Document and Entity Information
Document and Entity Information - shares | 6 Months Ended | |
Jun. 30, 2015 | Jul. 31, 2015 | |
Document Information [Line Items] | ||
Document Type | 10-Q | |
Amendment Flag | false | |
Document Period End Date | Jun. 30, 2015 | |
Document Fiscal Year Focus | 2,015 | |
Document Fiscal Period Focus | Q2 | |
Trading Symbol | NLY | |
Entity Registrant Name | ANNALY CAPITAL MANAGEMENT INC | |
Entity Central Index Key | 1,043,219 | |
Current Fiscal Year End Date | --12-31 | |
Entity Filer Category | Large Accelerated Filer | |
Entity Common Stock, Shares Outstanding | 947,778,980 |
CONSOLIDATED STATEMENTS OF FINA
CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION - Entity [Domain] - USD ($) $ in Thousands | Jun. 30, 2015 | Dec. 31, 2014 | ||
ASSETS | ||||
Cash and cash equivalents (including cash pledged as collateral of $1,412,141 and $1,584,701, respectively) | $ 1,785,158 | $ 1,741,244 | [1] | |
Reverse repurchase agreements | [1] | 100,000 | ||
Investments, at fair value: | ||||
Agency mortgage-backed securities (including pledged assets of $60,926,741 and $74,006,480, respectively) | 67,605,287 | 81,565,256 | [1] | |
Agency debentures (including pledged assets of $95,239 and $1,368,350, respectively) | 429,845 | 1,368,350 | [1] | |
Agency CRT securities | 214,130 | |||
Commercial real estate debt investments (including pledged assets of $2,812,824 and $0, respectively) | [2] | 2,812,824 | ||
Investment in affiliate | 123,343 | 143,045 | [1] | |
Commercial real estate debt and preferred equity, held for investment (including pledged assets of $179,300 and $0, respectively) | [3] | 1,332,955 | 1,518,165 | [1] |
Investments in commercial real estate | 216,800 | 210,032 | [1] | |
Corporate debt | 311,640 | 166,464 | [1] | |
Receivable for investments sold | 247,361 | 1,010,094 | [1] | |
Accrued interest and dividends receivable | 234,006 | 278,489 | [1] | |
Receivable for investment advisory income (including from affiliate of $10,589 and $10,402, respectively) | 10,589 | 10,402 | [1] | |
Goodwill | 71,815 | 94,781 | [1] | |
Interest rate swaps, at fair value | 30,259 | 75,225 | [1] | |
Other derivatives, at fair value | 38,074 | 5,499 | [1] | |
Other assets | 81,594 | 68,321 | [1] | |
Total assets | 75,545,680 | 88,355,367 | [1] | |
Liabilities: | ||||
Repurchase Agreements | 57,459,552 | 71,361,926 | [1] | |
Other secured financing | 203,200 | |||
Convertible Senior Notes | [1] | 845,295 | ||
Securitized debt of consolidated VIEs | [4] | 2,610,974 | 260,700 | [1] |
Mortgages payable | 146,359 | 146,553 | [1] | |
Participation sold | 13,490 | 13,693 | [1] | |
Payable for investments purchased | 673,933 | 264,984 | [1] | |
Accrued interest payable | 131,629 | 180,501 | [1] | |
Dividends payable | 284,331 | 284,293 | [1] | |
Interest rate swaps, at fair value | 1,328,729 | 1,608,286 | [1] | |
Other derivatives, at fair value | 40,539 | 8,027 | [1] | |
Accounts payable and other liabilities | 58,139 | 47,328 | [1] | |
Total liabilities | 62,950,875 | 75,021,586 | [1] | |
Stockholders' Equity: | ||||
Common stock, par value $0.01 per share, 1,956,937,500 authorized, 947,768,496 and 947,643,079 issued and outstanding, respectively | 9,478 | 9,476 | [1] | |
Additional paid-in capital | 14,788,677 | 14,786,509 | [1] | |
Accumulated other comprehensive income (loss) | (354,965) | 204,883 | [1] | |
Accumulated deficit | (2,766,250) | (2,585,436) | [1] | |
Total stockholders' equity | 12,589,999 | 13,328,491 | [1] | |
Noncontrolling interest | 4,806 | 5,290 | [1] | |
Total equity | 12,594,805 | 13,333,781 | [1] | |
Total liabilities and equity | 75,545,680 | 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 consolidated VIEs carried at fair value of $2.6 billion and $0 at June 30, 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, at June 30, 2015 and December 31, 2014. | |||
[4] | Includes securitized debt of consolidated VIEs carried at fair value of $2.4 billion and $0 at June 30, 2015 and December 31, 2014, respectively. |
CONSOLIDATED STATEMENTS OF FIN3
CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION (Parenthetical) - Entity [Domain] - USD ($) $ in Thousands | Jun. 30, 2015 | Dec. 31, 2014 | [1] | |
Cash pledged as collateral | $ 1,412,141 | $ 1,584,701 | ||
Agency mortgage-backed securities, pledged assets | 60,926,741 | 74,006,480 | ||
Agency debentures, pledged assets | 95,239 | 1,368,350 | ||
Commercial real estate debt investments, pledged assets | 2,812,824 | 0 | ||
Commercial real estate debt and preferred equity, held for investment, pledged assets | [2] | 179,300 | 0 | |
Receivable for investment advisory income, from affiliates | $ 10,589 | $ 10,402 | ||
Common Stock, par value | $ 0.01 | $ 0.01 | ||
Common Stock, shares authorized | 1,956,937,500 | 1,956,937,500 | ||
Common Stock, shares issued | 947,768,496 | 947,643,079 | ||
Common Stock, shares outstanding | 947,768,496 | 947,643,079 | ||
Senior Secured mortgages of Consolidated VIE, carrying value | $ 361,200 | $ 398,600 | ||
Subordinated Secured mortgages of Consolidated VIE, fair value | 2,600,000 | 0 | ||
Commercial real estate debt and preferred equity, held for investment, allowance for losses | 0 | 0 | ||
Securitized debt of a consolidated VIE | $ 2,610,974 | $ 0 | ||
7.875% Series A Cumulative Redeemable Preferred Stock | ||||
Preferred Stock, shares authorized | 7,412,500 | 7,412,500 | ||
Preferred Stock, shares issued | 7,412,500 | 7,412,500 | ||
Preferred Stock, shares outstanding | 7,412,500 | 7,412,500 | ||
7.625% Series C Cumulative Redeemable Preferred Stock | ||||
Preferred Stock, shares authorized | 12,650,000 | 12,650,000 | ||
Preferred Stock, shares issued | 12,000,000 | 12,000,000 | ||
Preferred Stock, shares outstanding | 12,000,000 | 12,000,000 | ||
7.50% Series D Cumulative Redeemable Preferred Stock | ||||
Preferred Stock, shares authorized | 18,400,000 | 18,400,000 | ||
Preferred Stock, shares issued | 18,400,000 | 18,400,000 | ||
Preferred Stock, shares outstanding | 18,400,000 | 18,400,000 | ||
[1] | Derived from the audited consolidated financial statements at December 31, 2014. | |||
[2] | Includes senior securitized commercial mortgage loans of consolidated VIEs carried at fair value of $2.6 billion and $0 at June 30, 2015 and December 31, 2014, respectively. |
CONSOLIDATED STATEMENTS OF COMP
CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS) - Entity [Domain] - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | ||
Net interest income: | |||||
Interest income | $ 624,346 | $ 683,962 | $ 1,143,518 | $ 1,339,863 | |
Interest expense | 113,072 | 126,107 | 242,492 | 251,078 | |
Net interest income | 511,274 | 557,855 | 901,026 | 1,088,785 | |
Realized and unrealized gains (losses): | |||||
Realized gains (losses) on interest rate swaps | [1],[2] | (144,465) | (220,934) | (302,704) | (481,369) |
Realized gains (losses) on termination of interest rate swaps | (772,491) | (226,462) | (779,333) | ||
Unrealized gains (losses) on interest rate swaps | 700,792 | 175,062 | 234,590 | (173,880) | |
Subtotal | 556,327 | (818,363) | (294,576) | (1,434,582) | |
Net gains (losses) on disposal of investments | 3,833 | 5,893 | 66,189 | 85,603 | |
Net gains (losses) on trading assets | (114,230) | (46,489) | (121,136) | (192,717) | |
Net unrealized gains (losses) on financial instruments measured at fair value through earnings | 17,581 | 2,085 | (15,965) | (18,708) | |
Impairment of goodwill | (22,966) | (22,966) | |||
Subtotal | (115,782) | (38,511) | (93,878) | (125,822) | |
Total realized and unrealized gains (losses) | 440,545 | (856,874) | (388,454) | (1,560,404) | |
Other income (loss): | |||||
Investment advisory income | 10,604 | 6,109 | 21,068 | 12,232 | |
Dividend income from affiliate | 4,318 | 4,048 | 8,636 | 17,093 | |
Other income (loss) | (22,344) | 4,687 | (23,426) | 6,147 | |
Total other income (loss) | (7,422) | 14,844 | 6,278 | 35,472 | |
General and administrative expenses: | |||||
Compensation and management fee | 37,014 | 39,277 | 75,643 | 77,798 | |
Other general and administrative expenses | 14,995 | 12,912 | 27,304 | 21,769 | |
Total general and administrative expenses | 52,009 | 52,189 | 102,947 | 99,567 | |
Income (loss) before income taxes | 892,388 | (336,364) | 415,903 | (535,714) | |
Income taxes | (7,683) | (852) | (7,669) | 3,149 | |
Net income (loss) | 900,071 | (335,512) | 423,572 | (538,863) | |
Net income (loss) attributable to noncontrolling interest | (149) | (239) | |||
Net income (loss) attributable to Annaly | 900,220 | (335,512) | 423,811 | (538,863) | |
Dividends on preferred stock | 17,992 | 17,992 | 35,984 | 35,984 | |
Net income (loss) available (related) to common stockholders | $ 882,228 | $ (353,504) | $ 387,827 | $ (574,847) | |
Net income (loss) per share available (related) to common stockholders: | |||||
Basic | $ 0.93 | $ (0.37) | $ 0.41 | $ (0.61) | |
Diluted | $ 0.93 | $ (0.37) | $ 0.41 | $ (0.61) | |
Weighted average number of common shares outstanding: | |||||
Basic | 947,731,493 | 947,515,127 | 947,700,832 | 947,487,125 | |
Diluted | 947,929,762 | 947,515,127 | 947,878,958 | 947,487,125 | |
Dividends declared per share of common stock | $ 0.30 | $ 0.30 | $ 0.60 | $ 0.60 | |
Net income (loss) | $ 900,071 | $ (335,512) | $ 423,572 | $ (538,863) | |
Other comprehensive income (loss): | |||||
Unrealized gains (losses) on available-for-sale securities | (1,125,043) | 1,522,126 | (493,571) | 2,263,298 | |
Reclassification adjustment for net (gains) losses included in net income (loss) | (3,921) | (5,903) | (66,277) | (86,621) | |
Other comprehensive income (loss) | (1,128,964) | 1,516,223 | (559,848) | 2,176,677 | |
Comprehensive income (loss) | (228,893) | 1,180,711 | (136,276) | 1,637,814 | |
Comprehensive income (loss) attributable to noncontrolling interest | (149) | (239) | |||
Comprehensive income (loss) attributable to Annaly | (228,744) | 1,180,711 | (136,037) | 1,637,814 | |
Dividends on preferred stock | 17,992 | 17,992 | 35,984 | 35,984 | |
Comprehensive income (loss) attributable to common stockholders | $ (246,736) | $ 1,162,719 | $ (172,021) | $ 1,601,830 | |
[1] | Consists of interest expense on interest rate swaps. | ||||
[2] | Interest expense related to the Company's interest rate swaps is recorded in Realized gains (losses) on interest rate swaps on the Consolidated Statements of Comprehensive Income (Loss). |
CONSOLIDATED STATEMENTS OF STOC
CONSOLIDATED STATEMENTS OF STOCKHOLDERS' EQUITY - USD ($) $ in Thousands | 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 deficit7.875% Series A Cumulative Redeemable Preferred Stock | Accumulated deficit7.625% Series C Cumulative Redeemable Preferred Stock | Accumulated deficit7.50% Series D Cumulative Redeemable Preferred Stock | Total stockholders' equity | Total stockholders' equity7.875% Series A Cumulative Redeemable Preferred Stock | Total stockholders' equity7.625% Series C Cumulative Redeemable Preferred Stock | Total stockholders' equity7.50% Series D Cumulative Redeemable Preferred Stock | 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 | |
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) | (538,863) | (538,863) | (538,863) | |||||||||||||||||
Unrealized gains (losses) on available-for-sale securities | 2,263,298 | 2,263,298 | 2,263,298 | |||||||||||||||||
Reclassification adjustment for net (gains) losses included in net income (loss) | (86,621) | (86,621) | (86,621) | |||||||||||||||||
Stock compensation expense | 998 | 998 | 998 | |||||||||||||||||
Net proceeds from direct purchase and dividend reinvestment | 1,208 | 1 | 1,207 | 1,208 | ||||||||||||||||
Contingent beneficial conversion feature on 4% Convertible Senior Notes | 8,336 | 8,336 | 8,336 | |||||||||||||||||
Preferred dividends declared | $ (7,296) | $ (11,438) | $ (17,250) | $ (7,296) | $ (11,438) | $ (17,250) | $ (7,296) | $ (11,438) | $ (17,250) | |||||||||||
Common dividends declared, $0.30 per share | (568,508) | (568,508) | (568,508) | |||||||||||||||||
Ending balance at Jun. 30, 2014 | 13,448,919 | 9,475 | 14,776,302 | (572,256) | (1,677,661) | 13,448,919 | 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) | 423,811 | 423,811 | 423,811 | |||||||||||||||||
Net income (loss) attributable to noncontrolling interest | (239) | (239) | ||||||||||||||||||
Net income (loss) attributable to noncontrolling interest | (239) | (239) | ||||||||||||||||||
Unrealized gains (losses) on available-for-sale securities | (493,571) | (493,571) | (493,571) | |||||||||||||||||
Reclassification adjustment for net (gains) losses included in net income (loss) | (66,277) | (66,277) | (66,277) | |||||||||||||||||
Stock compensation expense | 1,024 | 1,024 | 1,024 | |||||||||||||||||
Net proceeds from direct purchase and dividend reinvestment | 1,146 | 2 | 1,144 | 1,146 | ||||||||||||||||
Equity contributions from (distributions to) noncontrolling interest | (245) | (245) | ||||||||||||||||||
Preferred dividends declared | $ (7,296) | $ (11,438) | $ (17,250) | $ (7,296) | $ (11,438) | $ (17,250) | $ (7,296) | $ (11,438) | $ (17,250) | |||||||||||
Common dividends declared, $0.30 per share | (568,641) | (568,641) | (568,641) | |||||||||||||||||
Ending balance at Jun. 30, 2015 | $ 12,594,805 | $ 9,478 | $ 14,788,677 | $ (354,965) | $ (2,766,250) | $ 12,589,999 | $ 4,806 | $ 177,088 | $ 290,514 | $ 445,457 | ||||||||||
[1] | Derived from the audited consolidated financial statements at December 31, 2014. |
CONSOLIDATED STATEMENTS OF STO6
CONSOLIDATED STATEMENTS OF STOCKHOLDERS' EQUITY (Parenthetical) - $ / shares | 6 Months Ended | |
Jun. 30, 2015 | Jun. 30, 2014 | |
Dividends declared per share of common stock | $ 0.60 | $ 0.60 |
7.875% Series A Cumulative Redeemable Preferred Stock | ||
Preferred series dividends declared, per share | 0.984 | 0.984 |
7.625% Series C Cumulative Redeemable Preferred Stock | ||
Preferred series dividends declared, per share | 0.953 | 0.953 |
7.50% Series D Cumulative Redeemable Preferred Stock | ||
Preferred series dividends declared, per share | $ 0.938 | $ 0.938 |
CONSOLIDATED STATEMENTS OF CASH
CONSOLIDATED STATEMENTS OF CASH FLOWS - Entity [Domain] - USD ($) $ in Thousands | 6 Months Ended | ||
Jun. 30, 2015 | Jun. 30, 2014 | ||
Cash flows from operating activities: | |||
Net income (loss) | $ 423,572 | $ (538,863) | |
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | |||
Amortization of Investment Securities premiums and discounts, net | 378,814 | 268,629 | |
Amortization of commercial real estate investment premiums and discounts, net | (581) | 391 | |
Amortization of intangibles | 3,586 | 228 | |
Amortization of deferred financing costs | 4,561 | 5,460 | |
Amortization of net origination fees and costs, net | (2,350) | (2,090) | |
Amortization of contingent beneficial conversion feature and equity component of Convertible Senior Notes | 12,246 | 14,241 | |
Depreciation expense | 5,687 | 736 | |
Net gain on sale of commercial real estate | (2,748) | ||
Net loss on sale of commercial real estate debt held for investment | 100 | ||
Net (gains) losses on sales of Investment Securities | (66,289) | (86,621) | |
Stock compensation expense | 1,024 | 998 | |
Impairment of goodwill | 22,966 | ||
Unrealized (gains) losses on interest rate swaps | (234,590) | 173,880 | |
Net unrealized (gains) losses on financial instruments measured at fair value through earnings | 15,965 | 18,708 | |
Net (gains) losses on trading assets | 121,136 | 192,717 | |
Proceeds from repurchase agreements of RCap | 895,400,000 | 531,215,774 | |
Payments on repurchase agreements of RCap | (900,650,000) | (524,667,907) | |
Proceeds from reverse repurchase agreements | 26,925,000 | 55,923,453 | |
Payments on reverse repurchase agreements | (26,825,000) | (55,823,453) | |
Proceeds from securities borrowed | 23,888,955 | ||
Payments on securities borrowed | (21,306,062) | ||
Proceeds from securities loaned | 41,939,298 | ||
Payments on securities loaned | (44,466,959) | ||
Proceeds from U.S. Treasury securities | 3,159,253 | ||
Payments on U.S. Treasury securities | (3,920,425) | ||
Net payments on derivatives | (116,122) | (92,716) | |
Net change in: | |||
Due to / from brokers | 8,596 | ||
Other assets | (15,686) | (9,444) | |
Accrued interest and dividends receivable | 45,897 | (25,419) | |
Receivable for investment advisory income | (187) | 459 | |
Accrued interest payable | (48,857) | 12,170 | |
Accounts payable and other liabilities | 13,952 | (3,925) | |
Net cash provided by (used in) operating activities | (4,585,156) | 5,877,314 | |
Cash flows from investing activities: | |||
Payments on purchases of Investment Securities | (8,638,138) | (21,722,521) | |
Proceeds from sales of Investment Securities | 18,278,224 | 11,375,718 | |
Principal payments on Agency mortgage-backed securities | 5,342,053 | 3,570,508 | |
Payments on purchases of corporate debt | (187,035) | (69,748) | |
Principal payments on corporate debt | 42,352 | 36,429 | |
Purchases of commercial real estate debt investments | (276,918) | ||
Sales of commercial real estate debt investments | 41,016 | ||
Purchase of securitized loans at fair value | (2,574,353) | ||
Origination of commercial real estate investments, net | (180,531) | (172,120) | |
Proceeds from sale of commercial real estate investments | 46,806 | ||
Principal payments on commercial real estate debt investments | 1,616 | ||
Proceeds from sales of commercial real estate held for sale | 26,019 | ||
Principal payments on commercial real estate investments | 321,050 | 171,190 | |
Purchase of investments in real estate | (121) | (36,743) | |
Investment in unconsolidated joint venture | (12,410) | ||
Purchase of equity securities | (8,130) | (200) | |
Net cash provided by (used in) investing activities | 12,195,481 | (6,821,468) | |
Cash flows from financing activities: | |||
Proceeds from repurchase agreements | 105,819,378 | 98,482,785 | |
Principal payments on repurchase agreements | (114,471,752) | (96,439,435) | |
Payments on maturity of convertible senior notes | (857,541) | ||
Proceeds from other secured financing | 203,200 | 5,000 | |
Proceeds from issuance of securitized debt | 2,382,810 | 260,700 | |
Principal repayments on securitized debt | (37,915) | ||
Principal repayments on securitized loans | 50 | ||
Payment of deferred financing cost | (641) | (4,288) | |
Net proceeds from direct purchases and dividend reinvestments | 1,144 | 1,208 | |
Proceeds from mortgages payable | 11,025 | ||
Principal payments on participation sold | (147) | (139) | |
Principal payments on mortgages payable | (165) | (11) | |
Distributions to noncontrolling interests | (245) | ||
Dividends paid | (604,587) | (604,461) | |
Net cash provided by (used in) financing activities | (7,566,411) | 1,712,384 | |
Net (decrease) increase in cash and cash equivalents | 43,914 | 768,230 | |
Cash and cash equivalents, beginning of period | 1,741,244 | [1] | 552,436 |
Cash and cash equivalents, end of period | 1,785,158 | 1,320,666 | |
Supplemental disclosure of cash flow information: | |||
Interest received | 1,541,718 | 1,617,804 | |
Dividends received | 8,366 | 17,093 | |
Investment advisory income received | 20,881 | 12,691 | |
Interest paid (excluding interest paid on interest rate swaps) | 218,272 | 267,103 | |
Net interest paid on interest rate swaps | 305,327 | 479,006 | |
Taxes paid | 1,901 | 5,061 | |
Noncash investing activities: | |||
Receivable for investments sold | 247,361 | 856,983 | |
Payable for investments purchased | 673,933 | 781,227 | |
Net change in unrealized gains (losses) on available-for-sale securities, net of reclassification adjustment | (559,848) | 2,176,677 | |
Noncash financing activities: | |||
Dividends declared, not yet paid | $ 284,331 | 284,261 | |
Convertible Senior Notes 5.00 Percent Due 2015 | |||
Noncash financing activities: | |||
Contingent beneficial conversion feature on 4% Convertible Senior Notes | $ 8,336 | ||
[1] | Derived from the audited consolidated financial statements at December 31, 2014. |
DESCRIPTION OF BUSINESS
DESCRIPTION OF BUSINESS | 6 Months Ended |
Jun. 30, 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, Agency credit risk transfer (“CRT”) securities, 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 | 6 Months Ended |
Jun. 30, 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 POLICIES
SIGNIFICANT ACCOUNTING POLICIES | 6 Months Ended |
Jun. 30, 2015 | |
SIGNIFICANT ACCOUNTING POLICIES | 3. SIGNIFICANT ACCOUNTING POLICIES Principles of 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 . 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 Fair Value Measurements Revenue Recognition – Agency Mortgage-Backed Securities, Agency Debentures and Agency Credit Risk Transfer Securities 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 classified as available-for-sale and 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. The Company changed its accounting policy for determining the realized gains and losses on sales of Investment Securities from the average cost method to the specific identification method. The Company determined that the specific identification method was preferable because it more accurately matches gains or losses with costs and is the methodology predominantly used by its industry peers, among other considerations. The impact of the change was immaterial to the consolidated financial statements and prior periods. The Company elected the fair value option for Agency interest-only mortgage-backed securities and certain Agency CRT 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 and certain Agency CRT securities are measured at fair value with changes in fair value recorded as Net unrealized gains (losses) on financial instruments measured at fair value through earnings 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 Equity Securities Derivative Instruments – Derivatives and Hedging 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 swaptions - The fair value of interest rate swaptions is estimated using internal pricing models and compared to the counterparty market value. TBA Dollar Rolls - MBS Options – Futures Contracts assets in the Consolidated Statements of Comprehensive Income (Loss). Other-Than-Temporary Impairment Loan Loss Reserves – Repurchase Agreements Transfers and Servicing 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 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 – Stock Based Compensation compensation expense on a straight-line basis over the requisite service period for the entire award. Income Taxes The provisions of ASC 740, Income Taxes Use of Estimates Commercial Real Estate Investments Commercial Real Estate Loans fair value option for multi-family mortgage loans held in securitization trusts 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 Allowance for Losses Loans and Debt Securities Acquired with Deteriorated Credit Quality 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 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. 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 - 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 – Securities Borrowed and Loaned Transactions – U.S. Treasury Securities Derivatives 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 -10, Technical Corrections and Improvements This perpetual project updates the Codification for technical corrections and improvements. January 1, 2016 (early adoption permitted) for amendments subject to the transition guidance Not expected to have a significant impact on the consolidated financial statements. ASU 2015-07, Fair Value Measurement (Topic 820): Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Share (or Its Equivalent) This update removes the requirement to categorize within the fair value hierarchy all investments for which fair value is measured using the net asset value per share practical expedient and also removes certain disclosure requirements for these investments. January 1, 2016 (early adoption permitted) Not expected to have an impact on the consolidated financial statements. 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. January 1, 2016 (early adoption permitted) 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. January 1, 2016 (early adoption permitted) 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 2015-08, Business Combinations Topic 805 Pushdown Accounting Amendments to SEC Paragraphs Pursuant to Staff Accounting Bulletin No. 115 This update amends the codification for SEC Staff Bulletin No. 115 November 18, 2014 Did not have an impact on the consolidated financial statements. 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. November 18, 2014 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 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. April 1, 2015 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 January 1, 2015 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 January 1, 2014 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. January 1, 2014 Did not have a significant impact on the consolidated financial statements. |
AGENCY MORTGAGE-BACKED SECURITI
AGENCY MORTGAGE-BACKED SECURITIES | 6 Months Ended |
Jun. 30, 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 June 30, 2015 and December 31, 2014, which were carried at their fair value: June 30, 2015 Freddie Mac Fannie Mae Ginnie Mae Total (dollars in thousands) Principal outstanding $ 23,711,840 $ 39,327,716 $ 88,764 $ 63,128,320 Unamortized premium 1,929,740 2,888,081 18,623 4,836,444 Unamortized discount (6,475 ) (6,946 ) (351 ) (13,772 ) Amortized cost 25,635,105 42,208,851 107,036 67,950,992 Gross unrealized gains 205,399 439,909 6,763 652,071 Gross unrealized losses (429,729 ) (564,527 ) (3,520 ) (997,776 ) Estimated fair value $ 25,410,775 $ 42,084,233 $ 110,279 $ 67,605,287 Fixed Rate Adjustable Rate Total (dollars in thousands) Amortized cost $ 64,478,692 $ 3,472,300 $ 67,950,992 Gross unrealized gains 538,926 113,145 652,071 Gross unrealized losses (971,629 ) (26,147 ) (997,776 ) Estimated fair value $ 64,045,989 $ 3,559,298 $ 67,605,287 December 31, 2014 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 June 30, 2015 and December 31, 2014, according to their estimated weighted average life classifications: June 30, 2015 December 31, 2014 Weighted Average Life Estimated Fair Value Amortized Cost Estimated Fair Value Amortized Cost (dollars in thousands) Less than one year $ 14,192 $ 14,747 $ 43,248 $ 42,831 Greater than one year through five years 21,034,470 20,688,236 42,222,114 41,908,586 Greater than five years through ten years 46,141,855 46,850,242 39,018,833 39,098,352 Greater than ten years 414,770 397,767 281,061 283,756 Total $ 67,605,287 $ 67,950,992 $ 81,565,256 $ 81,333,525 The weighted average lives of the Agency mortgage-backed securities at June 30, 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 June 30, 2015 and December 31, 2014. June 30, 2015 December 31, 2014 Estimated Fair Value Gross Unrealized Losses Number of Securities Estimated Fair Value Gross Unrealized Losses Number of Securities (dollars in thousands) Less than 12 Months 17,000,465 (168,223 ) 515 4,613,599 (36,959 ) 205 12 Months or More 23,601,763 (829,553 ) 234 35,175,194 (713,311 ) 302 Total 40,602,228 (997,776 ) 749 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 and six months ended June 30, 2015, the Company disposed of $2.0 billion and $16.5 billion of Agency mortgage-backed securities, respectively, resulting in a net realized gain of $6.3 million and $71.6, respectively. During the quarter and six months ended June 30, 2014, the Company disposed of $4.9 billion and $9.2 billion of Agency mortgage-backed securities, respectively, resulting in a net realized gain of $41.5 million and $171.1 million, respectively. The specific identification method 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 June 30, 2015 and December 31, 2014 had net unrealized gains (losses) of $(22.7) million and $(8.0) million and an amortized cost of $1.4 billion and $1.2 billion, respectively. |
COMMERCIAL REAL ESTATE INVESTME
COMMERCIAL REAL ESTATE INVESTMENTS | 6 Months Ended |
Jun. 30, 2015 | |
COMMERCIAL REAL ESTATE INVESTMENTS | 5. COMMERCIAL REAL ESTATE INVESTMENTS At June 30, 2015 and December 31, 2014, commercial real estate investments held for investment were composed of the following: CRE Debt and Preferred Equity Investments June 30, 2015 December 31, 2014 Outstanding Principal Carrying Value (1) Percentage of Loan Portfolio (2) Outstanding Principal Carrying Value (1) Percentage of Loan Portfolio (2) (dollars in thousands) Senior mortgages 262,546 261,684 19.6 % 384,304 383,895 25.2 % Senior securitized mortgages (3) 361,672 361,215 27.1 % 399,541 398,634 26.3 % Mezzanine loans 498,273 498,332 37.3 % 522,474 522,731 34.4 % Preferred equity 213,213 211,724 16.0 % 214,653 212,905 14.1 % Total $ 1,335,704 $ 1,332,955 100.0 % $ 1,520,972 $ 1,518,165 100.0 % (1) (2) (3) June 30, 2015 Senior Mortgages Senior Securitized Mortgages (1) Mezzanine Loans Preferred Equity Total (dollars in thousands) Beginning balance $ 383,895 $ 398,634 $ 522,731 $ 212,905 $ 1,518,165 Originations & advances (principal) 156,035 - 27,392 - 183,427 Principal payments (230,147 ) (37,869 ) (51,592 ) (1,441 ) (321,049 ) Sales (principal) (46,945 ) - - - (46,945 ) Amortization & accretion of (premium) discounts (72 ) - (108 ) 50 (130 ) Net (increase) decrease in origination fees (2,660 ) - (236 ) - (2,896 ) Amortization of net origination fees 1,578 450 145 210 2,383 Transfers - - - - - Allowance for loan losses - - - - - Net carrying value $ 261,684 $ 361,215 $ 498,332 $ 211,724 $ 1,332,955 (1) December 31, 2014 Senior Mortgages Senior Securitized Mortgages (1) Subordinate Notes Mezzanine Loans Preferred Equity Total (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) Internal CRE Debt and Preferred Equity Investment Ratings June 30, 2015 Internal Ratings Investment Type Outstanding Principal Percentage of CRE Debt and Preferred Equity Portfolio Performing Watch List Defaulted-Recovery (2) Impaired (dollars in thousands) Senior mortgages $ 262,546 19.6 % $ 249,573 $ - $ 12,973 $ - Senior securitized mortgages (1) 361,672 27.1 % 352,422 9,250 - - Mezzanine loans 498,273 37.3 % 498,273 - - - Preferred equity 213,213 16.0 % 162,213 51,000 (3) - - $ 1,335,704 100.0 % $ 1,262,481 $ 60,250 $ 12,973 $ - (1) (2) (3) December 31, 2014 Internal Ratings Investment Type Outstanding Principal Percentage of CRE Debt and Preferred Equity Portfolio Performing Watch List Defaulted-Recovery (2) Impaired (dollars in thousands) Senior mortgages $ 384,304 25.2 % $ 371,331 $ - $ 12,973 $ - Senior securitized mortgages (1) 399,541 26.3 % 390,291 9,250 - - Mezzanine loans 522,474 34.4 % 522,474 - - - Preferred equity 214,653 14.1 % 214,653 - - - $ 1,520,972 100.0 % $ 1,498,749 $ 9,250 $ 12,973 $ - (1) (2) 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. Refer to Equity Method Investments below for details related to real estate investment activity during the quarter ended June 30, 2015. The following table summarizes acquisitions of real estate held for investment in 2014: Date of Acquisition Type Location Purchase Price Remaining Lease Term (Years) (1) (dollars in thousands) April 2014 Single-tenant retail Tennessee $ 19,000 8 June 2014 Multi-tenant retail Virginia $ 17,743 7 November 2014 Multi-tenant retail New York, Ohio, Georgia $ 154,000 4.6 The aforementioned acquisitions were accounted for using the acquisition method of accounting. No additional real estate acquisition costs were expensed during the period ended June 30, 2015. The following table presents the aggregate final allocation of the purchase price: Tennessee Virginia Joint Venture Total (dollars in thousands) Purchase Price Allocation: Land $ 3,503 $ 6,394 $ 21,441 $ 31,338 Buildings 11,960 10,862 97,680 120,502 Site improvements 1,349 1,184 12,705 15,238 Tenant Improvements - - 9,365 9,365 Real estate held for investment 16,812 18,440 141,191 176,443 Intangible assets (liabilities): Leasehold intangible assets 4,288 3,218 22,297 29,803 Above market lease - - 5,458 5,458 Below market lease value (2,100 ) (3,915 ) (14,946 ) (20,961 ) 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 Condition. The fair value of the 10% non-controlling interest in 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. During June 2015 the purchase price allocation related to the joint venture was finalized resulting in a net increase to amortization and depreciation expense of $1.3 million during the quarter ended June 30, 2015. Total Commercial Real Estate Investments June 30, 2015 December 31, 2014 (dollars in thousands) Real estate held for investment, at amortized cost Land $ 37,977 $ 38,117 Buildings and improvements 176,324 176,139 Subtotal 214,301 214,256 Less: accumulated depreciation (9,911 ) (4,224 ) Total real estate held for investment, at amortized cost, net 204,390 210,032 Equity in unconsolidated joint venture 12,410 - Total investment in commercial real estate, net 216,800 210,032 Net carrying value of CRE Debt and Preferred Equity Investments 1,332,955 1,518,165 Total commercial real estate investments $ 1,549,755 $ 1,728,197 Depreciation expense was $2.9 million and $5.7 million for the quarter and six months ended June 30, 2015, respectively. Depreciation expense was $0.4 million and $0.7 million for the quarter and six months ended June 30, 2014, respectively. Depreciation expense 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 June 30, 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 June 30, 2015 for the consolidated properties, including consolidated joint venture properties are as follows (in thousands): June 30, 2015 (dollars in thousands) 2015 (remaining) $ 10,346 2016 18,784 2017 16,055 2018 13,695 2019 11,375 Later years 50,702 $ 120,957 Mortgage loans payable as of June 30, 2015 and December 31, 2014, were as follows: June 30, 2015 Property Mortgage Carrying Value Mortgage Principal Interest Rate Fixed/Floating Rate Maturity Date Priority (dollars in thousands) Joint Venture $ 103,950 $ 103,950 4.03 % Fixed 12/6/2024 First liens Tennessee 12,350 12,350 4.01 % Fixed 6/6/2019 First liens Virginia 11,025 11,025 3.58 % Fixed 9/6/2019 First liens Arizona 16,552 16,495 3.50 % Fixed 1/1/2017 First liens Nevada 2,482 2,471 3.45 % Floating (1) 3/29/2017 First liens $ 146,359 $ 146,291 (1) Rate is fixed via an interest rate swap (pay fixed 3.45%, receive floating rate of L+200). December 31, 2014 Property Mortgage Carrying Value Mortgage Principal Interest Rate Fixed/Floating Rate Maturity Date Priority (dollars in thousands) Joint Venture $ 103,950 $ 103,950 4.03 % Fixed 12/6/2024 First liens Tennessee 12,350 12,350 4.01 % Fixed 6/6/2019 First liens Virginia 11,025 11,025 3.58 % Fixed 9/6/2019 First liens Arizona 16,709 16,600 3.50 % Fixed 1/1/2017 First liens Nevada 2,519 2,505 3.45 % Floating (1) 3/29/2017 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 June 30, 2015: Mortgage Loan Principal Payments (dollars in thousands) 2015 (remaining) $ 228 2016 400 2017 18,338 2018 - 2019 23,375 Later years 103,950 $ 146,291 Equity Method Investments In May 2015, the Company acquired a multifamily property located in Florida through a joint venture partnership and contributed approximately $12 million of capital. The Company has a seventy-five percent interest in the joint venture, but as all major decisions require unanimous consent by the joint venture partners, the Company is not considered to have a controlling financial interest and accounts for its investment under the equity method of accounting. 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 used 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 June 30, 2015 the carrying value of the Trust’s assets was $361.2 million, net of $0.5 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 June 30, 2015, the carrying value of the Trust’s liabilities was $222.8 million, classified as Securitized debt of consolidated VIE’s in the accompanying Consolidated Statements of Financial Condition. In February 2015, the Company purchased the junior most tranche, Class C Certificate of the Freddie Mac securitization, FREMF Mortgage Trust 2015-KLSF (“FREMF 2015-KLSF”) 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 2015-KLSF Trust’s assets and liabilities of $1.4 billion and $1.3 billion, respectively, at June 30, 2015. In April 2015, the Company purchased the junior most tranche, Class C Certificate of the Freddie Mac securitization, FREMF Mortgage Trust 2015-KF07 (“FREMF 2015-KF07”) for $89.4 million. The underlying portfolio is a pool of 40 floating rate multifamily mortgage loans with a cut-off principal balance of $1.2 billion. The Company was required to consolidate the FREMF 2015-KF07 Trust’s assets and liabilities of $1.2 billion and $1.1 billion, respectively, at June 30, 2015. FREMF 2015-KLSF and FREMF 2015-KF07 are collectively referred to herein as the FREMF Trusts. The FREMF Trusts are structured as pass-through entities that receive principal and interest on the underlying collateral and distribute those payments to the certificate holders. The FREMF Trusts are VIEs and the Company is considered to be 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 VIEs are generally limited to the Company’s investment in the FREMF Trusts of $191.5 million. Assets of the FREMF Trusts may only be used to settle obligations of the FREMF Trusts. Creditors of the FREMF Trusts 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 Trusts. No gain or loss was recognized upon initial consolidation of the FREMF Trusts, but $0.8 million of related costs were expensed. Upon consolidation, the Company elected the fair value option for the financial assets and liabilities of the FREMF Trusts in order to avoid an accounting mismatch, and to more faithfully represent the economics of its interest in the entities. 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 Trusts 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 Trusts are 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 June 30, 2015 follows: June 30, 2015 (dollars in thousands) Senior securitized commercial mortgages carried at fair value $ 2,579,687 Accrued interest receivable 4,672 Total assets $ 2,584,359 Liabilities and equity Securitized debt (non-recourse) at fair value $ 2,388,142 Accrued interest payable 4,062 $ 2,392,204 Equity 192,155 Total liabilities and equity $ 2,584,359 The FREMF Trust mortgage loans had an unpaid principal balance of $2.6 billion, at June 30, 2015. As of June 30, 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 June 30, 2015 based upon the Company’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 June 30, 2015 follows: For the period February 25, 2015 to June 30, 2015 (dollars in thousands) Net interest income: Interest income $ 14,472 Interest expense (4,575 ) Net interest income 9,897 Other income (loss): Unrealized gain (loss) on financial instruments at fair value (1) (5 ) General, administrative, transaction and acquistion expenses 5,904 Other income (loss) 5,899 General and administration expenses 58 Net income $ 3,940 (1) Included in Net unrealized gains (losses) on financial instruments measured at fair value through earnings. The geographic concentrations of credit risk exceeding 5% of the total loan balances related to the FREMF Trusts as of June 30, 2015 follows: Securitized Loans at Fair Value Geographic Concentration of Credit Risk Property Location Principal Balance % of Balance (dollars in thousands) North Carolina $ 537,375 21.0% Texas 749,569 29.4% Ohio 197,455 7.7% Florida 391,291 15.3% |
FAIR VALUE MEASUREMENTS
FAIR VALUE MEASUREMENTS | 6 Months Ended |
Jun. 30, 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 carried at fair value 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 June 30, 2015 (dollars in thousands) Assets: Agency mortgage-backed securities $ - $ 67,605,287 $ - $ 67,605,287 Agency debentures - 429,845 - 429,845 Agency CRT securities - 214,130 - 214,130 Commercial real estate debt investments - 2,812,824 - 2,812,824 Investment in affiliate 123,343 - - 123,343 Interest rate swaps - 30,259 - 30,259 Other derivatives 7,734 30,340 - 38,074 Total assets $ 131,077 $ 71,122,685 $ - $ 71,253,762 Liabilities: Securitized debt of consolidated VIEs $ - $ 2,610,543 $ - $ 2,610,974 Interest rate swaps - 1,328,729 - 1,328,729 Other derivatives 16,162 24,377 - 40,539 Total liabilities $ 16,162 $ 3,964,080 $ - $ 3,980,242 Level 1 Level 2 Level 3 Total December 31, 2014 (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 was 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 June 30, 2015 and December 31, 2014. June 30, 2015 December 31, 2014 Level in Fair Value Hierarchy Carrying Value Fair Value Carrying Value Fair Value Financial assets: (dollars in thousands) Cash and cash equivalents 1 $ 1,785,158 $ 1,785,158 $ 1,741,244 $ 1,741,244 Reverse repurchase agreements 1 - - 100,000 100,000 Agency mortgage-backed securities 2 67,605,287 67,605,287 81,565,256 81,565,256 Agency debentures 2 429,845 429,845 1,368,350 1,368,350 Agency CRT securities 2 214,130 214,130 - - Commercial real estate debt investments, at fair value 2 2,812,824 2,812,824 - - Investment in affiliate 1 123,343 123,343 143,045 143,045 Commercial real estate debt and preferred equity, held for investment 3 1,332,955 1,339,843 1,518,165 1,528,444 Corporate debt 2 311,640 309,709 166,464 166,056 Interest rate swaps 2 30,259 30,259 75,225 75,225 Other derivatives 1,2 38,074 38,074 5,499 5,499 Financial liabilities: Repurchase agreements 1,2 $ 57,459,552 $ 57,639,127 $ 71,361,926 $ 71,587,222 Other secured financing 2 203,200 203,376 - - Convertible Senior Notes 1 - - 845,295 863,470 Securitized debt of consolidated VIEs 2 2,610,974 2,610,974 260,700 262,061 Mortgages payable 2 146,359 147,149 146,553 146,611 Participation sold 3 13,490 13,483 13,693 13,655 Interest rate swaps 2 1,328,729 1,328,729 1,608,286 1,608,286 Other derivatives 1,2 40,539 40,539 8,027 8,027 |
SECURED FINANCING
SECURED FINANCING | 6 Months Ended |
Jun. 30, 2015 | |
SECURED FINANCING | 7. SECURED FINANCING The Company had outstanding $57.5 billion and $71.4 billion of repurchase agreements with weighted average borrowing rates of 1.73% and 1.62%, after giving effect to the Company’s interest rate swaps used to hedge cost of funds, and weighted average remaining maturities of 149 days and 141 days as of June 30, 2015 and December 31, 2014, respectively. At June 30, 2015 and December 31, 2014, the repurchase agreements had the following remaining maturities, collateral types and weighted average rates: June 30, 2015 Repurchase Agreements Collateralized by Agency Mortgage-backed Securities and Debentures Collateralized by Commercial Loans Total Repurchase Agreements Weighted Average Rate (dollars in thousands) 1 day $ 7,150,000 $ - $ 7,150,000 0.82 % 2 to 29 days 16,013,749 - 16,013,749 0.43 % 30 to 59 days 8,157,729 - 8,157,729 0.52 % 60 to 89 days 7,132,012 - 7,132,012 0.42 % 90 to 119 days 1,507,387 - 1,507,387 0.43 % Over 120 days (1) 17,376,675 122,000 17,498,675 1.32 % Total $ 57,337,552 $ 122,000 $ 57,459,552 0.76 % December 31, 2014 Repurchase Agreements Collateralized by Agency Mortgage-backed Securities and Debentures Weighted Average Rate (dollars in thousands) 1 day $ - 0.00 % 2 to 29 days 28,354,167 0.35 % 30 to 59 days 17,336,469 0.43 % 60 to 89 days 4,040,677 0.38 % 90 to 119 days 2,945,495 0.50 % Over 120 days (1) 18,685,118 1.24 % Total $ 71,361,926 0.61 % (1) Approximately 17% and 15% of the total repurchase agreements had a remaining maturity over 1 year as of June 30, 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 June 30, 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. June 30, 2015 December 31, 2014 Reverse Repurchase Agreements Repurchase Agreements Reverse Repurchase Agreements Repurchase Agreements (dollars in thousands) Gross Amounts $ - $ 57,459,552 $ 700,000 $ 71,961,926 Amounts Offset - - (600,000 ) (600,000 ) Netted Amounts $ - $ 57,459,552 $ 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 $61.0 billion and $180.5 million, respectively, at June 30, 2015 and $75.4 billion and $226.6 million, respectively, at December 31, 2014. |
DERIVATIVE INSTRUMENTS
DERIVATIVE INSTRUMENTS | 6 Months Ended |
Jun. 30, 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 U.S. Treasury or 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 June 30, 2015 and December 31, 2014: Derivatives Instruments Balance Sheet Location June 30, 2015 December 31, 2014 Assets: (dollars in thousands) Interest rate swaps Interest rate swaps, at fair value $ 30,259 $ 75,225 Interest rate swaptions Other derivative contracts, at fair value 6 5,382 TBA derivatives Other derivative contracts, at fair value 30,334 - Futures contracts Other derivative contracts, at fair value 7,734 117 $ 68,333 $ 80,724 Liabilities: Interest rate swaps Interest rate swaps, at fair value $ 1,328,729 $ 1,608,286 TBA derivatives Other derivative contracts, at fair value 24,377 4,258 Futures contracts Other derivative contracts, at fair value 16,162 3,769 $ 1,369,268 $ 1,616,313 The following table summarizes certain characteristics of the Company’s interest rate swaps at June 30, 2015 and December 31, 2014: June 30, 2015 Maturity Current Notional (1) Weighted Average Pay Rate (2) (3) Weighted Average Receive Rate (2) Weighted Average Years to Maturity (2) (dollars in thousands) 0 - 3 years $ 2,852,471 1.78 % 0.20 % 2.20 3 - 6 years 11,163,000 1.81 % 0.46 % 4.77 6 - 10 years 11,201,350 2.45 % 0.44 % 8.36 Greater than 10 years 3,734,400 3.70 % 0.23 % 19.87 Total / Weighted Average $ 28,951,221 2.29 % 0.40 % 7.76 December 31, 2014 Maturity Current Notional (1) Weighted Average Pay Rate (2) (3) Weighted Average Receive Rate (2) Weighted Average Years to Maturity (2) (dollars in thousands) 0 - 3 years $ 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 % 0.20 % 19.53 Total / Weighted Average $ 31,461,505 2.49 % 0.22 % 8.38 (1) Notional amount includes $2.6 billion and $500.0 million in forward starting pay fixed swaps as of June 30, 2015 (2) Excludes forward starting swaps. (3) Weighted average fixed rate on forward starting pay fixed swaps was 1.77% and 3.25% as of June 30, 2015 The following table summarizes certain characteristics of the Company’s interest rate swaptions at June 30, 2015 and December 31, 2014: June 30, 2015 Current Underlying Notional Weighted Average Underlying Pay Rate Weighted Average Underlying Receive Rate Weighted Average Underlying Years to Maturity Weighted Average Months to Expiration (dollars in thousands) Long $ 500,000 2.87% 3M LIBOR 8.55 0.47 December 31, 2014 Current Underlying Notional Weighted Average Underlying Pay Rate Weighted Average Underlying Receive Rate Weighted Average Underlying Years to Maturity Weighted Average Months to Expiration (dollars in thousands) Long $ 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 June 30, 2015 and December 31, 2014: June 30, 2015 Purchase and sale contracts for derivative TBAs Notional Implied Cost Basis Implied Market Value Net Carrying Value (dollars in thousands) Purchase contracts $ 13,000,000 $ 13,311,297 $ 13,317,254 $ 5,957 Sale contracts - - - - Net TBA derivatives $ 13,000,000 $ 13,311,297 $ 13,317,254 $ 5,957 December 31, 2014 Purchase and sale contracts for derivative TBAs Notional Implied Cost Basis Implied Market Value Net Carrying Value (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 following table summarizes certain characteristics of the Company’s futures derivatives as of June 30, 2015: Notional - Long Positions Notional - Short Positions Weighted Average Years to Maturity (dollars in thousands) 2-year swap equivalent Eurodollar contracts $ - $ (5,000,000 ) 2.00 U.S. Treasury futures - 5 year - (2,273,000 ) 4.42 U.S. Treasury futures - 10 year and greater - (1,007,500 ) 6.92 Total $ - $ (8,280,500 ) 3.26 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 June 30, 2015 and December 31, 2014, respectively. June 30, 2015 Amounts Eligible for Offset Gross Amounts Financial Instruments Cash Collateral Net Amounts Assets: (dollars in thousands) Interest rate swaps, at fair value $ 30,259 $ (27,869 ) $ - $ 2,390 Interest rate swaptions, at fair value 6 - - 6 TBA derivatives, at fair value 30,334 (17,976 ) - 12,358 Futures contracts, at fair value 7,734 (1,594 ) - 6,140 Liabilities: Interest rate swaps, at fair value $ 1,328,729 $ (27,869 ) $ (709,143 ) $ 591,717 TBA derivatives, at fair value 24,377 (17,976 ) - 6,401 Futures contracts, at fair value 16,162 (1,594 ) (14,568 ) - December 31, 2014 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 Interest Rate Swaps (1) Realized Gains (Losses) on Termination of Interest Rate Swaps Unrealized Gains (Losses) on Interest Rate Swaps (dollars in thousands) Quarter Ended: June 30, 2015 $ (144,465 ) $ - $ 700,792 June 30, 2014 $ (220,934 ) $ (772,491 ) $ 175,062 Six Months Ended: June 30, 2015 $ (302,704 ) $ (226,462 ) $ 234,590 June 30, 2014 $ (481,369 ) $ (779,333 ) $ (173,880 ) (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: Derivative Instruments Realized Gain (Loss) Unrealized Gain (Loss) Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Trading Assets (dollars in thousands) Three Months Ended June 30, 2015 Net TBA derivatives (1) $ (50,801 ) $ (106,974 ) $ (157,775 ) Net interest rate swaptions (7,600 ) 7,033 (567 ) U.S. Treasury futures (9,230 ) 53,351 44,121 $ (114,221 ) Derivative Instruments Realized Gain (Loss) Unrealized Gain (Loss) Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Trading Assets (dollars in thousands) Three Months Ended June 30, 2014 Net TBA derivatives (1) $ (7,046 ) $ (3,628 ) $ (10,674 ) Net interest rate swaptions (31,039 ) 1,786 (29,253 ) U.S. Treasury futures (6,806 ) 225 (6,581 ) $ (46,508 ) Derivative Instruments Realized Gain (Loss) Unrealized Gain (Loss) Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Trading Assets (dollars in thousands) Six Months Ended June 30, 2015 Net TBA derivatives (1) $ (106,445 ) $ 10,213 $ (96,232 ) Net interest rate swaptions (29,491 ) 24,116 (5,375 ) Futures (14,737 ) (4,775 ) (19,512 ) $ (121,119 ) Derivative Instruments Realized Gain (Loss) Unrealized Gain (Loss) Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Trading Assets (dollars in thousands) Six Months Ended June 30, 2014 Net TBA derivatives (1) $ (44,883 ) $ (15,038 ) $ (59,921 ) Net interest rate swaptions $ (71,981 ) $ (51,131 ) $ (123,112 ) U.S. Treasury futures $ (12,475 ) $ (2,824 ) $ (15,299 ) $ (198,332 ) (1) Includes options on TBA securities. Certain of the Company’s derivative contracts are subject to International Swaps and Derivatives Association Master Agreements or other similar agreements which may contain provisions that grant counterparties certain rights with respect to the applicable agreement upon the occurrence of certain events such as (i) a decline in stockholders’ equity in excess of specified thresholds or dollar amounts over set periods of time, (ii) the Company’s failure to maintain its REIT status, (iii) the Company’s failure to comply with limits on the amount of leverage, and (iv) the Company’s stock being delisted from the New York Stock Exchange (NYSE). Upon the occurrence of any one of items (i) through (iv), or another default under the agreement, the counterparty to the applicable agreement has a right to terminate the agreement in accordance with its provisions. The aggregate fair value of all derivative instruments with the aforementioned features that are in a net liability position at June 30, 2015 was approximately $1.3 billion, which represents the maximum amount the Company would be required to pay upon termination. This amount is fully collateralized. |
CONVERTIBLE SENIOR NOTES
CONVERTIBLE SENIOR NOTES | 6 Months Ended |
Jun. 30, 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 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 for net proceeds of approximately $727.5 million. In May 2015, the 5% Convertible Senior Notes matured and the Company repaid the 5% Convertible Senior Notes for the face amount of $750.0 million. |
COMMON STOCK AND PREFERRED STOC
COMMON STOCK AND PREFERRED STOCK | 6 Months Ended |
Jun. 30, 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 June 30, 2015 and December 31, 2014, the Company had issued and outstanding 947,768,496 and 947,643,079 shares of common stock, with a par value of $0.01 per share. No options were exercised during the six months ended June 30, 2015 and 2014. During the six months ended June 30, 2015 and 2014, the Company raised $1.1 million and $1.2 million by issuing 111,000 shares and 108,000 shares, respectively, 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 six months (B) Preferred Stock At June 30, 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 June 30, 2015, the Company had declared and paid all required quarterly dividends on the Series A Preferred Stock. At June 30, 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 June 30, 2015, the Company had declared and paid all required quarterly dividends on the Series C Preferred Stock. At June 30, 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 June 30, 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 six months six months During the six months ended June 30, 2014, the Company declared dividends to common stockholders totaling $568.5 million, or $0.60 per common share, of which $284.3, or $0.30 per common share, was paid to common stockholders on July 29, 2014. During the six months ended June 30, 2014, the Company declared and paid dividends to Series A Preferred stockholders totaling approximately $7.3 million, or $0.984 per preferred share, Series C Preferred stockholders totaling approximately $11.4 million, or $0.953 per preferred share, Series D Preferred stockholders totaling approximately $17.3 million, or $0.938 per preferred share. |
INTEREST INCOME AND INTEREST EX
INTEREST INCOME AND INTEREST EXPENSE | 6 Months Ended |
Jun. 30, 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 and six months ended June 30, 2015 and 2014. For the Quarter Ended June 30, For the Six Months Ended June 30, 2015 2014 2015 2014 Interest income: (dollars in thousands) Investment Securities $ 570,493 $ 640,287 $ 1,048,732 $ 1,254,706 Commercial investment portfolio (1) 52,429 43,325 92,765 82,811 U.S. Treasury securities - - - 1,329 Securities loaned - - - 114 Reverse repurchase agreements 1,355 271 1,894 771 Other 69 79 127 132 Total interest income 624,346 683,962 1,143,518 1,339,863 Interest expense: Repurchase agreements 101,225 103,773 203,973 206,904 Convertible Senior Notes 6,113 20,319 29,740 39,216 U.S. Treasury securities sold, not yet purchased - - - 1,076 Securities borrowed - - - 95 Securitized debt of consolidated VIEs 5,475 1,853 8,357 3,464 Participation sold 159 162 318 323 Other 100 - 104 - Total interest expense 113,072 126,107 242,492 251,078 Net interest income $ 511,274 $ 557,855 $ 901,026 $ 1,088,785 (1) |
GOODWILL
GOODWILL | 6 Months Ended |
Jun. 30, 2015 | |
GOODWILL | 12. GOODWILL At June 30, 2015 and December 31, 2014, goodwill totaled $71.8 million and $94.8 million, respectively. The decline in goodwill is due to a $23.0 million reduction of goodwill related to FIDAC as a result of the Company’s intention to wind down FIDAC's investment advisory operations. |
NET INCOME (LOSS) PER COMMON SH
NET INCOME (LOSS) PER COMMON SHARE | 6 Months Ended |
Jun. 30, 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 and six months ended June 30, 2015 and 2014. For the Quarter Ended For the Six Months Ended June 30, 2015 June 30, 2014 June 30, 2015 June 30, 2014 (dollars in thousands, except per share data) (dollars in thousands, except per share data) Net income (loss) $ 900,071 $ (335,512 ) $ 423,572 $ (538,863 ) Less: Net income (loss) attributable to noncontrolling interest (149 ) - (239 ) - Net income (loss) attributable to Annaly 900,220 (335,512 ) 423,811 (538,863 ) Less: Preferred stock dividends 17,992 17,992 35,984 35,984 Net income (loss) per share available (related) to common stockholders, prior to adjustment for dilutive potential common shares, if necessary 882,228 (353,504 ) 387,827 (574,847 ) Add: Interest on Convertible Senior Notes, if dilutive - - - - Net income (loss) available to common stockholders, as adjusted 882,228 (353,504 ) 387,827 (574,847 ) Weighted average shares of common stock outstanding-basic 947,731,493 947,515,127 947,700,832 947,487,125 Add: Effect of stock awards and Convertible Senior Notes, if dilutive 198,269 - 178,126 - Weighted average shares of common stock outstanding-diluted 947,929,762 947,515,127 947,878,958 947,487,125 Net income (loss) per share available (related) to common share: Basic $ 0.93 $ (0.37 ) $ 0.41 $ (0.61 ) Diluted $ 0.93 $ (0.37 ) $ 0.41 $ (0.61 ) Options to purchase 2.0 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 and six months ended June 30, 2015, respectively. Options to purchase 2.4 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 and six months ended June 30, 2014, respectively. |
LONG-TERM STOCK INCENTIVE PLAN
LONG-TERM STOCK INCENTIVE PLAN | 6 Months Ended |
Jun. 30, 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 Six Months Ended June 30, 2015 2014 Number of Shares Weighted Average Exercise Price Number of Shares Weighted Average Exercise Price Options outstanding at the beginning of period 2,259,335 $ 15.35 3,581,752 $ 15.44 Granted - - - - Exercised - - - - Forfeited (259,799 ) 15.26 (863,167 ) 15.12 Expired (6,250 ) 17.24 (305,750 ) 17.34 Options outstanding at the end of period 1,993,286 $ 15.36 2,412,835 $ 15.31 Options exercisable at the end of period 1,993,286 $ 15.36 2,412,835 $ 15.31 The weighted average remaining contractual term was approximately 2.6 years and 3.6 years for stock options outstanding and exercisable as of June 30, 2015 and 2014, respectively. As of June 30, 2015 and 2014, there was no unrecognized compensation cost related to nonvested share-based compensation awards. |
INCOME TAXES
INCOME TAXES | 6 Months Ended |
Jun. 30, 2015 | |
INCOME TAXES | 15. INCOME TAXES For the quarter ended June 30, 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 and six months ended June 30, 2015 , the Company recorded a net income tax benefit of $7.7 million for losses attributable to its TRSs. The Company’s 2013, 2012 and 2011 federal, state and local tax returns remain open for examination. |
LEASE COMMITMENTS AND CONTINGEN
LEASE COMMITMENTS AND CONTINGENCIES | 6 Months Ended |
Jun. 30, 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 June 30, 2015 and 2014 was $0.8 million and $0.7 million, respectively. The Company’s aggregate future minimum lease payments total $37.3 million. The following table details the lease payments. Years Ending December 31, Lease Commitments (dollars in thousands) 2015 (remaining) $ 1,071 2016 3,575 2017 3,565 2018 3,565 2019 3,565 Later years 21,993 $ 37,334 The Company had no material unfunded loan commitments as of June 30, 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 June 30, 2015 and December 31, 2014. |
RISK MANAGEMENT
RISK MANAGEMENT | 6 Months Ended |
Jun. 30, 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 | 6 Months Ended |
Jun. 30, 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 June 30, 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 June 30, 2015 was $397.9 million with excess net capital of $397.6 million. |
RELATED PARTY TRANSACTIONS
RELATED PARTY TRANSACTIONS | 6 Months Ended |
Jun. 30, 2015 | |
RELATED PARTY TRANSACTIONS | 19. RELATED PARTY TRANSACTIONS Investment in Affiliate, Available-For-Sale Equity Security At June 30, 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 9.0 million shares of Chimera at a fair value of approximately $123.3 million at June 30, 2015 and approximately 9.0 million shares of Chimera at a fair value of approximately $143.0 million at December 31, 2014. On April 6, 2015, Chimera executed a 1:5 reverse stock split. At June 30, 2015 and December 31, 2014, the investment in Chimera had an unrealized gain (loss) of $(15.5) million and $4.2 million, respectively. The Company evaluates the near-term prospects of its current investment in Chimera in relation to the severity and length of time of impairment, if any. Based on this evaluation, management has determined that its investment in Chimera was not considered to be other-than-temporarily impaired as of June 30, 2015 as the Company had the intent and ability to retain its investments for a period of time sufficient to allow for any anticipated recovery in fair value. As of December 31, 2014, the Company’s investment in Chimera was in an unrealized gain position. Advisory fees For the quarter and six months ended June 30, 2015, the Company recorded advisory fees from Chimera totaling $10.6 million and $21.1 million, respectively. 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 and six months ended June 30, 2014, the Company recorded advisory fees from Chimera totaling $6.1 million and $12.2 million, respectively. At June 30, 2015 and December 31, 2014, the Company had amounts receivable from Chimera of $10.6 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 | 6 Months Ended |
Jun. 30, 2015 | |
SUBSEQUENT EVENTS | 20. Subsequent Events On August 5, 2015, FIDAC entered into an agreement with Chimera to internalize the management of Chimera. As part of the agreement, the companies agreed to terminate the management agreement between FIDAC and Chimera effective August 5, 2015. In connection with the transaction, Annaly and Chimera entered into a share repurchase agreement pursuant to which Chimera will purchase the Company’s approximately 9.0 million shares of Chimera at an aggregate price of $126.4 On August 5, 2015, the Company also announced that its Board of Directors authorized the repurchase of up to $1 billion of its outstanding common shares through December 31, 2016. |
SIGNIFICANT ACCOUNTING POLICI28
SIGNIFICANT ACCOUNTING POLICIES (Policies) | 6 Months Ended |
Jun. 30, 2015 | |
Principles of Consolidation | Principles of 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 . 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 |
Fair Value Measurements | Fair Value Measurements |
Revenue Recognition | Revenue Recognition – Agency Mortgage-Backed Securities, Agency Debentures and Agency Credit Risk Transfer Securities 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 classified as available-for-sale and 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. The Company changed its accounting policy for determining the realized gains and losses on sales of Investment Securities from the average cost method to the specific identification method. The Company determined that the specific identification method was preferable because it more accurately matches gains or losses with costs and is the methodology predominantly used by its industry peers, among other considerations. The impact of the change was immaterial to the consolidated financial statements and prior periods. The Company elected the fair value option for Agency interest-only mortgage-backed securities and certain Agency CRT 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 and certain Agency CRT securities are measured at fair value with changes in fair value recorded as Net unrealized gains (losses) on financial instruments measured at fair value through earnings 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 |
Equity Securities | Equity Securities |
Derivative Instruments | Derivative Instruments – Derivatives and Hedging 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 swaptions - The fair value of interest rate swaptions is estimated using internal pricing models and compared to the counterparty market value. TBA Dollar Rolls - MBS Options – Futures Contracts assets in the Consolidated Statements of Comprehensive Income (Loss). |
Other-Than-Temporary Impairment | Other-Than-Temporary Impairment |
Loan Loss Reserves | Loan Loss Reserves – |
Repurchase Agreements | Repurchase Agreements Transfers and Servicing 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 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 – |
Stock Based Compensation | Stock Based Compensation compensation expense on a straight-line basis over the requisite service period for the entire award. |
Income Taxes | Income Taxes The provisions of ASC 740, Income Taxes |
Use of Estimates | Use of Estimates |
Commercial Real Estate Investments | Commercial Real Estate Investments Commercial Real Estate Loans fair value option for multi-family mortgage loans held in securitization trusts 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 Allowance for Losses Loans and Debt Securities Acquired with Deteriorated Credit Quality 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 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. 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 - |
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 – |
Securities Borrowed and Loaned Transactions | Securities Borrowed and Loaned Transactions – |
U.S. Treasury Securities | U.S. Treasury Securities Derivatives 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 | 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 -10, Technical Corrections and Improvements This perpetual project updates the Codification for technical corrections and improvements. January 1, 2016 (early adoption permitted) for amendments subject to the transition guidance Not expected to have a significant impact on the consolidated financial statements. ASU 2015-07, Fair Value Measurement (Topic 820): Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Share (or Its Equivalent) This update removes the requirement to categorize within the fair value hierarchy all investments for which fair value is measured using the net asset value per share practical expedient and also removes certain disclosure requirements for these investments. January 1, 2016 (early adoption permitted) Not expected to have an impact on the consolidated financial statements. 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. January 1, 2016 (early adoption permitted) 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. January 1, 2016 (early adoption permitted) 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 2015-08, Business Combinations Topic 805 Pushdown Accounting Amendments to SEC Paragraphs Pursuant to Staff Accounting Bulletin No. 115 This update amends the codification for SEC Staff Bulletin No. 115 November 18, 2014 Did not have an impact on the consolidated financial statements. 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. November 18, 2014 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 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. April 1, 2015 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 January 1, 2015 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 January 1, 2014 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. January 1, 2014 Did not have a significant impact on the consolidated financial statements. |
SIGNIFICANT ACCOUNTING POLICI29
SIGNIFICANT ACCOUNTING POLICIES (Tables) | 6 Months Ended |
Jun. 30, 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 -10, Technical Corrections and Improvements This perpetual project updates the Codification for technical corrections and improvements. January 1, 2016 (early adoption permitted) for amendments subject to the transition guidance Not expected to have a significant impact on the consolidated financial statements. ASU 2015-07, Fair Value Measurement (Topic 820): Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Share (or Its Equivalent) This update removes the requirement to categorize within the fair value hierarchy all investments for which fair value is measured using the net asset value per share practical expedient and also removes certain disclosure requirements for these investments. January 1, 2016 (early adoption permitted) Not expected to have an impact on the consolidated financial statements. 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. January 1, 2016 (early adoption permitted) 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. January 1, 2016 (early adoption permitted) 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 2015-08, Business Combinations Topic 805 Pushdown Accounting Amendments to SEC Paragraphs Pursuant to Staff Accounting Bulletin No. 115 This update amends the codification for SEC Staff Bulletin No. 115 November 18, 2014 Did not have an impact on the consolidated financial statements. 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. November 18, 2014 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 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. April 1, 2015 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 January 1, 2015 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 January 1, 2014 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. January 1, 2014 Did not have a significant impact on the consolidated financial statements. |
AGENCY MORTGAGE-BACKED SECURI30
AGENCY MORTGAGE-BACKED SECURITIES (Tables) | 6 Months Ended |
Jun. 30, 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 June 30, 2015 and December 31, 2014, which were carried at their fair value: June 30, 2015 Freddie Mac Fannie Mae Ginnie Mae Total (dollars in thousands) Principal outstanding $ 23,711,840 $ 39,327,716 $ 88,764 $ 63,128,320 Unamortized premium 1,929,740 2,888,081 18,623 4,836,444 Unamortized discount (6,475 ) (6,946 ) (351 ) (13,772 ) Amortized cost 25,635,105 42,208,851 107,036 67,950,992 Gross unrealized gains 205,399 439,909 6,763 652,071 Gross unrealized losses (429,729 ) (564,527 ) (3,520 ) (997,776 ) Estimated fair value $ 25,410,775 $ 42,084,233 $ 110,279 $ 67,605,287 Fixed Rate Adjustable Rate Total (dollars in thousands) Amortized cost $ 64,478,692 $ 3,472,300 $ 67,950,992 Gross unrealized gains 538,926 113,145 652,071 Gross unrealized losses (971,629 ) (26,147 ) (997,776 ) Estimated fair value $ 64,045,989 $ 3,559,298 $ 67,605,287 December 31, 2014 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 June 30, 2015 and December 31, 2014, according to their estimated weighted average life classifications: June 30, 2015 December 31, 2014 Weighted Average Life Estimated Fair Value Amortized Cost Estimated Fair Value Amortized Cost (dollars in thousands) Less than one year $ 14,192 $ 14,747 $ 43,248 $ 42,831 Greater than one year through five years 21,034,470 20,688,236 42,222,114 41,908,586 Greater than five years through ten years 46,141,855 46,850,242 39,018,833 39,098,352 Greater than ten years 414,770 397,767 281,061 283,756 Total $ 67,605,287 $ 67,950,992 $ 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 June 30, 2015 and December 31, 2014. June 30, 2015 December 31, 2014 Estimated Fair Value Gross Unrealized Losses Number of Securities Estimated Fair Value Gross Unrealized Losses Number of Securities (dollars in thousands) Less than 12 Months 17,000,465 (168,223 ) 515 4,613,599 (36,959 ) 205 12 Months or More 23,601,763 (829,553 ) 234 35,175,194 (713,311 ) 302 Total 40,602,228 (997,776 ) 749 39,788,793 (750,270 ) 507 |
COMMERCIAL REAL ESTATE INVEST31
COMMERCIAL REAL ESTATE INVESTMENTS (Tables) | 6 Months Ended |
Jun. 30, 2015 | |
Commercial Real Estate Investments Held for Investment | CRE Debt and Preferred Equity Investments June 30, 2015 December 31, 2014 Outstanding Principal Carrying Value (1) Percentage of Loan Portfolio (2) Outstanding Principal Carrying Value (1) Percentage of Loan Portfolio (2) (dollars in thousands) Senior mortgages 262,546 261,684 19.6 % 384,304 383,895 25.2 % Senior securitized mortgages (3) 361,672 361,215 27.1 % 399,541 398,634 26.3 % Mezzanine loans 498,273 498,332 37.3 % 522,474 522,731 34.4 % Preferred equity 213,213 211,724 16.0 % 214,653 212,905 14.1 % Total $ 1,335,704 $ 1,332,955 100.0 % $ 1,520,972 $ 1,518,165 100.0 % (1) (2) (3) June 30, 2015 Senior Mortgages Senior Securitized Mortgages (1) Mezzanine Loans Preferred Equity Total (dollars in thousands) Beginning balance $ 383,895 $ 398,634 $ 522,731 $ 212,905 $ 1,518,165 Originations & advances (principal) 156,035 - 27,392 - 183,427 Principal payments (230,147 ) (37,869 ) (51,592 ) (1,441 ) (321,049 ) Sales (principal) (46,945 ) - - - (46,945 ) Amortization & accretion of (premium) discounts (72 ) - (108 ) 50 (130 ) Net (increase) decrease in origination fees (2,660 ) - (236 ) - (2,896 ) Amortization of net origination fees 1,578 450 145 210 2,383 Transfers - - - - - Allowance for loan losses - - - - - Net carrying value $ 261,684 $ 361,215 $ 498,332 $ 211,724 $ 1,332,955 (1) December 31, 2014 Senior Mortgages Senior Securitized Mortgages (1) Subordinate Notes Mezzanine Loans Preferred Equity Total (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) |
Internal Loan and Preferred Equity Ratings | Internal CRE Debt and Preferred Equity Investment Ratings June 30, 2015 Internal Ratings Investment Type Outstanding Principal Percentage of CRE Debt and Preferred Equity Portfolio Performing Watch List Defaulted-Recovery (2) Impaired (dollars in thousands) Senior mortgages $ 262,546 19.6 % $ 249,573 $ - $ 12,973 $ - Senior securitized mortgages (1) 361,672 27.1 % 352,422 9,250 - - Mezzanine loans 498,273 37.3 % 498,273 - - - Preferred equity 213,213 16.0 % 162,213 51,000 (3) - - $ 1,335,704 100.0 % $ 1,262,481 $ 60,250 $ 12,973 $ - (1) (2) (3) December 31, 2014 Internal Ratings Investment Type Outstanding Principal Percentage of CRE Debt and Preferred Equity Portfolio Performing Watch List Defaulted-Recovery (2) Impaired (dollars in thousands) Senior mortgages $ 384,304 25.2 % $ 371,331 $ - $ 12,973 $ - Senior securitized mortgages (1) 399,541 26.3 % 390,291 9,250 - - Mezzanine loans 522,474 34.4 % 522,474 - - - Preferred equity 214,653 14.1 % 214,653 - - - $ 1,520,972 100.0 % $ 1,498,749 $ 9,250 $ 12,973 $ - (1) (2) |
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 Price Remaining Lease Term (Years) (1) (dollars in thousands) April 2014 Single-tenant retail Tennessee $ 19,000 8 June 2014 Multi-tenant retail Virginia $ 17,743 7 November 2014 Multi-tenant retail New York, Ohio, Georgia $ 154,000 4.6 |
Aggregate Allocation of Purchase Price | The following table presents the aggregate final allocation of the purchase price: Tennessee Virginia Joint Venture Total (dollars in thousands) Purchase Price Allocation: Land $ 3,503 $ 6,394 $ 21,441 $ 31,338 Buildings 11,960 10,862 97,680 120,502 Site improvements 1,349 1,184 12,705 15,238 Tenant Improvements - - 9,365 9,365 Real estate held for investment 16,812 18,440 141,191 176,443 Intangible assets (liabilities): Leasehold intangible assets 4,288 3,218 22,297 29,803 Above market lease - - 5,458 5,458 Below market lease value (2,100 ) (3,915 ) (14,946 ) (20,961 ) Total purchase price $ 19,000 $ 17,743 $ 154,000 $ 190,743 |
Total Commercial Real Estate Held for Investments | Total Commercial Real Estate Investments June 30, 2015 December 31, 2014 (dollars in thousands) Real estate held for investment, at amortized cost Land $ 37,977 $ 38,117 Buildings and improvements 176,324 176,139 Subtotal 214,301 214,256 Less: accumulated depreciation (9,911 ) (4,224 ) Total real estate held for investment, at amortized cost, net 204,390 210,032 Equity in unconsolidated joint venture 12,410 - Total investment in commercial real estate, net 216,800 210,032 Net carrying value of CRE Debt and Preferred Equity Investments 1,332,955 1,518,165 Total commercial real estate investments $ 1,549,755 $ 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 June 30, 2015 for the consolidated properties, including consolidated joint venture properties are as follows (in thousands): June 30, 2015 (dollars in thousands) 2015 (remaining) $ 10,346 2016 18,784 2017 16,055 2018 13,695 2019 11,375 Later years 50,702 $ 120,957 |
Mortgage loans payable | Mortgage loans payable as of June 30, 2015 and December 31, 2014, were as follows: June 30, 2015 Property Mortgage Carrying Value Mortgage Principal Interest Rate Fixed/Floating Rate Maturity Date Priority (dollars in thousands) Joint Venture $ 103,950 $ 103,950 4.03 % Fixed 12/6/2024 First liens Tennessee 12,350 12,350 4.01 % Fixed 6/6/2019 First liens Virginia 11,025 11,025 3.58 % Fixed 9/6/2019 First liens Arizona 16,552 16,495 3.50 % Fixed 1/1/2017 First liens Nevada 2,482 2,471 3.45 % Floating (1) 3/29/2017 First liens $ 146,359 $ 146,291 (1) Rate is fixed via an interest rate swap (pay fixed 3.45%, receive floating rate of L+200). December 31, 2014 Property Mortgage Carrying Value Mortgage Principal Interest Rate Fixed/Floating Rate Maturity Date Priority (dollars in thousands) Joint Venture $ 103,950 $ 103,950 4.03 % Fixed 12/6/2024 First liens Tennessee 12,350 12,350 4.01 % Fixed 6/6/2019 First liens Virginia 11,025 11,025 3.58 % Fixed 9/6/2019 First liens Arizona 16,709 16,600 3.50 % Fixed 1/1/2017 First liens Nevada 2,519 2,505 3.45 % Floating (1) 3/29/2017 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 June 30, 2015: Mortgage Loan Principal Payments (dollars in thousands) 2015 (remaining) $ 228 2016 400 2017 18,338 2018 - 2019 23,375 Later years 103,950 $ 146,291 |
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 FREMF Trusts as of June 30, 2015 follows: Securitized Loans at Fair Value Geographic Concentration of Credit Risk Property Location Principal Balance % of Balance (dollars in thousands) North Carolina $ 537,375 21.0% Texas 749,569 29.4% Ohio 197,455 7.7% Florida 391,291 15.3% |
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 June 30, 2015 follows: June 30, 2015 (dollars in thousands) Senior securitized commercial mortgages carried at fair value $ 2,579,687 Accrued interest receivable 4,672 Total assets $ 2,584,359 Liabilities and equity Securitized debt (non-recourse) at fair value $ 2,388,142 Accrued interest payable 4,062 $ 2,392,204 Equity 192,155 Total liabilities and equity $ 2,584,359 |
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 June 30, 2015 follows: For the period February 25, 2015 to June 30, 2015 (dollars in thousands) Net interest income: Interest income $ 14,472 Interest expense (4,575 ) Net interest income 9,897 Other income (loss): Unrealized gain (loss) on financial instruments at fair value (1) (5 ) General, administrative, transaction and acquistion expenses 5,904 Other income (loss) 5,899 General and administration expenses 58 Net income $ 3,940 (1) Included in Net unrealized gains (losses) on financial instruments measured at fair value through earnings. |
FAIR VALUE MEASUREMENTS (Tables
FAIR VALUE MEASUREMENTS (Tables) | 6 Months Ended |
Jun. 30, 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 June 30, 2015 (dollars in thousands) Assets: Agency mortgage-backed securities $ - $ 67,605,287 $ - $ 67,605,287 Agency debentures - 429,845 - 429,845 Agency CRT securities - 214,130 - 214,130 Commercial real estate debt investments - 2,812,824 - 2,812,824 Investment in affiliate 123,343 - - 123,343 Interest rate swaps - 30,259 - 30,259 Other derivatives 7,734 30,340 - 38,074 Total assets $ 131,077 $ 71,122,685 $ - $ 71,253,762 Liabilities: Securitized debt of consolidated VIEs $ - $ 2,610,543 $ - $ 2,610,974 Interest rate swaps - 1,328,729 - 1,328,729 Other derivatives 16,162 24,377 - 40,539 Total liabilities $ 16,162 $ 3,964,080 $ - $ 3,980,242 Level 1 Level 2 Level 3 Total December 31, 2014 (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 June 30, 2015 and December 31, 2014. June 30, 2015 December 31, 2014 Level in Fair Value Hierarchy Carrying Value Fair Value Carrying Value Fair Value Financial assets: (dollars in thousands) Cash and cash equivalents 1 $ 1,785,158 $ 1,785,158 $ 1,741,244 $ 1,741,244 Reverse repurchase agreements 1 - - 100,000 100,000 Agency mortgage-backed securities 2 67,605,287 67,605,287 81,565,256 81,565,256 Agency debentures 2 429,845 429,845 1,368,350 1,368,350 Agency CRT securities 2 214,130 214,130 - - Commercial real estate debt investments, at fair value 2 2,812,824 2,812,824 - - Investment in affiliate 1 123,343 123,343 143,045 143,045 Commercial real estate debt and preferred equity, held for investment 3 1,332,955 1,339,843 1,518,165 1,528,444 Corporate debt 2 311,640 309,709 166,464 166,056 Interest rate swaps 2 30,259 30,259 75,225 75,225 Other derivatives 1,2 38,074 38,074 5,499 5,499 Financial liabilities: Repurchase agreements 1,2 $ 57,459,552 $ 57,639,127 $ 71,361,926 $ 71,587,222 Other secured financing 2 203,200 203,376 - - Convertible Senior Notes 1 - - 845,295 863,470 Securitized debt of consolidated VIEs 2 2,610,974 2,610,974 260,700 262,061 Mortgages payable 2 146,359 147,149 146,553 146,611 Participation sold 3 13,490 13,483 13,693 13,655 Interest rate swaps 2 1,328,729 1,328,729 1,608,286 1,608,286 Other derivatives 1,2 40,539 40,539 8,027 8,027 |
SECURED FINANCING (Tables)
SECURED FINANCING (Tables) | 6 Months Ended |
Jun. 30, 2015 | |
Schedule of Repurchase Agreements Remaining Maturity ,Collateral Types and Weighted Average Rates | At June 30, 2015 and December 31, 2014, the repurchase agreements had the following remaining maturities, collateral types and weighted average rates: June 30, 2015 Repurchase Agreements Collateralized by Agency Mortgage-backed Securities and Debentures Collateralized by Commercial Loans Total Repurchase Agreements Weighted Average Rate (dollars in thousands) 1 day $ 7,150,000 $ - $ 7,150,000 0.82 % 2 to 29 days 16,013,749 - 16,013,749 0.43 % 30 to 59 days 8,157,729 - 8,157,729 0.52 % 60 to 89 days 7,132,012 - 7,132,012 0.42 % 90 to 119 days 1,507,387 - 1,507,387 0.43 % Over 120 days (1) 17,376,675 122,000 17,498,675 1.32 % Total $ 57,337,552 $ 122,000 $ 57,459,552 0.76 % December 31, 2014 Repurchase Agreements Collateralized by Agency Mortgage-backed Securities and Debentures Weighted Average Rate (dollars in thousands) 1 day $ - 0.00 % 2 to 29 days 28,354,167 0.35 % 30 to 59 days 17,336,469 0.43 % 60 to 89 days 4,040,677 0.38 % 90 to 119 days 2,945,495 0.50 % Over 120 days (1) 18,685,118 1.24 % Total $ 71,361,926 0.61 % (1) Approximately 17% and 15% of the total repurchase agreements had a remaining maturity over 1 year as of June 30, 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 June 30, 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. June 30, 2015 December 31, 2014 Reverse Repurchase Agreements Repurchase Agreements Reverse Repurchase Agreements Repurchase Agreements (dollars in thousands) Gross Amounts $ - $ 57,459,552 $ 700,000 $ 71,961,926 Amounts Offset - - (600,000 ) (600,000 ) Netted Amounts $ - $ 57,459,552 $ 100,000 $ 71,361,926 |
DERIVATIVE INSTRUMENTS (Tables)
DERIVATIVE INSTRUMENTS (Tables) | 6 Months Ended |
Jun. 30, 2015 | |
Summarizes Fair Value Information about Derivative Assets Liabilities | The table below summarizes fair value information about our derivative assets and liabilities as of June 30, 2015 and December 31, 2014: Derivatives Instruments Balance Sheet Location June 30, 2015 December 31, 2014 Assets: (dollars in thousands) Interest rate swaps Interest rate swaps, at fair value $ 30,259 $ 75,225 Interest rate swaptions Other derivative contracts, at fair value 6 5,382 TBA derivatives Other derivative contracts, at fair value 30,334 - Futures contracts Other derivative contracts, at fair value 7,734 117 $ 68,333 $ 80,724 Liabilities: Interest rate swaps Interest rate swaps, at fair value $ 1,328,729 $ 1,608,286 TBA derivatives Other derivative contracts, at fair value 24,377 4,258 Futures contracts Other derivative contracts, at fair value 16,162 3,769 $ 1,369,268 $ 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 June 30, 2015 and December 31, 2014, respectively. June 30, 2015 Amounts Eligible for Offset Gross Amounts Financial Instruments Cash Collateral Net Amounts Assets: (dollars in thousands) Interest rate swaps, at fair value $ 30,259 $ (27,869 ) $ - $ 2,390 Interest rate swaptions, at fair value 6 - - 6 TBA derivatives, at fair value 30,334 (17,976 ) - 12,358 Futures contracts, at fair value 7,734 (1,594 ) - 6,140 Liabilities: Interest rate swaps, at fair value $ 1,328,729 $ (27,869 ) $ (709,143 ) $ 591,717 TBA derivatives, at fair value 24,377 (17,976 ) - 6,401 Futures contracts, at fair value 16,162 (1,594 ) (14,568 ) - December 31, 2014 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 Interest Rate Swaps (1) Realized Gains (Losses) on Termination of Interest Rate Swaps Unrealized Gains (Losses) on Interest Rate Swaps (dollars in thousands) Quarter Ended: June 30, 2015 $ (144,465 ) $ - $ 700,792 June 30, 2014 $ (220,934 ) $ (772,491 ) $ 175,062 Six Months Ended: June 30, 2015 $ (302,704 ) $ (226,462 ) $ 234,590 June 30, 2014 $ (481,369 ) $ (779,333 ) $ (173,880 ) (1) Interest expense related to the Company’s interest rate swaps is recorded in Realized gains (losses) on interest rate swaps on the Consolidated Statements of Comprehensive Income (Loss). |
Effect of Other Derivative Contracts on the Consolidated Statements of Operations and Comprehensive Income (Loss) | The effect of other derivative contracts on the Company’s Consolidated Statements of Comprehensive Income (Loss) is as follows: Derivative Instruments Realized Gain (Loss) Unrealized Gain (Loss) Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Trading Assets (dollars in thousands) Three Months Ended June 30, 2015 Net TBA derivatives (1) $ (50,801 ) $ (106,974 ) $ (157,775 ) Net interest rate swaptions (7,600 ) 7,033 (567 ) U.S. Treasury futures (9,230 ) 53,351 44,121 $ (114,221 ) Derivative Instruments Realized Gain (Loss) Unrealized Gain (Loss) Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Trading Assets (dollars in thousands) Three Months Ended June 30, 2014 Net TBA derivatives (1) $ (7,046 ) $ (3,628 ) $ (10,674 ) Net interest rate swaptions (31,039 ) 1,786 (29,253 ) U.S. Treasury futures (6,806 ) 225 (6,581 ) $ (46,508 ) Derivative Instruments Realized Gain (Loss) Unrealized Gain (Loss) Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Trading Assets (dollars in thousands) Six Months Ended June 30, 2015 Net TBA derivatives (1) $ (106,445 ) $ 10,213 $ (96,232 ) Net interest rate swaptions (29,491 ) 24,116 (5,375 ) Futures (14,737 ) (4,775 ) (19,512 ) $ (121,119 ) Derivative Instruments Realized Gain (Loss) Unrealized Gain (Loss) Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Trading Assets (dollars in thousands) Six Months Ended June 30, 2014 Net TBA derivatives (1) $ (44,883 ) $ (15,038 ) $ (59,921 ) Net interest rate swaptions $ (71,981 ) $ (51,131 ) $ (123,112 ) U.S. Treasury futures $ (12,475 ) $ (2,824 ) $ (15,299 ) $ (198,332 ) (1) Includes options on TBA securities. |
Interest Rate Swaps | |
Summary of Certain Characteristics of Derivatives | The following table summarizes certain characteristics of the Company’s interest rate swaps at June 30, 2015 and December 31, 2014: June 30, 2015 Maturity Current Notional (1) Weighted Average Pay Rate (2) (3) Weighted Average Receive Rate (2) Weighted Average Years to Maturity (2) (dollars in thousands) 0 - 3 years $ 2,852,471 1.78 % 0.20 % 2.20 3 - 6 years 11,163,000 1.81 % 0.46 % 4.77 6 - 10 years 11,201,350 2.45 % 0.44 % 8.36 Greater than 10 years 3,734,400 3.70 % 0.23 % 19.87 Total / Weighted Average $ 28,951,221 2.29 % 0.40 % 7.76 December 31, 2014 Maturity Current Notional (1) Weighted Average Pay Rate (2) (3) Weighted Average Receive Rate (2) Weighted Average Years to Maturity (2) (dollars in thousands) 0 - 3 years $ 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 % 0.20 % 19.53 Total / Weighted Average $ 31,461,505 2.49 % 0.22 % 8.38 (1) Notional amount includes $2.6 billion and $500.0 million in forward starting pay fixed swaps as of June 30, 2015 (2) Excludes forward starting swaps. (3) Weighted average fixed rate on forward starting pay fixed swaps was 1.77% and 3.25% as of June 30, 2015 |
Interest Rate Swaption | |
Summary of Certain Characteristics of Derivatives | The following table summarizes certain characteristics of the Company’s interest rate swaptions at June 30, 2015 and December 31, 2014: June 30, 2015 Current Underlying Notional Weighted Average Underlying Pay Rate Weighted Average Underlying Receive Rate Weighted Average Underlying Years to Maturity Weighted Average Months to Expiration (dollars in thousands) Long $ 500,000 2.87% 3M LIBOR 8.55 0.47 December 31, 2014 Current Underlying Notional Weighted Average Underlying Pay Rate Weighted Average Underlying Receive Rate Weighted Average Underlying Years to Maturity Weighted Average Months to Expiration (dollars in thousands) Long $ 1,750,000 2.88% 3M LIBOR 9.17 3.59 |
Future | |
Summary of Certain Characteristics of Derivatives | The following table summarizes certain characteristics of the Company’s futures derivatives as of June 30, 2015: Notional - Long Positions Notional - Short Positions Weighted Average Years to Maturity (dollars in thousands) 2-year swap equivalent Eurodollar contracts $ - $ (5,000,000 ) 2.00 U.S. Treasury futures - 5 year - (2,273,000 ) 4.42 U.S. Treasury futures - 10 year and greater - (1,007,500 ) 6.92 Total $ - $ (8,280,500 ) 3.26 |
TBA Derivatives | |
Summary of Certain Characteristics of Derivatives | The following table summarizes certain characteristics of the Company’s TBA derivatives as of June 30, 2015 and December 31, 2014: June 30, 2015 Purchase and sale contracts for derivative TBAs Notional Implied Cost Basis Implied Market Value Net Carrying Value (dollars in thousands) Purchase contracts $ 13,000,000 $ 13,311,297 $ 13,317,254 $ 5,957 Sale contracts - - - - Net TBA derivatives $ 13,000,000 $ 13,311,297 $ 13,317,254 $ 5,957 December 31, 2014 Purchase and sale contracts for derivative TBAs Notional Implied Cost Basis Implied Market Value Net Carrying Value (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 35
INTEREST INCOME AND INTEREST EXPENSE (Tables) | 6 Months Ended |
Jun. 30, 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 and six months ended June 30, 2015 and 2014. For the Quarter Ended June 30, For the Six Months Ended June 30, 2015 2014 2015 2014 Interest income: (dollars in thousands) Investment Securities $ 570,493 $ 640,287 $ 1,048,732 $ 1,254,706 Commercial investment portfolio (1) 52,429 43,325 92,765 82,811 U.S. Treasury securities - - - 1,329 Securities loaned - - - 114 Reverse repurchase agreements 1,355 271 1,894 771 Other 69 79 127 132 Total interest income 624,346 683,962 1,143,518 1,339,863 Interest expense: Repurchase agreements 101,225 103,773 203,973 206,904 Convertible Senior Notes 6,113 20,319 29,740 39,216 U.S. Treasury securities sold, not yet purchased - - - 1,076 Securities borrowed - - - 95 Securitized debt of consolidated VIEs 5,475 1,853 8,357 3,464 Participation sold 159 162 318 323 Other 100 - 104 - Total interest expense 113,072 126,107 242,492 251,078 Net interest income $ 511,274 $ 557,855 $ 901,026 $ 1,088,785 (1) |
NET INCOME (LOSS) PER COMMON 36
NET INCOME (LOSS) PER COMMON SHARE (Tables) | 6 Months Ended |
Jun. 30, 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 and six months ended June 30, 2015 and 2014. For the Quarter Ended For the Six Months Ended June 30, 2015 June 30, 2014 June 30, 2015 June 30, 2014 (dollars in thousands, except per share data) (dollars in thousands, except per share data) Net income (loss) $ 900,071 $ (335,512 ) $ 423,572 $ (538,863 ) Less: Net income (loss) attributable to noncontrolling interest (149 ) - (239 ) - Net income (loss) attributable to Annaly 900,220 (335,512 ) 423,811 (538,863 ) Less: Preferred stock dividends 17,992 17,992 35,984 35,984 Net income (loss) per share available (related) to common stockholders, prior to adjustment for dilutive potential common shares, if necessary 882,228 (353,504 ) 387,827 (574,847 ) Add: Interest on Convertible Senior Notes, if dilutive - - - - Net income (loss) available to common stockholders, as adjusted 882,228 (353,504 ) 387,827 (574,847 ) Weighted average shares of common stock outstanding-basic 947,731,493 947,515,127 947,700,832 947,487,125 Add: Effect of stock awards and Convertible Senior Notes, if dilutive 198,269 - 178,126 - Weighted average shares of common stock outstanding-diluted 947,929,762 947,515,127 947,878,958 947,487,125 Net income (loss) per share available (related) to common share: Basic $ 0.93 $ (0.37 ) $ 0.41 $ (0.61 ) Diluted $ 0.93 $ (0.37 ) $ 0.41 $ (0.61 ) |
LONG-TERM STOCK INCENTIVE PLAN
LONG-TERM STOCK INCENTIVE PLAN (Tables) | 6 Months Ended |
Jun. 30, 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 Six Months Ended June 30, 2015 2014 Number of Shares Weighted Average Exercise Price Number of Shares Weighted Average Exercise Price Options outstanding at the beginning of period 2,259,335 $ 15.35 3,581,752 $ 15.44 Granted - - - - Exercised - - - - Forfeited (259,799 ) 15.26 (863,167 ) 15.12 Expired (6,250 ) 17.24 (305,750 ) 17.34 Options outstanding at the end of period 1,993,286 $ 15.36 2,412,835 $ 15.31 Options exercisable at the end of period 1,993,286 $ 15.36 2,412,835 $ 15.31 |
LEASE COMMITMENTS AND CONTING38
LEASE COMMITMENTS AND CONTINGENCIES (Tables) | 6 Months Ended |
Jun. 30, 2015 | |
Lease Commitments and Contingencies | The following table details the lease payments. Years Ending December 31, Lease Commitments (dollars in thousands) 2015 (remaining) $ 1,071 2016 3,575 2017 3,565 2018 3,565 2019 3,565 Later years 21,993 $ 37,334 |
Organization and Significant Ac
Organization and Significant Accounting Policies - Narrative (Detail) - USD ($) | Jun. 30, 2015 | Dec. 31, 2014 |
Schedule Of Significant Accounting Policies [Line Items] | ||
Allowance for loan losses or other-than temporary impairment | $ 0 | $ 0 |
Interest Rate Swaps | ||
Schedule Of Significant Accounting Policies [Line Items] | ||
Cash on margin with counterparty to interest rate swaps | $ 1,400,000,000 | $ 1,600,000,000 |
Summary of Estimated Useful Liv
Summary of Estimated Useful Lives of Assets (Detail) | 6 Months Ended |
Jun. 30, 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 Pronouncement
Recent Accounting Pronouncements (Detail) | 6 Months Ended |
Jun. 30, 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 - Going Concern (Subtopic 05-04) Disclosure of Uncertainties about an Enti ty's 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 | January 1, 2017 |
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 | 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 | November 18, 2014 |
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 |
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 2014-08, Presentation of Financial Statements (Topic 5) and Property, Plant and uipment (Topic 360) Reporting scontinued Operations and sclosures of Disposals of mponents of an Entity |
Description | This ASU raises the threshold for a disposal to be treated as discontinued operations. |
Date of Adoption | April 1, 2015 |
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 Receivables–Troubled 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 | January 1, 2015 |
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 | January 1, 2014 |
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 | January 1, 2014 |
Effect on the financial statements or other significant matters | No |
Accounting Standards Update 2015-10 [Member] | |
New Accounting Pronouncements or Change in Accounting Principle [Line Items] | |
Standard | ASU 2015-10, Technical Corrections and Improvements |
Description | This perpetual project updates the Codification for technical corrections and improvements. |
Date of Adoption | January 1, 2016 (early adoption permitted) for amendments subject to the transition guidance |
Effect on the financial statements or other significant matters | No |
Accounting Standards Update 2015-07 [Member] | |
New Accounting Pronouncements or Change in Accounting Principle [Line Items] | |
Standard | ASU 2015-07, Fair Value Measurement Topic 820): Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Share (or Its Equivalent) |
Description | This update removes the requirement to categorize within the fair value hierarchy all investments for which fair value is measured using the net asset value per share practical expedient and also removes certain disclosure requirements for these investments. |
Date of Adoption | January 1, 2016 (early adoption permitted) |
Effect on the financial statements or other significant matters | No |
Accounting Standards Update 2015-08 [Member] | |
New Accounting Pronouncements or Change in Accounting Principle [Line Items] | |
Standard | ASU 2015-08, Business Combinations Topic 805 Pushdown Accounting Amendments to SEC Paragraphs Pursuant to Staff Accounting Bulletin No. 115 |
Description | This update amends the codification for SEC Staff Bulletin No. 115 |
Date of Adoption | November 18, 2014 |
Effect on the financial statements or other significant matters | No |
Agency Mortgage-Backed Securi42
Agency Mortgage-Backed Securities - Portfolio (Detail) - USD ($) $ in Thousands | Jun. 30, 2015 | Dec. 31, 2014 | |
Mortgage-Backed Securities Portfolio: | |||
Estimated fair value | $ 67,605,287 | $ 81,565,256 | [1] |
Agency Mortgage Backed Securities | |||
Mortgage-Backed Securities Portfolio: | |||
Principal outstanding | 63,128,320 | 75,982,999 | |
Unamortized premium | 4,836,444 | 5,368,726 | |
Unamortized discount | (13,772) | (18,200) | |
Amortized cost | 67,950,992 | 81,333,525 | |
Gross unrealized gains | 652,071 | 982,001 | |
Gross unrealized losses | (997,776) | (750,270) | |
Estimated fair value | 67,605,287 | 81,565,256 | |
Total amortized cost | 67,950,992 | 81,333,525 | |
Agency Mortgage Backed Securities | Fixed Rate | |||
Mortgage-Backed Securities Portfolio: | |||
Amortized cost | 64,478,692 | 78,250,313 | |
Gross unrealized gains | 538,926 | 847,615 | |
Gross unrealized losses | (971,629) | (732,533) | |
Estimated fair value | 64,045,989 | 78,365,395 | |
Total amortized cost | 64,478,692 | 78,250,313 | |
Agency Mortgage Backed Securities | Adjustable Rate | |||
Mortgage-Backed Securities Portfolio: | |||
Amortized cost | 3,472,300 | 3,083,212 | |
Gross unrealized gains | 113,145 | 134,386 | |
Gross unrealized losses | (26,147) | (17,737) | |
Estimated fair value | 3,559,298 | 3,199,861 | |
Total amortized cost | 3,472,300 | 3,083,212 | |
Agency Mortgage Backed Securities | Freddie Mac | |||
Mortgage-Backed Securities Portfolio: | |||
Principal outstanding | 23,711,840 | 27,906,221 | |
Unamortized premium | 1,929,740 | 1,951,798 | |
Unamortized discount | (6,475) | (8,985) | |
Amortized cost | 25,635,105 | 29,849,034 | |
Gross unrealized gains | 205,399 | 313,761 | |
Gross unrealized losses | (429,729) | (322,094) | |
Estimated fair value | 25,410,775 | 29,840,701 | |
Total amortized cost | 25,635,105 | 29,849,034 | |
Agency Mortgage Backed Securities | Fannie Mae | |||
Mortgage-Backed Securities Portfolio: | |||
Principal outstanding | 39,327,716 | 47,979,778 | |
Unamortized premium | 2,888,081 | 3,396,368 | |
Unamortized discount | (6,946) | (8,857) | |
Amortized cost | 42,208,851 | 51,367,289 | |
Gross unrealized gains | 439,909 | 660,230 | |
Gross unrealized losses | (564,527) | (424,800) | |
Estimated fair value | 42,084,233 | 51,602,719 | |
Total amortized cost | 42,208,851 | 51,367,289 | |
Agency Mortgage Backed Securities | Ginnie Mae | |||
Mortgage-Backed Securities Portfolio: | |||
Principal outstanding | 88,764 | 97,000 | |
Unamortized premium | 18,623 | 20,560 | |
Unamortized discount | (351) | (358) | |
Amortized cost | 107,036 | 117,202 | |
Gross unrealized gains | 6,763 | 8,010 | |
Gross unrealized losses | (3,520) | (3,376) | |
Estimated fair value | 110,279 | 121,836 | |
Total amortized cost | $ 107,036 | $ 117,202 | |
[1] | Derived from the audited consolidated financial statements at December 31, 2014. |
Agency Mortgage-Backed Securi43
Agency Mortgage-Backed Securities - Weighted Average Life (Detail) - USD ($) $ in Thousands | Jun. 30, 2015 | Dec. 31, 2014 | |
Fair Value of Agency Mortgage-Backed Securities according to their estimated weighted-average life: | |||
Total | $ 67,605,287 | $ 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 | 14,192 | 43,248 | |
Greater than one year through five years | 21,034,470 | 42,222,114 | |
Greater than five years through ten years | 46,141,855 | 39,018,833 | |
Greater than ten years | 414,770 | 281,061 | |
Total | 67,605,287 | 81,565,256 | |
Amortized Cost of Agency Mortgage-Backed Securities according to their estimated weighted-average life: | |||
Less than one year | 14,747 | 42,831 | |
Greater than one year through five years | 20,688,236 | 41,908,586 | |
Greater than five years through ten years | 46,850,242 | 39,098,352 | |
Greater than ten years | 397,767 | 283,756 | |
Total | $ 67,950,992 | $ 81,333,525 | |
[1] | Derived from the audited consolidated financial statements at December 31, 2014. |
Agency Mortgage-Backed Securi44
Agency Mortgage-Backed Securities - Unrealized Loss Position (Detail) $ in Thousands | Jun. 30, 2015USD ($)Securities | Dec. 31, 2014USD ($)Securities |
Unrealized Loss Position For: | ||
Estimated Fair Value | $ 40,602,228 | $ 39,788,793 |
Gross Unrealized Losses | $ (997,776) | $ (750,270) |
Number of Securities | Securities | 749 | 507 |
Available For Sale Securities, Continuous Unrealized Loss Positions, Less Than 12 Months | ||
Unrealized Loss Position For: | ||
Estimated Fair Value | $ 17,000,465 | $ 4,613,599 |
Gross Unrealized Losses | $ (168,223) | $ (36,959) |
Number of Securities | Securities | 515 | 205 |
Available For Sale Securities, Continuous Unrealized Loss Positions, Greater Than 12 Months | ||
Unrealized Loss Position For: | ||
Estimated Fair Value | $ 23,601,763 | $ 35,175,194 |
Gross Unrealized Losses | $ (829,553) | $ (713,311) |
Number of Securities | Securities | 234 | 302 |
Agency Mortgage-Backed Securi45
Agency Mortgage-Backed Securities - Narrative (Detail) - USD ($) $ in Millions | 3 Months Ended | 6 Months Ended | 12 Months Ended | ||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | Dec. 31, 2014 | |
Mortgage-Backed Securities Sold: | |||||
Mortgage-Backed securities sold, carrying value | $ 2,000 | $ 4,900 | $ 16,500 | $ 9,200 | |
Mortgage-Backed securities sold, realized gain | 6.3 | $ 41.5 | 71.6 | $ 171.1 | |
Interest-only securities | |||||
Mortgage-Backed Securities Sold: | |||||
Amortized cost | $ 1,400 | 1,400 | $ 1,200 | ||
Accumulated other comprehensive income (loss) | Interest-only securities | |||||
Mortgage-Backed Securities Sold: | |||||
Unrealized gains (Losses) | $ (22.7) | $ (8) |
CRE Debt and Preferred Equity I
CRE Debt and Preferred Equity Investments (Detail) - USD ($) $ in Thousands | Jun. 30, 2015 | Dec. 31, 2014 | |
Transaction to Real Estate Investments [Line Items] | |||
Carrying Value | $ 1,332,955 | $ 1,518,165 | |
Preferred Equity Interests | |||
Transaction to Real Estate Investments [Line Items] | |||
Carrying Value | 211,724 | 212,905 | |
Commercial Mortgage | |||
Transaction to Real Estate Investments [Line Items] | |||
Outstanding Principal | 1,335,704 | 1,520,972 | |
Carrying Value | [1] | $ 1,332,955 | $ 1,518,165 |
Percentage of Loan Portfolio | [2] | 100.00% | 100.00% |
Commercial Mortgage | Senior Mortgages | |||
Transaction to Real Estate Investments [Line Items] | |||
Outstanding Principal | $ 262,546 | $ 384,304 | |
Carrying Value | [1] | $ 261,684 | $ 383,895 |
Percentage of Loan Portfolio | [2] | 19.60% | 25.20% |
Commercial Mortgage | Senior Securitized Mortgages | |||
Transaction to Real Estate Investments [Line Items] | |||
Outstanding Principal | [3] | $ 361,672 | $ 399,541 |
Carrying Value | [1],[3],[4] | $ 361,215 | $ 398,634 |
Percentage of Loan Portfolio | [2],[3] | 27.10% | 26.30% |
Commercial Mortgage | Preferred Equity Interests | |||
Transaction to Real Estate Investments [Line Items] | |||
Outstanding Principal | $ 213,213 | $ 214,653 | |
Carrying Value | [1] | $ 211,724 | $ 212,905 |
Percentage of Loan Portfolio | [2] | 16.00% | 14.10% |
Commercial Mortgage | Mezzanine Loans | |||
Transaction to Real Estate Investments [Line Items] | |||
Outstanding Principal | $ 498,273 | $ 522,474 | |
Carrying Value | [1] | $ 498,332 | $ 522,731 |
Percentage of Loan Portfolio | [2] | 37.30% | 34.40% |
[1] | Carrying value includes unamortized origination fees of $2.8 million and $3.0 million as of June 30, 2015 and December 31, 2014, respectively. | ||
[2] | Based on outstanding principal. | ||
[3] | Assets of consolidated VIEs. | ||
[4] | Assets of consolidated VIE. |
CRE Debt and Preferred Equity47
CRE Debt and Preferred Equity Investments (Parenthetical) (Detail) - USD ($) $ in Millions | Jun. 30, 2015 | Dec. 31, 2014 |
Commercial Mortgage | ||
Transaction to Real Estate Investments [Line Items] | ||
Net origination fees | $ 2.8 | $ 3 |
CRE Debt and Preferred Equity48
CRE Debt and Preferred Equity Investments -Based on Outstanding Principal (Detail) - USD ($) $ in Thousands | 6 Months Ended | 12 Months Ended | |
Jun. 30, 2015 | Dec. 31, 2014 | ||
Transaction to Real Estate Investments [Line Items] | |||
Beginning balance | $ 1,518,165 | $ 1,583,969 | |
Originations & advances (principal) | 183,427 | 249,854 | |
Principal payments | (321,049) | (316,082) | |
Sales (principal) | (46,945) | ||
Amortization & accretion of (premium) discounts | (130) | (1,472) | |
Net (increase) decrease in origination fees | (2,896) | (3,021) | |
Amortization of net origination fees | 2,383 | 4,917 | |
Allowance for loan losses | 0 | 0 | |
Net carrying value | 1,332,955 | 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) | |
Amortization & accretion of (premium) discounts | 50 | 108 | |
Amortization of net origination fees | 210 | 753 | |
Allowance for loan losses | 0 | 0 | |
Net carrying value | 211,724 | 212,905 | |
Commercial Mortgage | |||
Transaction to Real Estate Investments [Line Items] | |||
Net carrying value | [1] | 1,332,955 | 1,518,165 |
Commercial Mortgage | Mezzanine Loans | |||
Transaction to Real Estate Investments [Line Items] | |||
Beginning balance | 522,731 | 628,102 | |
Originations & advances (principal) | 27,392 | 122,742 | |
Principal payments | (51,592) | (227,151) | |
Amortization & accretion of (premium) discounts | (108) | (1,093) | |
Net (increase) decrease in origination fees | (236) | (478) | |
Amortization of net origination fees | 145 | 609 | |
Allowance for loan losses | 0 | 0 | |
Net carrying value | [1] | 498,332 | 522,731 |
Commercial Mortgage | Senior Mortgages | |||
Transaction to Real Estate Investments [Line Items] | |||
Beginning balance | 383,895 | 667,299 | |
Originations & advances (principal) | 156,035 | 127,112 | |
Principal payments | (230,147) | (12,756) | |
Sales (principal) | (46,945) | ||
Amortization & accretion of (premium) discounts | (72) | (138) | |
Net (increase) decrease in origination fees | (2,660) | (2,427) | |
Amortization of net origination fees | 1,578 | 2,783 | |
Transfers | (397,978) | ||
Allowance for loan losses | 0 | 0 | |
Net carrying value | [1] | 261,684 | 383,895 |
Commercial Mortgage | Senior Securitized Mortgages | |||
Transaction to Real Estate Investments [Line Items] | |||
Beginning balance | [2] | 398,634 | |
Principal payments | [2] | (37,869) | |
Net (increase) decrease in origination fees | [2] | (116) | |
Amortization of net origination fees | [2] | 450 | 772 |
Transfers | [2] | 397,978 | |
Allowance for loan losses | [2] | 0 | 0 |
Net carrying value | [1],[2],[3] | 361,215 | 398,634 |
Commercial Mortgage | Subordinated Notes | |||
Transaction to Real Estate Investments [Line Items] | |||
Beginning balance | 41,408 | ||
Principal payments | (41,059) | ||
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 | [1] | $ 211,724 | $ 212,905 |
[1] | Carrying value includes unamortized origination fees of $2.8 million and $3.0 million as of June 30, 2015 and December 31, 2014, respectively. | ||
[2] | Assets of consolidated VIE. | ||
[3] | Assets of consolidated VIEs. |
Internal CRE Debt and Preferred
Internal CRE Debt and Preferred Equity Ratings (Detail) - Commercial Mortgage - USD ($) $ in Thousands | Jun. 30, 2015 | Dec. 31, 2014 | |
Transaction to Real Estate Investments [Line Items] | |||
Performing Loans | $ 1,262,481 | $ 1,498,749 | |
Internal Ratings Watch List | 60,250 | 9,250 | |
Defaulted-Recovery | [1] | 12,973 | 12,973 |
Impaired | 0 | 0 | |
Senior Mortgages | |||
Transaction to Real Estate Investments [Line Items] | |||
Performing Loans | 249,573 | 371,331 | |
Defaulted-Recovery | [1] | 12,973 | 12,973 |
Impaired | 0 | 0 | |
Senior Securitized Mortgages | |||
Transaction to Real Estate Investments [Line Items] | |||
Performing Loans | [2] | 352,422 | 390,291 |
Internal Ratings Watch List | [2] | 9,250 | 9,250 |
Impaired | [2] | 0 | 0 |
Preferred Equity Interests | |||
Transaction to Real Estate Investments [Line Items] | |||
Performing Loans | 162,213 | 214,653 | |
Internal Ratings Watch List | [3] | 51,000 | |
Impaired | 0 | 0 | |
Mezzanine Loans | |||
Transaction to Real Estate Investments [Line Items] | |||
Performing Loans | 498,273 | 522,474 | |
Impaired | $ 0 | $ 0 | |
[1] | Related to one loan on non-accrual status. | ||
[2] | Assets of consolidated VIE. | ||
[3] | Borrower made a $25 million principal payment on July 8, 2015 reducing outstanding principal to $26 million. |
Internal CRE Debt and Preferr50
Internal CRE Debt and Preferred Equity Ratings (Parenthetical) (Detail) - USD ($) $ in Thousands | Jul. 08, 2015 | Jun. 30, 2015 | Jun. 30, 2014 | Dec. 31, 2014 |
Transaction to Real Estate Investments [Line Items] | ||||
Principal payment | $ (321,050) | $ (171,190) | ||
Mortgage loans, outstanding amount | $ 1,332,955 | $ 1,518,165 | ||
Subsequent Event | ||||
Transaction to Real Estate Investments [Line Items] | ||||
Principal payment | $ 25,000 | |||
Mortgage loans, outstanding amount | $ 26,000 |
Commercial Real Estate Invest51
Commercial Real Estate Investments - Additional Information (Detail) | 1 Months Ended | 3 Months Ended | 6 Months Ended | ||||||||||
May. 31, 2015USD ($) | Apr. 30, 2015USD ($)Loan | Feb. 28, 2015USD ($)Loan | Nov. 30, 2014USD ($)Property | Jan. 31, 2014USD ($) | Jun. 30, 2015USD ($) | Jun. 30, 2014USD ($) | Jun. 30, 2015USD ($) | Jun. 30, 2014USD ($) | Dec. 31, 2014USD ($) | [2] | |||
Real Estate Properties [Line Items] | |||||||||||||
Percentage of ownership interest in joint venture | 90.00% | ||||||||||||
Number of retail property Acquired | Property | 11 | ||||||||||||
Transaction costs related to acquisitions | $ 0 | ||||||||||||
Weighted average amortization period for intangible assets and liabilities | 3 years 8 months 12 days | ||||||||||||
Percentage of non-controlling interest | 10.00% | 10.00% | |||||||||||
Fair value of non-controlling interest at acquisition date | $ 15,400,000 | $ 15,400,000 | |||||||||||
Net increase in amortization and depreciation | 1,300,000 | ||||||||||||
Depreciation expense | 2,900,000 | $ 400,000 | 5,687,000 | $ 736,000 | |||||||||
Business acquisition of joint venture capital | $ 12,000,000 | 12,410,000 | |||||||||||
Securitization financing transaction, purchase | $ 399,500,000 | ||||||||||||
Securitization financing transaction, total | $ 260,700,000 | 2,610,974,000 | [1] | 2,610,974,000 | [1] | $ 260,700,000 | [1] | ||||||
Securitization financing transaction, weighted average rate | 65.30% | ||||||||||||
Securitization cost | $ 4,300,000 | ||||||||||||
Carrying value of trust's liabilities | 222,800,000 | 222,800,000 | |||||||||||
Senior Secured mortgages of Consolidated VIE | 361,200,000 | 361,200,000 | $ 398,600,000 | ||||||||||
Unamortized origination fees | 500,000 | 500,000 | |||||||||||
Joint Venture [Member] | |||||||||||||
Real Estate Properties [Line Items] | |||||||||||||
Investment interest in joint venture | 75.00% | ||||||||||||
FREMF Trust | |||||||||||||
Real Estate Properties [Line Items] | |||||||||||||
Gain (Loss) recognized upon initial consolidation | $ 0 | ||||||||||||
Debt issue costs expensed | $ 800,000 | ||||||||||||
Mortgage loans, unpaid principal balance | 2,600,000,000 | 2,600,000,000 | |||||||||||
Loans 90 days or more past due or on nonaccrual status | 0 | 0 | |||||||||||
Gain (Loss) attributable to instrument- specific credit risk | 0 | ||||||||||||
Freddie Mac | Floating Rate Multifamily Mortgage Loans | FREMF 2015-KLSF [Member] | |||||||||||||
Real Estate Properties [Line Items] | |||||||||||||
Number of loans in the underlying portfolio | Loan | 11 | ||||||||||||
Principal balance | $ 1,400,000,000 | ||||||||||||
Freddie Mac | Floating Rate Multifamily Mortgage Loans | FREMF 2015-KF07 [Member] | |||||||||||||
Real Estate Properties [Line Items] | |||||||||||||
Number of loans in the underlying portfolio | Loan | 40 | ||||||||||||
Principal balance | $ 1,200,000,000 | ||||||||||||
Freddie Mac | FREMF Trust | FREMF 2015-KLSF [Member] | |||||||||||||
Real Estate Properties [Line Items] | |||||||||||||
Variable interest entity, consolidated, carrying amount, assets | 1,400,000,000 | 1,400,000,000 | |||||||||||
Variable interest entity, consolidated, carrying amount, liabilities | 1,300,000,000 | 1,300,000,000 | |||||||||||
Payment to purchase mortgage loans | $ 102,100,000 | ||||||||||||
Freddie Mac | FREMF Trust | FREMF 2015-KF07 [Member] | |||||||||||||
Real Estate Properties [Line Items] | |||||||||||||
Variable interest entity, consolidated, carrying amount, assets | 1,200,000,000 | 1,200,000,000 | |||||||||||
Variable interest entity, consolidated, carrying amount, liabilities | $ 1,100,000,000 | $ 1,100,000,000 | |||||||||||
Payment to purchase mortgage loans | $ 89,400,000 | ||||||||||||
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% | ||||||||||||
Commercial Mortgage Trust Mo One [Member] | |||||||||||||
Real Estate Properties [Line Items] | |||||||||||||
Securitization financing transaction, variable interest rate | 1.74% | ||||||||||||
Securitization financing transaction, variable interest rate description | LIBOR plus 1.74% at closing | ||||||||||||
[1] | Includes securitized debt of consolidated VIEs carried at fair value of $2.4 billion and $0 at June 30, 2015 and December 31, 2014, respectively. | ||||||||||||
[2] | Derived from the audited consolidated financial statements at December 31, 2014. |
Summary of Acquisitions of Real
Summary of Acquisitions of Real Estate Held for Investment (Detail) - 6 months ended Jun. 30, 2015 - USD ($) $ in Thousands | Total |
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 | Apr. 30, 2014 |
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 | Jun. 30, 2014 |
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 | Nov. 30, 2014 |
Purchase Price | $ 154,000 |
Remaining Lease Term (Years) | 4 years 7 months 6 days |
Aggregate Allocation of Purchas
Aggregate Allocation of Purchase Price (Detail) $ in Thousands | 6 Months Ended |
Jun. 30, 2015USD ($) | |
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 | 176,443 |
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 | 31,338 |
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 | 120,502 |
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 | 15,238 |
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 | 9,365 |
Leaseholds and Leasehold Improvements [Member] | |
Transaction to Real Estate Investments [Line Items] | |
Total purchase price | 29,803 |
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 | 5,458 |
Below Market Lease Liabilities [Member] | |
Transaction to Real Estate Investments [Line Items] | |
Total purchase price | 20,961 |
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 | 141,191 |
Joint Venture Agreement [Member] | Land | |
Transaction to Real Estate Investments [Line Items] | |
Total purchase price | 21,441 |
Joint Venture Agreement [Member] | Building | |
Transaction to Real Estate Investments [Line Items] | |
Total purchase price | 97,680 |
Joint Venture Agreement [Member] | Site Improvements | |
Transaction to Real Estate Investments [Line Items] | |
Total purchase price | 12,705 |
Joint Venture Agreement [Member] | Tenant Improvements [Member] | |
Transaction to Real Estate Investments [Line Items] | |
Total purchase price | 9,365 |
Joint Venture Agreement [Member] | Leaseholds and Leasehold Improvements [Member] | |
Transaction to Real Estate Investments [Line Items] | |
Total purchase price | 22,297 |
Joint Venture Agreement [Member] | Above Market Lease [Member] | |
Transaction to Real Estate Investments [Line Items] | |
Total purchase price | 5,458 |
Joint Venture Agreement [Member] | Below Market Lease Liabilities [Member] | |
Transaction to Real Estate Investments [Line Items] | |
Total purchase price | $ 14,946 |
Total Commercial Real Estate He
Total Commercial Real Estate Held for Investments (Detail) - USD ($) $ in Thousands | Jun. 30, 2015 | Dec. 31, 2014 | ||
Real estate held for investment, at amortized cost | ||||
Real estate held for investment, at amortized cost | $ 214,301 | $ 214,256 | ||
Less: accumulated depreciation | (9,911) | (4,224) | ||
Total real estate held for investment, at amortized cost, net | 204,390 | 210,032 | ||
Equity in unconsolidated joint venture | 12,410 | |||
Total investment in commercial real estate, net | 216,800 | 210,032 | [1] | |
Net carrying value of CRE Debt and Preferred Equity Investments | [2] | 1,332,955 | 1,518,165 | [1] |
Total commercial real estate investments | 1,549,755 | 1,728,197 | ||
Land | ||||
Real estate held for investment, at amortized cost | ||||
Real estate held for investment, at amortized cost | 37,977 | 38,117 | ||
Building Improvements | ||||
Real estate held for investment, at amortized cost | ||||
Real estate held for investment, at amortized cost | $ 176,324 | $ 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, at June 30, 2015 and December 31, 2014. |
Minimum Future Rentals to be Re
Minimum Future Rentals to be Received on Noncancelable Operating Leases (Detail) $ in Thousands | Jun. 30, 2015USD ($) |
Operating Leased Assets [Line Items] | |
2015 (remaining) | $ 10,346 |
2,016 | 18,784 |
2,017 | 16,055 |
2,018 | 13,695 |
2,019 | 11,375 |
Later years | 50,702 |
Operating Leases, Future Minimum Payments Receivable, Total | $ 120,957 |
Mortgage Loans Payable (Detail)
Mortgage Loans Payable (Detail) - Commercial Mortgage Loan [Member] - USD ($) $ in Thousands | 6 Months Ended | 12 Months Ended | |
Jun. 30, 2015 | Dec. 31, 2014 | ||
Mortgage Loans on Real Estate [Line Items] | |||
Mortgage Carrying Value | $ 146,359 | $ 146,553 | |
Mortgage Principal | 146,291 | 146,430 | |
Joint Venture [Member] | |||
Mortgage Loans on Real Estate [Line Items] | |||
Mortgage Carrying Value | 103,950 | 103,950 | |
Mortgage Principal | $ 103,950 | $ 103,950 | |
Interest rate | 4.03% | 4.03% | |
Fixed/Floating Rate | Fixed | ||
Maturity Date | Dec. 6, 2024 | Dec. 6, 2024 | |
Priority | First liens | ||
Three Thousand One Hundred South Mall [Member] | |||
Mortgage Loans on Real Estate [Line Items] | |||
Mortgage Carrying Value | $ 12,350 | $ 12,350 | |
Mortgage Principal | $ 12,350 | $ 12,350 | |
Interest rate | 4.01% | 4.01% | |
Fixed/Floating Rate | Fixed | ||
Maturity Date | Jun. 6, 2019 | Jun. 6, 2019 | |
Priority | First liens | ||
Twelve Thousand One Hundred Fifty-One Jefferson [Member] | |||
Mortgage Loans on Real Estate [Line Items] | |||
Mortgage Carrying Value | $ 11,025 | $ 11,025 | |
Mortgage Principal | $ 11,025 | $ 11,025 | |
Interest rate | 3.58% | 3.58% | |
Fixed/Floating Rate | Fixed | ||
Maturity Date | Sep. 6, 2019 | Sep. 6, 2019 | |
Priority | First liens | ||
ARIZONA | |||
Mortgage Loans on Real Estate [Line Items] | |||
Mortgage Carrying Value | $ 16,552 | $ 16,709 | |
Mortgage Principal | $ 16,495 | $ 16,600 | |
Interest rate | 3.50% | 3.50% | |
Fixed/Floating Rate | Fixed | ||
Maturity Date | Jan. 1, 2017 | Jan. 1, 2017 | |
Priority | First liens | ||
NEVADA | |||
Mortgage Loans on Real Estate [Line Items] | |||
Mortgage Carrying Value | $ 2,482 | $ 2,519 | |
Mortgage Principal | $ 2,471 | $ 2,505 | |
Interest rate | 3.45% | 3.45% | |
Fixed/Floating Rate | [1] | Floating | |
Maturity Date | Mar. 29, 2017 | Mar. 29, 2017 | |
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) $ in Thousands | Jun. 30, 2015USD ($) |
Schedule Of Long Term Debt Maturities [Line Items] | |
2015 (remaining) | $ 228 |
2,016 | 400 |
2,017 | 18,338 |
2,018 | 0 |
2,019 | 23,375 |
Later years | 103,950 |
Long-term Debt, Total | $ 146,291 |
Statement of Financial Conditio
Statement of Financial Condition of FREMF Trust Reflected the Consolidated Statements of Financial Condition (Detail) - USD ($) $ in Thousands | Jun. 30, 2015 | Dec. 31, 2014 | [1] |
Variable Interest Entity [Line Items] | |||
Senior securitized commercial mortgages carried at fair value | $ 2,600,000 | $ 0 | |
Total assets | 75,545,680 | 88,355,367 | |
Liabilities and equity | |||
Accrued interest payable | 131,629 | 180,501 | |
Total liabilities | 62,950,875 | 75,021,586 | |
Equity | 12,589,999 | 13,328,491 | |
Total liabilities and equity | 75,545,680 | $ 88,355,367 | |
FREMF Trust | |||
Variable Interest Entity [Line Items] | |||
Senior securitized commercial mortgages carried at fair value | 2,579,687 | ||
Accrued interest receivable | 4,672 | ||
Total assets | 2,584,359 | ||
Liabilities and equity | |||
Securitized debt (non-recourse) at fair value | 2,388,142 | ||
Accrued interest payable | 4,062 | ||
Total liabilities | 2,392,204 | ||
Equity | 192,155 | ||
Total liabilities and equity | $ 2,584,359 | ||
[1] | Derived from the audited consolidated financial statements at December 31, 2014. |
Statement of Comprehensive Inco
Statement of Comprehensive Income (Loss) of FREMF Trust Reflected the Consolidated Statements of Comprehensive Income (Loss) (Detail) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | ||
Net interest income: | |||||
Interest income | $ 624,346 | $ 683,962 | $ 1,143,518 | $ 1,339,863 | |
Interest expense | (113,072) | (126,107) | (242,492) | (251,078) | |
Net interest income | 511,274 | 557,855 | 901,026 | 1,088,785 | |
Other income (loss): | |||||
General and administration expenses | 52,009 | 52,189 | 102,947 | 99,567 | |
Net income (loss) | $ 900,071 | $ (335,512) | 423,572 | $ (538,863) | |
FREMF Trust | |||||
Net interest income: | |||||
Interest income | 14,472 | ||||
Interest expense | (4,575) | ||||
Net interest income | 9,897 | ||||
Other income (loss): | |||||
Unrealized gain (loss) on financial instruments at fair value | [1] | (5) | |||
Other income (loss) | 5,899 | ||||
General and administration expenses | 58 | ||||
Net income (loss) | $ 3,940 | ||||
[1] | Included in Net unrealized gains (losses) on financial instruments measured at fair value through earnings. |
Geographic Concentrations of Cr
Geographic Concentrations of Credit Risk Exceeding 5% of Total Loan Balances (Detail) - Jun. 30, 2015 - USD ($) $ in Thousands | Total |
NORTH CAROLINA | |
Concentration Risk [Line Items] | |
Principal Balance | $ 537,375 |
NORTH CAROLINA | Securitized Loans [Member] | Credit Concentration Risk [Member] | |
Concentration Risk [Line Items] | |
Percentage Balance | 21.00% |
TEXAS | |
Concentration Risk [Line Items] | |
Principal Balance | $ 749,569 |
TEXAS | Securitized Loans [Member] | Credit Concentration Risk [Member] | |
Concentration Risk [Line Items] | |
Percentage Balance | 29.40% |
OHIO | |
Concentration Risk [Line Items] | |
Principal Balance | $ 197,455 |
OHIO | Securitized Loans [Member] | Credit Concentration Risk [Member] | |
Concentration Risk [Line Items] | |
Percentage Balance | 7.70% |
FLORIDA | |
Concentration Risk [Line Items] | |
Principal Balance | $ 391,291 |
FLORIDA | Securitized Loans [Member] | Credit Concentration Risk [Member] | |
Concentration Risk [Line Items] | |
Percentage Balance | 15.30% |
Fair Value Measurements (Detail
Fair Value Measurements (Detail) - USD ($) $ in Thousands | Jun. 30, 2015 | Dec. 31, 2014 | ||
Assets: | ||||
Agency mortgage-backed securities | $ 67,605,287 | $ 81,565,256 | ||
Agency debentures | 429,845 | 1,368,350 | [1] | |
Agency CRT securities | 214,130 | |||
Commercial real estate debt investments | [2] | 2,812,824 | ||
Investment in affiliate | 123,343 | 143,045 | [1] | |
Interest rate swaps | 30,259 | 75,225 | [1] | |
Other derivatives | 38,074 | 5,499 | ||
Total assets | 71,253,762 | 83,157,375 | ||
Liabilities: | ||||
Securitized debt of consolidated VIEs | 2,610,974 | 0 | [1] | |
Interest rate swaps | 1,328,729 | 1,608,286 | [1] | |
Other derivatives | 40,539 | 8,027 | ||
Total liabilities | 3,980,242 | 1,616,313 | ||
Level 1 | ||||
Assets: | ||||
Investment in affiliate | 123,343 | 143,045 | ||
Other derivatives | 7,734 | 117 | ||
Total assets | 131,077 | 143,162 | ||
Liabilities: | ||||
Other derivatives | 16,162 | 3,769 | ||
Total liabilities | 16,162 | 3,769 | ||
Level 2 | ||||
Assets: | ||||
Agency mortgage-backed securities | 67,605,287 | 81,565,256 | ||
Agency debentures | 429,845 | 1,368,350 | ||
Agency CRT securities | 214,130 | |||
Commercial real estate debt investments | 2,812,824 | |||
Interest rate swaps | 30,259 | 75,225 | ||
Other derivatives | 30,340 | 5,382 | ||
Total assets | 71,122,685 | 83,014,213 | ||
Liabilities: | ||||
Securitized debt of consolidated VIEs | 2,610,974 | |||
Interest rate swaps | 1,328,729 | 1,608,286 | ||
Other derivatives | 24,377 | 4,258 | ||
Total liabilities | $ 3,964,080 | $ 1,612,544 | ||
[1] | Derived from the audited consolidated financial statements at December 31, 2014. | |||
[2] | Includes senior securitized commercial mortgage loans of consolidated VIEs carried at fair value of $2.6 billion and $0 at June 30, 2015 and December 31, 2014, respectively. |
Estimated Fair Value for All Fi
Estimated Fair Value for All Financial Assets and Liabilities (Detail) - Entity [Domain] - USD ($) $ in Thousands | Jun. 30, 2015 | Dec. 31, 2014 | Jan. 31, 2014 | |||
Financial assets: | ||||||
Agency mortgage-backed securities | $ 67,605,287 | $ 81,565,256 | ||||
Agency debentures | 429,845 | 1,368,350 | [1] | |||
Agency CRT securities | 214,130 | |||||
Commercial real estate debt investments, at fair value | [2] | 2,812,824 | ||||
Investment in affiliate | 123,343 | 143,045 | [1] | |||
Interest rate swaps | 68,333 | 80,724 | ||||
Other derivatives | 38,074 | 5,499 | ||||
Financial liabilities: | ||||||
Other secured financing | 203,200 | |||||
Securitized debt of consolidated VIE | 2,610,974 | [3] | 260,700 | [1],[3] | $ 260,700 | |
Interest rate swaps | 1,369,268 | 1,616,313 | ||||
Other derivatives | 40,539 | 8,027 | ||||
Level 1 | ||||||
Financial assets: | ||||||
Investment in affiliate | 123,343 | 143,045 | ||||
Other derivatives | 7,734 | 117 | ||||
Financial liabilities: | ||||||
Other derivatives | 16,162 | 3,769 | ||||
Level 2 | ||||||
Financial assets: | ||||||
Agency mortgage-backed securities | 67,605,287 | 81,565,256 | ||||
Agency debentures | 429,845 | 1,368,350 | ||||
Agency CRT securities | 214,130 | |||||
Commercial real estate debt investments, at fair value | 2,812,824 | |||||
Other derivatives | 30,340 | 5,382 | ||||
Financial liabilities: | ||||||
Other derivatives | 24,377 | 4,258 | ||||
Estimate of Fair Value, Fair Value Disclosure | Level 1 | ||||||
Financial assets: | ||||||
Cash and cash equivalents | 1,785,158 | 1,741,244 | ||||
Reverse repurchase agreements | 100,000 | |||||
Investment in affiliate | 123,343 | 143,045 | ||||
Financial liabilities: | ||||||
Convertible Senior Notes | 863,470 | |||||
Estimate of Fair Value, Fair Value Disclosure | Level 2 | ||||||
Financial assets: | ||||||
Agency mortgage-backed securities | 67,605,287 | 81,565,256 | ||||
Agency debentures | 429,845 | 1,368,350 | ||||
Agency CRT securities | 214,130 | |||||
Commercial real estate debt investments, at fair value | 2,812,824 | |||||
Corporate debt | 309,709 | 166,056 | ||||
Interest rate swaps | 30,259 | 75,225 | ||||
Financial liabilities: | ||||||
Other secured financing | 203,376 | |||||
Securitized debt of consolidated VIE | 2,610,974 | 262,061 | ||||
Mortgages payable | 147,149 | 146,611 | ||||
Interest rate swaps | 1,328,729 | 1,608,286 | ||||
Estimate of Fair Value, Fair Value Disclosure | Level 3 | ||||||
Financial assets: | ||||||
Commercial real estate debt and preferred equity, held for investment | 1,339,843 | 1,528,444 | ||||
Financial liabilities: | ||||||
Participation sold | 13,483 | 13,655 | ||||
Estimate of Fair Value, Fair Value Disclosure | Level 1, Level 2 | ||||||
Financial assets: | ||||||
Other derivatives | 38,074 | 5,499 | ||||
Financial liabilities: | ||||||
Repurchase agreements | 57,639,127 | 71,587,222 | ||||
Other derivatives | 40,539 | 8,027 | ||||
Carrying (Reported) Amount, Fair Value Disclosure | Level 1 | ||||||
Financial assets: | ||||||
Cash and cash equivalents | 1,785,158 | 1,741,244 | ||||
Reverse repurchase agreements | 100,000 | |||||
Investment in affiliate | 123,343 | 143,045 | ||||
Financial liabilities: | ||||||
Convertible Senior Notes | 845,295 | |||||
Carrying (Reported) Amount, Fair Value Disclosure | Level 2 | ||||||
Financial assets: | ||||||
Agency mortgage-backed securities | 67,605,287 | 81,565,256 | ||||
Agency debentures | 429,845 | 1,368,350 | ||||
Agency CRT securities | 214,130 | |||||
Commercial real estate debt investments, at fair value | 2,812,824 | |||||
Corporate debt | 311,640 | 166,464 | ||||
Interest rate swaps | 30,259 | 75,225 | ||||
Financial liabilities: | ||||||
Other secured financing | 203,200 | |||||
Securitized debt of consolidated VIE | 2,610,974 | 260,700 | ||||
Mortgages payable | 146,359 | 146,553 | ||||
Interest rate swaps | 1,328,729 | 1,608,286 | ||||
Carrying (Reported) Amount, Fair Value Disclosure | Level 3 | ||||||
Financial assets: | ||||||
Commercial real estate debt and preferred equity, held for investment | 1,332,955 | 1,518,165 | ||||
Financial liabilities: | ||||||
Participation sold | 13,490 | 13,693 | ||||
Carrying (Reported) Amount, Fair Value Disclosure | Level 1, Level 2 | ||||||
Financial assets: | ||||||
Other derivatives | 38,074 | 5,499 | ||||
Financial liabilities: | ||||||
Repurchase agreements | 57,459,552 | 71,361,926 | ||||
Other derivatives | $ 40,539 | $ 8,027 | ||||
[1] | Derived from the audited consolidated financial statements at December 31, 2014. | |||||
[2] | Includes senior securitized commercial mortgage loans of consolidated VIEs carried at fair value of $2.6 billion and $0 at June 30, 2015 and December 31, 2014, respectively. | |||||
[3] | Includes securitized debt of consolidated VIEs carried at fair value of $2.4 billion and $0 at June 30, 2015 and December 31, 2014, respectively. |
Repurchase Agreements - Narrati
Repurchase Agreements - Narrative (Detail) - USD ($) $ in Thousands | 6 Months Ended | 12 Months Ended | |
Jun. 30, 2015 | Dec. 31, 2014 | ||
Repurchase Agreements: | |||
Repurchase agreements - outstanding | $ 57,459,552 | $ 71,361,926 | [1] |
Repurchase agreements - weighted average borrowing rates | 1.73% | 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 | $ 61,000,000 | $ 75,400,000 | |
Secured financings and interest rate swaps - collateral held, accrued interest | $ 180,500 | $ 226,600 | |
[1] | Derived from the audited consolidated financial statements at December 31, 2014. |
Repurchase Agreements - Remaini
Repurchase Agreements - Remaining Maturities, Collateral Types and Weighted Average Rate (Detail) - USD ($) $ in Thousands | Jun. 30, 2015 | Dec. 31, 2014 | |||
Repurchase Agreements: | |||||
Repurchase Agreements | $ 57,459,552 | $ 71,361,926 | [1] | ||
Weighted average rate | 0.76% | 0.61% | |||
Agency Mortgage Backed Securities And Debentures [Member] | |||||
Repurchase Agreements: | |||||
Repurchase Agreements | $ 57,337,552 | $ 71,361,926 | |||
Commercial Loan [Member] | |||||
Repurchase Agreements: | |||||
Repurchase Agreements | 122,000 | ||||
1 day | |||||
Repurchase Agreements: | |||||
Repurchase Agreements | $ 7,150,000 | ||||
Weighted average rate | 0.82% | 0.00% | |||
1 day | Agency Mortgage Backed Securities And Debentures [Member] | |||||
Repurchase Agreements: | |||||
Repurchase Agreements | $ 7,150,000 | ||||
2 to 29 days | |||||
Repurchase Agreements: | |||||
Repurchase Agreements | $ 16,013,749 | ||||
Weighted average rate | 0.43% | 0.35% | |||
2 to 29 days | Agency Mortgage Backed Securities And Debentures [Member] | |||||
Repurchase Agreements: | |||||
Repurchase Agreements | $ 16,013,749 | $ 28,354,167 | |||
30 to 59 days | |||||
Repurchase Agreements: | |||||
Repurchase Agreements | $ 8,157,729 | ||||
Weighted average rate | 0.52% | 0.43% | |||
30 to 59 days | Agency Mortgage Backed Securities And Debentures [Member] | |||||
Repurchase Agreements: | |||||
Repurchase Agreements | $ 8,157,729 | $ 17,336,469 | |||
60 to 89 days | |||||
Repurchase Agreements: | |||||
Repurchase Agreements | $ 7,132,012 | ||||
Weighted average rate | 0.42% | 0.38% | |||
60 to 89 days | Agency Mortgage Backed Securities And Debentures [Member] | |||||
Repurchase Agreements: | |||||
Repurchase Agreements | $ 7,132,012 | $ 4,040,677 | |||
90 to 119 days | |||||
Repurchase Agreements: | |||||
Repurchase Agreements | $ 1,507,387 | ||||
Weighted average rate | 0.43% | 0.50% | |||
90 to 119 days | Agency Mortgage Backed Securities And Debentures [Member] | |||||
Repurchase Agreements: | |||||
Repurchase Agreements | $ 1,507,387 | $ 2,945,495 | |||
Over 120 days | |||||
Repurchase Agreements: | |||||
Repurchase Agreements | [2] | $ 17,498,675 | |||
Weighted average rate | 1.32% | [2] | 1.24% | ||
Over 120 days | Agency Mortgage Backed Securities And Debentures [Member] | |||||
Repurchase Agreements: | |||||
Repurchase Agreements | [2] | $ 17,376,675 | $ 18,685,118 | ||
Over 120 days | Commercial Loan [Member] | |||||
Repurchase Agreements: | |||||
Repurchase Agreements | [2] | $ 122,000 | |||
[1] | Derived from the audited consolidated financial statements at December 31, 2014. | ||||
[2] | Approximately 17% and 15% of the total repurchase agreements had a remaining maturity over 1 year as of June 30, 2015 and December 31, 2014, respectively. |
Repurchase Agreements - Remai65
Repurchase Agreements - Remaining Maturities, Collateral Types and Weighted Average Rate (Parenthetical) (Detail) | Jun. 30, 2015 | Dec. 31, 2014 |
Repurchase Agreements: | ||
Percentage of repurchase agreements, with remaining maturity over one year | 17.00% | 15.00% |
Summary of Gross Amounts, Amoun
Summary of Gross Amounts, Amounts Offset and net Amounts of Repurchase Agreement and Reverse Repurchase Agreement (Detail) - USD ($) $ in Thousands | 6 Months Ended | 12 Months Ended | ||
Jun. 30, 2015 | Dec. 31, 2014 | |||
Repurchase Agreements: | ||||
Gross amounts -reverse repurchase agreements | $ 700,000 | |||
Amounts offset - reverse repurchase agreement | (600,000) | |||
Netted amounts -reverse repurchase | [1] | 100,000 | ||
Gross amounts -repurchase agreement | $ 57,459,552 | 71,961,926 | ||
Amounts offset -repurchase agreement | (600,000) | |||
Netted amounts -repurchase agreement | $ 57,459,552 | $ 71,361,926 | [1] | |
[1] | Derived from the audited consolidated financial statements at December 31, 2014. |
Summary of Fair Value Informati
Summary of Fair Value Information about Derivative Assets and Liabilities (Detail) - USD ($) $ in Thousands | Jun. 30, 2015 | Dec. 31, 2014 | |
Derivatives, Fair Value [Line Items] | |||
Interest rate swaps, at fair value | $ 30,259 | $ 75,225 | [1] |
Other derivatives, at fair value | 38,074 | 5,499 | [1] |
Derivative assets | 68,333 | 80,724 | |
Other derivatives, at fair value | 40,539 | 8,027 | [1] |
Interest rate swaps, at fair value | 1,328,729 | 1,608,286 | [1] |
Derivative liabilities | 1,369,268 | 1,616,313 | |
Future | |||
Derivatives, Fair Value [Line Items] | |||
Other derivatives, at fair value | 7,734 | 117 | |
Other derivatives, at fair value | 16,162 | 3,769 | |
Interest Rate Swaption | |||
Derivatives, Fair Value [Line Items] | |||
Other derivatives, at fair value | 6 | 5,382 | |
TBA Derivatives | |||
Derivatives, Fair Value [Line Items] | |||
Other derivatives, at fair value | 30,334 | ||
Other derivatives, at fair value | $ 24,377 | $ 4,258 | |
[1] | Derived from the audited consolidated financial statements at December 31, 2014. |
Summary of Characteristics of I
Summary of Characteristics of Interest Rate Swaps (Detail) - Interest Rate Swaps - USD ($) $ in Thousands | 6 Months Ended | 12 Months Ended | |
Jun. 30, 2015 | Dec. 31, 2014 | ||
Derivative Instruments: | |||
Current Notional | [1] | $ 28,951,221 | $ 31,461,505 |
Weighted Average Pay Rate | [2],[3] | 2.29% | 2.49% |
Weighted Average Receive Rate | [2] | 0.40% | 0.22% |
Average Years to Maturity | [2] | 7 years 9 months 4 days | 8 years 4 months 17 days |
0 - 3 years | |||
Derivative Instruments: | |||
Derivative Instruments minimum maturity period | |||
Derivative Instruments maximum maturity period | 3 years | 3 years | |
Current Notional | [1] | $ 2,852,471 | $ 2,502,505 |
Weighted Average Pay Rate | [2],[3] | 1.78% | 1.63% |
Weighted Average Receive Rate | [2] | 0.20% | 0.17% |
Average Years to Maturity | [2] | 2 years 2 months 12 days | 2 years 7 months 21 days |
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 | [1] | $ 11,163,000 | $ 11,138,000 |
Weighted Average Pay Rate | [2],[3] | 1.81% | 2.06% |
Weighted Average Receive Rate | [2] | 0.46% | 0.22% |
Average Years to Maturity | [2] | 4 years 9 months 7 days | 5 years 2 months 5 days |
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 | [1] | $ 11,201,350 | $ 13,069,200 |
Weighted Average Pay Rate | [2],[3] | 2.45% | 2.67% |
Weighted Average Receive Rate | [2] | 0.44% | 0.23% |
Average Years to Maturity | [2] | 8 years 4 months 10 days | 8 years 6 months 26 days |
Greater than 10 years | |||
Derivative Instruments: | |||
Derivative Instruments minimum maturity period | 10 years | 10 years | |
Current Notional | [1] | $ 3,734,400 | $ 4,751,800 |
Weighted Average Pay Rate | [2],[3] | 3.70% | 3.58% |
Weighted Average Receive Rate | [2] | 0.23% | 0.20% |
Average Years to Maturity | [2] | 19 years 10 months 13 days | 19 years 6 months 11 days |
[1] | Notional amount includes $2.6 billion and $500.0 million in forward starting pay fixed swaps as of June 30, 2015 and December 31, 2014, respectively. | ||
[2] | Excludes forward starting swaps. | ||
[3] | Weighted average fixed rate on forward starting pay fixed swaps was 1.77% and 3.25% as of June 30, 2015 and December 31, 2014, respectively. |
Summary of Characteristics of69
Summary of Characteristics of Interest Rate Swaps (Parenthetical) (Detail) - Forward Starting Pay Fixed Swaps - USD ($) $ in Millions | Jun. 30, 2015 | Dec. 31, 2014 |
Derivative Instruments: | ||
Notional amount | $ 2,600 | $ 500 |
Weighted average fixed rate | 1.77% | 3.25% |
Summary of Characteristics of70
Summary of Characteristics of Interest Rate Swaptions (Detail) - Interest Rate Swaption - Long - USD ($) $ in Thousands | 6 Months Ended | 12 Months Ended |
Jun. 30, 2015 | Dec. 31, 2014 | |
Derivative Instruments: | ||
Current Underlying Notional | $ 500,000 | $ 1,750,000 |
Underlying Pay Rate | 2.87% | 2.88% |
Underlying Receive Rate | 3M LIBOR | |
Years to Maturity | 8 years 6 months 18 days | 9 years 2 months 1 day |
Months to Expiration | 5 months 19 days | 3 years 7 months 2 days |
Summary of Characteristics of T
Summary of Characteristics of TBA Derivatives (Detail) - TBA Derivatives - USD ($) $ in Thousands | 6 Months Ended | 12 Months Ended |
Jun. 30, 2015 | Dec. 31, 2014 | |
Derivative Instruments: | ||
Notional | $ 13,000,000 | $ (375,000) |
Implied Cost Basis | 13,311,297 | (375,430) |
Implied Market Value | 13,317,254 | (379,688) |
Carrying Value | 5,957 | (4,258) |
Long | ||
Derivative Instruments: | ||
Notional | 13,000,000 | |
Implied Cost Basis | 13,311,297 | |
Implied Market Value | 13,317,254 | |
Carrying Value | $ 5,957 | |
Short | ||
Derivative Instruments: | ||
Notional | (375,000) | |
Implied Cost Basis | (375,430) | |
Implied Market Value | (379,688) | |
Carrying Value | $ (4,258) |
Summary of Certain Characterist
Summary of Certain Characteristics of Derivatives (Detail) - Jun. 30, 2015 - USD ($) $ in Thousands | Total |
Swap equivalent Eurodollar contracts | 2-year | |
Derivative Instruments: | |
Derivative Instruments, maturity period | 2 years |
Average Years to Maturity | 2 years |
Us Treasury futures | 5 year | |
Derivative Instruments: | |
Derivative Instruments, maturity period | 5 years |
Average Years to Maturity | 4 years 5 months 1 day |
Us Treasury futures | 10 year and greater | |
Derivative Instruments: | |
Derivative Instruments minimum maturity period | 10 years |
Average Years to Maturity | 6 years 11 months 1 day |
Future | |
Derivative Instruments: | |
Average Years to Maturity | 3 years 3 months 4 days |
Short | Swap equivalent Eurodollar contracts | 2-year | |
Derivative Instruments: | |
Notional - Long Positions | $ (5,000,000) |
Short | Us Treasury futures | 5 year | |
Derivative Instruments: | |
Notional - Long Positions | (2,273,000) |
Short | Us Treasury futures | 10 year and greater | |
Derivative Instruments: | |
Notional - Long Positions | (1,007,500) |
Short | Future | |
Derivative Instruments: | |
Notional - Long Positions | $ (8,280,500) |
Offsetting of Derivative Assets
Offsetting of Derivative Assets and Liabilities (Detail) - USD ($) $ in Thousands | Jun. 30, 2015 | Dec. 31, 2014 | |
Offsetting Assets [Line Items] | |||
Gross Amounts, Liabilities | $ 40,539 | $ 8,027 | [1] |
Future | |||
Offsetting Assets [Line Items] | |||
Gross Amounts, Assets | 7,734 | 117 | |
Amounts Eligible for Offset -Financial Instruments, Assets | (1,594) | (117) | |
Amounts Eligible for Offset-Cash Collateral, Assets | 0 | 0 | |
Net Amounts, Assets | 6,140 | ||
Gross Amounts, Liabilities | 16,162 | 3,769 | |
Amounts Eligible for Offset-Financial Instruments, Liabilities | (1,594) | (117) | |
Amounts Eligible for Offset -Cash Collateral, Liabilities | (14,568) | ||
Net Amounts, Liabilities | 3,652 | ||
Interest Rate Swaps | |||
Offsetting Assets [Line Items] | |||
Gross Amounts, Assets | 30,259 | 75,225 | |
Amounts Eligible for Offset -Financial Instruments, Assets | (27,869) | (66,180) | |
Amounts Eligible for Offset-Cash Collateral, Assets | 0 | 0 | |
Net Amounts, Assets | 2,390 | 9,045 | |
Gross Amounts, Liabilities | 1,328,729 | 1,608,286 | |
Amounts Eligible for Offset-Financial Instruments, Liabilities | (27,869) | (66,180) | |
Amounts Eligible for Offset -Cash Collateral, Liabilities | (709,143) | (869,302) | |
Net Amounts, Liabilities | 591,717 | 672,804 | |
TBA Derivatives | |||
Offsetting Assets [Line Items] | |||
Gross Amounts, Assets | 30,334 | ||
Amounts Eligible for Offset -Financial Instruments, Assets | (17,976) | ||
Amounts Eligible for Offset-Cash Collateral, Assets | 0 | ||
Net Amounts, Assets | 12,358 | ||
Gross Amounts, Liabilities | 24,377 | 4,258 | |
Amounts Eligible for Offset-Financial Instruments, Liabilities | (17,976) | ||
Net Amounts, Liabilities | 6,401 | 4,258 | |
Interest Rate Swaption | |||
Offsetting Assets [Line Items] | |||
Gross Amounts, Assets | 6 | 5,382 | |
Amounts Eligible for Offset-Cash Collateral, Assets | 0 | 0 | |
Net Amounts, Assets | $ 6 | $ 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 ($) $ in Thousands | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | ||
Effect of Derivatives on Statement of Operations and Comprehensive Income: | |||||
Realized gains (losses) on interest rate swaps | [1],[2] | $ (144,465) | $ (220,934) | $ (302,704) | $ (481,369) |
Realized gain (losses) on termination of interest rate swaps | (772,491) | (226,462) | (779,333) | ||
Unrealized gains (losses) on interest rate swaps | $ 700,792 | $ 175,062 | $ 234,590 | $ (173,880) | |
[1] | Consists of interest expense on interest rate swaps. | ||||
[2] | Interest expense related to the Company's interest rate swaps is recorded in Realized gains (losses) on interest rate swaps on the Consolidated Statements of Comprehensive Income (Loss). |
Effect of Other Derivative Cont
Effect of Other Derivative Contracts on the Consolidated Statements of Operations and Comprehensive Income (Loss) (Detail) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | ||
Derivative Instruments: | |||||
Unrealized Gain (Loss) | $ 700,792 | $ 175,062 | $ 234,590 | $ (173,880) | |
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Trading Assets | (114,221) | (46,508) | (121,119) | (198,332) | |
Future | |||||
Derivative Instruments: | |||||
Realized Gain (Loss) | (14,737) | ||||
Unrealized Gain (Loss) | (4,775) | ||||
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Trading Assets | (19,512) | ||||
Us Treasury futures | |||||
Derivative Instruments: | |||||
Realized Gain (Loss) | (9,230) | (6,806) | (12,475) | ||
Unrealized Gain (Loss) | 53,351 | 225 | (2,824) | ||
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Trading Assets | 44,121 | (6,581) | (15,299) | ||
TBA Derivatives | |||||
Derivative Instruments: | |||||
Realized Gain (Loss) | [1] | (50,801) | (7,046) | (106,445) | (44,883) |
Unrealized Gain (Loss) | [1] | (106,974) | (3,628) | 10,213 | (15,038) |
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Trading Assets | [1] | (157,775) | (10,674) | (96,232) | (59,921) |
Interest Rate Swaption | |||||
Derivative Instruments: | |||||
Realized Gain (Loss) | (7,600) | (31,039) | (29,491) | (71,981) | |
Unrealized Gain (Loss) | 7,033 | 1,786 | 24,116 | (51,131) | |
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Trading Assets | $ (567) | $ (29,253) | $ (5,375) | $ (123,112) | |
[1] | Includes options on TBA securities. |
Derivative Instruments - Narrat
Derivative Instruments - Narrative (Detail) $ in Billions | Jun. 30, 2015USD ($) |
Derivative Instruments: | |
Derivative instruments, net liability position, aggregate fair value | $ 1.3 |
Convertible Senior Notes - Narr
Convertible Senior Notes - Narrative (Detail) - USD ($) $ in Thousands | 1 Months Ended | 6 Months Ended | 12 Months Ended | ||
Feb. 28, 2015 | May. 31, 2012 | Jun. 30, 2015 | Dec. 31, 2010 | May. 31, 2015 | |
Convertible Senior Notes: | |||||
Repayment of convertible senior notes | $ 857,541 | ||||
Convertible Senior Notes 4.00 Percent Due 2015 | |||||
Convertible Senior Notes: | |||||
Issued convertible senior notes, aggregate principal amount | $ 600,000 | ||||
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 | ||||
Repurchase of Convertible senior notes | $ 492,500 | ||||
Repayment of convertible senior notes | $ 107,500 | ||||
Convertible Senior Notes 5.00 Percent Due 2015 | |||||
Convertible Senior Notes: | |||||
Issued convertible senior notes, aggregate principal amount | $ 750,000 | ||||
Issued convertible senior notes, interest rate | 5.00% | ||||
Issued convertible senior notes, net proceeds following underwriting expenses | $ 727,500 | ||||
Debt instrument face amount | $ 750,000 |
Common Stock and Preferred St78
Common Stock and Preferred Stock - Narrative (Detail) - USD ($) $ / shares in Units, $ in Thousands | 3 Months Ended | 6 Months Ended | 12 Months Ended | |||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | Dec. 31, 2014 | ||
Class of Stock [Line Items] | ||||||
Common Stock, par value | $ 0.01 | $ 0.01 | $ 0.01 | [1] | ||
Common Stock, shares authorized | 1,956,937,500 | 1,956,937,500 | 1,956,937,500 | [1] | ||
Common Stock, shares issued | 947,768,496 | 947,768,496 | 947,643,079 | [1] | ||
Common Stock, shares outstanding | 947,768,496 | 947,768,496 | 947,643,079 | [1] | ||
Options exercised under incentive plans, shares | 0 | 0 | ||||
Direct purchase and dividend reinvestment program - value raised | $ 1,146 | $ 1,208 | ||||
Direct purchase and dividend reinvestment program - issued shares | 111,000 | 108,000 | ||||
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 | March 2,012 | |||||
Number of common shares authorized for issuance under the Distribution Agency Agreement | 125,000,000 | 125,000,000 | 125,000,000 | 125,000,000 | ||
Common stock - dividend declared | $ 568,641 | $ 568,508 | ||||
Dividends payable, date to be paid | Jul. 30, 2015 | Jul. 29, 2014 | ||||
Dividends declared per share of common stock | $ 0.30 | $ 0.30 | $ 0.60 | $ 0.60 | ||
7.875% Series A Cumulative Redeemable Preferred Stock | ||||||
Class of Stock [Line Items] | ||||||
Preferred Stock, shares authorized | 7,412,500 | 7,412,500 | 7,412,500 | [1] | ||
Preferred Stock, shares issued | 7,412,500 | 7,412,500 | 7,412,500 | [1] | ||
Preferred Stock, shares outstanding | 7,412,500 | 7,412,500 | 7,412,500 | [1] | ||
Preferred Stock, par value | $ 0.01 | $ 0.01 | $ 0.01 | |||
Preferred Stock liquidation preference, per share | 25 | $ 25 | $ 25 | |||
Preferred Stock dividend rate, percentage | 7.875% | 7.875% | ||||
Preferred Stock redeemable price, per share | $ 25 | $ 25 | $ 25 | |||
Preferred Stock redemption date | Apr. 5, 2009 | |||||
Preferred dividends declared | $ 7,300 | $ 7,300 | ||||
Preferred series dividends declared, per share | $ 0.984 | $ 0.984 | ||||
6.00% Series B Cumulative Convertible Preferred Stock | ||||||
Class of Stock [Line Items] | ||||||
Preferred Stock, shares authorized | 4,600,000 | 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 | 12,650,000 | [1] | ||
Preferred Stock, shares issued | 12,000,000 | 12,000,000 | 12,000,000 | [1] | ||
Preferred Stock, shares outstanding | 12,000,000 | 12,000,000 | 12,000,000 | [1] | ||
Preferred Stock, par value | $ 0.01 | $ 0.01 | $ 0.01 | |||
Preferred Stock liquidation preference, per share | 25 | $ 25 | $ 25 | |||
Preferred Stock dividend rate, percentage | 7.625% | 7.625% | ||||
Preferred Stock redeemable price, per share | $ 25 | $ 25 | $ 25 | |||
Preferred Stock redemption date | May 16, 2017 | |||||
Preferred dividends declared | $ 11,400 | $ 11,400 | ||||
Preferred series dividends declared, per share | $ 0.953 | $ 0.953 | ||||
7.50% Series D Cumulative Redeemable Preferred Stock | ||||||
Class of Stock [Line Items] | ||||||
Preferred Stock, shares authorized | 18,400,000 | 18,400,000 | 18,400,000 | [1] | ||
Preferred Stock, shares issued | 18,400,000 | 18,400,000 | 18,400,000 | [1] | ||
Preferred Stock, shares outstanding | 18,400,000 | 18,400,000 | 18,400,000 | [1] | ||
Preferred Stock, par value | $ 0.01 | $ 0.01 | $ 0.01 | |||
Preferred Stock liquidation preference, per share | 25 | $ 25 | $ 25 | |||
Preferred Stock dividend rate, percentage | 7.50% | 7.50% | ||||
Preferred Stock redeemable price, per share | $ 25 | $ 25 | $ 25 | |||
Preferred Stock redemption date | Sep. 13, 2017 | |||||
Preferred dividends declared | $ 17,300 | $ 17,300 | ||||
Preferred series dividends declared, per share | $ 0.938 | $ 0.938 | ||||
[1] | Derived from the audited consolidated financial statements at December 31, 2014. |
Components of Company's Interes
Components of Company's Interest Income and Interest Expense (Detail) - Entity [Domain] - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | ||
Interest income: | |||||
Investment Securities | $ 570,493 | $ 640,287 | $ 1,048,732 | $ 1,254,706 | |
Commercial investment portfolio | [1] | 52,429 | 43,325 | 92,765 | 82,811 |
U.S. Treasury securities | 1,329 | ||||
Securities loaned | 114 | ||||
Reverse repurchase agreements | 1,355 | 271 | 1,894 | 771 | |
Other | 69 | 79 | 127 | 132 | |
Total interest income | 624,346 | 683,962 | 1,143,518 | 1,339,863 | |
Interest expense: | |||||
Repurchase agreements | 101,225 | 103,773 | 203,973 | 206,904 | |
Convertible Senior Notes | 6,113 | 20,319 | 29,740 | 39,216 | |
U.S. Treasury securities sold, not yet purchased | 1,076 | ||||
Securities borrowed | 95 | ||||
Securitized debt of consolidated VIEs | 5,475 | 1,853 | 8,357 | 3,464 | |
Participation sold | 159 | 162 | 318 | 323 | |
Other | 100 | 104 | |||
Total interest expense | 113,072 | 126,107 | 242,492 | 251,078 | |
Net interest income | $ 511,274 | $ 557,855 | $ 901,026 | $ 1,088,785 | |
[1] | Includes commercial real estate debt, preferred equity and corporate debt. |
Goodwill - Additional Informati
Goodwill - Additional Information (Detail) - USD ($) $ in Thousands | 6 Months Ended | ||
Jun. 30, 2015 | Dec. 31, 2014 | [1] | |
Goodwill and Intangible Assets Disclosure [Line Items] | |||
Goodwill | $ 71,815 | $ 94,781 | |
Reduction of goodwill related to FIDAC | $ (23,000) | ||
[1] | Derived from the audited consolidated financial statements at December 31, 2014. |
Schedule of Net Income (Loss) P
Schedule of Net Income (Loss) Per Share Reconciliation (Detail) - Entity [Domain] - USD ($) $ / shares in Units, $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | |
Net Income Per Common Share: | ||||
Net income (loss) | $ 900,071 | $ (335,512) | $ 423,572 | $ (538,863) |
Less: Net income (loss) attributable to noncontrolling interest | (149) | (239) | ||
Net income (loss) attributable to Annaly | 900,220 | (335,512) | 423,811 | (538,863) |
Less: Preferred stock dividends | 17,992 | 17,992 | 35,984 | 35,984 |
Net income (loss) per share available (related) to common stockholders, prior to adjustment for dilutive potential common shares, if necessary | 882,228 | (353,504) | 387,827 | (574,847) |
Add: Interest on Convertible Senior Notes, if dilutive | 0 | 0 | 0 | 0 |
Net income (loss) available to common stockholders, as adjusted | $ 882,228 | $ (353,504) | $ 387,827 | $ (574,847) |
Weighted average shares of common stock outstanding-basic | 947,731,493 | 947,515,127 | 947,700,832 | 947,487,125 |
Add: Effect of stock awards and Convertible Senior Notes, if dilutive | 198,269 | 178,126 | ||
Weighted average shares of common stock outstanding-diluted | 947,929,762 | 947,515,127 | 947,878,958 | 947,487,125 |
Net income (loss) per share available (related) to common share: | ||||
Basic | $ 0.93 | $ (0.37) | $ 0.41 | $ (0.61) |
Diluted | $ 0.93 | $ (0.37) | $ 0.41 | $ (0.61) |
Net Income Per Common Share - N
Net Income Per Common Share - Narrative (Detail) - shares shares in Millions | 6 Months Ended | |
Jun. 30, 2015 | Jun. 30, 2014 | |
Net Income Per Common Share: | ||
Options to purchase common stock outstanding that would be considered anti-dilutive | 2 | 2.4 |
Long-Term Stock Incentive Plans
Long-Term Stock Incentive Plans - Narrative (Detail) - USD ($) | 6 Months Ended | |
Jun. 30, 2015 | Jun. 30, 2014 | |
Long-Term Stock Incentive Plans: | ||
Weighted average remaining contractual term of stock options outstanding, years | 2 years 7 months 6 days | 3 years 7 months 6 days |
Weighted average remaining contractual term of stock options exercisable, years | 2 years 7 months 6 days | 3 years 7 months 6 days |
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 Op
Issued and Outstanding Stock Options (Detail) - $ / shares | 6 Months Ended | |
Jun. 30, 2015 | Jun. 30, 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 | (259,799) | (863,167) |
Expired | (6,250) | (305,750) |
Options outstanding at the end of period | 1,993,286 | 2,412,835 |
Options exercisable at the end of period | 1,993,286 | 2,412,835 |
Options outstanding at the beginning of period, weighted average exercise price | $ 15.35 | $ 15.44 |
Granted | 0 | 0 |
Exercised | 0 | 0 |
Forfeited | 15.26 | 15.12 |
Expired | 17.24 | 17.34 |
Options outstanding at the end of period, weighted average exercise price | 15.36 | 15.31 |
Options exercisable at the end of period, exercise price | $ 15.36 | $ 15.31 |
Income Taxes - Narrative (Detai
Income Taxes - Narrative (Detail) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | |
Income Taxes: | ||||
REIT Taxable income distributed | 100.00% | |||
Income tax expense for income attributable to its TRSs. | $ (7,683) | $ (852) | $ (7,669) | $ 3,149 |
Years federal and state tax returns remain open for examination | ||||
TRSs | ||||
Income Taxes: | ||||
Income tax expense for income attributable to its TRSs. | $ (7,700) | $ 1,400 | $ (7,700) | $ 5,400 |
Lease Commitments And Conting86
Lease Commitments And Contingencies - Narrative (Detail) - USD ($) $ in Millions | 6 Months Ended | |
Jun. 30, 2015 | Jun. 30, 2014 | |
Lease Commitments and Contingencies: | ||
Aggregate future net minimum lease payments | $ 37.3 | |
Lease expense | $ 0.8 | $ 0.7 |
Lease Commitments And Conting87
Lease Commitments And Contingencies (Detail) $ in Thousands | Jun. 30, 2015USD ($) |
Lease Commitments and Contingencies: | |
Lease Commitment - 2015 remaining | $ 1,071 |
Lease Commitment - 2016 | 3,575 |
Lease Commitment - 2017 | 3,565 |
Lease Commitment - 2018 | 3,565 |
Lease Commitment - 2019 | 3,565 |
Lease Commitment - Later years | 21,993 |
Aggregate future minimum lease payments | $ 37,334 |
RCap Regulatory Requirements -
RCap Regulatory Requirements - Narrative (Detail) $ in Millions | Jun. 30, 2015USD ($) |
RCAP Regulatory Requirements: | |
Minimum net capital requirement | $ 0.3 |
Regulatory net capital | 397.9 |
Regulatory net capital, excess net capital | $ 397.6 |
Related Party Transactions - Na
Related Party Transactions - Narrative (Detail) - USD ($) $ in Thousands, shares in Millions | Nov. 05, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | Dec. 31, 2014 | Aug. 31, 2014 | |
Investments with affiliate, available-for-sale equity securities - fair value | $ 123,343 | $ 123,343 | $ 143,045 | [1] | ||||
Receivable for advisory and service fees, from affiliates | $ 10,589 | $ 10,589 | $ 10,402 | [1] | ||||
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 | Dec. 31, 2016 | |||||||
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 | |||||||
Chimera | ||||||||
Investments with affiliate, available-for-sale equity securities - shares | 9 | 9 | 9 | |||||
Investments with affiliate, available-for-sale equity securities - fair value | $ 123,300 | $ 123,300 | $ 143,000 | |||||
Reverse stock split description | On April 6, 2015, Chimera executed a 1:5 reverse stock split. | |||||||
Investments with affiliate, available-for-sale equity securities - unrealized gains | $ (15,500) | 4,200 | ||||||
Advisory fees from affiliate | 10,600 | $ 6,100 | $ 21,100 | $ 12,200 | ||||
Effective date | August 8, 2014 | |||||||
Management fee percentage | 75.00% | |||||||
Receivable for advisory and service fees, from affiliates | $ 10,600 | $ 10,600 | $ 10,400 | |||||
Chimera | Maximum | ||||||||
Management fee percentage | 120.00% | |||||||
[1] | Derived from the audited consolidated financial statements at December 31, 2014. |
Subsequent Events (Detail)
Subsequent Events (Detail) - Aug. 05, 2015 - Subsequent Event - USD ($) $ in Millions | Total |
Subsequent Event [Line Items] | |
Share repurchase program expiration date | Dec. 31, 2016 |
Maximum | |
Subsequent Event [Line Items] | |
Number of shares to be repurchased | 1,000,000,000 |
Chimera | |
Subsequent Event [Line Items] | |
Number of shares to be repurchased | 9,000,000 |
Number of shares to be repurchased , value | $ 126.4 |
Share repurchase program expiration date | Aug. 17, 2015 |