investment funds. |
Date of Adoption | January 1, 2016 (early adoption permitted) |
Effect on the financial statements or other significant matters | No |
Accounting Standards Update 2015-01 | |
New Accounting Pronouncements or Change in Accounting Principle [Line Items] | |
Standard | ASU 2015-01 Income Statement - Extraordinary and Unusual Items (Subtopic 225-20) |
Description | This update eliminates from GAAP the concept of extraordinary items. |
Date of Adoption | January 1, 2016 (early adoption permitted) |
Effect on the financial statements or other significant matters | No |
Accounting Standards Update 2014-16 | |
New Accounting Pronouncements or Change in Accounting Principle [Line Items] | |
Standard | ASU 2014-16 Derivatives and Hedging (Topic 815) Determining Whether the Host Contract in a Hybrid Financial Instrument Issued in the Form of a Share is More Akin to Debt or Equity |
Description | This ASU provides additional guidance for evaluating whether conversion rights, redemption rights, voting rights, liquidation rights and dividend payment preferences and other features embedded in a share, including preferred stock, contain embedded derivatives requiring bifurcation. The update requires that an entity determine the nature of the host contract by considering all stated and implied terms and features in a hybrid instrument. |
Date of Adoption | January 1, 2016 (early adoption permitted) |
Effect on the financial statements or other significant matters | No |
Accounting Standards Update 2014-15 | |
New Accounting Pronouncements or Change in Accounting Principle [Line Items] | |
Standard | ASU 2014-15, Presentation of Financial Statements b Going Concern (Subtopic 205-04) Disclosure of Uncertainties about an Entitybs Ability to Continue as a Going Concern |
Description | 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. |
Date of Adoption | January 1, 2017 (early adoption permitted) |
Effect on the financial statements or other significant matters | No |
Accounting Standards Update 2014-09 | |
New Accounting Pronouncements or Change in Accounting Principle [Line Items] | |
Standard | ASU 2014-09, Revenue from Contracts with Customers |
Description | 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). |
Date of Adoption | 1-Jan-17 |
Effect on the financial statements or other significant matters | No |
Accounting Standards Update 2014-17 | |
New Accounting Pronouncements or Change in Accounting Principle [Line Items] | |
Standard | ASU 2014-17 Business Combinations (Topic 805): Pushdown Accounting |
Description | ted This amendment provides an acquired entity with the option to apply push down accounting in its separate financial statements upon occurrence of an event in which an acquirer obtains control of the acquired entity. |
Date of Adoption | 18-Nov-14 |
Effect on the financial statements or other significant matters | No |
Accounting Standards Update 2014-13 | |
New Accounting Pronouncements or Change in Accounting Principle [Line Items] | |
Standard | ASU 2014-13, Consolidation (Topic 810) Measuring the Financial Assets and the Financial Liabilities of a Consolidated Collateralized Financing Entity. |
Description | This Update 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. |
Date of Adoption | January 1, 2015 (early adoption permitted) |
Effect on the financial statements or other significant matters | No |
Accounting Standards Update 2014-11 | |
New Accounting Pronouncements or Change in Accounting Principle [Line Items] | |
Standard | ASU 2014-11, Repurchase-to-Maturity Transactions, Repurchase Financings, and Disclosure. |
Description | This update makes limited amendments to the guidance in ASC 860 on accounting for certain repurchase agreements. |
Date of Adoption | 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 |
Effect on the financial statements or other significant matters | Yes |
Accounting Standards Update 2014-08 | |
New Accounting Pronouncements or Change in Accounting Principle [Line Items] | |
Standard | ASU 2014-11, Repurchase-to-Maturity Transactions, Repurchase Financings, and Disclosure. |
Description | This ASU raises the threshold for a disposal to be treated as discontinued operations. |
Date of Adoption | January 1, 2015 (early adoption permitted) |
Effect on the financial statements or other significant matters | No |
Accounting Standards Update 2014-04 | |
New Accounting Pronouncements or Change in Accounting Principle [Line Items] | |
Standard | ASU 2014-04 ReceivablesbTroubled Debt Restructurings by Creditors, Reclassification of Residential Real Estate Collateralized Consumer Mortgage Loans upon Foreclosure |
Description | This Update 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 |
Date of Adoption | 1-Jan-15 |
Effect on the financial statements or other significant matters | No |
Accounting Standards Update 2013-02 | |
New Accounting Pronouncements or Change in Accounting Principle [Line Items] | |
Standard | ASU 2013-02, Comprehensive Income: Reporting of Amounts Reclassified Out of Accumulated Other Comprehensive Income |
Description | This update requires the provision of information about the amounts reclassified out of accumulated other comprehensive income by component. In addition, it requires presentation of 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 |
Date of Adoption | 1-Jan-14 |
Effect on the financial statements or other significant matters | No |
Accounting Standards Update 2011-11 | |
New Accounting Pronouncements or Change in Accounting Principle [Line Items] | |
Standard | ASU 2011-11, Balance Sheet: Disclosures about Offsetting Assets and Liabilities |
Description | 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. |
Date of Adoption | 1-Jan-14 |
Effect on the financial statements or other significant matters | No |
Recovered_Sheet1
Agency Mortgage-Backed Securities - Portfolio (Detail) (USD $) | Mar. 31, 2015 | Dec. 31, 2014 | |
In Thousands, unless otherwise specified | |||
Mortgage-Backed Securities Portfolio: | |||
Estimated fair value | $69,388,001 | $81,565,256 | [1] |
Agency Mortgage Backed Securities | |||
Mortgage-Backed Securities Portfolio: | |||
Principal outstanding | 63,969,715 | 75,982,999 | |
Unamortized premium | 4,692,058 | 5,368,726 | |
Unamortized discount | -15,385 | -18,200 | |
Amortized cost | 68,646,388 | 81,333,525 | |
Gross unrealized gains | 1,113,768 | 982,001 | |
Gross unrealized losses | -372,155 | -750,270 | |
Estimated fair value | 69,388,001 | 81,565,256 | |
Total amortized cost | 68,646,388 | 81,333,525 | |
Agency Mortgage Backed Securities | Fixed Rate | |||
Mortgage-Backed Securities Portfolio: | |||
Amortized cost | 65,176,426 | 78,250,313 | |
Gross unrealized gains | 971,043 | 847,615 | |
Gross unrealized losses | -355,330 | -732,533 | |
Estimated fair value | 65,792,139 | 78,365,395 | |
Total amortized cost | 65,176,426 | 78,250,313 | |
Agency Mortgage Backed Securities | Adjustable Rate | |||
Mortgage-Backed Securities Portfolio: | |||
Amortized cost | 3,469,962 | 3,083,212 | |
Gross unrealized gains | 142,725 | 134,386 | |
Gross unrealized losses | -16,825 | -17,737 | |
Estimated fair value | 3,595,862 | 3,199,861 | |
Total amortized cost | 3,469,962 | 3,083,212 | |
Agency Mortgage Backed Securities | Freddie Mac | |||
Mortgage-Backed Securities Portfolio: | |||
Principal outstanding | 23,214,759 | 27,906,221 | |
Unamortized premium | 1,814,818 | 1,951,798 | |
Unamortized discount | -7,489 | -8,985 | |
Amortized cost | 25,022,088 | 29,849,034 | |
Gross unrealized gains | 345,566 | 313,761 | |
Gross unrealized losses | -160,483 | -322,094 | |
Estimated fair value | 25,207,171 | 29,840,701 | |
Total amortized cost | 25,022,088 | 29,849,034 | |
Agency Mortgage Backed Securities | Fannie Mae | |||
Mortgage-Backed Securities Portfolio: | |||
Principal outstanding | 40,662,639 | 47,979,778 | |
Unamortized premium | 2,857,467 | 3,396,368 | |
Unamortized discount | -7,549 | -8,857 | |
Amortized cost | 43,512,557 | 51,367,289 | |
Gross unrealized gains | 759,828 | 660,230 | |
Gross unrealized losses | -208,764 | -424,800 | |
Estimated fair value | 44,063,621 | 51,602,719 | |
Total amortized cost | 43,512,557 | 51,367,289 | |
Agency Mortgage Backed Securities | Ginnie Mae | |||
Mortgage-Backed Securities Portfolio: | |||
Principal outstanding | 92,317 | 97,000 | |
Unamortized premium | 19,773 | 20,560 | |
Unamortized discount | -347 | -358 | |
Amortized cost | 111,743 | 117,202 | |
Gross unrealized gains | 8,374 | 8,010 | |
Gross unrealized losses | -2,908 | -3,376 | |
Estimated fair value | 117,209 | 121,836 | |
Total amortized cost | $111,743 | $117,202 | |
[1] | Derived from the audited consolidated financial statements at December 31, 2014. |
Recovered_Sheet2
Agency Mortgage-Backed Securities - Weighted Average Life (Detail) (USD $) | Mar. 31, 2015 | Dec. 31, 2014 | |
In Thousands, unless otherwise specified | |||
Fair Value of Agency Mortgage-Backed Securities according to their estimated weighted-average life: | |||
Total | $69,388,001 | $81,565,256 | [1] |
Agency Mortgage Backed Securities | |||
Fair Value of Agency Mortgage-Backed Securities according to their estimated weighted-average life: | |||
Less than one year | 27,752 | 43,248 | |
Greater than one year through five years | 46,648,676 | 42,222,114 | |
Greater than five years through ten years | 22,520,713 | 39,018,833 | |
Greater than ten years | 190,860 | 281,061 | |
Total | 69,388,001 | 81,565,256 | |
Amortized Cost of Agency Mortgage-Backed Securities according to their estimated weighted-average life: | |||
Less than one year | 27,847 | 42,831 | |
Greater than one year through five years | 46,120,064 | 41,908,586 | |
Greater than five years through ten years | 22,308,291 | 39,098,352 | |
Greater than ten years | 190,186 | 283,756 | |
Total | $68,646,388 | $81,333,525 | |
[1] | Derived from the audited consolidated financial statements at December 31, 2014. |
Agency_MortgageBacked_Securiti2
Agency Mortgage-Backed Securities - Unrealized Loss Position (Detail) (USD $) | Mar. 31, 2015 | Dec. 31, 2014 |
In Thousands, unless otherwise specified | Securities | Securities |
Unrealized Loss Position For: | ||
Estimated Fair Value | $39,788,793 | |
Gross Unrealized Losses | -750,270 | |
Number of Securities | 439 | 507 |
Available For Sale Securities, Continuous Unrealized Loss Positions, Less Than 12 Months | ||
Unrealized Loss Position For: | ||
Estimated Fair Value | 4,613,599 | |
Gross Unrealized Losses | -36,959 | |
Number of Securities | 207 | 205 |
Available For Sale Securities, Continuous Unrealized Loss Positions, Greater Than 12 Months | ||
Unrealized Loss Position For: | ||
Estimated Fair Value | 35,175,194 | |
Gross Unrealized Losses | ($713,311) | |
Number of Securities | 232 | 302 |
Agency_MortgageBacked_Securiti3
Agency Mortgage-Backed Securities - Narrative (Detail) (USD $) | 3 Months Ended | 12 Months Ended | ||
Mar. 31, 2015 | Mar. 31, 2014 | Dec. 31, 2014 | Dec. 31, 2013 | |
Mortgage-Backed Securities Sold: | ||||
Mortgage-Backed securities sold, carrying value | $14,500,000,000 | $4,300,000,000 | ||
Mortgage-Backed securities sold, realized gain | 65,300,000 | 129,500,000 | ||
Interest-only securities | ||||
Mortgage-Backed Securities Sold: | ||||
Amortized cost | 1,400,000,000 | 1,200,000,000 | ||
Accumulated Other Comprehensive Income (Loss) | Interest-only securities | ||||
Mortgage-Backed Securities Sold: | ||||
Unrealized gains (Losses) | ($41,600,000) | ($8,000,000) |
CRE_Debt_and_Preferred_Equity_
CRE Debt and Preferred Equity Investments (Detail) (USD $) | Mar. 31, 2015 | Dec. 31, 2014 | ||
In Thousands, unless otherwise specified | ||||
Transaction to Real Estate Investments [Line Items] | ||||
Carrying Value | $1,498,406 | $1,518,165 | ||
Preferred Equity Interests | ||||
Transaction to Real Estate Investments [Line Items] | ||||
Carrying Value | 211,594 | 212,905 | ||
Commercial Mortgage | ||||
Transaction to Real Estate Investments [Line Items] | ||||
Outstanding Principal | 1,502,251 | 1,520,972 | ||
Carrying Value | 1,498,406 | [1] | 1,518,165 | [1] |
Percentage of Loan Portfolio | 100.00% | [2] | 100.00% | [2] |
Commercial Mortgage | Senior Mortgages | ||||
Transaction to Real Estate Investments [Line Items] | ||||
Outstanding Principal | 431,872 | 384,304 | ||
Carrying Value | 430,228 | [1],[3] | 383,895 | [1] |
Percentage of Loan Portfolio | 28.70% | [2] | 25.20% | [2] |
Commercial Mortgage | Senior Securitized Mortgages | ||||
Transaction to Real Estate Investments [Line Items] | ||||
Outstanding Principal | 361,861 | [3] | 399,541 | [3] |
Carrying Value | 361,179 | [1],[3] | 398,634 | [1],[3] |
Percentage of Loan Portfolio | 24.10% | [2],[3] | 26.30% | [2],[3] |
Commercial Mortgage | Preferred Equity Interests | ||||
Transaction to Real Estate Investments [Line Items] | ||||
Outstanding Principal | 213,213 | 214,653 | ||
Carrying Value | 211,594 | [1] | 212,905 | [1] |
Percentage of Loan Portfolio | 14.20% | [2] | 14.10% | [2] |
Commercial Mortgage | Mezzanine Loans | ||||
Transaction to Real Estate Investments [Line Items] | ||||
Outstanding Principal | 495,305 | 522,474 | ||
Carrying Value | $495,405 | [1] | $522,731 | [1] |
Percentage of Loan Portfolio | 33.00% | [2] | 34.40% | [2] |
[1] | Carrying value includes unamortized origination fees of $4.4 million and $3.0 million as of March 31, 2015 and December 31, 2014, 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 $) | Mar. 31, 2015 | Dec. 31, 2014 |
In Millions, unless otherwise specified | ||
Commercial Mortgage | ||
Transaction to Real Estate Investments [Line Items] | ||
Net origination fees | $4 | $3 |
CRE_Debt_and_Preferred_Equity_2
CRE Debt and Preferred Equity Investments -Based on Outstanding Principal (Detail) (USD $) | 3 Months Ended | 12 Months Ended | ||
In Thousands, unless otherwise specified | Mar. 31, 2015 | Dec. 31, 2014 | ||
Transaction to Real Estate Investments [Line Items] | ||||
Beginning balance | $1,518,165 | $1,583,969 | ||
Originations & advances (principal) | 63,688 | 249,854 | ||
Principal payments | -82,409 | -316,082 | ||
Sales (principal) | 0 | 0 | ||
Amortization & accretion of (premium) discounts | -42 | -1,472 | ||
Net (increase) decrease in origination fees | -2,186 | -3,021 | ||
Amortization of net origination fees | 1,190 | 4,917 | ||
Allowance for loan losses | 0 | 0 | ||
Net carrying value | 1,498,406 | 1,518,165 | ||
Preferred Equity Interests | ||||
Transaction to Real Estate Investments [Line Items] | ||||
Beginning balance | 212,905 | 247,160 | ||
Principal payments | -1,441 | -35,116 | ||
Sales (principal) | 0 | 0 | ||
Amortization & accretion of (premium) discounts | 25 | 108 | ||
Amortization of net origination fees | 105 | 753 | ||
Allowance for loan losses | 0 | 0 | ||
Net carrying value | 211,594 | 212,905 | ||
Commercial Mortgage | ||||
Transaction to Real Estate Investments [Line Items] | ||||
Net carrying value | 1,498,406 | [1] | 1,518,165 | [1] |
Commercial Mortgage | Mezzanine Loans | ||||
Transaction to Real Estate Investments [Line Items] | ||||
Beginning balance | 522,731 | 628,102 | ||
Originations & advances (principal) | 16,043 | 122,742 | ||
Principal payments | -43,212 | -227,151 | ||
Sales (principal) | 0 | 0 | ||
Amortization & accretion of (premium) discounts | -31 | -1,093 | ||
Net (increase) decrease in origination fees | -236 | -478 | ||
Amortization of net origination fees | 110 | 609 | ||
Allowance for loan losses | 0 | 0 | ||
Net carrying value | 495,405 | [1] | 522,731 | [1] |
Commercial Mortgage | Senior Mortgages | ||||
Transaction to Real Estate Investments [Line Items] | ||||
Beginning balance | 383,895 | [2] | 667,299 | |
Originations & advances (principal) | 47,645 | [2] | 127,112 | |
Principal payments | -76 | [2] | -12,756 | |
Sales (principal) | 0 | [2] | 0 | |
Amortization & accretion of (premium) discounts | -36 | [2] | -138 | |
Net (increase) decrease in origination fees | -1,950 | [2] | -2,427 | |
Amortization of net origination fees | 750 | [2] | 2,783 | |
Transfers | -397,978 | |||
Allowance for loan losses | 0 | [2] | 0 | |
Net carrying value | 430,228 | [1],[2] | 383,895 | [1] |
Commercial Mortgage | Senior Securitized Mortgages | ||||
Transaction to Real Estate Investments [Line Items] | ||||
Beginning balance | 398,634 | |||
Principal payments | -37,680 | |||
Sales (principal) | 0 | 0 | [2] | |
Net (increase) decrease in origination fees | -116 | [2] | ||
Amortization of net origination fees | 225 | 772 | [2] | |
Transfers | 397,978 | [2] | ||
Allowance for loan losses | 0 | 0 | [2] | |
Net carrying value | 361,179 | [1],[2] | 398,634 | [1],[2] |
Commercial Mortgage | Subordinated Notes | ||||
Transaction to Real Estate Investments [Line Items] | ||||
Beginning balance | 41,408 | |||
Principal payments | -41,059 | |||
Sales (principal) | 0 | |||
Amortization & accretion of (premium) discounts | -349 | |||
Allowance for loan losses | 0 | |||
Commercial Mortgage | Preferred Equity Interests | ||||
Transaction to Real Estate Investments [Line Items] | ||||
Net carrying value | $211,594 | [1] | $212,905 | [1] |
[1] | Carrying value includes unamortized origination fees of $4.4 million and $3.0 million as of March 31, 2015 and December 31, 2014, respectively. | |||
[2] | Assets of consolidated VIE. |
Internal_CRE_Debt_and_Preferre
Internal CRE Debt and Preferred Equity Ratings (Detail) (Commercial Mortgage, USD $) | Mar. 31, 2015 | Dec. 31, 2014 | ||
In Thousands, unless otherwise specified | ||||
Transaction to Real Estate Investments [Line Items] | ||||
Performing Loans | $1,199,028 | $1,498,749 | ||
Internal Ratings Watch List | 290,250 | [1] | 9,250 | |
Defaulted-Recovery | 12,973 | [2] | 12,973 | |
Impaired | 0 | 0 | ||
Senior Mortgages | ||||
Transaction to Real Estate Investments [Line Items] | ||||
Performing Loans | 188,899 | 371,331 | ||
Internal Ratings Watch List | 230,000 | [1] | ||
Defaulted-Recovery | 12,973 | [2] | 12,973 | [2] |
Impaired | 0 | 0 | ||
Senior Securitized Mortgages | ||||
Transaction to Real Estate Investments [Line Items] | ||||
Performing Loans | 352,611 | [3] | 390,291 | [3] |
Internal Ratings Watch List | 9,250 | [1],[3] | 9,250 | [3] |
Impaired | 0 | [3] | 0 | [3] |
Subordinated Notes | ||||
Transaction to Real Estate Investments [Line Items] | ||||
Impaired | 0 | |||
Preferred Equity Interests | ||||
Transaction to Real Estate Investments [Line Items] | ||||
Performing Loans | 162,213 | 214,653 | ||
Internal Ratings Watch List | 51,000 | [1] | ||
Impaired | 0 | 0 | ||
Mezzanine Loans | ||||
Transaction to Real Estate Investments [Line Items] | ||||
Performing Loans | 495,305 | 522,474 | ||
Impaired | $0 | $0 | ||
[1] | Includes a $230.0 million loan maturing on June 30, 2015 with a risk that the borrower will be unable to refinance the outstanding principal amount before the maturity date, but full recovery is expected. | |||
[2] | Related to one loan on non-accrual status. | |||
[3] | Assets of consolidated VIE. |
Internal_CRE_Debt_and_Preferre1
Internal CRE Debt and Preferred Equity Ratings (Parenthetical) (Detail) (USD $) | Mar. 31, 2015 |
In Millions, unless otherwise specified | |
Transaction to Real Estate Investments [Line Items] | |
Loan outstanding principal amount expected full recovery | $230 |
Recovered_Sheet3
Commercial Real Estate Investments - Additional Information (Detail) (USD $) | 1 Months Ended | 3 Months Ended | 1 Months Ended | |||||
Nov. 30, 2014 | Jan. 31, 2014 | Mar. 31, 2015 | Mar. 31, 2014 | Feb. 28, 2015 | Dec. 31, 2014 | |||
Property | ||||||||
Real Estate Properties [Line Items] | ||||||||
Percentage of ownership interest in joint venture | 90.00% | |||||||
Number of retail property Acquired | 11 | |||||||
Principal amount of mortgage loan | $146,361,000 | $146,430,000 | ||||||
Weighted average amortization period for intangible assets and liabilities | 3 years 8 months 12 days | |||||||
Percentage of non-controlling interest | 10.00% | |||||||
Fair value of non-controlling interest at acquisition date | 15,400,000 | |||||||
Depreciation expense | 2,823,000 | 292,000 | ||||||
Securitization financing transaction, purchase | 399,500,000 | |||||||
Securitization financing transaction, total | 260,700,000 | 1,491,829,000 | [1] | 260,700,000 | [1],[2] | |||
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 | |||||||
Senior Secured mortgages of Consolidated VIE | 361,200,000 | 398,600,000 | [2] | |||||
Unamortized origination fees | 700,000 | |||||||
General and Administrative Expense [Member] | ||||||||
Real Estate Properties [Line Items] | ||||||||
Transaction costs related to acquisitions | 0 | |||||||
Depreciation expense | 2,800,000 | 300,000 | ||||||
FREMF Trust | ||||||||
Real Estate Properties [Line Items] | ||||||||
Transaction costs related to acquisitions | -810,000 | |||||||
Exposure to the obligations of the VIE limited to the amount of investment | 102,100,000 | |||||||
Gain (Loss) recognized upon initial consolidation | 0 | |||||||
Debt issue costs expensed | 600,000 | |||||||
Variable interest entity, consolidated, carrying amount, assets | 1,400,000 | |||||||
Variable interest entity, consolidated, carrying amount, liabilities | 1,300,000 | |||||||
Mortgage loans held and securitized debt obligations, unpaid principal balance | 1,400,000,000 | |||||||
Loans 90 days or more past due or on nonaccrual status | 0 | |||||||
Gain (Loss) attributable to instrument- specific credit risk | 0 | |||||||
Freddie Mac | Floating Rate Multifamily Mortgage Loans | ||||||||
Real Estate Properties [Line Items] | ||||||||
Number of loans in the underlying portfolio | 11 | |||||||
Principal balance | 1,400,000,000 | |||||||
Ten Year Four Point Zero Three Percent Fixed Rate Interest Only Mortgage Loan[Member] | ||||||||
Real Estate Properties [Line Items] | ||||||||
Principal amount of mortgage loan | 104,000,000 | |||||||
Debt term | 10 years | |||||||
Debt instrument, interest rate | 4.03% | |||||||
Other Assets | ||||||||
Real Estate Properties [Line Items] | ||||||||
Securitization cost | $4,300,000 | |||||||
[1] | Includes securitized debt of a consolidated VIE carried at fair value of $1.3 billion and $0 at March 31, 2015 and December 31, 2014, respectively. | |||||||
[2] | Derived from the audited consolidated financial statements at December 31, 2014. |
Summary_of_Acquisitions_of_Rea
Summary of Acquisitions of Real Estate Held for Investment (Detail) (USD $) | 3 Months Ended |
In Thousands, unless otherwise specified | Mar. 31, 2015 |
Transaction to Real Estate Investments [Line Items] | |
Purchase Price | $190,743 |
TENNESSEE | |
Transaction to Real Estate Investments [Line Items] | |
Purchase Price | 19,000 |
TENNESSEE | Single Tenant Properties [Member] | |
Transaction to Real Estate Investments [Line Items] | |
Date of Acquisition | 30-Apr-14 |
Purchase Price | 19,000 |
Remaining Lease Term (Years) | 8 years |
VIRGINIA | |
Transaction to Real Estate Investments [Line Items] | |
Purchase Price | 17,743 |
VIRGINIA | Multi Tenant Properties [Member] | |
Transaction to Real Estate Investments [Line Items] | |
Date of Acquisition | 30-Jun-14 |
Purchase Price | 17,743 |
Remaining Lease Term (Years) | 7 years |
New York, Ohio and Georgia [Member] | Multi Tenant Properties [Member] | |
Transaction to Real Estate Investments [Line Items] | |
Date of Acquisition | 30-Nov-14 |
Purchase Price | $154,000 |
Remaining Lease Term (Years) | 4 years 7 months 6 days |
Aggregate_Allocation_of_Purcha
Aggregate Allocation of Purchase Price (Detail) (USD $) | 3 Months Ended |
In Thousands, unless otherwise specified | Mar. 31, 2015 |
Transaction to Real Estate Investments [Line Items] | |
Total purchase price | $190,743 |
Real Estate Investment | |
Transaction to Real Estate Investments [Line Items] | |
Total purchase price | 176,519 |
TENNESSEE | |
Transaction to Real Estate Investments [Line Items] | |
Total purchase price | 19,000 |
TENNESSEE | Real Estate Investment | |
Transaction to Real Estate Investments [Line Items] | |
Total purchase price | 16,812 |
VIRGINIA | |
Transaction to Real Estate Investments [Line Items] | |
Total purchase price | 17,743 |
VIRGINIA | Real Estate Investment | |
Transaction to Real Estate Investments [Line Items] | |
Total purchase price | 18,440 |
Land | |
Transaction to Real Estate Investments [Line Items] | |
Total purchase price | 31,478 |
Land | TENNESSEE | |
Transaction to Real Estate Investments [Line Items] | |
Total purchase price | 3,503 |
Land | VIRGINIA | |
Transaction to Real Estate Investments [Line Items] | |
Total purchase price | 6,394 |
Building | |
Transaction to Real Estate Investments [Line Items] | |
Total purchase price | 119,955 |
Building | TENNESSEE | |
Transaction to Real Estate Investments [Line Items] | |
Total purchase price | 11,960 |
Building | VIRGINIA | |
Transaction to Real Estate Investments [Line Items] | |
Total purchase price | 10,862 |
Site Improvements | |
Transaction to Real Estate Investments [Line Items] | |
Total purchase price | 15,485 |
Site Improvements | TENNESSEE | |
Transaction to Real Estate Investments [Line Items] | |
Total purchase price | 1,349 |
Site Improvements | VIRGINIA | |
Transaction to Real Estate Investments [Line Items] | |
Total purchase price | 1,184 |
Tenant Improvements [Member] | |
Transaction to Real Estate Investments [Line Items] | |
Total purchase price | 9,601 |
Leaseholds and Leasehold Improvements [Member] | |
Transaction to Real Estate Investments [Line Items] | |
Total purchase price | 30,061 |
Leaseholds and Leasehold Improvements [Member] | TENNESSEE | |
Transaction to Real Estate Investments [Line Items] | |
Total purchase price | 4,288 |
Leaseholds and Leasehold Improvements [Member] | VIRGINIA | |
Transaction to Real Estate Investments [Line Items] | |
Total purchase price | 3,218 |
Above Market Lease [Member] | |
Transaction to Real Estate Investments [Line Items] | |
Total purchase price | 5,463 |
Below Market Lease Liabilities [Member] | |
Transaction to Real Estate Investments [Line Items] | |
Total purchase price | 21,300 |
Below Market Lease Liabilities [Member] | TENNESSEE | |
Transaction to Real Estate Investments [Line Items] | |
Total purchase price | 2,100 |
Below Market Lease Liabilities [Member] | VIRGINIA | |
Transaction to Real Estate Investments [Line Items] | |
Total purchase price | 3,915 |
Joint Venture Agreement [Member] | |
Transaction to Real Estate Investments [Line Items] | |
Total purchase price | 154,000 |
Joint Venture Agreement [Member] | Real Estate Investment | |
Transaction to Real Estate Investments [Line Items] | |
Total purchase price | 141,267 |
Joint Venture Agreement [Member] | Land | |
Transaction to Real Estate Investments [Line Items] | |
Total purchase price | 21,581 |
Joint Venture Agreement [Member] | Building | |
Transaction to Real Estate Investments [Line Items] | |
Total purchase price | 97,133 |
Joint Venture Agreement [Member] | Site Improvements | |
Transaction to Real Estate Investments [Line Items] | |
Total purchase price | 12,952 |
Joint Venture Agreement [Member] | Tenant Improvements [Member] | |
Transaction to Real Estate Investments [Line Items] | |
Total purchase price | 9,601 |
Joint Venture Agreement [Member] | Leaseholds and Leasehold Improvements [Member] | |
Transaction to Real Estate Investments [Line Items] | |
Total purchase price | 22,555 |
Joint Venture Agreement [Member] | Above Market Lease [Member] | |
Transaction to Real Estate Investments [Line Items] | |
Total purchase price | 5,463 |
Joint Venture Agreement [Member] | Below Market Lease Liabilities [Member] | |
Transaction to Real Estate Investments [Line Items] | |
Total purchase price | $15,285 |
Total_Real_Estate_Held_for_Inv
Total Real Estate Held for Investment (Detail) (USD $) | Mar. 31, 2015 | Dec. 31, 2014 | ||
In Thousands, unless otherwise specified | ||||
Real estate held for investment, at amortized cost | ||||
Real estate held for investment, at amortized cost | $214,256 | $214,256 | ||
Less: accumulated depreciation | -7,047 | -4,224 | ||
Total real estate held for investment at amortized cost, net | 207,209 | 210,032 | ||
Real estate held for sale at fair value | 0 | 0 | ||
Total investment in commercial real estate, net | 207,209 | 210,032 | [1] | |
Net carrying value of CRE Debt and Preferred Equity Investments | 1,498,406 | [2] | 1,518,165 | [1],[2] |
Total commercial real estate investments | 1,705,615 | 1,728,197 | ||
Land | ||||
Real estate held for investment, at amortized cost | ||||
Real estate held for investment, at amortized cost | 38,117 | 38,117 | ||
Building Improvements | ||||
Real estate held for investment, at amortized cost | ||||
Real estate held for investment, at amortized cost | $176,139 | $176,139 | ||
[1] | Derived from the audited consolidated financial statements at December 31, 2014. | |||
[2] | Includes senior securitized commercial mortgage loans of a consolidated VIE with a carrying value of $361.2 million and $398.6 million carried at amortized cost, net of an allowance for losses of $0 and $0, at March 31, 2015 and December 31, 2014, respectively. . |
Minimum_Future_Rentals_to_be_R
Minimum Future Rentals to be Received on Noncancelable Operating Leases (Detail) (USD $) | Mar. 31, 2015 |
In Thousands, unless otherwise specified | |
Operating Leased Assets [Line Items] | |
2015 (remaining) | $15,495 |
2016 | 18,684 |
2017 | 15,977 |
2018 | 13,620 |
2019 | 11,301 |
Later years | 51,241 |
Operating Leases, Future Minimum Payments Receivable, Total | $126,318 |
Mortgage_Loans_Payable_Detail
Mortgage Loans Payable (Detail) (USD $) | 3 Months Ended | 12 Months Ended | |
In Thousands, unless otherwise specified | Mar. 31, 2015 | Dec. 31, 2014 | |
Mortgage Loans on Real Estate [Line Items] | |||
Mortgage Carrying Value | $146,670 | $146,553 | |
Mortgage Principal | 146,361 | 146,430 | |
Joint Venture [Member] | |||
Mortgage Loans on Real Estate [Line Items] | |||
Mortgage Carrying Value | 104,079 | 103,950 | |
Mortgage Principal | 103,950 | 103,950 | |
Interest rate | 4.03% | 4.03% | |
Fixed/Floating Rate | Fixed | ||
Maturity Date | 6-Dec-24 | 6-Dec-24 | |
Priority | First liens | ||
Three Thousand One Hundred South Mall [Member] | |||
Mortgage Loans on Real Estate [Line Items] | |||
Mortgage Carrying Value | 12,365 | 12,350 | |
Mortgage Principal | 12,350 | 12,350 | |
Interest rate | 4.01% | 4.01% | |
Fixed/Floating Rate | Fixed | ||
Maturity Date | 6-Jun-19 | 6-Jun-19 | |
Priority | First liens | ||
Twelve Thousand One Hundred Fifty-One Jefferson [Member] | |||
Mortgage Loans on Real Estate [Line Items] | |||
Mortgage Carrying Value | 11,074 | 11,025 | |
Mortgage Principal | 11,025 | 11,025 | |
Interest rate | 3.58% | 3.58% | |
Fixed/Floating Rate | Fixed | ||
Maturity Date | 6-Sep-19 | 6-Sep-19 | |
Priority | First liens | ||
ARIZONA | |||
Mortgage Loans on Real Estate [Line Items] | |||
Mortgage Carrying Value | 16,649 | 16,709 | |
Mortgage Principal | 16,548 | 16,600 | |
Interest rate | 3.50% | 3.50% | |
Fixed/Floating Rate | Fixed | ||
Maturity Date | 1-Jan-17 | 1-Jan-17 | |
Priority | First liens | ||
NEVADA | |||
Mortgage Loans on Real Estate [Line Items] | |||
Mortgage Carrying Value | 2,503 | 2,519 | |
Mortgage Principal | $2,488 | $2,505 | |
Interest rate | 3.45% | 3.45% | |
Fixed/Floating Rate | Floating | [1] | |
Maturity Date | 29-Mar-17 | 29-Mar-17 | |
Priority | First liens | ||
[1] | Rate is fixed via an interest rate swap (pay fixed 3.45%, receive floating rate of L+200). |
Future_Mortgage_Loan_Principal
Future Mortgage Loan Principal Payments (Detail) (USD $) | Mar. 31, 2015 | Dec. 31, 2014 |
In Thousands, unless otherwise specified | ||
Schedule Of Long Term Debt Maturities [Line Items] | ||
2015 (remaining) | $291 | |
2016 | 399 | |
2017 | 18,346 | |
2018 | 0 | |
2019 | 23,375 | |
Later years | 103,950 | |
Mortgage Principal | $146,361 | $146,430 |
Statement_of_financial_conditi
Statement of financial condition of FREMF Trust Reflected the Consolidated Statements of Financial Condition (Detail) (USD $) | Mar. 31, 2015 | Dec. 31, 2014 | |
In Thousands, unless otherwise specified | |||
Variable Interest Entity [Line Items] | |||
Total assets | $78,675,677 | $88,355,367 | [1] |
Liabilities and Equity | |||
Accrued Interest Payables | 155,072 | 180,501 | [1] |
Total liabilities | 65,551,087 | 75,021,586 | [1] |
Equity | 13,119,505 | 13,328,491 | [1] |
Total liabilities and equity | 78,675,677 | 88,355,367 | [1] |
FREMF Trust | |||
Variable Interest Entity [Line Items] | |||
Securitized loans at Fair value | 1,370,903 | ||
Accrued Interest Receivables | 2,431 | ||
Total assets | 1,373,334 | ||
Liabilities and Equity | |||
Securitized debt (non-recourse) at fair value | 1,268,809 | ||
Accrued Interest Payables | 2,204 | ||
Total liabilities | 1,271,013 | ||
Equity | 102,321 | ||
Total liabilities and equity | $1,373,334 | ||
[1] | Derived from the audited consolidated financial statements at December 31, 2014. |
Statement_of_Comprehensive_Inc
Statement of Comprehensive Income (Loss) of FREMF Trust Reflected the Consolidated Statements of Comprehensive Income (Loss) (Detail) (USD $) | 3 Months Ended | ||
Mar. 31, 2015 | Mar. 31, 2014 | ||
Net interest income: | |||
Interest income | $519,172,000 | $655,901,000 | |
Interest expense | -129,420,000 | -124,971,000 | |
Net interest income | 389,752,000 | 530,930,000 | |
Other Income: | |||
Other income | 815,299,000 | 682,902,000 | |
General & Administration cost | 50,938,000 | 47,378,000 | |
Net Income | -476,499,000 | -203,351,000 | |
FREMF Trust | |||
Net interest income: | |||
Interest income | 2,742,000 | ||
Interest expense | -1,606,000 | ||
Net interest income | 1,136,000 | ||
Other Income: | |||
Unrealized gain(loss) on financial instruments at fair value | 3,000 | [1] | |
Transaction & Acquistion costs | 810,000 | ||
Other income | 813,000 | ||
General & Administration cost | 96,000 | ||
Net Income | $227,000 | ||
[1] | Included in Other income (loss). |
Geographic_Concentrations_of_C
Geographic Concentrations of Credit Risk Exceeding 5% of Total Loan Balances (Detail) (USD $) | 3 Months Ended |
In Thousands, unless otherwise specified | Mar. 31, 2015 |
NORTH CAROLINA | |
Concentration Risk [Line Items] | |
Principal Balance | 516,150 |
NORTH CAROLINA | Credit Concentration Risk [Member] | |
Concentration Risk [Line Items] | |
Percentage Balance | 37.90% |
TEXAS | |
Concentration Risk [Line Items] | |
Principal Balance | 339,014 |
TEXAS | Credit Concentration Risk [Member] | |
Concentration Risk [Line Items] | |
Percentage Balance | 24.90% |
OHIO | |
Concentration Risk [Line Items] | |
Principal Balance | 197,455 |
OHIO | Credit Concentration Risk [Member] | |
Concentration Risk [Line Items] | |
Percentage Balance | 14.50% |
FLORIDA | |
Concentration Risk [Line Items] | |
Principal Balance | 156,836 |
FLORIDA | Credit Concentration Risk [Member] | |
Concentration Risk [Line Items] | |
Percentage Balance | 11.50% |
Fair_Value_Measurements_Detail
Fair Value Measurements (Detail) (USD $) | Mar. 31, 2015 | Dec. 31, 2014 | ||
In Thousands, unless otherwise specified | ||||
Assets: | ||||
Agency mortgage-backed securities | $69,388,001 | $81,565,256 | ||
Agency debentures | 995,408 | 1,368,350 | ||
Agency CRT securities | 108,337 | |||
Commercial real estate debt investments | 1,515,903 | [1] | ||
Investment in affiliates | 141,246 | 143,045 | ||
Interest rate swaps | 25,908 | 75,225 | [2] | |
Other derivatives | 113,503 | 5,499 | ||
Total Assets | 72,288,306 | 83,157,375 | ||
Liabilities: | ||||
Securitized debt of consolidated VIEs | 1,268,809 | 0 | [2] | |
Interest rate swaps | 2,025,170 | 1,608,286 | [2] | |
Other derivatives | 61,778 | 8,027 | ||
Total Liabilities | 3,355,757 | 1,616,313 | ||
Level 1 | ||||
Assets: | ||||
Investment in affiliates | 141,246 | 143,045 | ||
Other derivatives | 117 | |||
Total Assets | 141,246 | 143,162 | ||
Liabilities: | ||||
Other derivatives | 61,778 | 3,769 | ||
Total Liabilities | 61,778 | 3,769 | ||
Level 2 | ||||
Assets: | ||||
Agency mortgage-backed securities | 69,388,001 | 81,565,256 | ||
Agency debentures | 995,408 | 1,368,350 | ||
Agency CRT securities | 108,337 | |||
Commercial real estate debt investments | 1,515,903 | |||
Interest rate swaps | 25,908 | 75,225 | ||
Other derivatives | 113,503 | 5,382 | ||
Total Assets | 72,147,060 | 83,014,213 | ||
Liabilities: | ||||
Securitized debt of consolidated VIEs | 1,268,809 | |||
Interest rate swaps | 2,025,170 | 1,608,286 | ||
Other derivatives | 4,258 | |||
Total Liabilities | $3,293,979 | $1,612,544 | ||
[1] | Includes senior securitized commercial mortgage loans of a consolidated VIE carried at fair value of $1.4 billion and $0 at March 31, 2015 and December 31, 2014, respectively. | |||
[2] | Derived from the audited consolidated financial statements at December 31, 2014. |
Estimated_Fair_Value_for_All_F
Estimated Fair Value for All Financial Assets and Liabilities (Detail) (USD $) | Mar. 31, 2015 | Dec. 31, 2014 | Jan. 31, 2014 | ||
In Thousands, unless otherwise specified | |||||
Financial assets: | |||||
Agency mortgage-backed securities | $69,388,001 | $81,565,256 | |||
Agency debentures | 995,408 | 1,368,350 | |||
Agency CRT securities | 108,337 | ||||
Commercial real estate debt investments | 1,515,903 | [1] | |||
Investment in affiliates | 141,246 | 143,045 | |||
Interest rate swaps | 139,411 | 80,724 | |||
Other derivatives | 113,503 | 5,499 | |||
Financial liabilities: | |||||
Securitized debt of consolidated VIE | 1,491,829 | [2] | 260,700 | [2],[3] | 260,700 |
Interest rate swaps | 2,086,948 | 1,616,313 | |||
Other derivatives | 61,778 | 8,027 | |||
Level 1 | |||||
Financial assets: | |||||
Investment in affiliates | 141,246 | 143,045 | |||
Other derivatives | 117 | ||||
Financial liabilities: | |||||
Other derivatives | 61,778 | 3,769 | |||
Level 2 | |||||
Financial assets: | |||||
Agency mortgage-backed securities | 69,388,001 | 81,565,256 | |||
Agency debentures | 995,408 | 1,368,350 | |||
Agency CRT securities | 108,337 | ||||
Commercial real estate debt investments | 1,515,903 | ||||
Other derivatives | 113,503 | 5,382 | |||
Financial liabilities: | |||||
Other derivatives | 4,258 | ||||
Estimate of Fair Value, Fair Value Disclosure | Level 1 | |||||
Financial assets: | |||||
Cash and cash equivalents | 1,920,326 | 1,741,244 | |||
Reverse repurchase agreements | 100,000 | 100,000 | |||
Investment in affiliates | 141,246 | 143,045 | |||
Financial liabilities: | |||||
Convertible Senior Notes | 752,325 | 863,470 | |||
Estimate of Fair Value, Fair Value Disclosure | Level 2 | |||||
Financial assets: | |||||
Agency mortgage-backed securities | 69,388,001 | 81,565,256 | |||
Agency debentures | 995,408 | 1,368,350 | |||
Agency CRT securities | 108,337 | ||||
Commercial real estate debt investments | 1,515,903 | ||||
Corporate debt | 228,012 | 166,056 | |||
Interest rate swaps | 25,908 | 75,225 | |||
Financial liabilities: | |||||
Securitized debt of consolidated VIE | 1,492,102 | 262,061 | |||
Mortgages payable | 150,765 | 146,611 | |||
Interest rate swaps | 2,025,170 | 1,608,286 | |||
Estimate of Fair Value, Fair Value Disclosure | Level 3 | |||||
Financial assets: | |||||
Commercial real estate debt and preferred equity | 1,513,878 | 1,528,444 | |||
Financial liabilities: | |||||
Participation sold | 13,620 | 13,655 | |||
Estimate of Fair Value, Fair Value Disclosure | Level 1, Level 2 | |||||
Financial assets: | |||||
Other derivatives | 113,503 | 5,499 | |||
Financial liabilities: | |||||
Repurchase agreements | 60,691,054 | 71,587,222 | |||
Other derivatives | 61,778 | 8,027 | |||
Carrying (Reported) Amount, Fair Value Disclosure | Level 1 | |||||
Financial assets: | |||||
Cash and cash equivalents | 1,920,326 | 1,741,244 | |||
Reverse repurchase agreements | 100,000 | 100,000 | |||
Investment in affiliates | 141,246 | 143,045 | |||
Financial liabilities: | |||||
Convertible Senior Notes | 749,512 | 845,295 | |||
Carrying (Reported) Amount, Fair Value Disclosure | Level 2 | |||||
Financial assets: | |||||
Agency mortgage-backed securities | 69,388,001 | 81,565,256 | |||
Agency debentures | 995,408 | 1,368,350 | |||
Agency CRT securities | 108,337 | ||||
Commercial real estate debt investments | 1,515,903 | ||||
Corporate debt | 227,830 | 166,464 | |||
Interest rate swaps | 25,908 | 75,225 | |||
Financial liabilities: | |||||
Securitized debt of consolidated VIE | 1,491,829 | 260,700 | |||
Mortgages payable | 146,470 | 146,553 | |||
Interest rate swaps | 2,025,170 | 1,608,286 | |||
Carrying (Reported) Amount, Fair Value Disclosure | Level 3 | |||||
Financial assets: | |||||
Commercial real estate debt and preferred equity | 1,498,406 | 1,518,165 | |||
Financial liabilities: | |||||
Participation sold | 13,589 | 13,693 | |||
Carrying (Reported) Amount, Fair Value Disclosure | Level 1, Level 2 | |||||
Financial assets: | |||||
Other derivatives | 113,503 | 5,499 | |||
Financial liabilities: | |||||
Repurchase agreements | 60,477,378 | 71,361,926 | |||
Other derivatives | $61,778 | $8,027 | |||
[1] | Includes senior securitized commercial mortgage loans of a consolidated VIE carried at fair value of $1.4 billion and $0 at March 31, 2015 and December 31, 2014, respectively. | ||||
[2] | Includes securitized debt of a consolidated VIE carried at fair value of $1.3 billion and $0 at March 31, 2015 and December 31, 2014, respectively. | ||||
[3] | Derived from the audited consolidated financial statements at December 31, 2014. |
Repurchase_Agreements_Narrativ
Repurchase Agreements - Narrative (Detail) (USD $) | 3 Months Ended | 12 Months Ended | |
Mar. 31, 2015 | Dec. 31, 2014 | ||
Repurchase Agreements: | |||
Repurchase agreements - outstanding | $60,477,378,000 | $71,361,926,000 | [1] |
Repurchase agreements - weighted average borrowing rates | 1.74% | 1.62% | |
Repurchase agreements - weighted average remaining maturities (in days) | 149 days | 141 days | |
Secured financings and interest rate swaps - collateral held, estimated fair value | 64,600,000,000 | 75,400,000,000 | |
Secured financings and interest rate swaps - collateral held, accrued interest | $189,900,000 | $226,600,000 | |
[1] | Derived from the audited consolidated financial statements at December 31, 2014. |
Repurchase_Agreements_Remainin
Repurchase Agreements - Remaining Maturities (Detail) (USD $) | Mar. 31, 2015 | Dec. 31, 2014 | ||
In Thousands, unless otherwise specified | ||||
Repurchase Agreements: | ||||
Repurchase agreements | $60,477,378 | $71,361,926 | [1] | |
Weighted average rate | 0.70% | 0.61% | ||
1 day | ||||
Repurchase Agreements: | ||||
Repurchase agreements | 7,658,440 | |||
Weighted average rate | 0.64% | 0.00% | ||
2 to 29 days | ||||
Repurchase Agreements: | ||||
Repurchase agreements | 16,080,033 | 28,354,167 | ||
Weighted average rate | 0.39% | 0.35% | ||
30 to 59 days | ||||
Repurchase Agreements: | ||||
Repurchase agreements | 7,326,177 | 17,336,469 | ||
Weighted average rate | 0.40% | 0.43% | ||
60 to 89 days | ||||
Repurchase Agreements: | ||||
Repurchase agreements | 9,534,614 | 4,040,677 | ||
Weighted average rate | 0.40% | 0.38% | ||
90 to 119 days | ||||
Repurchase Agreements: | ||||
Repurchase agreements | 4,677,222 | 2,945,495 | ||
Weighted average rate | 0.50% | 0.50% | ||
Over 120 days | ||||
Repurchase Agreements: | ||||
Repurchase agreements | $15,200,892 | [2] | $18,685,118 | [2] |
Weighted average rate | 1.45% | [2] | 1.24% | [2] |
[1] | Derived from the audited consolidated financial statements at December 31, 2014. | |||
[2] | Approximately 18% and 16% of the total repurchase agreements had a remaining maturity over 1 year as of March 31, 2015 and December 31, 2014, respectively. |
Repurchase_Agreements_Remainin1
Repurchase Agreements - Remaining Maturities (Parenthetical) (Detail) | 3 Months Ended | 12 Months Ended |
Mar. 31, 2015 | Dec. 31, 2014 | |
Repurchase Agreements: | ||
Percentage of repurchase agreement | 18.00% | 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 $) | 3 Months Ended | 12 Months Ended | |
In Thousands, unless otherwise specified | Mar. 31, 2015 | Dec. 31, 2014 | |
Repurchase Agreements: | |||
Gross amounts -reverse repurchase agreements | $1,700,000 | $700,000 | |
Amounts offset - reverse repurchase agreement | -1,600,000 | -600,000 | |
Netted amounts -reverse repurchase | 100,000 | 100,000 | [1] |
Gross amounts -repurchase agreement | 62,077,378 | 71,961,926 | |
Amounts offset -repurchase agreement | -1,600,000 | -600,000 | |
Netted amounts -repurchase agreement | $60,477,378 | $71,361,926 | [1] |
[1] | Derived from the audited consolidated financial statements at December 31, 2014. |
Summary_of_Fair_Value_Informat
Summary of Fair Value Information about Derivative Assets and Liabilities (Detail) (USD $) | Mar. 31, 2015 | Dec. 31, 2014 | |
In Thousands, unless otherwise specified | |||
Derivatives, Fair Value [Line Items] | |||
Interest rate swaps, at fair value | $25,908 | $75,225 | [1] |
Other derivatives, at fair value | 113,503 | 5,499 | [1] |
Derivative assets | 139,411 | 80,724 | |
Other derivatives, at fair value | 61,778 | 8,027 | [1] |
Interest rate swaps, at fair value | 2,025,170 | 1,608,286 | [1] |
Derivative liabilities | 2,086,948 | 1,616,313 | |
Future | |||
Derivatives, Fair Value [Line Items] | |||
Other derivatives, at fair value | 117 | ||
Other derivatives, at fair value | 61,778 | 3,769 | |
Interest Rate Swaption | |||
Derivatives, Fair Value [Line Items] | |||
Other derivatives, at fair value | 574 | 5,382 | |
TBA Derivatives | |||
Derivatives, Fair Value [Line Items] | |||
Other derivatives, at fair value | 112,929 | ||
Other derivatives, at fair value | $4,258 | ||
[1] | Derived from the audited consolidated financial statements at December 31, 2014. |
Summary_of_Characteristics_of_
Summary of Characteristics of Interest Rate Swaps (Detail) (Interest Rate Swaps, USD $) | 3 Months Ended | 12 Months Ended | ||
In Thousands, unless otherwise specified | Mar. 31, 2015 | Dec. 31, 2014 | ||
Derivative Instruments: | ||||
Current Notional | $28,059,988 | [1] | $31,461,505 | [1] |
Weighted Average Pay Rate | 2.37% | [2],[3] | 2.49% | [2],[3] |
Weighted Average Receive Rate | 0.35% | [2] | 0.22% | [2] |
Average Years to Maturity | 8 years 1 month 2 days | [2] | 8 years 4 months 17 days | [2] |
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 | 2,852,488 | [1] | 2,502,505 | [1] |
Weighted Average Pay Rate | 1.78% | [2],[3] | 1.63% | [2],[3] |
Weighted Average Receive Rate | 0.18% | [2] | 0.17% | [2] |
Average Years to Maturity | 2 years 5 months 12 days | [2] | 2 years 7 months 21 days | [2] |
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 | 10,463,000 | [1] | 11,138,000 | [1] |
Weighted Average Pay Rate | 1.85% | [2],[3] | 2.06% | [2],[3] |
Weighted Average Receive Rate | 0.41% | [2] | 0.22% | [2] |
Average Years to Maturity | 4 years 11 months 27 days | [2] | 5 years 2 months 5 days | [2] |
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 | 11,110,100 | [1] | 13,069,200 | [1] |
Weighted Average Pay Rate | 2.60% | [2],[3] | 2.67% | [2],[3] |
Weighted Average Receive Rate | 0.37% | [2] | 0.23% | [2] |
Average Years to Maturity | 8 years 7 months 21 days | [2] | 8 years 6 months 26 days | [2] |
Greater than 10 years | ||||
Derivative Instruments: | ||||
Derivative Instruments minimum maturity period | 10 years | 10 years | ||
Current Notional | $3,634,400 | [1] | $4,751,800 | [1] |
Weighted Average Pay Rate | 3.70% | [2],[3] | 3.58% | [2],[3] |
Weighted Average Receive Rate | 0.22% | [2] | 0.20% | [2] |
Average Years to Maturity | 20 years 1 month 13 days | [2] | 19 years 6 months 11 days | [2] |
[1] | Notional amount includes $3.0 billion and $500.0 million in forward starting pay fixed swaps as of March 31, 2015 and December 31, 2014, respectively. | |||
[2] | Excludes forward starting swaps. | |||
[3] | Weighted average fixed rate on forward starting pay fixed swaps was 1.88% and 3.25% as of March 31, 2015 and December 31, 2014, respectively. |
Summary_of_Characteristics_of_1
Summary of Characteristics of Interest Rate Swaps (Parenthetical) (Detail) (Forward Starting Pay Fixed Swaps, USD $) | Mar. 31, 2015 | Dec. 31, 2014 |
In Thousands, unless otherwise specified | ||
Forward Starting Pay Fixed Swaps | ||
Derivative Instruments: | ||
Notional amount | $3,000,000 | $500,000 |
Weighted average fixed rate | 1.88% | 3.25% |
Summary_of_Characteristics_of_2
Summary of Characteristics of Interest Rate Swaptions (Detail) (Interest Rate Swaption, USD $) | 3 Months Ended | 12 Months Ended |
In Thousands, unless otherwise specified | Mar. 31, 2015 | Dec. 31, 2014 |
Long | ||
Derivative Instruments: | ||
Current Underlying Notional | $1,000,000 | $1,750,000 |
Underlying Pay Rate | 2.61% | 2.88% |
Underlying Receive Rate | 3M LIBOR | |
Years to Maturity | 8 years 2 months 9 days | 9 years 2 months 1 day |
Months to Expiration | 2 years 1 month 24 days | 3 years 7 months 2 days |
Short | ||
Derivative Instruments: | ||
Underlying Receive Rate | - |
Summary_of_Characteristics_of_3
Summary of Characteristics of TBA Derivatives (Detail) (TBA Derivatives, USD $) | 3 Months Ended | 12 Months Ended |
In Thousands, unless otherwise specified | Mar. 31, 2015 | Dec. 31, 2014 |
Derivative Instruments: | ||
Notional | $13,750,000 | ($375,000) |
Implied Cost Basis | 14,279,766 | -375,430 |
Implied Market Value | 14,392,695 | -379,688 |
Carrying Value | 112,929 | -4,258 |
Purchase Contracts | ||
Derivative Instruments: | ||
Notional | 13,750,000 | |
Implied Cost Basis | 14,279,766 | |
Implied Market Value | 14,392,695 | |
Carrying Value | 112,929 | |
Sales Contracts | ||
Derivative Instruments: | ||
Notional | -375,000 | |
Implied Cost Basis | -375,430 | |
Implied Market Value | -379,688 | |
Carrying Value | ($4,258) |
Offsetting_of_Derivative_Asset
Offsetting of Derivative Assets and Liabilities (Detail) (USD $) | Mar. 31, 2015 | Dec. 31, 2014 | |
In Thousands, unless otherwise specified | |||
Offsetting Assets [Line Items] | |||
Gross Amounts, Liabilities | $61,778 | $8,027 | [1] |
Future | |||
Offsetting Assets [Line Items] | |||
Gross Amounts, Assets | 117 | ||
Amounts Eligible for Offset -Financial Instruments, Assets | -117 | ||
Amounts Eligible for Offset-Cash Collateral, Assets | 0 | ||
Gross Amounts, Liabilities | 61,778 | 3,769 | |
Amounts Eligible for Offset-Financial Instruments, Liabilities | -117 | ||
Amounts Eligible for Offset -Cash Collateral, Liabilities | -61,778 | ||
Net Amounts, Liabilities | 3,652 | ||
Interest Rate Swaps | |||
Offsetting Assets [Line Items] | |||
Gross Amounts, Assets | 25,908 | 75,225 | |
Amounts Eligible for Offset -Financial Instruments, Assets | -24,782 | -66,180 | |
Amounts Eligible for Offset-Cash Collateral, Assets | 0 | 0 | |
Net Amounts, Assets | 1,126 | 9,045 | |
Gross Amounts, Liabilities | 2,025,170 | 1,608,286 | |
Amounts Eligible for Offset-Financial Instruments, Liabilities | 24,782 | -66,180 | |
Amounts Eligible for Offset -Cash Collateral, Liabilities | -1,111,199 | -869,302 | |
Net Amounts, Liabilities | 889,189 | 672,804 | |
TBA Derivatives | |||
Offsetting Assets [Line Items] | |||
Gross Amounts, Assets | 112,929 | ||
Amounts Eligible for Offset-Cash Collateral, Assets | 0 | ||
Net Amounts, Assets | 112,929 | ||
Gross Amounts, Liabilities | 4,258 | ||
Net Amounts, Liabilities | 4,258 | ||
Interest Rate Swaption | |||
Offsetting Assets [Line Items] | |||
Gross Amounts, Assets | 574 | 5,382 | |
Amounts Eligible for Offset-Cash Collateral, Assets | 0 | 0 | |
Net Amounts, Assets | $574 | $5,382 | |
[1] | Derived from the audited consolidated financial statements at December 31, 2014. |
Derivative_Instruments_Effect_
Derivative Instruments - Effect of Interest Rate Swaps on Consolidated Statements of Comprehensive Income Loss (Detail) (USD $) | 3 Months Ended | |||
In Thousands, unless otherwise specified | Mar. 31, 2015 | Mar. 31, 2014 | ||
Effect of Derivatives on Statement of Operations and Comprehensive Income: | ||||
Realized gains (losses) on interest rate swaps | ($158,239) | [1],[2] | ($260,435) | [1],[2] |
Realized gain (losses) on termination of interest rate swaps | -226,462 | -6,842 | ||
Unrealized gains (losses) on interest rate swaps | ($466,202) | ($348,942) | ||
[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). | |||
[2] | Consists of interest expense on interest rate swaps. |
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 | |||
In Thousands, unless otherwise specified | Mar. 31, 2015 | Mar. 31, 2014 | ||
Derivative Instruments: | ||||
Unrealized Gain (Loss) | ($466,202) | ($348,942) | ||
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Trading Assets | -6,896 | -151,824 | ||
Future | ||||
Derivative Instruments: | ||||
Realized Gain (Loss) | -5,506 | -5,669 | ||
Unrealized Gain (Loss) | -58,126 | -3,048 | ||
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Trading Assets | -63,632 | -8,717 | ||
TBA Derivatives | ||||
Derivative Instruments: | ||||
Realized Gain (Loss) | -55,644 | [1] | -37,837 | [1] |
Unrealized Gain (Loss) | 117,188 | [1] | -11,410 | [1] |
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Trading Assets | 61,544 | [1] | -49,247 | [1] |
Interest Rate Swaption | ||||
Derivative Instruments: | ||||
Realized Gain (Loss) | -21,891 | -40,943 | ||
Unrealized Gain (Loss) | 17,083 | -52,917 | ||
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Trading Assets | ($4,808) | ($93,860) | ||
[1] | Includes options on TBA securities. |
Derivative_Instruments_Narrati
Derivative Instruments - Narrative (Detail) (USD $) | Mar. 31, 2015 |
In Billions, unless otherwise specified | |
Derivative Instruments: | |
Derivative instruments, net liability position, aggregate fair value | $1.90 |
Convertible_Senior_Notes_Narra
Convertible Senior Notes - Narrative (Detail) (USD $) | 3 Months Ended | 0 Months Ended | 1 Months Ended | 12 Months Ended | ||
Mar. 31, 2015 | 31-May-12 | 31-May-12 | Feb. 28, 2015 | Dec. 31, 2010 | Dec. 31, 2014 | |
Convertible Senior Notes: | ||||||
Issued convertible senior notes, aggregate principal amount | $146,670,000 | $146,553,000 | ||||
Repayment of convertible senior notes | 107,541,000 | |||||
Convertible Senior Notes 5.00 Percent Due 2015 | ||||||
Convertible Senior Notes: | ||||||
Issued convertible senior notes, aggregate principal amount | 750,000,000 | 750,000,000 | ||||
Issued convertible senior notes, interest rate | 5.00% | 5.00% | ||||
Issued convertible senior notes, net proceeds following underwriting expenses | 727,500,000 | |||||
Senior debt maturity date | 15-May-15 | |||||
Issued convertible senior notes, frequency of interest payments per year | Semi-annually | |||||
Convertible senior notes convertible into common stock, initial conversion rate, number of shares | 52.7969 | |||||
Convertible senior notes, principal amount applicable for conversion rate | 1,000 | |||||
Convertible senior notes convertible into common stock, initial conversion price | $18.94 | |||||
Convertible senior notes, contingent beneficial conversion feature | 11,700,000 | |||||
Convertible senior notes, unamortized discount | 500,000 | 1,500,000 | ||||
Convertible Senior Notes 4.00 Percent Due 2015 | ||||||
Convertible Senior Notes: | ||||||
Issued convertible senior notes, aggregate principal amount | 600,000,000 | |||||
Senior debt maturity date | 2015-02 | |||||
Issued convertible senior notes, interest rate | 4.00% | |||||
Issued convertible senior notes, net proceeds following underwriting expenses | 582,000,000 | |||||
Repurchase of Convertible senior notes | 492,500,000 | |||||
Repayment of convertible senior notes | $107,500,000 |
Recovered_Sheet4
Common Stock and Preferred Stock - Narrative (Detail) (USD $) | 3 Months Ended | 12 Months Ended | ||
In Thousands, except Share data, unless otherwise specified | Mar. 31, 2015 | Mar. 31, 2014 | Dec. 31, 2014 | |
Class of Stock [Line Items] | ||||
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 | 947,698,431 | 947,643,079 | [1] | |
Common Stock, shares outstanding | 947,698,431 | 947,643,079 | [1] | |
Options exercised under incentive plans, shares | 0 | 0 | ||
Direct purchase and dividend reinvestment program - value raised | $570 | $607 | ||
Direct purchase and dividend reinvestment program - issued shares | 53,000 | 56,000 | ||
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 | Mar-12 | |||
Number of common shares authorized for issuance under the Distribution Agency Agreement | 125,000,000 | 125,000,000 | ||
Common stock - dividend declared | 284,310 | 284,247 | ||
Dividends payable, date to be paid | 30-Apr-15 | 30-Apr-14 | ||
Dividends Declared Per Share of Common Stock | $0.30 | $0.30 | ||
7.875% Series A Cumulative Redeemable Preferred Stock | ||||
Class of Stock [Line Items] | ||||
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] | |
Preferred Stock, par value | $0.01 | $0.01 | ||
Preferred Stock liquidation preference, per share | $25 | $25 | ||
Preferred Stock dividend rate, percentage | 7.88% | 7.88% | ||
Preferred Stock redeemable price, per share | $25 | $25 | ||
Preferred Stock redemption date | 5-Apr-09 | |||
Preferred dividends declared | 3,600 | 3,600 | ||
Preferred series dividends declared, per share | $0.49 | $0.49 | ||
6.00% Series B Cumulative Convertible Preferred Stock | ||||
Class of Stock [Line Items] | ||||
Preferred Stock, shares authorized | 4,600,000 | |||
7.625% Series C Cumulative Redeemable Preferred Stock | ||||
Class of Stock [Line Items] | ||||
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] | |
Preferred Stock, par value | $0.01 | $0.01 | ||
Preferred Stock liquidation preference, per share | $25 | $25 | ||
Preferred Stock dividend rate, percentage | 7.63% | 7.63% | ||
Preferred Stock redeemable price, per share | $25 | $25 | ||
Preferred Stock redemption date | 16-May-17 | |||
Preferred dividends declared | 5,700 | 5,700 | ||
Preferred series dividends declared, per share | $0.48 | $0.48 | ||
7.50% Series D Cumulative Redeemable Preferred Stock | ||||
Class of Stock [Line Items] | ||||
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] | |
Preferred Stock, par value | $0.01 | $0.01 | ||
Preferred Stock liquidation preference, per share | $25 | $25 | ||
Preferred Stock dividend rate, percentage | 7.50% | 7.50% | ||
Preferred Stock redeemable price, per share | $25 | $25 | ||
Preferred Stock redemption date | 13-Sep-17 | |||
Preferred dividends declared | $8,600 | $8,600 | ||
Preferred series dividends declared, per share | $0.47 | $0.47 | ||
[1] | Derived from the audited consolidated financial statements at December 31, 2014. |
Components_of_Companys_Interes
Components of Company's Interest Income and Interest Expense (Detail) (USD $) | 3 Months Ended | |||
In Thousands, unless otherwise specified | Mar. 31, 2015 | Mar. 31, 2014 | ||
Interest income: | ||||
Investment Securities | $478,239 | $614,419 | ||
Commercial investment portfolio | 40,336 | [1] | 39,486 | [1] |
U.S. Treasury securities | 1,329 | |||
Securities loaned | 114 | |||
Reverse repurchase agreements | 539 | 500 | ||
Other | 58 | 53 | ||
Total interest income | 519,172 | 655,901 | ||
Interest expense: | ||||
Repurchase agreements | 102,748 | 103,131 | ||
Convertible Senior Notes | 23,627 | 18,897 | ||
U.S. Treasury securities sold, not yet purchased | 1,076 | |||
Securities borrowed | 95 | |||
Securitized debt of consolidated VIE | 2,882 | 1,611 | ||
Participation sold | 159 | 161 | ||
Other | 4 | |||
Total interest expense | 129,420 | 124,971 | ||
Net interest income | $389,752 | $530,930 | ||
[1] | Includes commercial real estate debt, preferred equity and corporate debt. |
Goodwill_Additional_Informatio
Goodwill - Additional Information (Detail) (USD $) | Mar. 31, 2015 | Dec. 31, 2014 | |
In Thousands, unless otherwise specified | |||
Goodwill and Intangible Assets Disclosure [Line Items] | |||
Goodwill | $94,781 | $94,781 | [1] |
[1] | Derived from the audited consolidated financial statements at December 31, 2014. |
Schedule_of_Net_Income_Loss_Pe
Schedule of Net Income (Loss) Per Share Reconciliation (Detail) (USD $) | 3 Months Ended | |
In Thousands, except Share data, unless otherwise specified | Mar. 31, 2015 | Mar. 31, 2014 |
Net Income Per Common Share: | ||
Net income (loss) attributable to Annaly | ($476,409) | ($203,351) |
Less: Preferred stock dividends | 17,992 | 17,992 |
Net income (loss) per share available (related) to common stockholders, prior to adjustment for dilutive potential common shares, if necessary | -494,401 | -221,343 |
Add: Interest on Convertible Senior Notes, if dilutive | 0 | 0 |
Net income (loss) available to common stockholders, as adjusted | -494,401 | -221,343 |
Weighted average shares of common stock outstanding-basic | 947,669,831 | 947,458,813 |
Add: Effect of stock awards and Convertible Senior Notes, if dilutive | 0 | 0 |
Weighted average shares of common stock outstanding-diluted | 947,669,831 | 947,458,813 |
Net income (loss) per share available (related) to common share: | ||
Basic | ($0.52) | ($0.23) |
Diluted | ($0.52) | ($0.23) |
Parent | ||
Net Income Per Common Share: | ||
Net income (loss) attributable to Annaly | ($476,409) | ($203,351) |
Net_Income_Per_Common_Share_Na
Net Income Per Common Share - Narrative (Detail) | 3 Months Ended | |
In Millions, unless otherwise specified | Mar. 31, 2015 | Mar. 31, 2014 |
Net Income Per Common Share: | ||
Options to purchase common stock outstanding that would be considered anti-dilutive | 2.3 | 3.2 |
LongTerm_Stock_Incentive_Plans
Long-Term Stock Incentive Plans - Narrative (Detail) (USD $) | 3 Months Ended | |
Mar. 31, 2015 | Mar. 31, 2014 | |
Long-Term Stock Incentive Plans: | ||
Weighted average remaining contractual term of stock options outstanding, years | 2 years 9 months 18 days | 3 years 6 months |
Weighted average remaining contractual term of stock options exercisable, years | 2 years 9 months 18 days | 3 years 6 months |
Unrecognized compensation cost | $0 | $0 |
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 | |
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 |
Issued_and_Outstanding_Stock_O
Issued and Outstanding Stock Options (Detail) (USD $) | 3 Months Ended | |
Mar. 31, 2015 | Mar. 31, 2014 | |
Long-Term Stock Incentive Plans: | ||
Options outstanding at the beginning of period | 2,259,335 | 3,581,752 |
Granted | 0 | 0 |
Exercised | 0 | 0 |
Forfeited | -8,799 | -353,417 |
Expired | 0 | 0 |
Options outstanding at the end of period | 2,250,536 | 3,228,335 |
Options exercisable at the end of the period | 2,250,536 | 3,228,335 |
Options outstanding at the beginning of period, weighted average exercise price | $15.35 | $15.44 |
Granted | $0 | $0 |
Exercised | $0 | $0 |
Forfeited | $14.80 | $14.94 |
Expired | $0 | $0 |
Options outstanding at the end of period, weighted average exercise price | $15.35 | $15.49 |
Options exercisable at the end of the period, exercise price | $15.35 | $15.49 |
Income_Taxes_Narrative_Detail
Income Taxes - Narrative (Detail) (USD $) | 3 Months Ended | |
In Thousands, unless otherwise specified | Mar. 31, 2015 | Mar. 31, 2014 |
Income Taxes: | ||
Income tax expense for income and the portion of earnings retained based on Section 162(m) limitations | $4,000 | |
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 | 14 |
Recovered_Sheet5
Lease Commitments And Contingencies - Narrative (Detail) (USD $) | 3 Months Ended | |
In Millions, unless otherwise specified | Mar. 31, 2015 | Mar. 31, 2014 |
Lease Commitments and Contingencies: | ||
Aggregate future net minimum lease payments | $37.40 | |
Lease expense | $0.60 | $0.40 |
Recovered_Sheet6
Lease Commitments And Contingencies (Detail) (USD $) | Mar. 31, 2015 |
In Thousands, unless otherwise specified | |
Lease Commitments and Contingencies: | |
Lease Commitment - 2015 remaining | $1,159 |
Lease Commitment - 2016 | 3,591 |
Lease Commitment - 2017 | 3,565 |
Lease Commitment - 2018 | 3,565 |
Lease Commitment - 2019 | 3,565 |
Lease Commitment - Later years | 21,994 |
Aggregate future minimum lease payments | $37,439 |
RCap_Regulatory_Requirements_N
RCap Regulatory Requirements - Narrative (Detail) (USD $) | Mar. 31, 2015 |
In Millions, unless otherwise specified | |
RCAP Regulatory Requirements: | |
Minimum net capital requirement | $0.30 |
Regulatory net capital | 399.9 |
Regulatory net capital, excess net capital | $399.60 |
Related_Party_Transactions_Det
Related Party Transactions (Detail) (USD $) | 3 Months Ended | 12 Months Ended | 3 Months Ended | 0 Months Ended | ||
Share data in Millions, unless otherwise specified | Mar. 31, 2015 | Dec. 31, 2014 | Mar. 31, 2014 | Nov. 05, 2014 | Aug. 31, 2014 | |
Effective date | 8-Aug-14 | |||||
Management fee percentage | 75.00% | |||||
Receivable for advisory and service fees, from affiliates | $10,268,000 | $10,402,000 | [1] | |||
Maximum | ||||||
Management fee percentage | 120.00% | |||||
Chimera | ||||||
Investments with affiliate, available-for-sale equity securities - shares | 45 | 45 | ||||
Investments with affiliate, available-for-sale equity securities - fair value | 141,200,000 | 143,000,000 | ||||
Investments with affiliate, available-for-sale equity securities - unrealized gains | 2,400,000 | 4,200,000 | ||||
Advisory fees from affiliate | 10,500,000 | |||||
Receivable for advisory and service fees, from affiliates | 10,300,000 | 10,400,000 | ||||
Chimera and CreXus | ||||||
Advisory fees from affiliate | $6,100,000 | |||||
Amendment Agreement | ||||||
Basis for management fee | Amount equal to 1/12th of 1.05% of stockholders' equity, | |||||
Management Agreement, term | 2 years | |||||
Term of management agreement expiration date | 31-Dec-16 | |||||
Renewal term | 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 elect to terminate the agreement in their sole discretion and for any or no reason. | |||||
Amendment Agreement | Minimum | ||||||
Management agreement, required period to terminate from the date of the notice | 1 year | |||||
[1] | Derived from the audited consolidated financial statements at December 31, 2014. |