Document and Entity Information
Document and Entity Information - shares | 9 Months Ended | |
Sep. 30, 2015 | Oct. 30, 2015 | |
Document Information [Line Items] | ||
Document Type | 10-Q | |
Amendment Flag | false | |
Document Period End Date | Sep. 30, 2015 | |
Document Fiscal Year Focus | 2,015 | |
Document Fiscal Period Focus | Q3 | |
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 | 947,835,514 |
CONSOLIDATED STATEMENTS OF FINA
CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION - USD ($) $ in Thousands | Sep. 30, 2015 | Dec. 31, 2014 | ||
ASSETS | ||||
Cash and cash equivalents (including cash pledged as collateral of $2,098,919 and $1,584,701, respectively) | $ 2,237,423 | $ 1,741,244 | [1] | |
Reverse repurchase agreements | [1] | 100,000 | ||
Investments, at fair value: | ||||
Agency debentures (including pledged assets of $97,463 and $1,368,350, respectively) | 413,115 | 1,368,350 | [1] | |
Credit risk transfer securities (including pledged assets of $101,908 and $0, respectively) | 330,727 | |||
Commercial real estate debt investments (including pledged assets of $2,881,659 and $0, respectively) | [2] | 2,881,659 | ||
Investment in affiliate | [1] | 143,045 | ||
Commercial real estate debt and preferred equity, held for investment (including pledged assets of $220,390 and $0, respectively) | [3] | 1,316,595 | 1,518,165 | [1] |
Loans held for sale | 476,550 | |||
Investments in commercial real estate | 301,447 | 210,032 | [1] | |
Corporate debt | 424,974 | 166,464 | [1] | |
Receivable for investments sold | 127,571 | 1,010,094 | [1] | |
Accrued interest and dividends receivable | 228,169 | 278,489 | [1] | |
Receivable for investment advisory income (including from affiliate of $3,992 and $10,402, respectively) | 3,992 | 10,402 | [1] | |
Goodwill | 71,815 | 94,781 | [1] | |
Interest rate swaps, at fair value | 39,295 | 75,225 | [1] | |
Other derivatives, at fair value | 87,516 | 5,499 | [1] | |
Other assets | 101,162 | 68,321 | [1] | |
Total assets | 75,338,687 | 88,355,367 | [1] | |
Liabilities: | ||||
Repurchase Agreements | 56,449,364 | 71,361,926 | [1] | |
Other secured financing | 359,970 | |||
Convertible Senior Notes | [1] | 845,295 | ||
Securitized debt of consolidated VIEs | [4] | 2,553,398 | 260,700 | [1] |
Mortgages payable | 166,697 | 146,553 | [1] | |
Participation sold | 13,389 | 13,693 | [1] | |
Payable for investments purchased | 744,378 | 264,984 | [1] | |
Accrued interest payable | 145,554 | 180,501 | [1] | |
Dividends payable | 284,348 | 284,293 | [1] | |
Interest rate swaps, at fair value | 2,160,350 | 1,608,286 | [1] | |
Other derivatives, at fair value | 113,626 | 8,027 | [1] | |
Accounts payable and other liabilities | 63,280 | 47,328 | [1] | |
Total liabilities | 63,054,354 | 75,021,586 | [1] | |
Stockholders' Equity: | ||||
Common stock, par value $0.01 per share, 1,956,937,500 authorized, 947,826,176 and 947,643,079 issued and outstanding, respectively | 9,478 | 9,476 | [1] | |
Additional paid-in capital | 14,789,320 | 14,786,509 | [1] | |
Accumulated other comprehensive income (loss) | 262,855 | 204,883 | [1] | |
Accumulated deficit | (3,695,884) | (2,585,436) | [1] | |
Total stockholders' equity | 12,278,828 | 13,328,491 | [1] | |
Noncontrolling interest | 5,505 | 5,290 | [1] | |
Total equity | 12,284,333 | 13,333,781 | [1] | |
Total liabilities and equity | 75,338,687 | 88,355,367 | [1] | |
Agency Mortgage Backed Securities | ||||
Investments, at fair value: | ||||
Mortgage-backed securities, including pledged assets | 65,806,640 | 81,565,256 | [1] | |
Liabilities: | ||||
Repurchase Agreements | 55,938,484 | 70,047,678 | ||
Non-Agency mortgage-backed securities [Member] | ||||
Investments, at fair value: | ||||
Mortgage-backed securities, including pledged assets | 490,037 | |||
7.875% Series A Cumulative Redeemable Preferred Stock | ||||
Stockholders' Equity: | ||||
Cumulative Redeemable Preferred Stock | 177,088 | 177,088 | [1] | |
Total equity | 177,088 | 177,088 | ||
7.625% Series C Cumulative Redeemable Preferred Stock | ||||
Stockholders' Equity: | ||||
Cumulative Redeemable Preferred Stock | 290,514 | 290,514 | [1] | |
Total equity | 290,514 | 290,514 | ||
7.50% Series D Cumulative Redeemable Preferred Stock | ||||
Stockholders' Equity: | ||||
Cumulative Redeemable Preferred Stock | 445,457 | 445,457 | [1] | |
Total equity | $ 445,457 | $ 445,457 | ||
[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 September 30, 2015 and December 31, 2014, respectively. | |||
[3] | Includes senior securitized commercial mortgage loans of a consolidated VIE with a carrying value of $314.9 million and $398.6 million carried at amortized cost, net of an allowance for losses of $0, at September 30, 2015 and December 31, 2014. | |||
[4] | Includes securitized debt of consolidated VIEs carried at fair value of $2.4 billion and $0 at September 30, 2015 and December 31, 2014, respectively. |
CONSOLIDATED STATEMENTS OF FIN3
CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION (Parenthetical) - USD ($) $ in Thousands | Sep. 30, 2015 | Dec. 31, 2014 | [1] | |
Cash pledged as collateral | $ 2,098,919 | $ 1,584,701 | ||
Agency debentures, pledged assets | 97,463 | 1,368,350 | ||
Credit risk transfer securities, pledged assets | 101,908 | 0 | ||
Commercial real estate debt investments, pledged assets | 2,881,659 | 0 | ||
Commercial real estate debt and preferred equity, held for investment, pledged assets | [2] | 220,390 | 0 | |
Receivable for investment advisory income, from affiliates | $ 3,992 | $ 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 | 947,826,176 | 947,643,079 | ||
Common Stock, shares outstanding | 947,826,176 | 947,643,079 | ||
Senior Secured mortgages of Consolidated VIE, carrying value | $ 314,900 | $ 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 | 2,377,067 | 0 | ||
Non-Agency mortgage-backed securities [Member] | ||||
Mortgage-backed securities, pledged assets | $ 332,034 | $ 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 | ||
Agency Mortgage Backed Securities | ||||
Mortgage-backed securities, pledged assets | $ 59,721,331 | $ 74,006,480 | ||
[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 $0 at September 30, 2015 and December 31, 2014, respectively. |
CONSOLIDATED STATEMENTS OF COMP
CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2015 | Sep. 30, 2014 | Sep. 30, 2015 | Sep. 30, 2014 | ||
Net interest income: | |||||
Interest income | $ 450,792 | $ 644,640 | $ 1,594,310 | $ 1,984,503 | |
Interest expense | 110,297 | 127,069 | 352,789 | 378,147 | |
Net interest income | 340,495 | 517,571 | 1,241,521 | 1,606,356 | |
Realized and unrealized gains (losses): | |||||
Realized gains (losses) on interest rate swaps | [1],[2] | (162,304) | (169,083) | (465,008) | (650,452) |
Realized gains (losses) on termination of interest rate swaps | (226,462) | (779,333) | |||
Unrealized gains (losses) on interest rate swaps | (822,585) | 98,593 | (587,995) | (75,287) | |
Subtotal | (984,889) | (70,490) | (1,279,465) | (1,505,072) | |
Net gains (losses) on disposal of investments | (7,943) | 4,693 | 58,246 | 90,296 | |
Net gains (losses) on trading assets | 108,175 | 4,676 | (12,961) | (188,041) | |
Net unrealized gains (losses) on financial instruments measured at fair value through earnings | (24,501) | (37,944) | (40,466) | (56,652) | |
Impairment of goodwill | (22,966) | ||||
Subtotal | 75,731 | (28,575) | (18,147) | (154,397) | |
Total realized and unrealized gains (losses) | (909,158) | (99,065) | (1,297,612) | (1,659,469) | |
Other income (loss): | |||||
Investment advisory income | 3,780 | 8,253 | 24,848 | 20,485 | |
Dividend income from affiliate | 4,048 | 8,636 | 21,141 | ||
Other income (loss) | (13,521) | (22,249) | (36,947) | (16,102) | |
Total other income (loss) | (9,741) | (9,948) | (3,463) | 25,524 | |
General and administrative expenses: | |||||
Compensation and management fee | 37,450 | 39,028 | 113,093 | 116,826 | |
Other general and administrative expenses | 12,007 | 12,289 | 39,311 | 34,058 | |
Total general and administrative expenses | 49,457 | 51,317 | 152,404 | 150,884 | |
Income (loss) before income taxes | (627,861) | 357,241 | (211,958) | (178,473) | |
Income taxes | (370) | 2,385 | (8,039) | 5,534 | |
Net income (loss) | (627,491) | 354,856 | (203,919) | (184,007) | |
Net income (loss) attributable to noncontrolling interest | (197) | (436) | |||
Net income (loss) attributable to Annaly | (627,294) | 354,856 | (203,483) | (184,007) | |
Dividends on preferred stock | 17,992 | 17,992 | 53,976 | 53,976 | |
Net income (loss) available (related) to common stockholders | $ (645,286) | $ 336,864 | $ (257,459) | $ (237,983) | |
Net income (loss) per share available (related) to common stockholders: | |||||
Basic | $ (0.68) | $ 0.36 | $ (0.27) | $ (0.25) | |
Diluted | $ (0.68) | $ 0.35 | $ (0.27) | $ (0.25) | |
Weighted average number of common shares outstanding: | |||||
Basic | 947,795,500 | 947,565,432 | 947,732,735 | 947,513,514 | |
Diluted | 947,795,500 | 987,315,527 | 947,732,735 | 947,513,514 | |
Dividends declared per share of common stock | $ 0.30 | $ 0.30 | $ 0.90 | $ 0.90 | |
Net income (loss) | $ (627,491) | $ 354,856 | $ (203,919) | $ (184,007) | |
Other comprehensive income (loss): | |||||
Unrealized gains (losses) on available-for-sale securities | 609,725 | (390,871) | 116,154 | 1,872,427 | |
Reclassification adjustment for net (gains) losses included in net income (loss) | 8,095 | (4,693) | (58,182) | (91,314) | |
Other comprehensive income (loss) | 617,820 | (395,564) | 57,972 | 1,781,113 | |
Comprehensive income (loss) | (9,671) | (40,708) | (145,947) | 1,597,106 | |
Comprehensive income (loss) attributable to noncontrolling interest | (197) | (436) | |||
Comprehensive income (loss) attributable to Annaly | (9,474) | (40,708) | (145,511) | 1,597,106 | |
Dividends on preferred stock | 17,992 | 17,992 | 53,976 | 53,976 | |
Comprehensive income (loss) attributable to common stockholders | $ (27,466) | $ (58,700) | $ (199,487) | $ 1,543,130 | |
[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 | |
Beginning balance at Dec. 31, 2013 | $ 12,405,055 | $ 177,088 | $ 290,514 | $ 445,457 | $ 9,474 | $ 14,765,761 | $ (2,748,933) | $ (534,306) | $ 12,405,055 | ||||||||
Net income (loss) | (184,007) | (184,007) | (184,007) | ||||||||||||||
Unrealized gains (losses) on available-for-sale securities | 1,872,427 | 1,872,427 | 1,872,427 | ||||||||||||||
Reclassification adjustment for net (gains) losses included in net income (loss) | (91,314) | (91,314) | (91,314) | ||||||||||||||
Stock compensation expense | 998 | 998 | 998 | ||||||||||||||
Net proceeds from direct purchase and dividend reinvestment | 1,786 | 2 | 1,784 | 1,786 | |||||||||||||
Contingent beneficial conversion feature on 4% Convertible Senior Notes | 12,765 | 12,765 | 12,765 | ||||||||||||||
Common dividends declared, $0.30 per share | (852,786) | (852,786) | (852,786) | ||||||||||||||
Ending balance at Sep. 30, 2014 | 13,110,948 | 177,088 | 290,514 | 445,457 | 9,476 | 14,781,308 | (967,820) | (1,625,075) | 13,110,948 | ||||||||
Preferred dividends declared | (10,944) | (17,157) | (25,875) | $ (10,944) | $ (17,157) | $ (25,875) | $ (10,944) | $ (17,157) | $ (25,875) | ||||||||
Beginning balance at Dec. 31, 2014 | 13,333,781 | [1] | 177,088 | 290,514 | 445,457 | 9,476 | 14,786,509 | 204,883 | (2,585,436) | 13,328,491 | $ 5,290 | ||||||
Net income (loss) | (203,483) | (203,483) | (203,483) | ||||||||||||||
Net income (loss) attributable to noncontrolling interest | (436) | (436) | |||||||||||||||
Unrealized gains (losses) on available-for-sale securities | 116,154 | 116,154 | 116,154 | ||||||||||||||
Reclassification adjustment for net (gains) losses included in net income (loss) | (58,182) | (58,182) | (58,182) | ||||||||||||||
Stock compensation expense | 1,089 | 1,089 | 1,089 | ||||||||||||||
Net proceeds from direct purchase and dividend reinvestment | 1,724 | 2 | 1,722 | 1,724 | |||||||||||||
Equity contributions from (distributions to) noncontrolling interest | 651 | 651 | |||||||||||||||
Common dividends declared, $0.30 per share | (852,989) | (852,989) | (852,989) | ||||||||||||||
Ending balance at Sep. 30, 2015 | $ 12,284,333 | 177,088 | 290,514 | 445,457 | $ 9,478 | $ 14,789,320 | $ 262,855 | $ (3,695,884) | $ 12,278,828 | $ 5,505 | |||||||
Preferred dividends declared | $ (10,944) | $ (17,157) | $ (25,875) | $ (10,944) | $ (17,157) | $ (25,875) | $ (10,944) | $ (17,157) | $ (25,875) | ||||||||
[1] | Derived from the audited consolidated financial statements at December 31, 2014. |
CONSOLIDATED STATEMENTS OF STO6
CONSOLIDATED STATEMENTS OF STOCKHOLDERS' EQUITY (Parenthetical) - $ / shares | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2015 | Sep. 30, 2014 | Sep. 30, 2015 | Sep. 30, 2014 | |
Dividends declared per share of common stock | $ 0.30 | $ 0.30 | $ 0.90 | $ 0.90 |
7.875% Series A Cumulative Redeemable Preferred Stock | ||||
Preferred series dividends declared, per share | 1.477 | 1.477 | ||
7.625% Series C Cumulative Redeemable Preferred Stock | ||||
Preferred series dividends declared, per share | 1.430 | 1.430 | ||
7.50% Series D Cumulative Redeemable Preferred Stock | ||||
Preferred series dividends declared, per share | $ 1.406 | $ 1.406 |
CONSOLIDATED STATEMENTS OF CASH
CONSOLIDATED STATEMENTS OF CASH FLOWS - USD ($) $ in Thousands | 9 Months Ended | ||
Sep. 30, 2015 | Sep. 30, 2014 | ||
Cash flows from operating activities: | |||
Net income (loss) | $ (203,919) | $ (184,007) | |
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | |||
Amortization of Investment Securities premiums and discounts, net | 633,937 | 466,338 | |
Amortization of commercial real estate investment premiums and discounts, net | (1,080) | 607 | |
Amortization of intangibles | 5,095 | 445 | |
Amortization of deferred financing costs | 5,192 | 8,023 | |
Amortization of net origination fees and costs, net | (3,350) | (3,337) | |
Amortization of contingent beneficial conversion feature and equity component of Convertible Senior Notes | 12,246 | 24,128 | |
Depreciation expense | 8,773 | 1,264 | |
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 | (70,796) | (91,314) | |
Net (gain) loss on sale of investment in affiliate | 12,450 | ||
Stock compensation expense | 1,089 | 998 | |
Impairment of goodwill | 22,966 | ||
Unrealized (gains) losses on interest rate swaps | 587,995 | 75,287 | |
Net unrealized (gains) losses on financial instruments measured at fair value through earnings | 40,466 | 56,652 | |
Equity in net income from unconsolidated joint venture | 414 | ||
Net (gains) losses on trading assets | 12,961 | 188,041 | |
Proceeds from repurchase agreements of RCap | 1,447,650,000 | 747,790,774 | |
Payments on repurchase agreements of RCap | (1,452,000,000) | (742,842,907) | |
Proceeds from reverse repurchase agreements | 39,875,000 | 60,698,578 | |
Payments on reverse repurchase agreements | (39,775,000) | (60,598,578) | |
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 | 7,288 | (98,704) | |
Net change in: | |||
Due to / from brokers | 8,596 | ||
Other assets | (29,324) | (2,011) | |
Accrued interest and dividends receivable | 52,057 | (27,362) | |
Receivable for investment advisory income | 6,410 | (1,530) | |
Accrued interest payable | (34,947) | 34,733 | |
Accounts payable and other liabilities | 17,417 | 2,958 | |
Net cash provided by (used in) operating activities | (3,166,560) | 4,798,984 | |
Cash flows from investing activities: | |||
Payments on purchases of Investment Securities | (13,172,943) | (27,898,595) | |
Proceeds from sales of Investment Securities | 22,081,011 | 15,529,556 | |
Principal payments on Agency mortgage-backed securities | 7,811,368 | 5,945,647 | |
Proceeds from sale of investment in affiliate | 126,402 | ||
Purchase of securitized loans at fair value | (2,574,353) | ||
Origination of commercial real estate investments, net | (826,877) | (206,849) | |
Proceeds from sale of commercial real estate investments | 227,450 | ||
Principal payments on commercial real estate debt investments | 10,170 | ||
Proceeds from sales of commercial real estate held for sale | 26,019 | ||
Principal payments on commercial real estate investments | 327,936 | 237,796 | |
Purchase of investments in real estate | (29,900) | (36,743) | |
Investment in unconsolidated joint venture | (70,602) | ||
Purchase of equity securities | (27,519) | ||
Proceeds from sale of equity securities | 13,119 | ||
Net cash provided by (used in) investing activities | 13,309,874 | (6,429,274) | |
Cash flows from financing activities: | |||
Proceeds from repurchase agreements | 156,196,644 | 147,564,412 | |
Principal payments on repurchase agreements | (166,759,206) | (144,682,558) | |
Payments on maturity of convertible senior notes | (857,541) | ||
Proceeds from other secured financing | 687,935 | ||
Payments on other secured financing | (327,965) | ||
Proceeds from issuance of securitized debt | 2,382,810 | 260,700 | |
Principal repayments on securitized debt | (84,560) | ||
Principal repayments on securitized loans | 201 | ||
Payment of deferred financing cost | (886) | (4,288) | |
Net proceeds from direct purchases and dividend reinvestments | 1,724 | 1,785 | |
Proceeds from mortgages payable | 20,450 | 23,375 | |
Principal payments on participation sold | (220) | (207) | |
Principal payments on mortgages payable | (262) | (30) | |
Distributions to noncontrolling interests | (456) | ||
Contributions from noncontrolling interests | 1,107 | ||
Dividends paid | (906,910) | (906,714) | |
Net cash provided by (used in) financing activities | (9,647,135) | 2,256,475 | |
Net (decrease) increase in cash and cash equivalents | 496,179 | 626,185 | |
Cash and cash equivalents, beginning of period | 1,741,244 | [1] | 552,436 |
Cash and cash equivalents, end of period | 2,237,423 | 1,178,621 | |
Supplemental disclosure of cash flow information: | |||
Interest received | 2,241,301 | 2,454,211 | |
Dividends received | 12,684 | 21,141 | |
Investment advisory income received | 31,258 | 18,955 | |
Interest paid (excluding interest paid on interest rate swaps) | 314,568 | 370,784 | |
Net interest paid on interest rate swaps | 450,750 | 640,316 | |
Taxes paid | 1,926 | 6,925 | |
Noncash investing activities: | |||
Receivable for investments sold | 127,571 | 855,161 | |
Payable for investments purchased | 744,378 | 2,153,789 | |
Net change in unrealized gains (losses) on available-for-sale securities, net of reclassification adjustment | 57,972 | 1,781,113 | |
Noncash financing activities: | |||
Dividends declared, not yet paid | 284,348 | 284,278 | |
Commercial Real Estate Portfolio Segment [Member] | |||
Cash flows from investing activities: | |||
Purchases of commercial real estate debt investments | (368,511) | ||
Sales of commercial real estate debt investments | 41,016 | ||
Corporate Debt Securities [Member] | |||
Cash flows from investing activities: | |||
Payments on purchases of corporate debt | (301,739) | (114,183) | |
Principal payments on corporate debt | $ 43,846 | 88,078 | |
Convertible Senior Notes 5.00 Percent Due 2015 | |||
Noncash financing activities: | |||
Contingent beneficial conversion feature on 4% Convertible Senior Notes | $ 12,765 | ||
[1] | Derived from the audited consolidated financial statements at December 31, 2014. |
DESCRIPTION OF BUSINESS
DESCRIPTION OF BUSINESS | 9 Months Ended |
Sep. 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, 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 both Agency and non-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. - 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. - 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 managed an affiliated real estate investment trust (“REIT”) for which it earned fee income. The Company has elected to be taxed as a Real Estate Investment Trust (“REIT”) as defined under the Internal Revenue Code of 1986, as amended, and regulations promulgated thereunder (the “Code”). |
BASIS OF PRESENTATION
BASIS OF PRESENTATION | 9 Months Ended |
Sep. 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 | 9 Months Ended |
Sep. 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 . or the right to receive benefits from the VIE that could potentially be significant to the VIE. To assess whether the Company has the power to direct the activities of a VIE that most significantly impact the VIE’s economic performance, the Company considers all facts and circumstances, including the Company’s role in establishing the VIE and the Company’s ongoing rights and responsibilities. This assessment includes first, identifying the activities that most significantly impact the VIE’s economic performance; and second, identifying which party, if any, has power over those activities. In general, the parties that make the most significant decisions affecting the VIE or have the right to unilaterally remove those decision makers are deemed to have the power to direct the activities of a VIE. To assess whether the Company has the obligation to absorb losses of the VIE or the right to receive benefits from the VIE that could potentially be significant to the VIE, the Company applies significant judgment and considers all of its economic interests, including debt and equity investments and other arrangements deemed to be variable interests, both explicit and implicit, in the VIE. This assessment requires that the Company applies judgment in determining whether these interests, in the aggregate, are considered potentially significant to the VIE. Factors considered in assessing significance include: the design of the VIE, including its capitalization structure; subordination of interests; payment priority; relative share of interests held across various classes within the VIE’s capital structure; and the reasons why the interests are held by the Company. The Company performs ongoing reassessments of whether changes in the facts and circumstances regarding the Company’s involvement with a VIE causes the Company’s consolidation conclusion regarding the VIE to change. Cash and Cash Equivalents Fair Value Measurements Revenue Recognition – Agency Mortgage-Backed Securities, Agency Debentures, Non-Agency Mortgage-Backed Securities and CRT Securities Agency mortgage-backed securities, Agency debentures, non-Agency mortgage-backed securities and 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 the overall management of its portfolio. Investment Securities classified as available-for-sale are reported at fair value with unrealized gains and losses reported as a component of other comprehensive income (loss). The fair value of Investment Securities classified as available-for-sale are estimated by management and are compared to independent sources for reasonableness. Investment Securities transactions are recorded on trade date, including TBA securities that meet the regular-way securities scope exception from derivative accounting. The Company previously 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 interest-only mortgage-backed securities, non-Agency mortgage-backed securities and certain CRT securities. Interest-only securities and inverse interest-only securities are collectively referred to as “interest-only securities.” These interest-only mortgage-backed securities represent the Company’s right to receive a specified proportion of the contractual interest flows of specific mortgage-backed securities. Interest-only mortgage-backed securities, non-Agency mortgage-backed securities and certain 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. In addition, the Company recognizes income under the retrospective method on substantially all of its Investment Securities classified as available-for-sale. Premiums and discounts associated with the purchase of Investment Securities are amortized or accreted into income over the remaining projected lives of the securities. Using a third-party supplied model and market information to project future cash flows and expected remaining lives of securities, the effective interest rate determined for each security is applied as if it had been in place from the security’s acquisition. The amortized cost of the investment is then adjusted to the amount that would have existed had the new effective yield been applied since the acquisition. The adjustment to amortized cost is offset with a charge or credit to interest income. Changes in interest rates and other market factors will impact prepayment speed projections. 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 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. An impairment of the goodwill associated with the Company’s acquisition of FIDAC was recorded in the nine months ended September 30, 2015. Intangible assets with an estimated useful life are amortized over their expected useful lives. Convertible Senior Notes – A Conversion Feature may be recognized as a result of adjustments to the conversion price for dividends declared to common stockholders. The 4% and 5% Convertible Senior Notes matured in February 2015 and May 2015, respectively. Stock Based Compensation Income Taxes The provisions of ASC 740, Income Taxes Use of Estimates Commercial Real Estate Investments Commercial Real Estate Debt Investments - loans held by consolidated collateralized financing entities. Commercial mortgage backed securities are classified as available-for-sale and reported at fair value with unrealized gains and losses reported as a component of other comprehensive income (loss). Management evaluates commercial mortgage backed securities for other-than-temporary impairment at least quarterly. See the Commercial Real Estate Investment footnote for additional information regarding the consolidated collateralized financing entities. Commercial Real Estate Loans Preferred Equity Interests Held for Investment Allowance for Losses A provision for losses related to CRE Debt and Preferred Equity Investments, including those accounted for under ASC 310-30, Loans and Debt Securities Acquired with Deteriorated Credit Quality 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 applies the equity method of accounting for its investments in joint ventures where it is not considered to have a controlling financial interest. Under the equity method of accounting, the Company will recognize its share of earnings or losses of the investee in the period in which they are reported by the investee. The Company also considers whether there are any indicators of other-than-temporary impairment of joint ventures accounted for under the equity method. 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, that 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 – spread between what is earned on the reverse repurchase agreements and what is paid on the matched repurchase agreements. RCap’s policy is to obtain possession of collateral with a market value in excess of the principal amount loaned under reverse repurchase agreements. To ensure that the market value of the underlying collateral remains sufficient, collateral is valued daily, and RCap will require counterparties to deposit additional collateral, when necessary. All reverse repurchase activities are transacted under master repurchase agreements that give RCap the right, in the event of default, to liquidate collateral held and in some instances, to offset receivables and payables with the same counterparty. 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 2015-16 Business Combinations (Topic 805) Simplifying the Accounting Measurement-Period Adjustments This amendment removes the requirement to present adjustments to provisional amounts retrospectively. The update requires that an acquirer record, in the same period's financial statements, the effect on earnings of changes in depreciation, amortization, or other income effects, if any, as a result of the change to provisional amounts. January 1, 2016 (early adoption permitted) Not expected to have a significant impact on the consolidated financial statements. 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 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 analogize 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, 2018 Not expected to have a significant impact on the consolidated financial statements. Standard Description Date of Adoption Effect on the financial statements or other significant matters Standards that were adopted ASU 2015-15, Interest - Imputation of Interest (Subtopic 835-30) Simplifying the Presentation and Subsequent Measurement of Debt Issuance Costs Associated with Line-of-Credit Arrangements - Amendments to SEC Paragraphs Pursuant to Staff Announcement at June 18, 2015 EITF Meeting (SEC Update) This amendment provides SEC guidance that it would not object to filers presenting debt issue costs related to line-of-credit arrangements as an asset and ratably amortizing the costs over the term of the arrangement. June 18, 2015 (early adoption permitted) Did not have an impact on the consolidated financial statements. 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 commercial mortgage backed securitization transactions. 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 | 9 Months Ended |
Sep. 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 September 30, 2015 and December 31, 2014, which were carried at their fair value: September 30, 2015 Freddie Mac Fannie Mae Ginnie Mae Total (dollars in thousands) Principal outstanding $ 21,598,845 $ 39,061,904 $ 72,826 $ 60,733,575 Unamortized premium 1,913,855 2,909,606 31,899 4,855,360 Unamortized discount (6,039 ) (6,201 ) (11 ) (12,251 ) Amortized cost 23,506,661 41,965,309 104,714 65,576,684 Gross unrealized gains 244,683 547,434 6,467 798,584 Gross unrealized losses (249,094 ) (316,455 ) (3,079 ) (568,628 ) Estimated fair value $ 23,502,250 $ 42,196,288 $ 108,102 $ 65,806,640 Fixed Rate Adjustable Rate Total (dollars in thousands) Amortized cost $ 61,727,096 $ 3,849,588 $ 65,576,684 Gross unrealized gains 668,600 129,984 798,584 Gross unrealized losses (551,434 ) (17,194 ) (568,628 ) Estimated fair value $ 61,844,262 $ 3,962,378 $ 65,806,640 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 September 30, 2015 and December 31, 2014, according to their estimated weighted average life classifications: September 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 $ 26,908 $ 27,387 $ 43,248 $ 42,831 Greater than one year through five years 24,579,949 24,237,266 42,222,114 41,908,586 Greater than five years through ten years 40,978,447 41,081,291 39,018,833 39,098,352 Greater than ten years 221,336 230,740 281,061 283,756 Total $ 65,806,640 $ 65,576,684 $ 81,565,256 $ 81,333,525 The weighted average lives of the Agency mortgage-backed securities at September 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 September 30, 2015 and December 31, 2014. September 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 6,574,181 (61,722 ) 283 4,613,599 (36,959 ) 205 12 Months or More 22,917,561 (506,906 ) 286 35,175,194 (713,311 ) 302 Total 29,491,742 (568,628 ) 569 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 nine months ended September 30, 2015, the Company disposed of $3.6 billion and $20.1 billion of Agency mortgage-backed securities, respectively, resulting in a net realized gain of $6.3 million and $77.9, respectively. During the quarter and nine months ended September 30, 2014, the Company disposed of $4.1 billion and $13.3 billion of Agency mortgage-backed securities, respectively, resulting in a net realized gain of $5.5 million and $176.5 million, respectively. 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. Interest-only mortgage-backed securities in the Company’s portfolio as of September 30, 2015 and December 31, 2014 had net unrealized gains (losses) of $(42.7) million and $(8.0) million and an amortized cost of $1.6 billion and $1.2 billion, respectively |
COMMERCIAL REAL ESTATE INVESTME
COMMERCIAL REAL ESTATE INVESTMENTS | 9 Months Ended |
Sep. 30, 2015 | |
COMMERCIAL REAL ESTATE INVESTMENTS | 5. COMMERCIAL REAL ESTATE INVESTMENTS In September 2015, the Company originated a $592.0 million acquisition financing with respect to a 24-building New York City multifamily apartment portfolio. As of September 30, 2015, such financing is comprised of a $480.0 million senior mortgage loan ($476.6 million, net of origination fees), and mezzanine debt with an initial principal balance of $72.0 million and a future funding component of $20.0 million. The senior mortgage loan is held for sale on the accompanying Consolidated Statements of Financial Condition as of September 30, 2015. At September 30, 2015 and December 31, 2014, commercial real estate investments held for investment were composed of the following: CRE Debt and Preferred Equity Investments September 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 322,564 321,350 24.4 % 384,304 383,895 25.2 % Senior securitized mortgages (3) 315,172 314,921 23.9 % 399,541 398,634 26.3 % Mezzanine loans 560,800 558,613 42.4 % 522,474 522,731 34.4 % Preferred equity 122,444 121,711 9.3 % 214,653 212,905 14.1 % Total (4) $ 1,320,980 $ 1,316,595 100.0 % $ 1,520,972 $ 1,518,165 100.0 % (1) (2) (3) (4) September 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) 216,125 - 140,106 - 356,231 Principal payments (230,220 ) (84,369 ) (101,781 ) (92,210 ) (508,580 ) Sales (principal) (46,945 ) - - - (46,945 ) Amortization & accretion of (premium) discounts (107 ) - (164 ) 516 245 Net (increase) decrease in origination fees (3,200 ) - (2,556 ) - (5,756 ) Amortization of net origination fees 1,802 656 277 500 3,235 Transfers - - - - - Allowance for loan losses - - - - - Net carrying value (2) $ 321,350 $ 314,921 $ 558,613 $ 121,711 $ 1,316,595 (1) (2) 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 September 30, 2015 Internal Ratings Investment Type Outstanding Principal (1) Percentage of CRE Debt and Preferred Equity Portfolio Performing Watch List Defaulted- Recovery (2) Impaired (dollars in thousands) Senior mortgages $ 322,564 24.4 % $ 309,591 $ - $ 12,973 $ - Senior securitized mortgages (3) 315,172 23.9 % 305,922 9,250 - - Mezzanine loans 560,800 42.4 % 560,800 - - - Preferred equity 122,444 9.3 % 122,444 - - - $ 1,320,980 100.0 % $ 1,298,757 $ 9,250 $ 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 (1) Impaired (dollars in thousands) Senior mortgages $ 384,304 25.2 % $ 371,331 $ - $ 12,973 $ - Senior securitized mortgages (2) 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 July 2015, a joint venture, in which the Company has a 90% interest, acquired a single tenant retail property located in Chillicothe, Ohio for a purchase price of $11.0 million. The property is leased to a major home improvement retail store through 2020 with three, five year extension options. The purchase price was funded with cash and a new $7.7 million, 10-year, 4.43% fixed rate interest-only mortgage loan. The fair value of the 10% non-controlling interest in the joint venture at the acquisition date was $0.4 million. The fair value of the acquisition and the related non-controlling interest was determined based on the purchase price. In August 2015, a joint venture, in which the Company has a 90% interest, acquired a multi-tenant retail property located in Largo, Florida for a purchase price of $18.9 million. The purchase price was funded with cash and a new $12.75 million, 10-year, 4.28% fixed rate interest-only mortgage loan. The fair value of the 10% non-controlling interest in the joint venture at the acquisition date was $0.7 million. The fair value of the acquisition and the related non-controlling interest was determined based on the purchase price. The following table summarizes acquisitions of real estate held for investment during 2015: Date of Acquisition Type Location Purchase Price Remaining Lease Term (Years) (1) (dollars in thousands) July 2015 Multi Tenant Retail Ohio $ 11,000 5.1 August 2015 Multi Tenant Retail Florida $ 18,900 4.4 (1) The aforementioned acquisitions were accounted for using the acquisition method of accounting. Real estate acquisition costs expensed during the three and nine months ended September 30, 2015 totaled $1.2 million. 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. 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 (1) The following table presents the aggregate preliminary allocation of the purchase price for acquisitions during the nine months ended September 30, 2015: Location Ohio Florida Total (dollars in thousands) Purchase Price Allocation: Land $ 2,282 $ 3,780 $ 6,062 Buildings 8,256 15,120 23,376 Site improvements 639 - 639 Tenant Improvements 671 - 671 Real estate held for investment 11,848 18,900 30,748 Intangible assets (liabilities): Leasehold intangible assets 1,269 - 1,269 Above market lease - - - Below market lease value (2,117 ) - (2,117 ) Total purchase price $ 11,000 $ 18,900 $ 29,900 The purchase price allocations for the acquisitions completed during the three months ended September 30, 2015 are preliminary pending the receipt of information necessary to complete the valuation of certain tangible and intangible assets and liabilities and therefore are subject to change. The following table presents the aggregate final allocation of the purchase price for 2014 acquisitions: Location 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 as of September 30, 2015 and December 31, 2014 is 8.9 years and 12.0 years, respectively. 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. Refer to Equity Method Investments below for details related to real estate investment activity during the quarter ended September 30, 2015. Investments in Commercial Real Estate September 30, 2015 December 31, 2014 (dollars in thousands) Real estate held for investment, at amortized cost Land $ 44,039 $ 38,117 Buildings and improvements 200,218 176,139 Subtotal 244,257 214,256 Less: accumulated depreciation (12,997 ) (4,224 ) Total real estate held for investment, at amortized cost, net 231,260 210,032 Equity in unconsolidated joint venture 70,187 - Investments in commercial real estate, net $ 301,447 $ 210,032 Depreciation expense was $3.1 million and $8.8 million for the quarter and nine months ended September 30, 2015, respectively. Depreciation expense was $0.4 million and $0.7 million for the quarter and nine months ended September 30, 2014, respectively. Depreciation expense is included in Other income (loss) in the Consolidated Statements of Comprehensive Income (Loss). 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 September 30, 2015 for the consolidated properties, including consolidated joint venture properties are as follows: September 30, 2015 (dollars in thousands) 2015 (remaining) $ 5,672 2016 20,529 2017 17,713 2018 15,333 2019 12,998 Later years 52,875 $ 125,120 Mortgage loans payable as of September 30, 2015 and December 31, 2014, were as follows: September 30, 2015 Property Mortgage Carrying Value Mortgage Principal Interest Rate Fixed/Floating Rate Maturity Date Priority (dollars in thousands) Joint Ventures $ 124,400 $ 124,400 4.03% to 4.44% Fixed 2024 and 2025 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 16,460 16,389 3.50 % Fixed 1/1/2017 First liens Nevada 2,462 2,453 3.45 % Floating (1) 3/29/2017 First liens $ 166,697 $ 166,617 (1) 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) The following table details future mortgage loan principal payments as of September 30, 2015: Mortgage Loan Principal Payments (dollars in thousands) 2015 (remaining) $ 98 2016 400 2017 18,344 2018 - 2019 23,375 Later years 124,400 $ 166,617 Equity Method Investments In August 2015, the Company acquired a portfolio of six retail properties located in New York, Indiana, Kentucky, and Illinois through a newly formed joint venture partnership and contributed approximately $57.7 million of capital. The Company has an eighty 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. 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 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. As of September 30, 2015 the carrying value of the Trust’s assets was $314.9 million, net of $0.2 million of unamortized origination fees, which are included in Commercial real estate debt and preferred equity in the accompanying Consolidated Statements of Financial Condition. As of September 30, 2015, the carrying value of the Trust’s liabilities was $176.3 million, classified as Securitized debt of consolidated VIEs 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 September 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 September 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 is generally limited to the Company’s investment in the FREMF Trusts of $188.8 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. The FREMF Trusts’ assets are included in Commercial real estate debt investments and the FREMF Trusts’ liabilities are included in Securitized debt of consolidated VIEs in the accompanying Consolidated Statements of Financial Condition. 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 practical expedient fair value measurement 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 Trusts, that is reflected in the Company’s Consolidated Statements of Financial Condition at September 30, 2015 is as follows: September 30, 2015 (dollars in thousands) Senior securitized commercial mortgages carried at fair value $ 2,565,909 Accrued interest receivable 4,703 Total assets $ 2,570,612 Liabilities and equity Securitized debt (non-recourse) at fair value $ 2,377,067 Accrued interest payable 4,068 $ 2,381,135 Equity 189,477 Total liabilities and equity $ 2,570,612 The FREMF Trust mortgage loans had an unpaid principal balance of $2.6 billion at September 30, 2015. As of September 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 September 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 Trusts that is reflected in the Company’s Consolidated Statements of Comprehensive Income (Loss) at September 30, 2015 is as follows: For the period February 25, 2015 to September 30, 2015 (dollars in thousands) Net interest income: Interest income $ 26,634 Interest expense 9,051 Net interest income 17,583 Other income (loss): Unrealized gain (loss) on financial instruments at fair value (1) (2,691 ) Guarantee fees and servicing costs 9,579 Other income (loss) (12,270 ) General and administration expenses 58 Net income $ 5,255 (1) The geographic concentrations of credit risk exceeding 5% of the total loan balances related to the FREMF Trusts as of September 30, 2015 are as follows: Securitized Loans at Fair Value Geographic Concentration of Credit Risk Property Location Principal Balance % of Balance (dollars in thousands) Texas $ 749,569 29.4 % North Carolina 537,375 21.0 % Florida 391,215 15.3 % Ohio 197,455 7.7 % |
FAIR VALUE MEASUREMENTS
FAIR VALUE MEASUREMENTS | 9 Months Ended |
Sep. 30, 2015 | |
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 trading, available for sale or held to maturity 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 September 30, 2015 (dollars in thousands) Assets: Agency mortgage-backed securities $ - $ 65,806,640 $ - $ 65,806,640 Agency debentures - 413,115 - 413,115 Credit risk transfer securities - 330,727 - 330,727 Non-Agency mortgage-backed securities - 490,037 - 490,037 Commercial real estate debt investments - 2,881,659 - 2,881,659 Interest rate swaps - 39,295 - 39,295 Other derivatives - 87,516 - 87,516 Total assets $ - $ 70,048,989 $ - $ 70,048,989 Liabilities: Securitized debt of consolidated VIEs $ - $ 2,377,067 $ - $ 2,377,067 Interest rate swaps - 2,160,350 - 2,160,350 Other derivatives 113,626 - - 113,626 Total liabilities $ 113,626 $ 4,537,417 $ - $ 4,651,043 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 values for financial assets and liabilities as of September 30, 2015 and December 31, 2014. September 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 $ 2,237,423 $ 2,237,423 $ 1,741,244 $ 1,741,244 Reverse repurchase agreements 1 - - 100,000 100,000 Agency mortgage-backed securities 2 65,806,640 65,806,640 81,565,256 81,565,256 Agency debentures 2 413,115 413,115 1,368,350 1,368,350 Credit risk transfer securities 2 330,727 330,727 - - Non-Agency mortgage-backed securities 2 490,037 490,037 - - Commercial real estate debt investments, at fair value 2 2,881,659 2,881,659 - - Investment in affiliate 1 - - 143,045 143,045 Commercial real estate debt and preferred equity, held for investment 3 1,316,595 1,324,167 1,518,165 1,528,444 Loans held for sale 3 476,550 476,550 - - Corporate debt 2 424,974 417,348 166,464 166,056 Interest rate swaps 2 39,295 39,295 75,225 75,225 Other derivatives 1,2 87,516 87,516 5,499 5,499 Financial liabilities: Repurchase agreements 1,2 $ 56,449,364 $ 56,604,768 $ 71,361,926 $ 71,587,222 Other secured financing 2 359,970 360,109 - - Convertible Senior Notes 1 - - 845,295 863,470 Securitized debt of consolidated VIEs 2 2,553,398 2,553,017 260,700 262,061 Mortgages payable 2 166,697 170,534 146,553 146,611 Participation sold 3 13,389 13,358 13,693 13,655 Interest rate swaps 2 2,160,350 2,160,350 1,608,286 1,608,286 Other derivatives 1,2 113,626 113,626 8,027 8,027 |
SECURED FINANCING
SECURED FINANCING | 9 Months Ended |
Sep. 30, 2015 | |
SECURED FINANCING | 7. SECURED FINANCING The Company had outstanding $56.4 billion and $71.4 billion of repurchase agreements with weighted average borrowing rates of 1.75% 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 147 days and 141 days as of September 30, 2015 and December 31, 2014, respectively. At September 30, 2015 and December 31, 2014, the repurchase agreements had the following remaining maturities, collateral types and weighted average rates: September 30, 2015 Repurchase Agreements by Collateral Type Agency Mortgage-backed Securities Debentures CRTs Non-Agency Mortgage-backed Securities Commercial Loans Total Repurchase Agreements Weighted Average Rate (dollars in thousands) 1 day $ 8,050,000 $ - $ - $ - $ - $ 8,050,000 0.57 % 2 to 29 days 11,640,888 94,950 17,788 77,236 - 11,830,862 0.45 % 30 to 59 days 4,721,915 - 60,406 63,852 - 4,846,173 0.52 % 60 to 89 days 8,794,109 - - 46,020 - 8,840,129 0.57 % 90 to 119 days 3,957,380 - - - - 3,957,380 0.52 % Over 120 days (1) 18,774,192 - - - 150,628 18,924,820 1.29 % Total $ 55,938,484 $ 94,950 $ 78,194 $ 187,108 $ 150,628 $ 56,449,364 0.78 % December 31, 2014 Repurchase Agreements by Collateral Type Agency Mortgage-backed Securities Debentures Total Repurchase Agreements Weighted Average Rate (dollars in thousands) 1 day $ - $ - $ - 0.00 % 2 to 29 days 27,604,632 749,535 28,354,167 0.35 % 30 to 59 days 17,149,787 186,682 17,336,469 0.43 % 60 to 89 days 3,662,646 378,031 4,040,677 0.38 % 90 to 119 days 2,945,495 - 2,945,495 0.50 % Over 120 days (1) 18,685,118 - 18,685,118 1.24 % Total $ 70,047,678 $ 1,314,248 $ 71,361,926 0.61 % (1) Repurchase agreements and reverse repurchase agreements with the same counterparty and the same maturity are presented net in the Consolidated Statements of Financial Condition when the terms of the agreements permit netting. The following table summarizes the gross amounts of reverse repurchase agreements and repurchase agreements, amounts offset in accordance with netting arrangements and net amounts of repurchase agreements and reverse repurchase agreements as presented in the Consolidated Statements of Financial Condition as of September 30, 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. September 30, 2015 December 31, 2014 Reverse Repurchase Agreements Repurchase Agreements Reverse Repurchase Agreements Repurchase Agreements (dollars in thousands) Gross Amounts $ - $ 56,449,364 $ 700,000 $ 71,961,926 Amounts Offset - - (600,000 ) (600,000 ) Netted Amounts $ - $ 56,449,364 $ 100,000 $ 71,361,926 The Company also finances a portion of its financial assets with advances from the Federal Home Loan Bank of Des Moines ("FHLB Des Moines"). Borrowings from FHLB Des Moines are reported in Other secured financing in the Company's Consolidated Statements of Financial Condition. Financial instruments pledged as collateral under secured financing arrangements and interest rate swaps had an estimated fair value and accrued interest of $60.8 billion and $187.2 million, respectively, at September 30, 2015 and $75.4 billion and $226.6 million, respectively, at December 31, 2014. |
DERIVATIVE INSTRUMENTS
DERIVATIVE INSTRUMENTS | 9 Months Ended |
Sep. 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 September 30, 2015 and December 31, 2014: Derivatives Instruments Balance Sheet Location September 30, 2015 December 31, 2014 Assets: (dollars in thousands) Interest rate swaps Interest rate swaps, at fair value $ 39,295 $ 75,225 Interest rate swaptions Other derivatives, at fair value - 5,382 TBA derivatives Other derivatives, at fair value 87,516 - Futures contracts Other derivatives, at fair value - 117 $ 126,811 $ 80,724 Liabilities: Interest rate swaps Interest rate swaps, at fair value $ 2,160,350 $ 1,608,286 TBA derivatives Other derivatives, at fair value - 4,258 Futures contracts Other derivatives, at fair value 113,626 3,769 $ 2,273,976 $ 1,616,313 The following table summarizes certain characteristics of the Company’s interest rate swaps at September 30, 2015 and December 31, 2014: September 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 $ 3,202,454 1.85 % 0.22 % 2.04 3 - 6 years 11,113,000 1.81 % 0.46 % 4.49 6 - 10 years 11,743,300 2.45 % 0.47 % 8.20 Greater than 10 years 3,634,400 3.70 % 0.26 % 19.62 Total / Weighted Average $ 29,693,154 2.26 % 0.42 % 7.28 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) September 30, 2015 and December 31, 2014. (2) Excludes forward starting swaps. (3) September 30, 2015 and December 31, 2014, respectively. The following table summarizes certain characteristics of the Company’s interest rate swaptions at September 30, 2015 and December 31, 2014: September 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 $ - - - - - 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 September 30, 2015 and December 31, 2014: September 30, 2015 Purchase and sale contracts for derivative TBAs Notional Implied Cost Basis Implied Market Value Net Carrying Value (dollars in thousands) Purchase contracts $ 14,055,000 $ 14,490,220 $ 14,577,736 $ 87,516 Sale contracts - - - - Net TBA derivatives $ 14,055,000 $ 14,490,220 $ 14,577,736 $ 87,516 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 September 30, 2015: Notional - Long Positions Notional - Short Positions Weighted Average Years to Maturity (dollars in thousands) 2-year swap equivalent Eurodollar contracts $ - $ (8,000,000 ) 2.00 U.S. Treasury futures - 5 year - (2,273,000 ) 4.41 U.S. Treasury futures - 10 year and greater - (655,600 ) 6.92 Total $ - $ (10,928,600 ) 2.80 The Company presents derivative contracts on a gross basis on the Consolidated Statements of Financial Condition. Derivative contracts may contain legally enforceable provisions that allow for netting or setting off receivables and payables with each counterparty. The following tables present information about derivative assets and liabilities that are subject to such provisions and can potentially be offset on our Consolidated Statements of Financial Condition as of September 30, 2015 and December 31, 2014, respectively. September 30, 2015 Amounts Eligible for Offset Gross Amounts Financial Instruments Cash Collateral Net Amounts Assets: (dollars in thousands) Interest rate swaps, at fair value $ 39,295 $ (39,295 ) $ - $ - TBA derivatives, at fair value 87,516 - - 87,516 Liabilities: Interest rate swaps, at fair value $ 2,160,350 $ (39,295 ) $ (1,254,287 ) $ 866,768 Futures contracts, at fair value 113,626 - (113,626 ) - 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: September 30, 2015 $ (162,304 ) $ - $ (822,585 ) September 30, 2014 $ (169,083 ) $ - $ 98,593 Nine Months Ended: September 30, 2015 $ (465,008 ) $ (226,462 ) $ (587,995 ) September 30, 2014 $ (650,452 ) $ (779,333 ) $ (75,287 ) (1) 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) Quarter Ended September 30, 2015 Net TBA derivatives (1) $ 168,292 $ 81,560 $ 249,852 Net interest rate swaptions (11,525 ) 11,519 (6 ) Futures (36,468 ) (105,199 ) (141,667 ) $ 108,179 Derivative Instruments Realized Gain (Loss) Unrealized Gain (Loss) Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Trading Assets (dollars in thousands) Quarter Ended September 30, 2014 Net TBA derivatives (1) $ (1,864 ) $ 6,992 $ 5,128 Net interest rate swaptions (30,432 ) 26,518 (3,914 ) Futures (2,991 ) 6,455 3,464 $ 4,678 Derivative Instruments Realized Gain (Loss) Unrealized Gain (Loss) Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Trading Assets (dollars in thousands) Nine Months Ended September 30, 2015 Net TBA derivatives (1) $ 61,846 $ 91,773 $ 153,619 Net interest rate swaptions (41,016 ) 35,634 (5,382 ) Futures (51,205 ) (109,974 ) (161,179 ) $ (12,942 ) Derivative Instruments Realized Gain (Loss) Unrealized Gain (Loss) Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Trading Assets (dollars in thousands) Nine Months Ended September 30, 2014 Net TBA derivatives (1) $ (46,747 ) $ (8,046 ) $ (54,793 ) Net interest rate swaptions $ (102,413 ) $ (24,613 ) $ (127,026 ) Futures $ (15,466 ) $ 3,631 $ (11,835 ) $ (193,654 ) (1) Certain of the Company’s derivative contracts are subject to International Swaps and Derivatives Association Master Agreements or other similar agreements which may contain provisions that grant counterparties certain rights with respect to the applicable agreement upon the occurrence of certain events such as (i) a decline in stockholders’ equity in excess of specified thresholds or dollar amounts over set periods of time, (ii) the Company’s failure to maintain its REIT status, (iii) the Company’s failure to comply with limits on the amount of leverage, and (iv) the Company’s stock being delisted from the New York Stock Exchange (NYSE). Upon the occurrence of any one of items (i) through (iv), or another default under the agreement, the counterparty to the applicable agreement has a right to terminate the agreement in accordance with its provisions. The aggregate fair value of all derivative instruments with the aforementioned features that are in a net liability position at September 30, 2015 was approximately $2.1 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 | 9 Months Ended |
Sep. 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. n 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 | 9 Months Ended |
Sep. 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 September 30, 2015 and December 31, 2014, the Company had issued and outstanding 947,826,176 and 947,643,079 shares of common stock, with a par value of $0.01 per share. No options were exercised during the nine months ended September 30, 2015 and 2014. During the nine months ended September 30, 2015 and 2014, the Company raised $1.7 million and $1.8 million by issuing 168,000 shares and 159,000 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 nine months (B) Preferred Stock At September 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 September 30, 2015, the Company had declared and paid all required quarterly dividends on the Series A Preferred Stock. At September 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 September 30, 2015, the Company had declared and paid all required quarterly dividends on the Series C Preferred Stock. At September 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 September 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 nine months ended September 30, 2015, the Company declared dividends to common stockholders totaling $853.0 million, or $0.90 per common share, of which $284.3 million, or $0.30 per common share, was paid to common stockholders on October 30, 2015. During the nine months ended September 30, 2015, the Company declared and paid dividends to Series A Preferred Stock stockholders totaling approximately $10.9 million, or $1.477 per preferred share, Series C Preferred Stock stockholders totaling approximately $17.2 million, or $1.430 per preferred share and Series D Preferred Stock stockholders totaling approximately $25.9 million, or $1.406 per preferred share. During the nine months ended September 30, 2014, the Company declared dividends to common stockholders totaling $ 852.8 was paid to common stockholders on October 31, 2014. During the nine months ended September 30, 2014, the Company declared and paid dividends to Series A Preferred stockholders totaling approximately $10.9 million, or $1.477 per preferred share, Series C Preferred stockholders totaling approximately $17.2 million, or $1.430 per preferred share, Series D Preferred stockholders totaling approximately $25.9 million, or $1.406 per preferred share. |
INTEREST INCOME AND INTEREST EX
INTEREST INCOME AND INTEREST EXPENSE | 9 Months Ended |
Sep. 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 nine months ended September 30, 2015 and 2014. For the Quarter Ended September 30, For the Nine Months Ended September 30, 2015 2014 2015 2014 Interest income: (dollars in thousands) Investment Securities $ 399,702 $ 606,331 $ 1,448,434 $ 1,861,037 Commercial investment portfolio (1) 50,204 38,113 142,969 120,924 U.S. Treasury securities - - - 1,329 Securities loaned - - - 114 Reverse repurchase agreements 820 135 2,714 906 Other 66 61 193 193 Total interest income 450,792 644,640 1,594,310 1,984,503 Interest expense: Repurchase agreements 103,823 102,750 307,796 309,654 Convertible Senior Notes - 22,376 29,740 61,592 U.S. Treasury securities sold, not yet purchased - - - 1,076 Securities borrowed - - - 95 Securitized debt of consolidated VIEs 6,111 1,780 14,468 5,244 Participation sold 161 163 479 486 Other 202 - 306 - Total interest expense 110,297 127,069 352,789 378,147 Net interest income $ 340,495 $ 517,571 $ 1,241,521 $ 1,606,356 (1) |
GOODWILL
GOODWILL | 9 Months Ended |
Sep. 30, 2015 | |
GOODWILL | 12. GOODWILL At September 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 | 9 Months Ended |
Sep. 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 nine months ended September 30, 2015 and 2014. For the Quarter Ended For the Nine Months Ended September 30, 2015 September 30, 2014 September 30, 2015 September 30, 2014 (dollars in thousands, except per share data) Net income (loss) $ (627,491 ) $ 354,856 $ (203,919 ) $ (184,007 ) Less: Net income (loss) attributable to noncontrolling interest (197 ) - (436 ) - Net income (loss) attributable to Annaly (627,294 ) 354,856 (203,483 ) (184,007 ) Less: Preferred stock dividends 17,992 17,992 53,976 53,976 Net income (loss) per share available (related) to common stockholders, prior to adjustment for dilutive potential common shares, if necessary (645,286 ) 336,864 (257,459 ) (237,983 ) Add: Interest on Convertible Senior Notes, if dilutive - 12,226 - - Net income (loss) available to common stockholders, as adjusted (645,286 ) 349,090 (257,459 ) (237,983 ) Weighted average shares of common stock outstanding-basic 947,795,500 947,565,432 947,732,735 947,513,514 Add: Effect of stock awards and Convertible Senior Notes, if dilutive - 39,750,095 - - Weighted average shares of common stock outstanding-diluted 947,795,500 987,315,527 947,732,735 947,513,514 Net income (loss) per share available (related) to common share: Basic $ (0.68 ) $ 0.36 $ (0.27 ) $ (0.25 ) Diluted $ (0.68 ) $ 0.35 $ (0.27 ) $ (0.25 ) |
LONG-TERM STOCK INCENTIVE PLAN
LONG-TERM STOCK INCENTIVE PLAN | 9 Months Ended |
Sep. 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 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 Nine Months Ended September 30, 2015 September 30, 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 (266,399 ) 15.24 (1,016,667 ) 15.07 Expired (294,750 ) 17.07 (305,750 ) 17.34 Options outstanding at the end of period 1,698,186 $ 15.07 2,259,335 $ 15.35 Options exercisable at the end of period 1,698,186 $ 15.07 2,259,335 $ 15.35 The weighted average remaining contractual term was approximately 2.8 years and 3.4 years for stock options outstanding and exercisable as of September 30, 2015 and 2014, respectively. As of September 30, 2015 and 2014, there was no unrecognized compensation cost related to nonvested share-based compensation awards. |
INCOME TAXES
INCOME TAXES | 9 Months Ended |
Sep. 30, 2015 | |
INCOME TAXES | 15. INCOME TAXES For the quarter ended September 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 nine months ended September 30, 2015, the Company recorded net income tax benefits of $0.4 million and $8.0 million, respectively, for losses attributable to its TRSs. During the quarter and nine months ended September 30, 2014, the Company recorded $0.7 million and $6.1 million, respectively, of income tax expense for income attributable to its TRSs. The Company’s 2014, 2013 and 2012 federal, state and local tax returns remain open for examination. |
LEASE COMMITMENTS AND CONTINGEN
LEASE COMMITMENTS AND CONTINGENCIES | 9 Months Ended |
Sep. 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 September 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 September 30, 2015 and 2014 was $0.8 million and $0.9 million, respectively. The Company’s aggregate future minimum lease payments total $37.2 million. The following table details the lease payments. Years Ending December 31, Lease Commitments (dollars in thousands) 2015 (remaining) $ 907 2016 3,575 2017 3,565 2018 3,565 2019 3,565 Later years 21,993 $ 37,170 The Company had no material unfunded loan commitments as of September 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 September 30, 2015 and December 31, 2014. |
RISK MANAGEMENT
RISK MANAGEMENT | 9 Months Ended |
Sep. 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 CRT securities issued by Freddie Mac and Fannie Mae, 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, CRT securities, other non-Agency mortgage-backed 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 | 9 Months Ended |
Sep. 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 September 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 September 30, 2015 was $396.5 million with excess net capital of $396.2 million. |
RELATED PARTY TRANSACTIONS
RELATED PARTY TRANSACTIONS | 9 Months Ended |
Sep. 30, 2015 | |
RELATED PARTY TRANSACTIONS | 19. RELATED PARTY TRANSACTIONS Investment in Affiliate and Advisory Fees In August 2015, FIDAC entered into an agreement with Chimera Investment Corporation (“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 purchased the Company’s approximately 9.0 million shares of Chimera at an aggregate price of $126.4 million. The share repurchase agreement closed in August 2015. For the quarter and nine months ended September 30, 2015, the Company recorded advisory fees from Chimera totaling $3.8 million and $24.8 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 nine months ended September 30, 2014, the Company recorded advisory fees from Chimera totaling $8.3 million and $20.5 million, respectively. At September 30, 2015 and December 31, 2014, the Company had amounts receivable from Chimera of $4.0 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 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 | 9 Months Ended |
Sep. 30, 2015 | |
SUBSEQUENT EVENTS | 20. SUBSEQUENT EVENTS In October 2015, a joint venture, in which the Company has a 93.7% interest, acquired a 327-unit apartment building in Washington DC, for a gross purchase price of $75.0 million and a net equity investment of $18.7 million. In October 2015, a joint venture, in which the Company has a 90% interest, acquired a grocery-anchored retail shopping center in Grass Valley, California, for a gross purchase price of $37.8 million and a net equity investment of $11.9 million. |
SIGNIFICANT ACCOUNTING POLICI28
SIGNIFICANT ACCOUNTING POLICIES (Policies) | 9 Months Ended |
Sep. 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 . or the right to receive benefits from the VIE that could potentially be significant to the VIE. To assess whether the Company has the power to direct the activities of a VIE that most significantly impact the VIE’s economic performance, the Company considers all facts and circumstances, including the Company’s role in establishing the VIE and the Company’s ongoing rights and responsibilities. This assessment includes first, identifying the activities that most significantly impact the VIE’s economic performance; and second, identifying which party, if any, has power over those activities. In general, the parties that make the most significant decisions affecting the VIE or have the right to unilaterally remove those decision makers are deemed to have the power to direct the activities of a VIE. To assess whether the Company has the obligation to absorb losses of the VIE or the right to receive benefits from the VIE that could potentially be significant to the VIE, the Company applies significant judgment and considers all of its economic interests, including debt and equity investments and other arrangements deemed to be variable interests, both explicit and implicit, in the VIE. This assessment requires that the Company applies judgment in determining whether these interests, in the aggregate, are considered potentially significant to the VIE. Factors considered in assessing significance include: the design of the VIE, including its capitalization structure; subordination of interests; payment priority; relative share of interests held across various classes within the VIE’s capital structure; and the reasons why the interests are held by the Company. The Company performs ongoing reassessments of whether changes in the facts and circumstances regarding the Company’s involvement with a VIE causes the Company’s consolidation conclusion regarding the VIE to change. |
Cash and Cash Equivalents | Cash and Cash Equivalents |
Fair Value Measurements | Fair Value Measurements |
Revenue Recognition | Revenue Recognition – Agency Mortgage-Backed Securities, Agency Debentures, Non-Agency Mortgage-Backed Securities and CRT Securities Agency mortgage-backed securities, Agency debentures, non-Agency mortgage-backed securities and 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 the overall management of its portfolio. Investment Securities classified as available-for-sale are reported at fair value with unrealized gains and losses reported as a component of other comprehensive income (loss). The fair value of Investment Securities classified as available-for-sale are estimated by management and are compared to independent sources for reasonableness. Investment Securities transactions are recorded on trade date, including TBA securities that meet the regular-way securities scope exception from derivative accounting. The Company previously 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 interest-only mortgage-backed securities, non-Agency mortgage-backed securities and certain CRT securities. Interest-only securities and inverse interest-only securities are collectively referred to as “interest-only securities.” These interest-only mortgage-backed securities represent the Company’s right to receive a specified proportion of the contractual interest flows of specific mortgage-backed securities. Interest-only mortgage-backed securities, non-Agency mortgage-backed securities and certain 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. In addition, the Company recognizes income under the retrospective method on substantially all of its Investment Securities classified as available-for-sale. Premiums and discounts associated with the purchase of Investment Securities are amortized or accreted into income over the remaining projected lives of the securities. Using a third-party supplied model and market information to project future cash flows and expected remaining lives of securities, the effective interest rate determined for each security is applied as if it had been in place from the security’s acquisition. The amortized cost of the investment is then adjusted to the amount that would have existed had the new effective yield been applied since the acquisition. The adjustment to amortized cost is offset with a charge or credit to interest income. Changes in interest rates and other market factors will impact prepayment speed projections. |
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 |
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. An impairment of the goodwill associated with the Company’s acquisition of FIDAC was recorded in the nine months ended September 30, 2015. Intangible assets with an estimated useful life are amortized over their expected useful lives. |
Convertible Senior Notes | Convertible Senior Notes – A Conversion Feature may be recognized as a result of adjustments to the conversion price for dividends declared to common stockholders. The 4% and 5% Convertible Senior Notes matured in February 2015 and May 2015, respectively. |
Stock Based Compensation | Stock Based Compensation |
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 Debt Investments - loans held by consolidated collateralized financing entities. Commercial mortgage backed securities are classified as available-for-sale and reported at fair value with unrealized gains and losses reported as a component of other comprehensive income (loss). Management evaluates commercial mortgage backed securities for other-than-temporary impairment at least quarterly. See the Commercial Real Estate Investment footnote for additional information regarding the consolidated collateralized financing entities. Commercial Real Estate Loans Preferred Equity Interests Held for Investment Allowance for Losses A provision for losses related to CRE Debt and Preferred Equity Investments, including those accounted for under ASC 310-30, Loans and Debt Securities Acquired with Deteriorated Credit Quality 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 applies the equity method of accounting for its investments in joint ventures where it is not considered to have a controlling financial interest. Under the equity method of accounting, the Company will recognize its share of earnings or losses of the investee in the period in which they are reported by the investee. The Company also considers whether there are any indicators of other-than-temporary impairment of joint ventures accounted for under the equity method. 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, that 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 – spread between what is earned on the reverse repurchase agreements and what is paid on the matched repurchase agreements. RCap’s policy is to obtain possession of collateral with a market value in excess of the principal amount loaned under reverse repurchase agreements. To ensure that the market value of the underlying collateral remains sufficient, collateral is valued daily, and RCap will require counterparties to deposit additional collateral, when necessary. All reverse repurchase activities are transacted under master repurchase agreements that give RCap the right, in the event of default, to liquidate collateral held and in some instances, to offset receivables and payables with the same counterparty. |
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 2015-16 Business Combinations (Topic 805) Simplifying the Accounting Measurement-Period Adjustments This amendment removes the requirement to present adjustments to provisional amounts retrospectively. The update requires that an acquirer record, in the same period's financial statements, the effect on earnings of changes in depreciation, amortization, or other income effects, if any, as a result of the change to provisional amounts. January 1, 2016 (early adoption permitted) Not expected to have a significant impact on the consolidated financial statements. 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 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 analogize 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, 2018 Not expected to have a significant impact on the consolidated financial statements. Standard Description Date of Adoption Effect on the financial statements or other significant matters Standards that were adopted ASU 2015-15, Interest - Imputation of Interest (Subtopic 835-30) Simplifying the Presentation and Subsequent Measurement of Debt Issuance Costs Associated with Line-of-Credit Arrangements - Amendments to SEC Paragraphs Pursuant to Staff Announcement at June 18, 2015 EITF Meeting (SEC Update) This amendment provides SEC guidance that it would not object to filers presenting debt issue costs related to line-of-credit arrangements as an asset and ratably amortizing the costs over the term of the arrangement. June 18, 2015 (early adoption permitted) Did not have an impact on the consolidated financial statements. 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 commercial mortgage backed securitization transactions. 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) | 9 Months Ended |
Sep. 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 2015-16 Business Combinations (Topic 805) Simplifying the Accounting Measurement-Period Adjustments This amendment removes the requirement to present adjustments to provisional amounts retrospectively. The update requires that an acquirer record, in the same period's financial statements, the effect on earnings of changes in depreciation, amortization, or other income effects, if any, as a result of the change to provisional amounts. January 1, 2016 (early adoption permitted) Not expected to have a significant impact on the consolidated financial statements. 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 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 analogize 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, 2018 Not expected to have a significant impact on the consolidated financial statements. Standard Description Date of Adoption Effect on the financial statements or other significant matters Standards that were adopted ASU 2015-15, Interest - Imputation of Interest (Subtopic 835-30) Simplifying the Presentation and Subsequent Measurement of Debt Issuance Costs Associated with Line-of-Credit Arrangements - Amendments to SEC Paragraphs Pursuant to Staff Announcement at June 18, 2015 EITF Meeting (SEC Update) This amendment provides SEC guidance that it would not object to filers presenting debt issue costs related to line-of-credit arrangements as an asset and ratably amortizing the costs over the term of the arrangement. June 18, 2015 (early adoption permitted) Did not have an impact on the consolidated financial statements. 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 commercial mortgage backed securitization transactions. 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) | 9 Months Ended |
Sep. 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 September 30, 2015 and December 31, 2014, which were carried at their fair value: September 30, 2015 Freddie Mac Fannie Mae Ginnie Mae Total (dollars in thousands) Principal outstanding $ 21,598,845 $ 39,061,904 $ 72,826 $ 60,733,575 Unamortized premium 1,913,855 2,909,606 31,899 4,855,360 Unamortized discount (6,039 ) (6,201 ) (11 ) (12,251 ) Amortized cost 23,506,661 41,965,309 104,714 65,576,684 Gross unrealized gains 244,683 547,434 6,467 798,584 Gross unrealized losses (249,094 ) (316,455 ) (3,079 ) (568,628 ) Estimated fair value $ 23,502,250 $ 42,196,288 $ 108,102 $ 65,806,640 Fixed Rate Adjustable Rate Total (dollars in thousands) Amortized cost $ 61,727,096 $ 3,849,588 $ 65,576,684 Gross unrealized gains 668,600 129,984 798,584 Gross unrealized losses (551,434 ) (17,194 ) (568,628 ) Estimated fair value $ 61,844,262 $ 3,962,378 $ 65,806,640 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 September 30, 2015 and December 31, 2014, according to their estimated weighted average life classifications: September 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 $ 26,908 $ 27,387 $ 43,248 $ 42,831 Greater than one year through five years 24,579,949 24,237,266 42,222,114 41,908,586 Greater than five years through ten years 40,978,447 41,081,291 39,018,833 39,098,352 Greater than ten years 221,336 230,740 281,061 283,756 Total $ 65,806,640 $ 65,576,684 $ 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 September 30, 2015 and December 31, 2014. September 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 6,574,181 (61,722 ) 283 4,613,599 (36,959 ) 205 12 Months or More 22,917,561 (506,906 ) 286 35,175,194 (713,311 ) 302 Total 29,491,742 (568,628 ) 569 39,788,793 (750,270 ) 507 |
COMMERCIAL REAL ESTATE INVEST31
COMMERCIAL REAL ESTATE INVESTMENTS (Tables) | 9 Months Ended |
Sep. 30, 2015 | |
Commercial Real Estate Investments Held for Investment | CRE Debt and Preferred Equity Investments September 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 322,564 321,350 24.4 % 384,304 383,895 25.2 % Senior securitized mortgages (3) 315,172 314,921 23.9 % 399,541 398,634 26.3 % Mezzanine loans 560,800 558,613 42.4 % 522,474 522,731 34.4 % Preferred equity 122,444 121,711 9.3 % 214,653 212,905 14.1 % Total (4) $ 1,320,980 $ 1,316,595 100.0 % $ 1,520,972 $ 1,518,165 100.0 % (1) (2) (3) (4) September 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) 216,125 - 140,106 - 356,231 Principal payments (230,220 ) (84,369 ) (101,781 ) (92,210 ) (508,580 ) Sales (principal) (46,945 ) - - - (46,945 ) Amortization & accretion of (premium) discounts (107 ) - (164 ) 516 245 Net (increase) decrease in origination fees (3,200 ) - (2,556 ) - (5,756 ) Amortization of net origination fees 1,802 656 277 500 3,235 Transfers - - - - - Allowance for loan losses - - - - - Net carrying value (2) $ 321,350 $ 314,921 $ 558,613 $ 121,711 $ 1,316,595 (1) (2) 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 September 30, 2015 Internal Ratings Investment Type Outstanding Principal (1) Percentage of CRE Debt and Preferred Equity Portfolio Performing Watch List Defaulted- Recovery (2) Impaired (dollars in thousands) Senior mortgages $ 322,564 24.4 % $ 309,591 $ - $ 12,973 $ - Senior securitized mortgages (3) 315,172 23.9 % 305,922 9,250 - - Mezzanine loans 560,800 42.4 % 560,800 - - - Preferred equity 122,444 9.3 % 122,444 - - - $ 1,320,980 100.0 % $ 1,298,757 $ 9,250 $ 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 (1) Impaired (dollars in thousands) Senior mortgages $ 384,304 25.2 % $ 371,331 $ - $ 12,973 $ - Senior securitized mortgages (2) 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 during 2015: Date of Acquisition Type Location Purchase Price Remaining Lease Term (Years) (1) (dollars in thousands) July 2015 Multi Tenant Retail Ohio $ 11,000 5.1 August 2015 Multi Tenant Retail Florida $ 18,900 4.4 (1) 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 (1) |
Aggregate Allocation of Purchase Price | The following table presents the aggregate preliminary allocation of the purchase price for acquisitions during the nine months ended September 30, 2015: Location Ohio Florida Total (dollars in thousands) Purchase Price Allocation: Land $ 2,282 $ 3,780 $ 6,062 Buildings 8,256 15,120 23,376 Site improvements 639 - 639 Tenant Improvements 671 - 671 Real estate held for investment 11,848 18,900 30,748 Intangible assets (liabilities): Leasehold intangible assets 1,269 - 1,269 Above market lease - - - Below market lease value (2,117 ) - (2,117 ) Total purchase price $ 11,000 $ 18,900 $ 29,900 The following table presents the aggregate final allocation of the purchase price for 2014 acquisitions: Location 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 | Investments in Commercial Real Estate September 30, 2015 December 31, 2014 (dollars in thousands) Real estate held for investment, at amortized cost Land $ 44,039 $ 38,117 Buildings and improvements 200,218 176,139 Subtotal 244,257 214,256 Less: accumulated depreciation (12,997 ) (4,224 ) Total real estate held for investment, at amortized cost, net 231,260 210,032 Equity in unconsolidated joint venture 70,187 - Investments in commercial real estate, net $ 301,447 $ 210,032 |
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 September 30, 2015 for the consolidated properties, including consolidated joint venture properties are as follows: September 30, 2015 (dollars in thousands) 2015 (remaining) $ 5,672 2016 20,529 2017 17,713 2018 15,333 2019 12,998 Later years 52,875 $ 125,120 |
Mortgage loans payable | Mortgage loans payable as of September 30, 2015 and December 31, 2014, were as follows: September 30, 2015 Property Mortgage Carrying Value Mortgage Principal Interest Rate Fixed/Floating Rate Maturity Date Priority (dollars in thousands) Joint Ventures $ 124,400 $ 124,400 4.03% to 4.44% Fixed 2024 and 2025 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 16,460 16,389 3.50 % Fixed 1/1/2017 First liens Nevada 2,462 2,453 3.45 % Floating (1) 3/29/2017 First liens $ 166,697 $ 166,617 (1) 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) |
Future Mortgage Loan Principal Payments | The following table details future mortgage loan principal payments as of September 30, 2015: Mortgage Loan Principal Payments (dollars in thousands) 2015 (remaining) $ 98 2016 400 2017 18,344 2018 - 2019 23,375 Later years 124,400 $ 166,617 |
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 September 30, 2015 are as follows: Securitized Loans at Fair Value Geographic Concentration of Credit Risk Property Location Principal Balance % of Balance (dollars in thousands) Texas $ 749,569 29.4 % North Carolina 537,375 21.0 % Florida 391,215 15.3 % Ohio 197,455 7.7 % |
FREMF Trust | |
Statement of financial condition of FREMF Trust Reflected the Consolidated Statements of Financial Condition | The statement of financial condition of the FREMF Trusts, that is reflected in the Company’s Consolidated Statements of Financial Condition at September 30, 2015 is as follows: September 30, 2015 (dollars in thousands) Senior securitized commercial mortgages carried at fair value $ 2,565,909 Accrued interest receivable 4,703 Total assets $ 2,570,612 Liabilities and equity Securitized debt (non-recourse) at fair value $ 2,377,067 Accrued interest payable 4,068 $ 2,381,135 Equity 189,477 Total liabilities and equity $ 2,570,612 |
Statement of Comprehensive Income (Loss) of FREMF Trusts Reflected the Consolidated Statements of Comprehensive Income (Loss) | The statement of comprehensive income (loss) of the FREMF Trusts that is reflected in the Company’s Consolidated Statements of Comprehensive Income (Loss) at September 30, 2015 is as follows: For the period February 25, 2015 to September 30, 2015 (dollars in thousands) Net interest income: Interest income $ 26,634 Interest expense 9,051 Net interest income 17,583 Other income (loss): Unrealized gain (loss) on financial instruments at fair value (1) (2,691 ) Guarantee fees and servicing costs 9,579 Other income (loss) (12,270 ) General and administration expenses 58 Net income $ 5,255 (1) |
FAIR VALUE MEASUREMENTS (Tables
FAIR VALUE MEASUREMENTS (Tables) | 9 Months Ended |
Sep. 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 September 30, 2015 (dollars in thousands) Assets: Agency mortgage-backed securities $ - $ 65,806,640 $ - $ 65,806,640 Agency debentures - 413,115 - 413,115 Credit risk transfer securities - 330,727 - 330,727 Non-Agency mortgage-backed securities - 490,037 - 490,037 Commercial real estate debt investments - 2,881,659 - 2,881,659 Interest rate swaps - 39,295 - 39,295 Other derivatives - 87,516 - 87,516 Total assets $ - $ 70,048,989 $ - $ 70,048,989 Liabilities: Securitized debt of consolidated VIEs $ - $ 2,377,067 $ - $ 2,377,067 Interest rate swaps - 2,160,350 - 2,160,350 Other derivatives 113,626 - - 113,626 Total liabilities $ 113,626 $ 4,537,417 $ - $ 4,651,043 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 Values for All Financial Assets and Liabilities | The following table summarizes the estimated fair values for financial assets and liabilities as of September 30, 2015 and December 31, 2014. September 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 $ 2,237,423 $ 2,237,423 $ 1,741,244 $ 1,741,244 Reverse repurchase agreements 1 - - 100,000 100,000 Agency mortgage-backed securities 2 65,806,640 65,806,640 81,565,256 81,565,256 Agency debentures 2 413,115 413,115 1,368,350 1,368,350 Credit risk transfer securities 2 330,727 330,727 - - Non-Agency mortgage-backed securities 2 490,037 490,037 - - Commercial real estate debt investments, at fair value 2 2,881,659 2,881,659 - - Investment in affiliate 1 - - 143,045 143,045 Commercial real estate debt and preferred equity, held for investment 3 1,316,595 1,324,167 1,518,165 1,528,444 Loans held for sale 3 476,550 476,550 - - Corporate debt 2 424,974 417,348 166,464 166,056 Interest rate swaps 2 39,295 39,295 75,225 75,225 Other derivatives 2 87,516 87,516 5,499 5,499 Financial liabilities: Repurchase agreements 1,2 $ 56,449,364 $ 56,604,768 $ 71,361,926 $ 71,587,222 Other secured financing 2 359,970 360,109 - - Convertible Senior Notes 1 - - 845,295 863,470 Securitized debt of consolidated VIEs 2 2,553,398 2,553,017 260,700 262,061 Mortgages payable 2 166,697 170,534 146,553 146,611 Participation sold 3 13,389 13,358 13,693 13,655 Interest rate swaps 2 2,160,350 2,160,350 1,608,286 1,608,286 Other derivatives 1 113,626 113,626 8,027 8,027 |
SECURED FINANCING (Tables)
SECURED FINANCING (Tables) | 9 Months Ended |
Sep. 30, 2015 | |
Schedule of Repurchase Agreements Remaining Maturity ,Collateral Types and Weighted Average Rates | At September 30, 2015 and December 31, 2014, the repurchase agreements had the following remaining maturities, collateral types and weighted average rates: September 30, 2015 Repurchase Agreements by Collateral Type Agency Mortgage-backed Securities Debentures CRTs Non-Agency Mortgage-backed Securities Commercial Loans Total Repurchase Agreements Weighted Average Rate (dollars in thousands) 1 day $ 8,050,000 $ - $ - $ - $ - $ 8,050,000 0.57 % 2 to 29 days 11,640,888 94,950 17,788 77,236 - 11,830,862 0.45 % 30 to 59 days 4,721,915 - 60,406 63,852 - 4,846,173 0.52 % 60 to 89 days 8,794,109 - - 46,020 - 8,840,129 0.57 % 90 to 119 days 3,957,380 - - - - 3,957,380 0.52 % Over 120 days (1) 18,774,192 - - - 150,628 18,924,820 1.29 % Total $ 55,938,484 $ 94,950 $ 78,194 $ 187,108 $ 150,628 $ 56,449,364 0.78 % December 31, 2014 Repurchase Agreements by Collateral Type Agency Mortgage-backed Securities Debentures Total Repurchase Agreements Weighted Average Rate (dollars in thousands) 1 day $ - $ - $ - 0.00 % 2 to 29 days 27,604,632 749,535 28,354,167 0.35 % 30 to 59 days 17,149,787 186,682 17,336,469 0.43 % 60 to 89 days 3,662,646 378,031 4,040,677 0.38 % 90 to 119 days 2,945,495 - 2,945,495 0.50 % Over 120 days (1) 18,685,118 - 18,685,118 1.24 % Total $ 70,047,678 $ 1,314,248 $ 71,361,926 0.61 % (1) |
Summary of Gross Amounts, Amounts Offset and net Amounts of Repurchase Agreement and Reverse Repurchase Agreement | The following table summarizes the gross amounts of reverse repurchase agreements and repurchase agreements, amounts offset in accordance with netting arrangements and net amounts of repurchase agreements and reverse repurchase agreements as presented in the Consolidated Statements of Financial Condition as of September 30, 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. September 30, 2015 December 31, 2014 Reverse Repurchase Agreements Repurchase Agreements Reverse Repurchase Agreements Repurchase Agreements (dollars in thousands) Gross Amounts $ - $ 56,449,364 $ 700,000 $ 71,961,926 Amounts Offset - - (600,000 ) (600,000 ) Netted Amounts $ - $ 56,449,364 $ 100,000 $ 71,361,926 |
DERIVATIVE INSTRUMENTS (Tables)
DERIVATIVE INSTRUMENTS (Tables) | 9 Months Ended |
Sep. 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 September 30, 2015 and December 31, 2014: Derivatives Instruments Balance Sheet Location September 30, 2015 December 31, 2014 Assets: (dollars in thousands) Interest rate swaps Interest rate swaps, at fair value $ 39,295 $ 75,225 Interest rate swaptions Other derivatives, at fair value - 5,382 TBA derivatives Other derivatives, at fair value 87,516 - Futures contracts Other derivatives, at fair value - 117 $ 126,811 $ 80,724 Liabilities: Interest rate swaps Interest rate swaps, at fair value $ 2,160,350 $ 1,608,286 TBA derivatives Other derivatives, at fair value - 4,258 Futures contracts Other derivatives, at fair value 113,626 3,769 $ 2,273,976 $ 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 September 30, 2015 and December 31, 2014, respectively. September 30, 2015 Amounts Eligible for Offset Gross Amounts Financial Instruments Cash Collateral Net Amounts Assets: (dollars in thousands) Interest rate swaps, at fair value $ 39,295 $ (39,295 ) $ - $ - TBA derivatives, at fair value 87,516 - - 87,516 Liabilities: Interest rate swaps, at fair value $ 2,160,350 $ (39,295 ) $ (1,254,287 ) $ 866,768 Futures contracts, at fair value 113,626 - (113,626 ) - 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: September 30, 2015 $ (162,304 ) $ - $ (822,585 ) September 30, 2014 $ (169,083 ) $ - $ 98,593 Nine Months Ended: September 30, 2015 $ (465,008 ) $ (226,462 ) $ (587,995 ) September 30, 2014 $ (650,452 ) $ (779,333 ) $ (75,287 ) (1) |
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) Quarter Ended September 30, 2015 Net TBA derivatives (1) $ 168,292 $ 81,560 $ 249,852 Net interest rate swaptions (11,525 ) 11,519 (6 ) Futures (36,468 ) (105,199 ) (141,667 ) $ 108,179 Derivative Instruments Realized Gain (Loss) Unrealized Gain (Loss) Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Trading Assets (dollars in thousands) Quarter Ended September 30, 2014 Net TBA derivatives (1) $ (1,864 ) $ 6,992 $ 5,128 Net interest rate swaptions (30,432 ) 26,518 (3,914 ) Futures (2,991 ) 6,455 3,464 $ 4,678 Derivative Instruments Realized Gain (Loss) Unrealized Gain (Loss) Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Trading Assets (dollars in thousands) Nine Months Ended September 30, 2015 Net TBA derivatives (1) $ 61,846 $ 91,773 $ 153,619 Net interest rate swaptions (41,016 ) 35,634 (5,382 ) Futures (51,205 ) (109,974 ) (161,179 ) $ (12,942 ) Derivative Instruments Realized Gain (Loss) Unrealized Gain (Loss) Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Trading Assets (dollars in thousands) Nine Months Ended September 30, 2014 Net TBA derivatives (1) $ (46,747 ) $ (8,046 ) $ (54,793 ) Net interest rate swaptions $ (102,413 ) $ (24,613 ) $ (127,026 ) Futures $ (15,466 ) $ 3,631 $ (11,835 ) $ (193,654 ) (1) |
Interest Rate Swaps | |
Summary of Certain Characteristics of Derivatives | The following table summarizes certain characteristics of the Company’s interest rate swaps at September 30, 2015 and December 31, 2014: September 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 $ 3,202,454 1.85 % 0.22 % 2.04 3 - 6 years 11,113,000 1.81 % 0.46 % 4.49 6 - 10 years 11,743,300 2.45 % 0.47 % 8.20 Greater than 10 years 3,634,400 3.70 % 0.26 % 19.62 Total / Weighted Average $ 29,693,154 2.26 % 0.42 % 7.28 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) September 30, 2015 and December 31, 2014. (2) Excludes forward starting swaps. (3) September 30, 2015 and December 31, 2014, respectively. |
Interest Rate Swaption | |
Summary of Certain Characteristics of Derivatives | The following table summarizes certain characteristics of the Company’s interest rate swaptions at September 30, 2015 and December 31, 2014: September 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 $ - - - - - 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 September 30, 2015: Notional - Long Positions Notional - Short Positions Weighted Average Years to Maturity (dollars in thousands) 2-year swap equivalent Eurodollar contracts $ - $ (8,000,000 ) 2.00 U.S. Treasury futures - 5 year - (2,273,000 ) 4.41 U.S. Treasury futures - 10 year and greater - (655,600 ) 6.92 Total $ - $ (10,928,600 ) 2.80 |
TBA Derivatives | |
Summary of Certain Characteristics of Derivatives | The following table summarizes certain characteristics of the Company’s TBA derivatives as of September 30, 2015 and December 31, 2014: September 30, 2015 Purchase and sale contracts for derivative TBAs Notional Implied Cost Basis Implied Market Value Net Carrying Value (dollars in thousands) Purchase contracts $ 14,055,000 $ 14,490,220 $ 14,577,736 $ 87,516 Sale contracts - - - - Net TBA derivatives $ 14,055,000 $ 14,490,220 $ 14,577,736 $ 87,516 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) | 9 Months Ended |
Sep. 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 nine months ended September 30, 2015 and 2014. For the Quarter Ended September 30, For the Nine Months Ended September 30, 2015 2014 2015 2014 Interest income: (dollars in thousands) Investment Securities $ 399,702 $ 606,331 $ 1,448,434 $ 1,861,037 Commercial investment portfolio (1) 50,204 38,113 142,969 120,924 U.S. Treasury securities - - - 1,329 Securities loaned - - - 114 Reverse repurchase agreements 820 135 2,714 906 Other 66 61 193 193 Total interest income 450,792 644,640 1,594,310 1,984,503 Interest expense: Repurchase agreements 103,823 102,750 307,796 309,654 Convertible Senior Notes - 22,376 29,740 61,592 U.S. Treasury securities sold, not yet purchased - - - 1,076 Securities borrowed - - - 95 Securitized debt of consolidated VIEs 6,111 1,780 14,468 5,244 Participation sold 161 163 479 486 Other 202 - 306 - Total interest expense 110,297 127,069 352,789 378,147 Net interest income $ 340,495 $ 517,571 $ 1,241,521 $ 1,606,356 (1) |
NET INCOME (LOSS) PER COMMON 36
NET INCOME (LOSS) PER COMMON SHARE (Tables) | 9 Months Ended |
Sep. 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 nine months ended September 30, 2015 and 2014. For the Quarter Ended For the Nine Months Ended September 30, 2015 September 30, 2014 September 30, 2015 September 30, 2014 (dollars in thousands, except per share data) Net income (loss) $ (627,491 ) $ 354,856 $ (203,919 ) $ (184,007 ) Less: Net income (loss) attributable to noncontrolling interest (197 ) - (436 ) - Net income (loss) attributable to Annaly (627,294 ) 354,856 (203,483 ) (184,007 ) Less: Preferred stock dividends 17,992 17,992 53,976 53,976 Net income (loss) per share available (related) to common stockholders, prior to adjustment for dilutive potential common shares, if necessary (645,286 ) 336,864 (257,459 ) (237,983 ) Add: Interest on Convertible Senior Notes, if dilutive - 12,226 - - Net income (loss) available to common stockholders, as adjusted (645,286 ) 349,090 (257,459 ) (237,983 ) Weighted average shares of common stock outstanding-basic 947,795,500 947,565,432 947,732,735 947,513,514 Add: Effect of stock awards and Convertible Senior Notes, if dilutive - 39,750,095 - - Weighted average shares of common stock outstanding-diluted 947,795,500 987,315,527 947,732,735 947,513,514 Net income (loss) per share available (related) to common share: Basic $ (0.68 ) $ 0.36 $ (0.27 ) $ (0.25 ) Diluted $ (0.68 ) $ 0.35 $ (0.27 ) $ (0.25 ) |
LONG-TERM STOCK INCENTIVE PLAN
LONG-TERM STOCK INCENTIVE PLAN (Tables) | 9 Months Ended |
Sep. 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 Nine Months Ended September 30, 2015 September 30, 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 (266,399 ) 15.24 (1,016,667 ) 15.07 Expired (294,750 ) 17.07 (305,750 ) 17.34 Options outstanding at the end of period 1,698,186 $ 15.07 2,259,335 $ 15.35 Options exercisable at the end of period 1,698,186 $ 15.07 2,259,335 $ 15.35 |
LEASE COMMITMENTS AND CONTING38
LEASE COMMITMENTS AND CONTINGENCIES (Tables) | 9 Months Ended |
Sep. 30, 2015 | |
Lease Commitments and Contingencies | Company’s aggregate future minimum lease payments total $37.2 million. The following table details the lease payments. Years Ending December 31, Lease Commitments (dollars in thousands) 2015 (remaining) $ 907 2016 3,575 2017 3,565 2018 3,565 2019 3,565 Later years 21,993 $ 37,170 |
Organization and Significant Ac
Organization and Significant Accounting Policies - Narrative (Detail) - USD ($) | Sep. 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 | $ 2,100,000,000 | $ 1,600,000,000 |
Summary of Estimated Useful Liv
Summary of Estimated Useful Lives of Assets (Detail) | 9 Months Ended |
Sep. 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) | 9 Months Ended |
Sep. 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 analogize 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 | Yes |
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. 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 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 2015-16 | |
New Accounting Pronouncements or Change in Accounting Principle [Line Items] | |
Standard | ASU 2015-16 Business Combinations (Topic 805) Simplifying the Accounting Measurement-Period Adjustments |
Description | This amendment removes the requirement to present adjustments to provisional amounts retrospectively. The update requires that an acquirer record, in the same period's financial statements, the effect on earnings of changes in depreciation, amortization, or other income effects, if any, as a result of the change to provisional amounts |
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, 2018 |
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 205) and Property, Plant and Equipment (Topic 360) Reporting Discontinued Operations and Disclosures of Disposals of Components 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 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 |
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 2015-15 | |
New Accounting Pronouncements or Change in Accounting Principle [Line Items] | |
Standard | ASU 2015-15, Interest - Imputation of Interest (Subtopic 835-30) Simplifying the Presentation and Subsequent Measurement of Debt Issuance Costs Associated with Line-of-Credit Arrangements - Amendments to SEC Paragraphs Pursuant to Staff Announcement at June 18, 2015 EITF Meeting (SEC Update) |
Description | This amendment provides SEC guidance that it would not object to filers presenting debt issue costs related to line-of-credit arrangements as an asset and ratably amortizing the costs over the term of the arrangement. |
Date of Adoption | June 18, 2015 (early adoption permitted) |
Effect on the financial statements or other significant matters | No |
Agency Mortgage-Backed Securi42
Agency Mortgage-Backed Securities - Portfolio (Detail) - Agency Mortgage Backed Securities - USD ($) $ in Thousands | Sep. 30, 2015 | Dec. 31, 2014 | |
Mortgage-Backed Securities Portfolio: | |||
Principal outstanding | $ 60,733,575 | $ 75,982,999 | |
Unamortized premium | 4,855,360 | 5,368,726 | |
Unamortized discount | (12,251) | (18,200) | |
Amortized cost | 65,576,684 | 81,333,525 | |
Gross unrealized gains | 798,584 | 982,001 | |
Gross unrealized losses | (568,628) | (750,270) | |
Estimated fair value | 65,806,640 | 81,565,256 | [1] |
Total amortized cost | 65,576,684 | 81,333,525 | |
Fixed Rate | |||
Mortgage-Backed Securities Portfolio: | |||
Amortized cost | 61,727,096 | 78,250,313 | |
Gross unrealized gains | 668,600 | 847,615 | |
Gross unrealized losses | (551,434) | (732,533) | |
Estimated fair value | 61,844,262 | 78,365,395 | |
Total amortized cost | 61,727,096 | 78,250,313 | |
Adjustable Rate | |||
Mortgage-Backed Securities Portfolio: | |||
Amortized cost | 3,849,588 | 3,083,212 | |
Gross unrealized gains | 129,984 | 134,386 | |
Gross unrealized losses | (17,194) | (17,737) | |
Estimated fair value | 3,962,378 | 3,199,861 | |
Total amortized cost | 3,849,588 | 3,083,212 | |
Freddie Mac | |||
Mortgage-Backed Securities Portfolio: | |||
Principal outstanding | 21,598,845 | 27,906,221 | |
Unamortized premium | 1,913,855 | 1,951,798 | |
Unamortized discount | (6,039) | (8,985) | |
Amortized cost | 23,506,661 | 29,849,034 | |
Gross unrealized gains | 244,683 | 313,761 | |
Gross unrealized losses | (249,094) | (322,094) | |
Estimated fair value | 23,502,250 | 29,840,701 | |
Total amortized cost | 23,506,661 | 29,849,034 | |
Fannie Mae | |||
Mortgage-Backed Securities Portfolio: | |||
Principal outstanding | 39,061,904 | 47,979,778 | |
Unamortized premium | 2,909,606 | 3,396,368 | |
Unamortized discount | (6,201) | (8,857) | |
Amortized cost | 41,965,309 | 51,367,289 | |
Gross unrealized gains | 547,434 | 660,230 | |
Gross unrealized losses | (316,455) | (424,800) | |
Estimated fair value | 42,196,288 | 51,602,719 | |
Total amortized cost | 41,965,309 | 51,367,289 | |
Ginnie Mae | |||
Mortgage-Backed Securities Portfolio: | |||
Principal outstanding | 72,826 | 97,000 | |
Unamortized premium | 31,899 | 20,560 | |
Unamortized discount | (11) | (358) | |
Amortized cost | 104,714 | 117,202 | |
Gross unrealized gains | 6,467 | 8,010 | |
Gross unrealized losses | (3,079) | (3,376) | |
Estimated fair value | 108,102 | 121,836 | |
Total amortized cost | $ 104,714 | $ 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) - Agency Mortgage Backed Securities - USD ($) $ in Thousands | Sep. 30, 2015 | Dec. 31, 2014 | |
Fair Value of Agency Mortgage-Backed Securities according to their estimated weighted-average life: | |||
Less than one year | $ 26,908 | $ 43,248 | |
Greater than one year through five years | 24,579,949 | 42,222,114 | |
Greater than five years through ten years | 40,978,447 | 39,018,833 | |
Greater than ten years | 221,336 | 281,061 | |
Total | 65,806,640 | 81,565,256 | [1] |
Amortized Cost of Agency Mortgage-Backed Securities according to their estimated weighted-average life: | |||
Less than one year | 27,387 | 42,831 | |
Greater than one year through five years | 24,237,266 | 41,908,586 | |
Greater than five years through ten years | 41,081,291 | 39,098,352 | |
Greater than ten years | 230,740 | 283,756 | |
Total | $ 65,576,684 | $ 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 | Sep. 30, 2015USD ($)Securities | Dec. 31, 2014USD ($)Securities |
Unrealized Loss Position For: | ||
Estimated Fair Value | $ 29,491,742 | $ 39,788,793 |
Gross Unrealized Losses | $ (568,628) | $ (750,270) |
Number of Securities | Securities | 569 | 507 |
Available For Sale Securities, Continuous Unrealized Loss Positions, Less Than 12 Months | ||
Unrealized Loss Position For: | ||
Estimated Fair Value | $ 6,574,181 | $ 4,613,599 |
Gross Unrealized Losses | $ (61,722) | $ (36,959) |
Number of Securities | Securities | 283 | 205 |
Available For Sale Securities, Continuous Unrealized Loss Positions, Greater Than 12 Months | ||
Unrealized Loss Position For: | ||
Estimated Fair Value | $ 22,917,561 | $ 35,175,194 |
Gross Unrealized Losses | $ (506,906) | $ (713,311) |
Number of Securities | Securities | 286 | 302 |
Agency Mortgage-Backed Securi45
Agency Mortgage-Backed Securities - Narrative (Detail) - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | 12 Months Ended | ||
Sep. 30, 2015 | Sep. 30, 2014 | Sep. 30, 2015 | Sep. 30, 2014 | Dec. 31, 2014 | |
Mortgage-Backed Securities Sold: | |||||
Mortgage-Backed securities sold, carrying value | $ 3,600 | $ 4,100 | $ 20,100 | $ 13,300 | |
Mortgage-Backed securities sold, realized gain | 6.3 | $ 5.5 | 77.9 | $ 176.5 | |
Interest-only securities | |||||
Mortgage-Backed Securities Sold: | |||||
Amortized cost | $ 1,600 | 1,600 | $ 1,200 | ||
Accumulated other comprehensive income (loss) | Interest-only securities | |||||
Mortgage-Backed Securities Sold: | |||||
Unrealized gains (Losses) | $ (42.7) | $ (8) |
Commercial Real Estate Invest46
Commercial Real Estate Investments - Additional Information (Detail) | 1 Months Ended | 3 Months Ended | 9 Months Ended | 12 Months Ended | ||||||||||||
Aug. 31, 2015USD ($)Property | Jul. 31, 2015USD ($) | May. 31, 2015USD ($) | Apr. 30, 2015USD ($)Loan | Feb. 28, 2015USD ($)Loan | Nov. 30, 2014USD ($)Property | Jan. 31, 2014USD ($) | Sep. 30, 2015USD ($) | Sep. 30, 2014USD ($) | Sep. 30, 2015USD ($)Building | Sep. 30, 2014USD ($) | Dec. 31, 2014USD ($) | |||||
Real Estate Properties [Line Items] | ||||||||||||||||
Purchase Price | $ 29,900,000 | $ 190,743,000 | ||||||||||||||
Fair value of non-controlling interest in joint venture | $ 5,505,000 | 5,505,000 | $ 5,290,000 | [1] | ||||||||||||
Transaction costs related to acquisitions | 1,200,000 | $ 1,200,000 | ||||||||||||||
Number of retail property Acquired | Property | 6 | |||||||||||||||
Weighted average amortization period for intangible assets and liabilities | 8 years 10 months 24 days | 12 years | ||||||||||||||
Depreciation expense | 3,100,000 | $ 400,000 | $ 8,773,000 | $ 1,264,000 | ||||||||||||
Business acquisition of joint venture capital | $ 57,700,000 | $ 12,000,000 | 70,602,000 | |||||||||||||
Securitization financing transaction, purchase | $ 399,500,000 | |||||||||||||||
Securitization financing transaction, total | $ 260,700,000 | 2,553,398,000 | [2] | 2,553,398,000 | [2] | $ 260,700,000 | [1],[2] | |||||||||
Securitization financing transaction, weighted average rate | 65.30% | |||||||||||||||
Securitization cost | $ 4,300,000 | |||||||||||||||
Carrying value of trust's liabilities | 176,300,000 | 176,300,000 | ||||||||||||||
Senior Secured mortgages of Consolidated VIE | 314,900,000 | 314,900,000 | $ 398,600,000 | [1] | ||||||||||||
Unamortized origination fees | 200,000 | 200,000 | ||||||||||||||
Joint Venture [Member] | ||||||||||||||||
Real Estate Properties [Line Items] | ||||||||||||||||
Investment interest in joint venture | 85.00% | 75.00% | ||||||||||||||
FREMF Trust | ||||||||||||||||
Real Estate Properties [Line Items] | ||||||||||||||||
Exposure to the obligations of the VIE limited to the amount of investment | $ 188,800,000 | |||||||||||||||
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 | |||||||||||||||
New York City Multifamily Apartment | ||||||||||||||||
Real Estate Properties [Line Items] | ||||||||||||||||
Funded loan for the purchase of building | 592,000,000 | $ 592,000,000 | ||||||||||||||
Number of building purchased | Building | 24 | |||||||||||||||
Purchase price of the building | $ 740,000,000 | |||||||||||||||
New York, Ohio and Georgia [Member] | ||||||||||||||||
Real Estate Properties [Line Items] | ||||||||||||||||
Percentage of ownership interest in joint venture | 90.00% | |||||||||||||||
Number of retail property Acquired | Property | 11 | |||||||||||||||
New York, Ohio and Georgia [Member] | Multi Tenant Properties [Member] | ||||||||||||||||
Real Estate Properties [Line Items] | ||||||||||||||||
Purchase Price | $ 154,000,000 | |||||||||||||||
Remaining lease term | [3] | 4 years 7 months 6 days | ||||||||||||||
OHIO | ||||||||||||||||
Real Estate Properties [Line Items] | ||||||||||||||||
Purchase Price | $ 11,000,000 | |||||||||||||||
OHIO | Single Tenant Properties [Member] | ||||||||||||||||
Real Estate Properties [Line Items] | ||||||||||||||||
Ownership percentage | 90.00% | |||||||||||||||
Purchase Price | $ 11,000,000 | |||||||||||||||
Fair value of non-controlling interest in joint venture | $ 400,000 | |||||||||||||||
OHIO | Single Tenant Properties [Member] | Minimum | ||||||||||||||||
Real Estate Properties [Line Items] | ||||||||||||||||
Remaining lease term | 3 years | |||||||||||||||
OHIO | Single Tenant Properties [Member] | Maximum | ||||||||||||||||
Real Estate Properties [Line Items] | ||||||||||||||||
Remaining lease term | 5 years | |||||||||||||||
OHIO | Multi Tenant Properties [Member] | ||||||||||||||||
Real Estate Properties [Line Items] | ||||||||||||||||
Purchase Price | $ 11,000,000 | |||||||||||||||
Remaining lease term | [3] | 5 years 1 month 6 days | ||||||||||||||
FLORIDA | ||||||||||||||||
Real Estate Properties [Line Items] | ||||||||||||||||
Purchase Price | $ 18,900,000 | |||||||||||||||
FLORIDA | Multi Tenant Properties [Member] | ||||||||||||||||
Real Estate Properties [Line Items] | ||||||||||||||||
Ownership percentage | 90.00% | |||||||||||||||
Purchase Price | $ 18,900,000 | $ 18,900,000 | ||||||||||||||
Remaining lease term | [3] | 4 years 4 months 24 days | ||||||||||||||
Fair value of non-controlling interest in joint venture | 700,000 | |||||||||||||||
Freddie Mac | Floating Rate Multifamily Mortgage Loans [Member] | 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 [Member] | FREMF 2015-KF07 | ||||||||||||||||
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 | ||||||||||||||||
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] | New York, Ohio and Georgia [Member] | ||||||||||||||||
Real Estate Properties [Line Items] | ||||||||||||||||
Funding for mezzanine 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 | |||||||||||||||
Commercial Mortgage Loans [Member] | New York City Multifamily Apartment | ||||||||||||||||
Real Estate Properties [Line Items] | ||||||||||||||||
Funding for senior mortgage loan | 480,000,000 | $ 480,000,000 | ||||||||||||||
Funding for senior mortgage loan, net of origination fees | 476,600,000 | |||||||||||||||
Future funding commitment | 20,000,000 | 20,000,000 | ||||||||||||||
Commercial Mortgage Loans [Member] | Mezzanine Loans | New York City Multifamily Apartment | ||||||||||||||||
Real Estate Properties [Line Items] | ||||||||||||||||
Funding for mezzanine loan | $ 70,000,000 | $ 70,000,000 | ||||||||||||||
Ten Year Four Point Four Three Percent Fixed Rate Interest Only Mortgage Loan | OHIO | Single Tenant Properties [Member] | ||||||||||||||||
Real Estate Properties [Line Items] | ||||||||||||||||
Funding for mezzanine loan | $ 7,700,000 | |||||||||||||||
Debt term | 10 years | |||||||||||||||
Debt instrument, interest rate | 4.43% | |||||||||||||||
Ten Year Four Point Two Eight Percent Fixed Rate Interest Only Mortgage Loan | FLORIDA | Multi Tenant Properties [Member] | ||||||||||||||||
Real Estate Properties [Line Items] | ||||||||||||||||
Funding for mezzanine loan | $ 12,750,000 | |||||||||||||||
Debt term | 10 years | |||||||||||||||
Debt instrument, interest rate | 4.28% | |||||||||||||||
[1] | Derived from the audited consolidated financial statements at December 31, 2014. | |||||||||||||||
[2] | Includes securitized debt of consolidated VIEs carried at fair value of $2.4 billion and $0 at September 30, 2015 and December 31, 2014, respectively. | |||||||||||||||
[3] | Does not include extension options. |
CRE Debt and Preferred Equity I
CRE Debt and Preferred Equity Investments (Detail) - USD ($) $ in Thousands | Sep. 30, 2015 | Dec. 31, 2014 | ||
Transaction to Real Estate Investments [Line Items] | ||||
Carrying Value | $ 1,316,595 | [1] | $ 1,518,165 | |
Preferred Equity Interests | ||||
Transaction to Real Estate Investments [Line Items] | ||||
Carrying Value | 121,711 | [1] | 212,905 | |
Commercial Mortgage | ||||
Transaction to Real Estate Investments [Line Items] | ||||
Outstanding Principal | [1] | 1,320,980 | 1,520,972 | |
Carrying Value | [1],[2] | $ 1,316,595 | $ 1,518,165 | |
Percentage of Loan Portfolio | [1],[3] | 100.00% | 100.00% | |
Commercial Mortgage | Senior Mortgages | ||||
Transaction to Real Estate Investments [Line Items] | ||||
Outstanding Principal | $ 322,564 | $ 384,304 | ||
Carrying Value | [2] | $ 321,350 | [1] | $ 383,895 |
Percentage of Loan Portfolio | [3] | 24.40% | 25.20% | |
Commercial Mortgage | Senior Securitized Mortgages | ||||
Transaction to Real Estate Investments [Line Items] | ||||
Outstanding Principal | [4] | $ 315,172 | $ 399,541 | |
Carrying Value | [2],[4],[5] | $ 314,921 | [1] | $ 398,634 |
Percentage of Loan Portfolio | [3],[4] | 23.90% | 26.30% | |
Commercial Mortgage | Preferred Equity Interests | ||||
Transaction to Real Estate Investments [Line Items] | ||||
Outstanding Principal | $ 122,444 | $ 214,653 | ||
Carrying Value | [2] | $ 121,711 | $ 212,905 | |
Percentage of Loan Portfolio | [3] | 9.30% | 14.10% | |
Commercial Mortgage | Mezzanine Loans | ||||
Transaction to Real Estate Investments [Line Items] | ||||
Outstanding Principal | $ 560,800 | $ 522,474 | ||
Carrying Value | [2] | $ 558,613 | [1] | $ 522,731 |
Percentage of Loan Portfolio | [3] | 42.40% | 34.40% | |
[1] | Excludes Loans held for sale. | |||
[2] | Carrying value includes unamortized origination fees of $4.8 million and $3.0 million as of September 30, 2015 and December 31, 2014, respectively. | |||
[3] | Based on outstanding principal. | |||
[4] | Assets of consolidated VIEs. | |||
[5] | Assets of consolidated VIE. |
CRE Debt and Preferred Equity48
CRE Debt and Preferred Equity Investments (Parenthetical) (Detail) - USD ($) $ in Millions | Sep. 30, 2015 | Dec. 31, 2014 |
Commercial Mortgage | ||
Transaction to Real Estate Investments [Line Items] | ||
Net origination fees | $ 4.8 | $ 3 |
CRE Debt and Preferred Equity49
CRE Debt and Preferred Equity Investments -Based on Outstanding Principal (Detail) - USD ($) $ in Thousands | 9 Months Ended | 12 Months Ended | ||
Sep. 30, 2015 | Dec. 31, 2014 | |||
Transaction to Real Estate Investments [Line Items] | ||||
Beginning balance | $ 1,518,165 | $ 1,583,969 | ||
Originations & advances (principal) | 356,231 | 249,854 | ||
Principal payments | (508,580) | (316,082) | ||
Sales (principal) | (46,945) | |||
Amortization & accretion of (premium) discounts | 245 | (1,472) | ||
Net (increase) decrease in origination fees | (5,756) | (3,021) | ||
Amortization of net origination fees | 3,235 | 4,917 | ||
Allowance for loan losses | 0 | 0 | ||
Net carrying value | 1,316,595 | [1] | 1,518,165 | |
Preferred Equity Interests | ||||
Transaction to Real Estate Investments [Line Items] | ||||
Beginning balance | 212,905 | 247,160 | ||
Principal payments | (92,210) | (35,116) | ||
Amortization & accretion of (premium) discounts | 516 | 108 | ||
Amortization of net origination fees | 500 | 753 | ||
Allowance for loan losses | 0 | 0 | ||
Net carrying value | 121,711 | [1] | 212,905 | |
Commercial Mortgage | ||||
Transaction to Real Estate Investments [Line Items] | ||||
Net carrying value | [1],[2] | 1,316,595 | 1,518,165 | |
Commercial Mortgage | Mezzanine Loans | ||||
Transaction to Real Estate Investments [Line Items] | ||||
Beginning balance | 522,731 | 628,102 | ||
Originations & advances (principal) | 140,106 | 122,742 | ||
Principal payments | (101,781) | (227,151) | ||
Amortization & accretion of (premium) discounts | (164) | (1,093) | ||
Net (increase) decrease in origination fees | (2,556) | (478) | ||
Amortization of net origination fees | 277 | 609 | ||
Allowance for loan losses | 0 | 0 | ||
Net carrying value | [2] | 558,613 | [1] | 522,731 |
Commercial Mortgage | Senior Mortgages | ||||
Transaction to Real Estate Investments [Line Items] | ||||
Beginning balance | 383,895 | 667,299 | ||
Originations & advances (principal) | 216,125 | 127,112 | ||
Principal payments | (230,220) | (12,756) | ||
Sales (principal) | (46,945) | |||
Amortization & accretion of (premium) discounts | (107) | (138) | ||
Net (increase) decrease in origination fees | (3,200) | (2,427) | ||
Amortization of net origination fees | 1,802 | 2,783 | ||
Transfers | (397,978) | |||
Allowance for loan losses | 0 | 0 | ||
Net carrying value | [2] | 321,350 | [1] | 383,895 |
Commercial Mortgage | Senior Securitized Mortgages | ||||
Transaction to Real Estate Investments [Line Items] | ||||
Beginning balance | [3] | 398,634 | ||
Principal payments | [3] | (84,369) | ||
Net (increase) decrease in origination fees | [3] | (116) | ||
Amortization of net origination fees | [3] | 656 | 772 | |
Transfers | [3] | 397,978 | ||
Allowance for loan losses | [3] | 0 | 0 | |
Net carrying value | [2],[3],[4] | 314,921 | [1] | 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 | [2] | $ 121,711 | $ 212,905 | |
[1] | Excludes Loans held for sale. | |||
[2] | Carrying value includes unamortized origination fees of $4.8 million and $3.0 million as of September 30, 2015 and December 31, 2014, respectively. | |||
[3] | Assets of consolidated VIE. | |||
[4] | Assets of consolidated VIEs. |
Internal CRE Debt and Preferred
Internal CRE Debt and Preferred Equity Ratings (Detail) - Commercial Mortgage - USD ($) $ in Thousands | Sep. 30, 2015 | Dec. 31, 2014 | |||
Transaction to Real Estate Investments [Line Items] | |||||
Performing Loans | $ 1,298,757 | $ 1,498,749 | |||
Internal Ratings Watch List | 9,250 | 9,250 | |||
Defaulted-Recovery | 12,973 | [1] | 12,973 | [2] | |
Impaired | 0 | 0 | |||
Senior Mortgages | |||||
Transaction to Real Estate Investments [Line Items] | |||||
Performing Loans | 309,591 | 371,331 | |||
Defaulted-Recovery | 12,973 | [1] | 12,973 | [2] | |
Impaired | 0 | 0 | |||
Senior Securitized Mortgages | |||||
Transaction to Real Estate Investments [Line Items] | |||||
Performing Loans | [2] | 305,922 | 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 | 122,444 | 214,653 | |||
Impaired | 0 | 0 | |||
Mezzanine Loans | |||||
Transaction to Real Estate Investments [Line Items] | |||||
Performing Loans | 560,800 | 522,474 | |||
Impaired | $ 0 | $ 0 | |||
[1] | Related to one loan on non-accrual status. | ||||
[2] | Assets of consolidated VIE. |
Summary of Acquisitions of Real
Summary of Acquisitions of Real Estate Held for Investment (Detail) - USD ($) $ in Thousands | 1 Months Ended | 9 Months Ended | 12 Months Ended | ||
Aug. 31, 2015 | Jul. 31, 2015 | Sep. 30, 2015 | Dec. 31, 2014 | ||
Transaction to Real Estate Investments [Line Items] | |||||
Purchase Price | $ 29,900 | $ 190,743 | |||
OHIO | |||||
Transaction to Real Estate Investments [Line Items] | |||||
Purchase Price | $ 11,000 | ||||
OHIO | Multi Tenant Properties [Member] | |||||
Transaction to Real Estate Investments [Line Items] | |||||
Date of Acquisition | Jul. 31, 2015 | ||||
Purchase Price | $ 11,000 | ||||
Remaining Lease Term (Years) | [1] | 5 years 1 month 6 days | |||
OHIO | Single Tenant Properties [Member] | |||||
Transaction to Real Estate Investments [Line Items] | |||||
Purchase Price | $ 11,000 | ||||
FLORIDA | |||||
Transaction to Real Estate Investments [Line Items] | |||||
Purchase Price | $ 18,900 | ||||
FLORIDA | Multi Tenant Properties [Member] | |||||
Transaction to Real Estate Investments [Line Items] | |||||
Date of Acquisition | Aug. 31, 2015 | ||||
Purchase Price | $ 18,900 | $ 18,900 | |||
Remaining Lease Term (Years) | [1] | 4 years 4 months 24 days | |||
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) | [1] | 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) | [1] | 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) | [1] | 4 years 7 months 6 days | |||
[1] | Does not include extension options. |
Aggregate Allocation of Purchas
Aggregate Allocation of Purchase Price (Detail) - USD ($) $ in Thousands | 9 Months Ended | 12 Months Ended |
Sep. 30, 2015 | Dec. 31, 2014 | |
Transaction to Real Estate Investments [Line Items] | ||
Total purchase price | $ 29,900 | $ 190,743 |
Real Estate Investment | ||
Transaction to Real Estate Investments [Line Items] | ||
Total purchase price | 30,748 | 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 | |
OHIO | ||
Transaction to Real Estate Investments [Line Items] | ||
Total purchase price | 11,000 | |
OHIO | Real Estate Investment | ||
Transaction to Real Estate Investments [Line Items] | ||
Total purchase price | 11,848 | |
FLORIDA | ||
Transaction to Real Estate Investments [Line Items] | ||
Total purchase price | 18,900 | |
FLORIDA | Real Estate Investment | ||
Transaction to Real Estate Investments [Line Items] | ||
Total purchase price | 18,900 | |
Land | ||
Transaction to Real Estate Investments [Line Items] | ||
Total purchase price | 6,062 | 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 | |
Land | OHIO | ||
Transaction to Real Estate Investments [Line Items] | ||
Total purchase price | 2,282 | |
Land | FLORIDA | ||
Transaction to Real Estate Investments [Line Items] | ||
Total purchase price | 3,780 | |
Building | ||
Transaction to Real Estate Investments [Line Items] | ||
Total purchase price | 23,376 | 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 | |
Building | OHIO | ||
Transaction to Real Estate Investments [Line Items] | ||
Total purchase price | 8,256 | |
Building | FLORIDA | ||
Transaction to Real Estate Investments [Line Items] | ||
Total purchase price | 15,120 | |
Site Improvements | ||
Transaction to Real Estate Investments [Line Items] | ||
Total purchase price | 639 | 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 | |
Site Improvements | OHIO | ||
Transaction to Real Estate Investments [Line Items] | ||
Total purchase price | 639 | |
Tenant Improvements [Member] | ||
Transaction to Real Estate Investments [Line Items] | ||
Total purchase price | 671 | 9,365 |
Tenant Improvements [Member] | OHIO | ||
Transaction to Real Estate Investments [Line Items] | ||
Total purchase price | 671 | |
Leaseholds and Leasehold Improvements [Member] | ||
Transaction to Real Estate Investments [Line Items] | ||
Total purchase price | 1,269 | 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 | |
Leaseholds and Leasehold Improvements [Member] | OHIO | ||
Transaction to Real Estate Investments [Line Items] | ||
Total purchase price | 1,269 | |
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 | 2,117 | 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 | |
Below Market Lease Liabilities [Member] | OHIO | ||
Transaction to Real Estate Investments [Line Items] | ||
Total purchase price | $ 2,117 | |
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 | Sep. 30, 2015 | Dec. 31, 2014 | |
Real estate held for investment, at amortized cost | |||
Real estate held for investment, at amortized cost | $ 244,257 | $ 214,256 | |
Less: accumulated depreciation | (12,997) | (4,224) | |
Total real estate held for investment, at amortized cost, net | 231,260 | 210,032 | |
Equity in unconsolidated joint venture | 70,187 | ||
Investment in commercial real estate, net | 301,447 | 210,032 | [1] |
Land | |||
Real estate held for investment, at amortized cost | |||
Real estate held for investment, at amortized cost | 44,039 | 38,117 | |
Building Improvements | |||
Real estate held for investment, at amortized cost | |||
Real estate held for investment, at amortized cost | $ 200,218 | $ 176,139 | |
[1] | Derived from the audited consolidated financial statements at December 31, 2014. |
Minimum Future Rentals to be Re
Minimum Future Rentals to be Received on Noncancelable Operating Leases (Detail) $ in Thousands | Sep. 30, 2015USD ($) |
Operating Leased Assets [Line Items] | |
2015 (remaining) | $ 5,672 |
2,016 | 20,529 |
2,017 | 17,713 |
2,018 | 15,333 |
2,019 | 12,998 |
Later years | 52,875 |
Operating Leases, Future Minimum Payments Receivable, Total | $ 125,120 |
Mortgage Loans Payable (Detail)
Mortgage Loans Payable (Detail) - Commercial Mortgage Loan [Member] - USD ($) $ in Thousands | 9 Months Ended | 12 Months Ended | |
Sep. 30, 2015 | Dec. 31, 2014 | ||
Mortgage Loans on Real Estate [Line Items] | |||
Mortgage Carrying Value | $ 166,697 | $ 146,553 | |
Mortgage Principal | 166,617 | 146,430 | |
Joint Venture [Member] | |||
Mortgage Loans on Real Estate [Line Items] | |||
Mortgage Carrying Value | 124,400 | 103,950 | |
Mortgage Principal | $ 124,400 | $ 103,950 | |
Interest rate | 4.44% | 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 | $ 16,460 | $ 16,709 | |
Mortgage Principal | $ 16,389 | $ 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 | $ 2,462 | $ 2,519 | |
Mortgage Principal | $ 2,453 | $ 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 | Sep. 30, 2015USD ($) |
Schedule Of Long Term Debt Maturities [Line Items] | |
2015 (remaining) | $ 98 |
2,016 | 400 |
2,017 | 18,344 |
2,018 | 0 |
2,019 | 23,375 |
Later years | 124,400 |
Long-term Debt, Total | $ 166,617 |
Statement of Financial Conditio
Statement of Financial Condition of FREMF Trust Reflected the Consolidated Statements of Financial Condition (Detail) - USD ($) $ in Thousands | Sep. 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 | 75,338,687 | 88,355,367 | |
Liabilities and equity | |||
Accrued interest payable | 145,554 | 180,501 | |
Total liabilities | 63,054,354 | 75,021,586 | |
Equity | 12,278,828 | 13,328,491 | |
Total liabilities and equity | 75,338,687 | $ 88,355,367 | |
FREMF Trust | |||
Variable Interest Entity [Line Items] | |||
Senior securitized commercial mortgages carried at fair value | 2,565,909 | ||
Accrued interest receivable | 4,703 | ||
Total assets | 2,570,612 | ||
Liabilities and equity | |||
Securitized debt (non-recourse) at fair value | 2,377,067 | ||
Accrued interest payable | 4,068 | ||
Total liabilities | 2,381,135 | ||
Equity | 189,477 | ||
Total liabilities and equity | $ 2,570,612 | ||
[1] | Derived from the audited consolidated financial statements at December 31, 2014. |
Statement of Comprehensive Inco
Statement of Comprehensive Income (Loss) of FREMF Trusts Reflected the Consolidated Statements of Comprehensive Income (Loss) (Detail) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2015 | Sep. 30, 2014 | Sep. 30, 2015 | Sep. 30, 2014 | ||
Net interest income: | |||||
Interest income | $ 450,792 | $ 644,640 | $ 1,594,310 | $ 1,984,503 | |
Interest expense | 110,297 | 127,069 | 352,789 | 378,147 | |
Net interest income | 340,495 | 517,571 | 1,241,521 | 1,606,356 | |
Other income (loss): | |||||
General and administration expenses | 49,457 | 51,317 | 152,404 | 150,884 | |
Net income (loss) | $ (627,491) | $ 354,856 | (203,919) | $ (184,007) | |
FREMF Trust | |||||
Net interest income: | |||||
Interest income | 26,634 | ||||
Interest expense | 9,051 | ||||
Net interest income | 17,583 | ||||
Other income (loss): | |||||
Unrealized gain (loss) on financial instruments at fair value | [1] | (2,691) | |||
Guarantee fees and servicing costs | 9,579 | ||||
Other income (loss) | (12,270) | ||||
General and administration expenses | 58 | ||||
Net income (loss) | $ 5,255 | ||||
[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) $ in Thousands | 9 Months Ended |
Sep. 30, 2015USD ($) | |
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% |
FLORIDA | |
Concentration Risk [Line Items] | |
Principal Balance | $ 391,215 |
FLORIDA | Securitized Loans [Member] | Credit Concentration Risk [Member] | |
Concentration Risk [Line Items] | |
Percentage Balance | 15.30% |
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% |
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% |
Fair Value Measurements (Detail
Fair Value Measurements (Detail) - USD ($) $ in Thousands | Sep. 30, 2015 | Dec. 31, 2014 | ||
Assets: | ||||
Agency mortgage-backed securities | $ 65,806,640 | $ 81,565,256 | ||
Agency debentures | 413,115 | 1,368,350 | [1] | |
Credit risk transfer securities | 330,727 | |||
Investment in affiliate | [1] | 143,045 | ||
Non-Agency mortgage-backed securities | 490,037 | |||
Commercial real estate debt investments | [2] | 2,881,659 | ||
Interest rate swaps | 39,295 | 75,225 | [1] | |
Other derivatives | 87,516 | 5,499 | ||
Total assets | 70,048,989 | 83,157,375 | ||
Liabilities: | ||||
Securitized debt of consolidated VIEs | 2,377,067 | 0 | [1] | |
Interest rate swaps | 2,160,350 | 1,608,286 | [1] | |
Other derivatives | 113,626 | 8,027 | ||
Total liabilities | 4,651,043 | 1,616,313 | ||
Level 1 | ||||
Assets: | ||||
Investment in affiliate | 143,045 | |||
Other derivatives | 117 | |||
Total assets | 143,162 | |||
Liabilities: | ||||
Other derivatives | 113,626 | 3,769 | ||
Total liabilities | 113,626 | 3,769 | ||
Level 2 | ||||
Assets: | ||||
Agency mortgage-backed securities | 65,806,640 | 81,565,256 | ||
Agency debentures | 413,115 | 1,368,350 | ||
Credit risk transfer securities | 330,727 | |||
Non-Agency mortgage-backed securities | 490,037 | |||
Commercial real estate debt investments | 2,881,659 | |||
Interest rate swaps | 39,295 | 75,225 | ||
Other derivatives | 87,516 | 5,382 | ||
Total assets | 70,048,989 | 83,014,213 | ||
Liabilities: | ||||
Securitized debt of consolidated VIEs | 2,377,067 | |||
Interest rate swaps | 2,160,350 | 1,608,286 | ||
Other derivatives | 4,258 | |||
Total liabilities | $ 4,537,417 | $ 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 $0 at September 30, 2015 and December 31, 2014, respectively. |
Estimated Fair Values for All F
Estimated Fair Values for All Financial Assets and Liabilities (Detail) - USD ($) $ in Thousands | Sep. 30, 2015 | Dec. 31, 2014 | Jan. 31, 2014 | |||
Financial assets: | ||||||
Agency mortgage-backed securities | $ 65,806,640 | $ 81,565,256 | ||||
Agency debentures | 413,115 | 1,368,350 | [1] | |||
Credit risk transfer securities | 330,727 | |||||
Non-Agency mortgage-backed securities | 490,037 | |||||
Commercial real estate debt investments, at fair value | [2] | 2,881,659 | ||||
Investment in affiliate | [1] | 143,045 | ||||
Interest rate swaps | 126,811 | 80,724 | ||||
Other derivatives | 87,516 | 5,499 | ||||
Financial liabilities: | ||||||
Other secured financing | 359,970 | |||||
Securitized debt of consolidated VIE | 2,553,398 | [3] | 260,700 | [1],[3] | $ 260,700 | |
Interest rate swaps | 2,273,976 | 1,616,313 | ||||
Other derivatives | 113,626 | 8,027 | ||||
Level 1 | ||||||
Financial assets: | ||||||
Investment in affiliate | 143,045 | |||||
Other derivatives | 117 | |||||
Financial liabilities: | ||||||
Other derivatives | 113,626 | 3,769 | ||||
Level 2 | ||||||
Financial assets: | ||||||
Agency mortgage-backed securities | 65,806,640 | 81,565,256 | ||||
Agency debentures | 413,115 | 1,368,350 | ||||
Credit risk transfer securities | 330,727 | |||||
Non-Agency mortgage-backed securities | 490,037 | |||||
Commercial real estate debt investments, at fair value | 2,881,659 | |||||
Other derivatives | 87,516 | 5,382 | ||||
Financial liabilities: | ||||||
Other derivatives | 4,258 | |||||
Estimate of Fair Value, Fair Value Disclosure | Level 1 | ||||||
Financial assets: | ||||||
Cash and cash equivalents | 2,237,423 | 1,741,244 | ||||
Reverse repurchase agreements | 100,000 | |||||
Investment in affiliate | 143,045 | |||||
Financial liabilities: | ||||||
Convertible Senior Notes | 863,470 | |||||
Estimate of Fair Value, Fair Value Disclosure | Level 2 | ||||||
Financial assets: | ||||||
Agency mortgage-backed securities | 65,806,640 | 81,565,256 | ||||
Agency debentures | 413,115 | 1,368,350 | ||||
Credit risk transfer securities | 330,727 | |||||
Non-Agency mortgage-backed securities | 490,037 | |||||
Commercial real estate debt investments, at fair value | 2,881,659 | |||||
Corporate debt | 417,348 | 166,056 | ||||
Interest rate swaps | 39,295 | 75,225 | ||||
Financial liabilities: | ||||||
Other secured financing | 360,109 | |||||
Securitized debt of consolidated VIE | 2,553,017 | 262,061 | ||||
Mortgages payable | 170,534 | 146,611 | ||||
Interest rate swaps | 2,160,350 | 1,608,286 | ||||
Estimate of Fair Value, Fair Value Disclosure | Level 3 | ||||||
Financial assets: | ||||||
Commercial real estate debt and preferred equity, held for investment | 1,324,167 | 1,528,444 | ||||
Loans held for sale | 476,550 | |||||
Financial liabilities: | ||||||
Participation sold | 13,358 | 13,655 | ||||
Estimate of Fair Value, Fair Value Disclosure | Level 1, Level 2 | ||||||
Financial assets: | ||||||
Other derivatives | 87,516 | 5,499 | ||||
Financial liabilities: | ||||||
Repurchase agreements | 56,604,768 | 71,587,222 | ||||
Other derivatives | 113,626 | 8,027 | ||||
Carrying (Reported) Amount, Fair Value Disclosure | Level 1 | ||||||
Financial assets: | ||||||
Cash and cash equivalents | 2,237,423 | 1,741,244 | ||||
Reverse repurchase agreements | 100,000 | |||||
Investment in affiliate | 143,045 | |||||
Financial liabilities: | ||||||
Convertible Senior Notes | 845,295 | |||||
Carrying (Reported) Amount, Fair Value Disclosure | Level 2 | ||||||
Financial assets: | ||||||
Agency mortgage-backed securities | 65,806,640 | 81,565,256 | ||||
Agency debentures | 413,115 | 1,368,350 | ||||
Credit risk transfer securities | 330,727 | |||||
Non-Agency mortgage-backed securities | 490,037 | |||||
Commercial real estate debt investments, at fair value | 2,881,659 | |||||
Corporate debt | 424,974 | 166,464 | ||||
Interest rate swaps | 39,295 | 75,225 | ||||
Financial liabilities: | ||||||
Other secured financing | 359,970 | |||||
Securitized debt of consolidated VIE | 2,553,398 | 260,700 | ||||
Mortgages payable | 166,697 | 146,553 | ||||
Interest rate swaps | 2,160,350 | 1,608,286 | ||||
Carrying (Reported) Amount, Fair Value Disclosure | Level 3 | ||||||
Financial assets: | ||||||
Commercial real estate debt and preferred equity, held for investment | 1,316,595 | 1,518,165 | ||||
Loans held for sale | 476,550 | |||||
Financial liabilities: | ||||||
Participation sold | 13,389 | 13,693 | ||||
Carrying (Reported) Amount, Fair Value Disclosure | Level 1, Level 2 | ||||||
Financial assets: | ||||||
Other derivatives | 87,516 | 5,499 | ||||
Financial liabilities: | ||||||
Repurchase agreements | 56,449,364 | 71,361,926 | ||||
Other derivatives | $ 113,626 | $ 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 September 30, 2015 and December 31, 2014, respectively. | |||||
[3] | Includes securitized debt of consolidated VIEs carried at fair value of $2.4 billion and $0 at September 30, 2015 and December 31, 2014, respectively. |
Repurchase Agreements - Narrati
Repurchase Agreements - Narrative (Detail) - USD ($) $ in Thousands | 9 Months Ended | 12 Months Ended | |
Sep. 30, 2015 | Dec. 31, 2014 | ||
Repurchase Agreements: | |||
Repurchase agreements - outstanding | $ 56,449,364 | $ 71,361,926 | [1] |
Repurchase agreements - weighted average borrowing rates | 1.75% | 1.62% | |
Repurchase agreements - weighted average remaining maturities (in days) | 147 days | 141 days | |
Secured financings and interest rate swaps - collateral held, estimated fair value | $ 60,800,000 | $ 75,400,000 | |
Secured financings and interest rate swaps - collateral held, accrued interest | $ 187,200 | $ 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 | Sep. 30, 2015 | Dec. 31, 2014 | |||
Repurchase Agreements: | |||||
Repurchase Agreements | $ 56,449,364 | $ 71,361,926 | [1] | ||
Weighted average rate | 0.78% | 0.61% | |||
Debentures | |||||
Repurchase Agreements: | |||||
Repurchase Agreements | $ 94,950 | $ 1,314,248 | |||
Credit Risk Transfer Securities | |||||
Repurchase Agreements: | |||||
Repurchase Agreements | 78,194 | ||||
Non Agency MBS | |||||
Repurchase Agreements: | |||||
Repurchase Agreements | 187,108 | ||||
Commercial Loan [Member] | |||||
Repurchase Agreements: | |||||
Repurchase Agreements | 150,628 | ||||
Agency Mortgage Backed Securities | |||||
Repurchase Agreements: | |||||
Repurchase Agreements | 55,938,484 | $ 70,047,678 | |||
1 day | |||||
Repurchase Agreements: | |||||
Repurchase Agreements | $ 8,050,000 | ||||
Weighted average rate | 0.57% | 0.00% | |||
1 day | Agency Mortgage Backed Securities | |||||
Repurchase Agreements: | |||||
Repurchase Agreements | $ 8,050,000 | ||||
2 to 29 days | |||||
Repurchase Agreements: | |||||
Repurchase Agreements | $ 11,830,862 | $ 28,354,167 | |||
Weighted average rate | 0.45% | 0.35% | |||
2 to 29 days | Debentures | |||||
Repurchase Agreements: | |||||
Repurchase Agreements | $ 94,950 | $ 749,535 | |||
2 to 29 days | Credit Risk Transfer Securities | |||||
Repurchase Agreements: | |||||
Repurchase Agreements | 17,788 | ||||
2 to 29 days | Non Agency MBS | |||||
Repurchase Agreements: | |||||
Repurchase Agreements | 77,236 | ||||
2 to 29 days | Agency Mortgage Backed Securities | |||||
Repurchase Agreements: | |||||
Repurchase Agreements | 11,640,888 | 27,604,632 | |||
30 to 59 days | |||||
Repurchase Agreements: | |||||
Repurchase Agreements | $ 4,846,173 | $ 17,336,469 | |||
Weighted average rate | 0.52% | 0.43% | |||
30 to 59 days | Debentures | |||||
Repurchase Agreements: | |||||
Repurchase Agreements | $ 186,682 | ||||
30 to 59 days | Credit Risk Transfer Securities | |||||
Repurchase Agreements: | |||||
Repurchase Agreements | $ 60,406 | ||||
30 to 59 days | Non Agency MBS | |||||
Repurchase Agreements: | |||||
Repurchase Agreements | 63,852 | ||||
30 to 59 days | Agency Mortgage Backed Securities | |||||
Repurchase Agreements: | |||||
Repurchase Agreements | 4,721,915 | 17,149,787 | |||
60 to 89 days | |||||
Repurchase Agreements: | |||||
Repurchase Agreements | $ 8,840,129 | $ 4,040,677 | |||
Weighted average rate | 0.57% | 0.38% | |||
60 to 89 days | Debentures | |||||
Repurchase Agreements: | |||||
Repurchase Agreements | $ 378,031 | ||||
60 to 89 days | Non Agency MBS | |||||
Repurchase Agreements: | |||||
Repurchase Agreements | $ 46,020 | ||||
60 to 89 days | Agency Mortgage Backed Securities | |||||
Repurchase Agreements: | |||||
Repurchase Agreements | 8,794,109 | 3,662,646 | |||
90 to 119 days | |||||
Repurchase Agreements: | |||||
Repurchase Agreements | $ 3,957,380 | $ 2,945,495 | |||
Weighted average rate | 0.52% | 0.50% | |||
90 to 119 days | Agency Mortgage Backed Securities | |||||
Repurchase Agreements: | |||||
Repurchase Agreements | $ 3,957,380 | $ 2,945,495 | |||
Over 120 days | |||||
Repurchase Agreements: | |||||
Repurchase Agreements | [2] | $ 18,924,820 | $ 18,685,118 | ||
Weighted average rate | 1.29% | [2] | 1.24% | ||
Over 120 days | Commercial Loan [Member] | |||||
Repurchase Agreements: | |||||
Repurchase Agreements | [2] | $ 150,628 | |||
Over 120 days | Agency Mortgage Backed Securities | |||||
Repurchase Agreements: | |||||
Repurchase Agreements | [2] | $ 18,774,192 | $ 18,685,118 | ||
[1] | Derived from the audited consolidated financial statements at December 31, 2014. | ||||
[2] | Approximately 14% and 15% of the total repurchase agreements had a remaining maturity over 1 year as of September 30, 2015 and December 31, 2014, respectively. |
Repurchase Agreements - Remai64
Repurchase Agreements - Remaining Maturities, Collateral Types and Weighted Average Rate (Parenthetical) (Detail) | Sep. 30, 2015 | Dec. 31, 2014 |
Repurchase Agreements: | ||
Percentage of repurchase agreements, with remaining maturity over one year | 14.00% | 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 | 9 Months Ended | 12 Months Ended | ||
Sep. 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 | $ 56,449,364 | 71,961,926 | ||
Amounts offset -repurchase agreement | (600,000) | |||
Netted amounts -repurchase agreement | $ 56,449,364 | $ 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 | Sep. 30, 2015 | Dec. 31, 2014 | |
Derivatives, Fair Value [Line Items] | |||
Interest rate swaps, at fair value | $ 39,295 | $ 75,225 | [1] |
Other derivatives, at fair value | 87,516 | 5,499 | [1] |
Derivative assets | 126,811 | 80,724 | |
Other derivatives, at fair value | 113,626 | 8,027 | [1] |
Interest rate swaps, at fair value | 2,160,350 | 1,608,286 | [1] |
Derivative liabilities | 2,273,976 | 1,616,313 | |
Future | |||
Derivatives, Fair Value [Line Items] | |||
Other derivatives, at fair value | 117 | ||
Other derivatives, at fair value | 113,626 | 3,769 | |
Interest Rate Swaption | |||
Derivatives, Fair Value [Line Items] | |||
Other derivatives, at fair value | 5,382 | ||
TBA Derivatives | |||
Derivatives, Fair Value [Line Items] | |||
Other derivatives, at fair value | $ 87,516 | ||
Other derivatives, at fair value | $ 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 | 9 Months Ended | 12 Months Ended | |
Sep. 30, 2015 | Dec. 31, 2014 | ||
Derivative Instruments: | |||
Current Notional | [1] | $ 29,693,154 | $ 31,461,505 |
Weighted Average Pay Rate | [2],[3] | 2.26% | 2.49% |
Weighted Average Receive Rate | [2] | 0.42% | 0.22% |
Average Years to Maturity | [2] | 7 years 3 months 11 days | 8 years 4 months 17 days |
0 - 3 years | |||
Derivative Instruments: | |||
Derivative Instruments minimum maturity period | 0 years | 0 years | |
Derivative Instruments maximum maturity period | 3 years | 3 years | |
Current Notional | [1] | $ 3,202,454 | $ 2,502,505 |
Weighted Average Pay Rate | [2],[3] | 1.85% | 1.63% |
Weighted Average Receive Rate | [2] | 0.22% | 0.17% |
Average Years to Maturity | [2] | 2 years 15 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] | $ 11,113,000 | $ 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 5 months 27 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] | $ 11,743,300 | $ 13,069,200 |
Weighted Average Pay Rate | [2],[3] | 2.45% | 2.67% |
Weighted Average Receive Rate | [2] | 0.47% | 0.23% |
Average Years to Maturity | [2] | 8 years 2 months 12 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] | $ 3,634,400 | $ 4,751,800 |
Weighted Average Pay Rate | [2],[3] | 3.70% | 3.58% |
Weighted Average Receive Rate | [2] | 0.26% | 0.20% |
Average Years to Maturity | [2] | 19 years 7 months 13 days | 19 years 6 months 11 days |
[1] | Notional amount includes $500.0 million in forward starting pay fixed swaps as of September 30, 2015 and December 31, 2014. | ||
[2] | Excludes forward starting swaps. | ||
[3] | Weighted average fixed rate on forward starting pay fixed swaps was 2.04% and 3.25% as of September 30, 2015 and December 31, 2014, respectively. |
Summary of Characteristics of68
Summary of Characteristics of Interest Rate Swaps (Parenthetical) (Detail) - Forward Starting Pay Fixed Swaps - USD ($) $ in Millions | Sep. 30, 2015 | Dec. 31, 2014 |
Derivative Instruments: | ||
Notional amount | $ 500 | $ 500 |
Weighted average fixed rate | 2.04% | 3.25% |
Summary of Characteristics of69
Summary of Characteristics of Interest Rate Swaptions (Detail) - Interest Rate Swaption - Long - USD ($) $ in Thousands | 9 Months Ended | 12 Months Ended |
Sep. 30, 2015 | Dec. 31, 2014 | |
Derivative Instruments: | ||
Current Underlying Notional | $ 1,750,000 | |
Underlying Pay Rate | 2.88% | |
Underlying Receive Rate | - | |
Years to Maturity | 9 years 2 months 1 day | |
Months to Expiration | 3 years 7 months 2 days |
Summary of Characteristics of T
Summary of Characteristics of TBA Derivatives (Detail) - TBA Derivatives - USD ($) $ in Thousands | 9 Months Ended | 12 Months Ended |
Sep. 30, 2015 | Dec. 31, 2014 | |
Derivative Instruments: | ||
Notional | $ 14,055,000 | $ 375,000 |
Implied Cost Basis | 14,490,220 | 375,430 |
Implied Market Value | 14,577,736 | 379,688 |
Carrying Value | 87,516 | 4,258 |
Long | ||
Derivative Instruments: | ||
Notional | 14,055,000 | |
Implied Cost Basis | 14,490,220 | |
Implied Market Value | 14,577,736 | |
Carrying Value | $ 87,516 | |
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) $ in Thousands | 9 Months Ended |
Sep. 30, 2015USD ($) | |
Swap Equivalent Eurodollar Futures Contract | 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 4 months 28 days |
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 | 2 years 9 months 18 days |
Short | Swap Equivalent Eurodollar Futures Contract | 2-year | |
Derivative Instruments: | |
Notional | $ 8,000,000 |
Short | Us Treasury futures | 5 year | |
Derivative Instruments: | |
Notional | 2,273,000 |
Short | Us Treasury futures | 10 year and greater | |
Derivative Instruments: | |
Notional | 655,600 |
Short | Future | |
Derivative Instruments: | |
Notional | $ 10,928,600 |
Offsetting of Derivative Assets
Offsetting of Derivative Assets and Liabilities (Detail) - USD ($) $ in Thousands | Sep. 30, 2015 | Dec. 31, 2014 | |
Offsetting Assets [Line Items] | |||
Gross Amounts, Liabilities | $ 113,626 | $ 8,027 | [1] |
Future | |||
Offsetting Assets [Line Items] | |||
Gross Amounts, Assets | 117 | ||
Amounts Eligible for Offset -Financial Instruments, Assets | (117) | ||
Amounts Eligible for Offset-Cash Collateral, Assets | 0 | ||
Gross Amounts, Liabilities | 113,626 | 3,769 | |
Amounts Eligible for Offset-Financial Instruments, Liabilities | (117) | ||
Amounts Eligible for Offset -Cash Collateral, Liabilities | (113,626) | ||
Net Amounts, Liabilities | 3,652 | ||
Interest Rate Swaps | |||
Offsetting Assets [Line Items] | |||
Gross Amounts, Assets | 39,295 | 75,225 | |
Amounts Eligible for Offset -Financial Instruments, Assets | (39,295) | (66,180) | |
Amounts Eligible for Offset-Cash Collateral, Assets | 0 | 0 | |
Net Amounts, Assets | 9,045 | ||
Gross Amounts, Liabilities | 2,160,350 | 1,608,286 | |
Amounts Eligible for Offset-Financial Instruments, Liabilities | (39,295) | (66,180) | |
Amounts Eligible for Offset -Cash Collateral, Liabilities | (1,254,287) | (869,302) | |
Net Amounts, Liabilities | 866,768 | 672,804 | |
TBA Derivatives | |||
Offsetting Assets [Line Items] | |||
Gross Amounts, Assets | 87,516 | ||
Amounts Eligible for Offset-Cash Collateral, Assets | 0 | ||
Net Amounts, Assets | $ 87,516 | ||
Gross Amounts, Liabilities | 4,258 | ||
Net Amounts, Liabilities | 4,258 | ||
Interest Rate Swaption | |||
Offsetting Assets [Line Items] | |||
Gross Amounts, Assets | 5,382 | ||
Amounts Eligible for Offset-Cash Collateral, Assets | 0 | ||
Net Amounts, Assets | $ 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 | 9 Months Ended | |||
Sep. 30, 2015 | Sep. 30, 2014 | Sep. 30, 2015 | Sep. 30, 2014 | ||
Effect of Derivatives on Statement of Operations and Comprehensive Income: | |||||
Realized gains (losses) on interest rate swaps | [1],[2] | $ (162,304) | $ (169,083) | $ (465,008) | $ (650,452) |
Realized gain (losses) on termination of interest rate swaps | (226,462) | (779,333) | |||
Unrealized gains (losses) on interest rate swaps | $ (822,585) | $ 98,593 | $ (587,995) | $ (75,287) | |
[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 | 9 Months Ended | |||
Sep. 30, 2015 | Sep. 30, 2014 | Sep. 30, 2015 | Sep. 30, 2014 | ||
Derivative Instruments: | |||||
Unrealized Gain (Loss) | $ (822,585) | $ 98,593 | $ (587,995) | $ (75,287) | |
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Trading Assets | 108,179 | 4,678 | (12,942) | (193,654) | |
Future | |||||
Derivative Instruments: | |||||
Realized Gain (Loss) | (51,205) | ||||
Unrealized Gain (Loss) | (109,974) | ||||
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Trading Assets | (161,179) | ||||
Us Treasury futures | |||||
Derivative Instruments: | |||||
Realized Gain (Loss) | (36,468) | (2,991) | (15,466) | ||
Unrealized Gain (Loss) | (105,199) | 6,455 | 3,631 | ||
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Trading Assets | (141,667) | 3,464 | (11,835) | ||
TBA Derivatives | |||||
Derivative Instruments: | |||||
Realized Gain (Loss) | [1] | 168,292 | (1,864) | 61,846 | (46,747) |
Unrealized Gain (Loss) | [1] | 81,560 | 6,992 | 91,773 | (8,046) |
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Trading Assets | [1] | 249,852 | 5,128 | 153,619 | (54,793) |
Interest Rate Swaption | |||||
Derivative Instruments: | |||||
Realized Gain (Loss) | (11,525) | (30,432) | (41,016) | (102,413) | |
Unrealized Gain (Loss) | 11,519 | 26,518 | 35,634 | (24,613) | |
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Trading Assets | $ (6) | $ (3,914) | $ (5,382) | $ (127,026) | |
[1] | Includes options on TBA securities. |
Derivative Instruments - Narrat
Derivative Instruments - Narrative (Detail) $ in Billions | Sep. 30, 2015USD ($) |
Derivative Instruments: | |
Derivative instruments, net liability position, aggregate fair value | $ 2.1 |
Convertible Senior Notes - Narr
Convertible Senior Notes - Narrative (Detail) - USD ($) $ in Thousands | 1 Months Ended | 9 Months Ended | 12 Months Ended | ||
Feb. 28, 2015 | May. 31, 2012 | Sep. 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 St77
Common Stock and Preferred Stock - Narrative (Detail) - USD ($) $ / shares in Units, $ in Thousands | Oct. 30, 2015 | Oct. 31, 2014 | Sep. 30, 2015 | Sep. 30, 2014 | Sep. 30, 2015 | Sep. 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 | 947,826,176 | 947,826,176 | 947,643,079 | [1] | ||||
Common Stock, shares outstanding | 947,826,176 | 947,826,176 | 947,643,079 | [1] | ||||
Options exercised under incentive plans, shares | 0 | 0 | ||||||
Direct purchase and dividend reinvestment program - value raised | $ 1,724 | $ 1,786 | ||||||
Direct purchase and dividend reinvestment program - issued shares | 168,000 | 159,000 | ||||||
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 | $ 852,989 | $ 852,786 | ||||||
Dividends payable, date to be paid | Oct. 30, 2015 | Jul. 29, 2014 | ||||||
Dividends declared per share of common stock | $ 0.30 | $ 0.30 | $ 0.90 | $ 0.90 | ||||
Payment to dividends | $ 284,300 | $ 906,910 | $ 906,714 | |||||
Payment to dividends, per share | $ 0.30 | |||||||
Subsequent Event | ||||||||
Class of Stock [Line Items] | ||||||||
Payment to dividends | $ 284,300 | |||||||
Payment to dividends, per share | $ 0.30 | |||||||
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 | $ 17,157 | $ 17,157 | ||||||
Preferred series dividends declared, per share | $ 1.430 | $ 1.430 | ||||||
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 | $ 25,875 | $ 25,875 | ||||||
Preferred series dividends declared, per share | $ 1.406 | $ 1.406 | ||||||
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 | $ 10,944 | $ 10,944 | ||||||
Preferred series dividends declared, per share | $ 1.477 | $ 1.477 | ||||||
6.00% Series B Cumulative Convertible Preferred Stock | ||||||||
Class of Stock [Line Items] | ||||||||
Preferred Stock, shares authorized | 4,600,000 | 4,600,000 | ||||||
[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) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2015 | Sep. 30, 2014 | Sep. 30, 2015 | Sep. 30, 2014 | ||
Interest income: | |||||
Investment Securities | $ 399,702 | $ 606,331 | $ 1,448,434 | $ 1,861,037 | |
Commercial investment portfolio | [1] | 50,204 | 38,113 | 142,969 | 120,924 |
U.S. Treasury securities | 1,329 | ||||
Securities loaned | 114 | ||||
Reverse repurchase agreements | 820 | 135 | 2,714 | 906 | |
Other | 66 | 61 | 193 | 193 | |
Total interest income | 450,792 | 644,640 | 1,594,310 | 1,984,503 | |
Interest expense: | |||||
Repurchase agreements | 103,823 | 102,750 | 307,796 | 309,654 | |
Convertible Senior Notes | 22,376 | 29,740 | 61,592 | ||
U.S. Treasury securities sold, not yet purchased | 1,076 | ||||
Securities borrowed | 95 | ||||
Securitized debt of consolidated VIEs | 6,111 | 1,780 | 14,468 | 5,244 | |
Participation sold | 161 | 163 | 479 | 486 | |
Other | 202 | 306 | |||
Total interest expense | 110,297 | 127,069 | 352,789 | 378,147 | |
Net interest income | $ 340,495 | $ 517,571 | $ 1,241,521 | $ 1,606,356 | |
[1] | Includes commercial real estate debt, preferred equity and corporate debt. |
Goodwill - Additional Informati
Goodwill - Additional Information (Detail) - USD ($) $ in Thousands | 9 Months Ended | ||
Sep. 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) - USD ($) $ / shares in Units, $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2015 | Sep. 30, 2014 | Sep. 30, 2015 | Sep. 30, 2014 | |
Net Income Per Common Share: | ||||
Net income (loss) | $ (627,491) | $ 354,856 | $ (203,919) | $ (184,007) |
Less: Net income (loss) attributable to noncontrolling interest | (197) | (436) | ||
Net income (loss) attributable to Annaly | (627,294) | 354,856 | (203,483) | (184,007) |
Less: Preferred stock dividends | 17,992 | 17,992 | 53,976 | 53,976 |
Net income (loss) per share available (related) to common stockholders, prior to adjustment for dilutive potential common shares, if necessary | (645,286) | 336,864 | (257,459) | (237,983) |
Add: Interest on Convertible Senior Notes, if dilutive | 12,226 | |||
Net income (loss) available to common stockholders, as adjusted | $ (645,286) | $ 349,090 | $ (257,459) | $ (237,983) |
Weighted average shares of common stock outstanding-basic | 947,795,500 | 947,565,432 | 947,732,735 | 947,513,514 |
Add: Effect of stock awards and Convertible Senior Notes, if dilutive | 39,750,095 | |||
Weighted average shares of common stock outstanding-diluted | 947,795,500 | 987,315,527 | 947,732,735 | 947,513,514 |
Net income (loss) per share available (related) to common share: | ||||
Basic | $ (0.68) | $ 0.36 | $ (0.27) | $ (0.25) |
Diluted | $ (0.68) | $ 0.35 | $ (0.27) | $ (0.25) |
Net Income Per Common Share - N
Net Income Per Common Share - Narrative (Detail) - shares shares in Millions | 9 Months Ended | |
Sep. 30, 2015 | Sep. 30, 2014 | |
Net Income Per Common Share: | ||
Options to purchase common stock outstanding that would be considered anti-dilutive | 1.7 | 2.3 |
Long-Term Stock Incentive Plans
Long-Term Stock Incentive Plans - Narrative (Detail) - USD ($) | 9 Months Ended | |
Sep. 30, 2015 | Sep. 30, 2014 | |
Long-Term Stock Incentive Plans: | ||
Weighted average remaining contractual term of stock options outstanding, years | 2 years 9 months 18 days | 3 years 4 months 24 days |
Weighted average remaining contractual term of stock options exercisable, years | 2 years 9 months 18 days | 3 years 4 months 24 days |
Unrecognized compensation cost | $ 0 | $ 0 |
Equity Incentive Plan 2010 | ||
Long-Term Stock Incentive Plans: | ||
Long-term stock compensation - ceiling shares | 25,000,000 | |
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 | |
The Prior Plan | Minimum | ||
Long-Term Stock Incentive Plans: | ||
Long-term stock compensation - ceiling shares | 500,000 | |
Long-term stock compensation - granting of options authorized, percent of diluted outstanding common stock | 9.50% | |
The Prior Plan | Maximum | ||
Long-Term Stock Incentive Plans: | ||
Long-term stock compensation - ceiling shares | 8,932,921 |
Issued and Outstanding Stock Op
Issued and Outstanding Stock Options (Detail) - $ / shares | 9 Months Ended | |
Sep. 30, 2015 | Sep. 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 | (266,399) | (1,016,667) |
Expired | (294,750) | (305,750) |
Options outstanding at the end of period | 1,698,186 | 2,259,335 |
Options exercisable at the end of period | 1,698,186 | 2,259,335 |
Options outstanding at the beginning of period, weighted average exercise price | $ 15.35 | $ 15.44 |
Granted | 0 | 0 |
Exercised | 0 | 0 |
Forfeited | 15.24 | 15.07 |
Expired | 17.07 | 17.34 |
Options outstanding at the end of period, weighted average exercise price | 15.07 | 15.35 |
Options exercisable at the end of period, exercise price | $ 15.07 | $ 15.35 |
Income Taxes - Narrative (Detai
Income Taxes - Narrative (Detail) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2015 | Sep. 30, 2014 | Sep. 30, 2015 | Sep. 30, 2014 | |
Income Taxes: | ||||
REIT Taxable income distributed | 100.00% | |||
Income tax expense for income attributable to its TRSs. | $ (370) | $ 2,385 | $ (8,039) | $ 5,534 |
Years federal and state tax returns remain open for examination | 2014, 2013 and 2012 | |||
Taxable REIT Subsidiary [Member] | ||||
Income Taxes: | ||||
Income tax expense for income attributable to its TRSs. | $ (400) | $ 700 | $ (8,000) | $ 6,100 |
Lease Commitments And Conting85
Lease Commitments And Contingencies - Narrative (Detail) - USD ($) $ in Millions | 9 Months Ended | |
Sep. 30, 2015 | Sep. 30, 2014 | |
Lease Commitments and Contingencies: | ||
Aggregate future net minimum lease payments | $ 37.2 | |
Lease expense | $ 0.8 | $ 0.9 |
Lease Commitments And Conting86
Lease Commitments And Contingencies (Detail) $ in Thousands | Sep. 30, 2015USD ($) |
Lease Commitments and Contingencies: | |
Lease Commitment - 2015 remaining | $ 907 |
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 | $ 37,170 |
RCap Regulatory Requirements -
RCap Regulatory Requirements - Narrative (Detail) $ in Millions | Sep. 30, 2015USD ($) |
RCAP Regulatory Requirements: | |
Minimum net capital requirement | $ 0.3 |
Regulatory net capital | 396.5 |
Regulatory net capital, excess net capital | $ 396.2 |
Related Party Transactions - Na
Related Party Transactions - Narrative (Detail) - USD ($) shares in Millions, $ in Millions | Aug. 05, 2015 | Nov. 05, 2014 | Sep. 30, 2015 | Sep. 30, 2014 | Sep. 30, 2015 | Sep. 30, 2014 | Dec. 31, 2014 | Aug. 31, 2014 |
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 for any or no reason. | |||||||
Amendment Agreement | Minimum | ||||||||
Management agreement, required period to terminate from the date of the notice | 1 year | |||||||
Chimera | ||||||||
Shares repurchased, shares | 9 | |||||||
Shares repurchased, value | $ 126.4 | |||||||
Share repurchase agreement expiration period | 2015-08 | |||||||
Advisory fees from affiliate | $ 3.8 | $ 8.3 | $ 24.8 | $ 20.5 | ||||
Effective date | Aug. 8, 2014 | |||||||
Management fee percentage | 75.00% | |||||||
Receivable for advisory and service fees, from affiliates | $ 4 | $ 4 | $ 10.4 | |||||
Chimera | Maximum | ||||||||
Management fee percentage | 120.00% |
Subsequent Events - Additional
Subsequent Events - Additional Information (Detail) $ in Thousands | 1 Months Ended | 9 Months Ended | 12 Months Ended |
Oct. 31, 2015USD ($)Apartment | Sep. 30, 2015USD ($) | Dec. 31, 2014USD ($) | |
Subsequent Event [Line Items] | |||
Purchase Price | $ 29,900 | $ 190,743 | |
Subsequent Event | DISTRICT OF COLUMBIA | Apartment Building [Member] | |||
Subsequent Event [Line Items] | |||
Ownership percentage | 93.70% | ||
Number of units acquired | Apartment | 327 | ||
Purchase Price | $ 75,000 | ||
Equity investment | $ 18,700 | ||
Subsequent Event | CALIFORNIA | Shopping Centers [Member] | |||
Subsequent Event [Line Items] | |||
Ownership percentage | 90.00% | ||
Purchase Price | $ 37,800 | ||
Equity investment | $ 11,900 |