Document and Entity Information
Document and Entity Information - USD ($) $ in Billions | 12 Months Ended | ||
Dec. 31, 2016 | Feb. 10, 2017 | Jun. 30, 2016 | |
Document And Entity Information [Abstract] | |||
Document Type | 10-K | ||
Amendment Flag | false | ||
Document Period End Date | Dec. 31, 2016 | ||
Document Fiscal Year Focus | 2,016 | ||
Document Fiscal Period Focus | FY | ||
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 Well-known Seasoned Issuer | Yes | ||
Entity Current Reporting Status | Yes | ||
Entity Voluntary Filers | No | ||
Entity Filer Category | Large Accelerated Filer | ||
Entity Common Stock, Shares Outstanding | 1,018,949,713 | ||
Entity Public Float | $ 10.2 |
CONSOLIDATED STATEMENTS OF FINA
CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION - USD ($) $ in Thousands | Dec. 31, 2016 | Dec. 31, 2015 | |
ASSETS | |||
Cash and cash equivalents (including cash pledged as collateral of $1,428,475 and $1,584,686, respectively) | [1] | $ 1,539,746 | $ 1,769,258 |
Investments, at fair value: | |||
Mortgage-backed securities, including pledged assets | 77,715,902 | 67,233,494 | |
Agency debentures | 152,038 | ||
Credit risk transfer securities (including pledged assets of $608,707 and $184,160, respectively) | 724,722 | 456,510 | |
Residential mortgage loans | [2] | 342,289 | |
Mortgage servicing rights (including pledged assets of $5,464 and $0, respectively) | 652,216 | ||
Commercial real estate debt investments (including pledged assets of $4,321,739 and $2,911,828, respectively) | [3] | 4,321,739 | 2,911,828 |
Commercial real estate debt and preferred equity, held for investment (including pledged assets of $506,997 and $578,820, respectively) | [4] | 970,505 | 1,348,817 |
Commercial loans held for sale, net | 114,425 | 278,600 | |
Investments in commercial real estate | 474,567 | 535,946 | |
Corporate debt (including pledged assets of $592,871 and $0, respectively) | 773,274 | 488,508 | |
Interest rate swaps, at fair value | 68,194 | 19,642 | |
Other derivatives, at fair value | 171,266 | 22,066 | |
Receivable for investments sold | 51,461 | 121,625 | |
Accrued interest and dividends receivable | 270,400 | 231,336 | |
Other assets | 333,063 | 119,422 | |
Goodwill | 71,815 | 71,815 | |
Intangible assets, net | 34,184 | 38,536 | |
Total assets | 87,905,046 | 75,190,893 | |
Liabilities: | |||
Repurchase agreements | 65,215,810 | 56,230,860 | |
Other secured financing | 3,884,708 | 1,845,048 | |
Securitized debt of consolidated VIEs | [5] | 3,655,802 | 2,540,711 |
Participation sold | 12,869 | 13,286 | |
Mortgages payable | 311,636 | 334,707 | |
Interest rate swaps, at fair value | 1,443,765 | 1,677,571 | |
Other derivatives, at fair value | 86,437 | 49,963 | |
Dividends payable | 305,674 | 280,779 | |
Payable for investments purchased | 65,041 | 107,115 | |
Accrued interest payable | 163,013 | 151,843 | |
Accounts payable and other liabilities | 184,319 | 53,088 | |
Total liabilities | 75,329,074 | 63,284,971 | |
Stockholders' Equity: | |||
Common stock, par value $0.01 per share, 1,945,437,500 and 1,956,937,500 authorized, 1,018,913,249 and 935,929,561 issued and outstanding, respectively | 10,189 | 9,359 | |
Additional paid-in capital | 15,579,342 | 14,675,768 | |
Accumulated other comprehensive income (loss) | (1,085,893) | (377,596) | |
Accumulated deficit | (3,136,017) | (3,324,616) | |
Total stockholders' equity | 12,568,180 | 11,895,974 | |
Noncontrolling interest | 7,792 | 9,948 | |
Total equity | 12,575,972 | 11,905,922 | |
Total liabilities and equity | 87,905,046 | 75,190,893 | |
Agency Mortgage-backed Securities | |||
Investments, at fair value: | |||
Mortgage-backed securities, including pledged assets | 75,589,873 | 65,718,224 | |
Liabilities: | |||
Repurchase agreements | 63,707,701 | 55,472,998 | |
Non-Agency Mortgage-backed Securities | |||
Investments, at fair value: | |||
Mortgage-backed securities, including pledged assets | [6] | 1,401,307 | 906,722 |
7.875% Series A Cumulative Redeemable Preferred Stock | |||
Stockholders' Equity: | |||
Cumulative redeemable preferred stock | 177,088 | 177,088 | |
Total equity | 177,088 | 177,088 | |
7.625% Series C Cumulative Redeemable Preferred Stock | |||
Stockholders' Equity: | |||
Cumulative redeemable preferred stock | 290,514 | 290,514 | |
Total equity | 290,514 | 290,514 | |
7.50% Series D Cumulative Redeemable Preferred Stock | |||
Stockholders' Equity: | |||
Cumulative redeemable preferred stock | 445,457 | 445,457 | |
Total equity | 445,457 | $ 445,457 | |
7.625% Series E Cumulative Redeemable Preferred Stock | |||
Stockholders' Equity: | |||
Cumulative redeemable preferred stock | 287,500 | ||
Total equity | $ 287,500 | ||
[1] | Includes cash of consolidated VIEs of $23.2 million and $48.5 million at December 31, 2016 and 2015, respectively. | ||
[2] | Includes securitized residential mortgage loans of a consolidated VIE carried at fair value of $165.9 million and $0 at December 31, 2016 and 2015, respectively. | ||
[3] | Includes senior securitized commercial mortgage loans of consolidated VIEs carried at fair value of $3.9 billion and $2.6 billion at December 31, 2016 and 2015, respectively. | ||
[4] | Includes senior securitized commercial mortgage loans of a consolidated VIE with a carrying value of $0 and $262.7 million carried at amortized cost, at December 31, 2016 and 2015, respectively. | ||
[5] | Includes securitized debt of consolidated VIEs carried at fair value of $3.7 billion and $2.4 billion at December 31, 2016 and 2015, respectively. | ||
[6] | Includes $88.6 million and $0 at December 31, 2016 and 2015, respectively, of non-Agency mortgage-backed securities in a consolidated VIE pledged as collateral and eliminated from the Company's Consolidated Statements of Financial Condition. |
CONSOLIDATED STATEMENTS OF FIN3
CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION (Parenthetical) - USD ($) $ in Thousands | Dec. 31, 2016 | Dec. 31, 2015 | |
Cash pledged as collateral | $ 1,428,475 | $ 1,584,686 | |
Credit risk transfer securities, pledged assets | 608,707 | 184,160 | |
Residential mortgage loans, pledged assets | 314,746 | 0 | |
Mortgage servicing rights, pledged assets | 5,464 | 0 | |
Commercial real estate debt investments, pledged assets | 4,321,739 | 2,911,828 | |
Commercial real estate debt and preferred equity, held for investment, pledged assets | 506,997 | 578,820 | |
Corporate debt, pledged assets | $ 592,871 | $ 0 | |
Common Stock, par value | $ 0.01 | $ 0.01 | |
Common Stock, shares authorized | 1,945,437,500 | 1,945,437,500 | |
Common Stock, shares issued | 1,018,913,249 | 935,929,561 | |
Common Stock, shares outstanding | 1,018,913,249 | 935,929,561 | |
Senior Secured mortgages of Consolidated VIE, carrying value | $ 0 | $ 262,700 | |
Mortgage-backed securities, including pledged assets | 77,715,902 | 67,233,494 | |
Residential mortgage loans | [1] | 342,289 | |
Senior Secured mortgages of Consolidated VIE, fair value | 3,900 | 2,600 | |
Cash of Consolidated VIE | [2] | 1,539,746 | 1,769,258 |
Securitized debt of a consolidated VIE | 3,655,802 | 2,366,878 | |
Agency Mortgage-backed Securities | |||
Mortgage-backed securities, pledged assets | 70,796,872 | 60,678,548 | |
Mortgage-backed securities, including pledged assets | 75,589,873 | 65,718,224 | |
Non-Agency Mortgage-backed Securities | |||
Mortgage-backed securities, pledged assets | 1,064,603 | 744,783 | |
Mortgage-backed securities, including pledged assets | [3] | $ 1,401,307 | $ 906,722 |
7.875% Series A Cumulative Redeemable Preferred Stock | |||
Cumulative redeemable preferred stock, shares authorized | 7,412,500 | 7,412,500 | |
Cumulative redeemable preferred stock, shares issued | 7,412,500 | 7,412,500 | |
Cumulative redeemable preferred stock, shares outstanding | 7,412,500 | 7,412,500 | |
7.625% Series C Cumulative Redeemable Preferred Stock | |||
Cumulative redeemable preferred stock, shares authorized | 12,650,000 | 12,650,000 | |
Cumulative redeemable preferred stock, shares issued | 12,000,000 | 12,000,000 | |
Cumulative redeemable preferred stock, shares outstanding | 12,000,000 | 12,000,000 | |
7.50% Series D Cumulative Redeemable Preferred Stock | |||
Cumulative redeemable preferred stock, shares authorized | 18,400,000 | 18,400,000 | |
Cumulative redeemable preferred stock, shares issued | 18,400,000 | 18,400,000 | |
Cumulative redeemable preferred stock, shares outstanding | 18,400,000 | 18,400,000 | |
7.625% Series E Cumulative Redeemable Preferred Stock | |||
Cumulative redeemable preferred stock, shares authorized | 11,500,000 | 11,500,000 | |
Cumulative redeemable preferred stock, shares issued | 11,500,000 | 11,500,000 | |
Cumulative redeemable preferred stock, shares outstanding | 11,500,000 | 11,500,000 | |
FREMF Trust | |||
Residential mortgage loans | $ 165,900 | $ 0 | |
Cash of Consolidated VIE | 23,200 | 48,500 | |
FREMF Trust | Non-Agency Mortgage-backed Securities | |||
Mortgage-backed securities, including pledged assets | $ 88,600 | $ 0 | |
[1] | Includes securitized residential mortgage loans of a consolidated VIE carried at fair value of $165.9 million and $0 at December 31, 2016 and 2015, respectively. | ||
[2] | Includes cash of consolidated VIEs of $23.2 million and $48.5 million at December 31, 2016 and 2015, respectively. | ||
[3] | Includes $88.6 million and $0 at December 31, 2016 and 2015, respectively, of non-Agency mortgage-backed securities in a consolidated VIE pledged as collateral and eliminated from the Company's Consolidated Statements of Financial Condition. |
CONSOLIDATED STATEMENTS OF COMP
CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS) - USD ($) $ in Thousands | 12 Months Ended | |||
Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | ||
Net interest income: | ||||
Interest income | $ 2,210,951 | $ 2,170,697 | $ 2,632,398 | |
Interest expense | 657,752 | 471,596 | 512,659 | |
Net interest income | 1,553,199 | 1,699,101 | 2,119,739 | |
Realized and unrealized gains (losses): | ||||
Realized gains (losses) on interest rate swaps | [1],[2] | (506,681) | (624,495) | (825,360) |
Realized gains (losses) on termination of interest rate swaps | (113,941) | (226,462) | (779,333) | |
Unrealized gains (losses) on interest rate swaps | 282,190 | (124,869) | (948,755) | |
Subtotal | (338,432) | (975,826) | (2,553,448) | |
Net gains (losses) on disposal of investments | 33,089 | 50,987 | 93,716 | |
Net gains (losses) on trading assets | 230,580 | 29,623 | (245,495) | |
Net unrealized gains (losses) on investments measured at fair value through earnings | 86,391 | (103,169) | (86,172) | |
Bargain purchase gain | 72,576 | |||
Impairment of goodwill | (22,966) | |||
Subtotal | 422,636 | (45,525) | (237,951) | |
Total realized and unrealized gains (losses) | 84,204 | (1,021,351) | (2,791,399) | |
Other income (loss): | ||||
Investment advisory income | 24,848 | 31,343 | ||
Dividend income from affiliate | 8,636 | 25,189 | ||
Other income (loss) | 44,144 | (47,201) | (12,488) | |
Total other income (loss) | 44,144 | (13,717) | 44,044 | |
General and administrative expenses: | ||||
Compensation and management fee | 151,599 | 150,286 | 155,560 | |
Other general and administrative expenses | 98,757 | 49,954 | 53,778 | |
Total general and administrative expenses | 250,356 | 200,240 | 209,338 | |
Income (loss) before income taxes and noncontrolling interest | 1,431,191 | 463,793 | (836,954) | |
Income taxes | (1,595) | (1,954) | 5,325 | |
Net income (loss) | 1,432,786 | 465,747 | (842,279) | |
Net income (loss) attributable to noncontrolling interest | (970) | (809) | (196) | |
Net income (loss) | 1,433,756 | 466,556 | (842,083) | |
Dividends on preferred stock | 82,260 | 71,968 | 71,968 | |
Net income (loss) available (related) to common stockholders | $ 1,351,496 | $ 394,588 | $ (914,051) | |
Net income (loss) per share available (related) to common stockholders: | ||||
Basic | $ 1.39 | $ 0.42 | $ (0.96) | |
Diluted | $ 1.39 | $ 0.42 | $ (0.96) | |
Weighted average number of common shares outstanding: | ||||
Basic | 969,787,583 | 947,062,099 | 947,539,294 | |
Diluted | 970,102,353 | 947,276,742 | 947,539,294 | |
Net income (loss) | $ 1,432,786 | $ 465,747 | $ (842,279) | |
Other comprehensive income (loss): | ||||
Unrealized gains (losses) on available-for-sale securities | (686,414) | (531,952) | 3,048,291 | |
Reclassification adjustment for net (gains) losses included in net income (loss) | (21,883) | (50,527) | (94,475) | |
Other comprehensive income (loss) | (708,297) | (582,479) | 2,953,816 | |
Comprehensive income (loss) | 724,489 | (116,732) | 2,111,537 | |
Comprehensive income (loss) attributable to noncontrolling interest | (970) | (809) | (196) | |
Comprehensive income (loss) attributable to Annaly | 725,459 | (115,923) | 2,111,733 | |
Dividends on preferred stock | 82,260 | 71,968 | 71,968 | |
Comprehensive income (loss) attributable to common stockholders | $ 643,199 | $ (187,891) | $ 2,039,765 | |
[1] | Consists of interest expense on interest rate swaps. | |||
[2] | Interest expense related to 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 | 7.625% Series E 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 | Accumulated deficit7.625% Series E 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 | Total Stockholders' Equity7.625% Series E 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) attributable to Annaly | (842,083) | (842,083) | (842,083) | ||||||||||||||||
Net income (loss) attributable to noncontrolling interest | (196) | $ (196) | |||||||||||||||||
Unrealized gains (losses) on available-for-sale securities | 3,048,291 | 3,048,291 | 3,048,291 | ||||||||||||||||
Reclassification adjustment for net (gains) losses included in net income (loss) | (94,475) | (94,475) | (94,475) | ||||||||||||||||
Stock compensation expense | 1,072 | 1,072 | 1,072 | ||||||||||||||||
Net proceeds from direct purchase and dividend reinvestment | 2,370 | 2 | 2,368 | 2,370 | |||||||||||||||
Contingent beneficial conversion feature on 4% Convertible Senior Notes | 17,308 | 17,308 | 17,308 | ||||||||||||||||
Equity contributions from (distributions to) noncontrolling interest | 5,486 | 5,486 | |||||||||||||||||
Common dividends declared, $1.20 per share | (1,137,079) | (1,137,079) | (1,137,079) | ||||||||||||||||
Ending balance at Dec. 31, 2014 | 13,333,781 | 177,088 | 290,514 | 445,457 | 9,476 | 14,786,509 | 204,883 | (2,585,436) | 13,328,491 | 5,290 | |||||||||
Preferred dividends declared | (14,593) | (22,875) | (34,500) | $ (14,593) | $ (22,875) | $ (34,500) | $ (14,593) | $ (22,875) | $ (34,500) | ||||||||||
Net income (loss) attributable to Annaly | 466,556 | 466,556 | 466,556 | ||||||||||||||||
Net income (loss) attributable to noncontrolling interest | (809) | (809) | |||||||||||||||||
Unrealized gains (losses) on available-for-sale securities | (531,952) | (531,952) | (531,952) | ||||||||||||||||
Reclassification adjustment for net (gains) losses included in net income (loss) | (50,527) | (50,527) | (50,527) | ||||||||||||||||
Stock compensation expense | 1,156 | 1,156 | 1,156 | ||||||||||||||||
Net proceeds from direct purchase and dividend reinvestment | 2,246 | 2 | 2,244 | 2,246 | |||||||||||||||
Buyback of common stock | (114,260) | (119) | (114,141) | (114,260) | |||||||||||||||
Equity contributions from (distributions to) noncontrolling interest | 5,467 | 5,467 | |||||||||||||||||
Common dividends declared, $1.20 per share | (1,133,768) | (1,133,768) | (1,133,768) | ||||||||||||||||
Ending balance at Dec. 31, 2015 | 11,905,922 | 177,088 | 290,514 | 445,457 | 9,359 | 14,675,768 | (377,596) | (3,324,616) | 11,895,974 | 9,948 | |||||||||
Preferred dividends declared | (14,593) | (22,875) | (34,500) | (14,593) | (22,875) | (34,500) | (14,593) | (22,875) | (34,500) | ||||||||||
Net income (loss) attributable to Annaly | 1,433,756 | 1,433,756 | 1,433,756 | ||||||||||||||||
Net income (loss) attributable to noncontrolling interest | (970) | (970) | |||||||||||||||||
Unrealized gains (losses) on available-for-sale securities | (686,414) | (686,414) | (686,414) | ||||||||||||||||
Reclassification adjustment for net (gains) losses included in net income (loss) | (21,883) | (21,883) | (21,883) | ||||||||||||||||
Stock compensation expense | 7,047 | 7,047 | 7,047 | ||||||||||||||||
Net proceeds from direct purchase and dividend reinvestment | 2,362 | 2 | 2,360 | 2,362 | |||||||||||||||
Buyback of common stock | (102,712) | (111) | (102,601) | (102,712) | |||||||||||||||
Acquisition of subsidiary | 1,285,207 | $ 287,500 | 939 | 996,768 | 1,285,207 | ||||||||||||||
Equity contributions from (distributions to) noncontrolling interest | (1,186) | (1,186) | |||||||||||||||||
Common dividends declared, $1.20 per share | (1,162,897) | (1,162,897) | (1,162,897) | ||||||||||||||||
Ending balance at Dec. 31, 2016 | $ 12,575,972 | 177,088 | 290,514 | 445,457 | 287,500 | $ 10,189 | $ 15,579,342 | $ (1,085,893) | $ (3,136,017) | $ 12,568,180 | $ 7,792 | ||||||||
Preferred dividends declared | $ (14,593) | $ (22,875) | $ (34,500) | $ (10,292) | $ (14,593) | $ (22,875) | $ (34,500) | $ (10,292) | $ (14,593) | $ (22,875) | $ (34,500) | $ (10,292) |
CONSOLIDATED STATEMENTS OF STO6
CONSOLIDATED STATEMENTS OF STOCKHOLDERS' EQUITY (Parenthetical) - $ / shares | 12 Months Ended | ||
Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | |
Dividends declared per share of common stock | $ 1.20 | $ 1.20 | $ 1.2 |
7.875% Series A Cumulative Redeemable Preferred Stock | |||
Preferred series dividends declared, per share | 1.97 | 1.97 | 1.97 |
7.625% Series C Cumulative Redeemable Preferred Stock | |||
Preferred series dividends declared, per share | 1.91 | 1.91 | 1.91 |
7.50% Series D Cumulative Redeemable Preferred Stock | |||
Preferred series dividends declared, per share | 1.88 | $ 1.88 | $ 1.88 |
7.625% Series E Cumulative Redeemable Preferred Stock | |||
Preferred series dividends declared, per share | $ 0.95 |
CONSOLIDATED STATEMENTS OF CASH
CONSOLIDATED STATEMENTS OF CASH FLOWS - USD ($) $ in Thousands | 12 Months Ended | ||||
Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | |||
Cash flows from operating activities: | |||||
Net income (loss) | $ 1,432,786 | $ 465,747 | $ (842,279) | ||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | |||||
Amortization of Residential Investment Securities premiums and discounts, net | 814,575 | 793,657 | 664,379 | ||
Amortization of Residential Mortgage Loans premiums and discounts, net | 942 | ||||
Amortization of securitized debt premiums and discounts, net | 24 | ||||
Amortization of commercial real estate investment premiums and discounts, net | (2,978) | (1,321) | 616 | ||
Amortization of intangibles | 12,893 | 7,309 | 1,390 | ||
Amortization of deferred financing costs | 1,609 | 5,419 | 9,951 | ||
Amortization of net origination fees and costs, net | (4,967) | (4,263) | (4,917) | ||
Amortization of contingent beneficial conversion feature and equity component of Convertible Senior Notes | 12,246 | 37,341 | |||
Depreciation expense | 21,868 | 12,661 | 3,205 | ||
Bargain purchase gain | (72,576) | ||||
Net gain on sale of commercial real estate | (2,865) | (2,748) | |||
Net gain on sale of commercial loans held for sale | 74 | (120) | |||
Net (gains) losses on sales of Residential Investment Securities | (31,039) | (63,317) | (94,476) | ||
Net (gains) losses on sales of residential mortgage loans | 921 | ||||
Net (gains) losses on sales of corporate debt | (180) | ||||
Net (gain) loss on sale of investment in affiliate | 12,450 | ||||
Stock compensation expense | 7,047 | 1,156 | 1,072 | ||
Impairment of goodwill | 22,966 | ||||
Unrealized (gains) losses on interest rate swaps | (282,190) | 124,869 | 948,755 | ||
Net unrealized (gains) losses on investments measured at fair value through earnings | (86,391) | 103,169 | 86,172 | ||
Equity in net income from unconsolidated joint venture | 4,592 | 2,782 | |||
Distributions of cumulative earnings from unconsolidated joint venture | 1,384 | ||||
Net (gains) losses on trading assets | (230,580) | (29,623) | 245,495 | ||
Originations of loans held for sale, net | (1,231,400) | ||||
Proceeds from sale of commercial loans held for sale | 164,101 | 458,270 | |||
Payments on purchase of residential mortgage loans | (99,590) | ||||
Proceeds from repayments from residential mortgage loans | 134,959 | ||||
Proceeds from repurchase agreements of RCap | 2,270,520,000 | 2,029,822,000 | 881,680,774 | ||
Payments on repurchase agreements of RCap | (2,265,245,000) | (2,034,322,000) | (875,782,907) | ||
Proceeds from reverse repurchase agreements | 60,990,000 | 52,950,000 | 107,898,578 | ||
Payments on reverse repurchase agreements | (60,990,000) | (52,850,000) | (107,898,578) | ||
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 | (44,466,966) | ||||
Proceeds from U.S. Treasury securities | 3,159,253 | ||||
Payments on U.S. Treasury securities | (3,920,425) | ||||
Net payments on derivatives | (168,812) | 55,214 | (134,284) | ||
Net change in: | |||||
Due to / from brokers | (12) | 8,596 | |||
Other assets | (110,417) | (24,339) | (2,657) | ||
Accrued interest and dividends receivable | 27,712 | 47,893 | (21,376) | ||
Receivable for investment advisory income | 10,402 | (3,563) | |||
Accrued interest payable | 6,337 | (28,658) | 34,889 | ||
Accounts payable and other liabilities | 43,020 | 2,028 | 987 | ||
Net cash provided by (used in) operating activities | 6,855,863 | (3,643,419) | 6,128,468 | ||
Cash flows from investing activities: | |||||
Payments on purchases of Residential Investment Securities | (25,529,322) | (19,703,098) | (38,626,689) | ||
Proceeds from sales of Residential Investment Securities | 12,488,907 | 24,801,165 | 22,654,547 | ||
Principal payments on Agency mortgage-backed securities | 12,470,168 | 9,926,030 | 8,312,784 | ||
Purchase of MSRs | (174,167) | ||||
Proceeds from sale of investment in affiliate | 126,402 | ||||
Payments on purchases of corporate debt | (399,713) | (397,639) | (136,953) | ||
Principal payments on corporate debt | 117,282 | 76,568 | 88,909 | ||
Purchases of commercial real estate debt investments | (151,862) | (411,511) | |||
Sales of commercial real estate debt investments | 41,016 | ||||
Purchase of securitized loans at fair value | (1,489,268) | (2,574,353) | |||
Origination of commercial real estate investments, net | (271,152) | (4,050) | (246,833) | ||
Proceeds from sale of commercial real estate investments | 39,530 | 227,450 | |||
Principal payments on commercial real estate debt investments | 80,441 | 10,820 | |||
Principal payments on securitized loans at fair value | 182,440 | 78 | |||
Proceeds from sales of commercial real estate held for sale | 26,019 | ||||
Principal payments on commercial real estate investments | 654,117 | 444,998 | 316,082 | ||
Purchase of investments in real estate | (2,918) | (274,856) | (190,743) | ||
Investment in unconsolidated joint venture | (3,645) | (69,902) | |||
Distributions in excess of cumulative earnings from unconsolidated joint ventures | 4,620 | ||||
Payments on purchase of residential mortgage loans held for investment | (65,623) | ||||
Proceeds from repayments from residential mortgage loans held for investment | 18,268 | ||||
Purchase of equity securities | (88,062) | (102,198) | |||
Proceeds from sales of equity securities | 16,112 | 28,395 | |||
Cash acquired in business combination | 41,698 | ||||
Net cash provided by (used in) investing activities | (2,062,149) | 12,145,315 | (7,802,877) | ||
Cash flows from financing activities: | |||||
Proceeds from repurchase agreements | 179,641,180 | 202,273,148 | 195,370,377 | ||
Principal payments on repurchase agreements | (186,353,987) | (212,904,214) | (191,687,319) | ||
Payments on maturity of convertible senior notes | (857,541) | ||||
Proceeds from other secured financing | 2,438,641 | 2,554,913 | |||
Payments on other secured financing | (438,169) | (709,865) | |||
Proceeds from issuance of securitized debt | 1,381,640 | 2,382,810 | 260,700 | ||
Principal repayments on securitized debt | (343,071) | (86,648) | |||
Principal repayments on securitized loans | 201 | ||||
Payment of deferred financing cost | (3,076) | (2,608) | (6,382) | ||
Net proceeds from direct purchases and dividend reinvestments | 2,362 | 2,246 | 2,370 | ||
Proceeds from mortgages payable | 192,375 | 127,325 | |||
Principal payments on participation sold | (336) | (296) | (309) | ||
Principal payments on mortgages payable | (23,581) | (360) | (47) | ||
Contributions from noncontrolling interests | 14 | 6,116 | 5,486 | ||
Distributions to noncontrolling interests | (1,200) | (649) | |||
Net payment on share repurchase | (102,712) | (114,260) | |||
Dividends paid | (1,220,931) | (1,209,250) | (1,208,984) | ||
Net cash provided by (used in) financing activities | (5,023,226) | (8,473,882) | 2,863,217 | ||
Net (decrease) increase in cash and cash equivalents | (229,512) | 28,014 | 1,188,808 | ||
Cash and cash equivalents, beginning of period | 1,769,258 | [1] | 1,741,244 | 552,436 | |
Cash and cash equivalents, end of period | 1,539,746 | [1] | 1,769,258 | [1] | 1,741,244 |
Supplemental disclosure of cash flow information: | |||||
Interest received | 2,968,161 | 2,965,887 | 3,307,238 | ||
Dividends received | 2,520 | 12,684 | 25,189 | ||
Fees received | 4,266 | ||||
Investment advisory income received | 35,250 | 27,780 | |||
Interest paid (excluding interest paid on interest rate swaps) | 624,784 | 427,632 | 496,033 | ||
Net interest paid on interest rate swaps | 536,674 | 612,111 | 812,108 | ||
Taxes paid | 934 | 1,929 | 8,314 | ||
Noncash investing activities: | |||||
Receivable for investments sold | 51,461 | 121,625 | 1,010,094 | ||
Payable for investments purchased | 65,041 | 107,115 | 264,984 | ||
Net change in unrealized gains (losses) on available-for-sale securities, net of reclassification adjustment | (708,297) | (582,479) | 2,953,816 | ||
Reclassification of loans held for sale to investments in commercial real estate | 18,500 | ||||
Noncash financing activities: | |||||
Dividends declared, not yet paid | $ 305,674 | $ 280,779 | 284,293 | ||
Convertible Senior Notes 5.00 Percent Due 2015 | |||||
Noncash financing activities: | |||||
Contingent beneficial conversion feature on 4% Convertible Senior Notes | $ 17,308 | ||||
[1] | Includes cash of consolidated VIEs of $23.2 million and $48.5 million at December 31, 2016 and 2015, respectively. |
DESCRIPTION OF BUSINESS
DESCRIPTION OF BUSINESS | 12 Months Ended |
Dec. 31, 2016 | |
Accounting Policies [Abstract] | |
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, residential mortgage loans, mortgage servicing rights, commercial real estate assets and corporate debt. The Company’s principal business objectives are (1) to generate net income for distribution to its stockholders from its investments and (2) capital preservation. The Company is externally managed by Annaly Management Company LLC (the “Manager”). The Company’s investment groups are primarily comprised of the following: · Agency invests primarily in various types of Agency mortgage-backed securities and related derivatives to hedge these investments. · Residential credit invests primarily in non-Agency mortgage-backed assets within securitized products and residential mortgage loan markets. · Commercial real estate originates and invests in commercial mortgage loans, securities, and other commercial real estate investments. · Middle market lending provides customized debt financing to middle-market businesses. 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 | 12 Months Ended |
Dec. 31, 2016 | |
Accounting Policies [Abstract] | |
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"). |
SIGNIFICANT ACCOUNTING POLICIES
SIGNIFICANT ACCOUNTING POLICIES | 12 Months Ended |
Dec. 31, 2016 | |
Accounting Policies [Abstract] | |
SIGNIFICANT ACCOUNTING POLICIES | 3. SIGNIFICANT ACCOUNTING POLICIES Principles of Consolidation All intercompany balances and transactions have been eliminated in consolidation. The Company reclassified previously presented financial information so that amounts previously presented conform to the current presentation. Variable Interest Entities . 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 The Company also invests in Agency debentures issued by the Federal Home Loan Banks, Freddie Mac and Fannie Mae, as well as CRT securities. CRT securities are risk sharing instruments issued by Fannie Mae and Freddie Mac, and similarly structured transactions arranged by third party market participants. CRT securities are designed to synthetically transfer mortgage credit risk from Fannie Mae and Freddie Mac to private investors. The Company also invests in non-Agency mortgage-backed securities such as those issued in non-performing loan (“NPL”) and re-performing loan (“RPL”) securitizations. Agency mortgage-backed securities, Agency debentures, non-Agency mortgage-backed securities and CRT securities are referred to herein as “Residential Investment Securities.” Although the Company generally intends to hold most of its Residential Investment Securities until maturity, it may, from time to time, sell any of its Residential Investment Securities as part of the overall management of its portfolio. Residential 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) unless the Company has elected the fair value option, where the unrealized gains and losses on these financial instruments are recorded through earnings (e.g., interest-only securities). The fair value of Residential Investment Securities classified as available-for-sale are estimated by management and are compared to independent sources for reasonableness. Residential Investment Securities transactions are recorded on trade date, including TBA securities that meet the regular-way securities scope exception from derivative accounting. Gains and losses on sales of Residential Investment Securities are recorded on trade date based on the specific identification method. The Company elected the fair value option for interest-only mortgage-backed securities, non-Agency mortgage-backed securities and certain CRT securities as this election simplifies the accounting. 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 investments 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. The Company recognizes coupon income, which is a component of interest income, based upon the outstanding principal amounts of the Residential Investment Securities and their contractual terms. In addition, the Company amortizes or accretes premiums or discounts into interest income for its Agency mortgage-backed securities (other than interest-only securities), considering estimates of future principal prepayment in the calculation of the effective yield because they are probable and the timing and amount of prepayments can be reasonably estimated. The Company recalculates the effective yield as differences between anticipated and actual prepayments occur. Using third-party model and market Premiums or discounts associated with the purchase of Agency interest-only securities and residential credit securities are amortized or accreted into interest income based upon current expected future cash flows with any adjustment to yield made on a prospective basis. Interest income for Agency debentures is recognized by applying the interest method using contractual cash flows without estimating prepayments. The table below summarizes the interest income recognition methodology for Residential Investment Securities: Interest Income Methodology Agency Fixed-rate pass-through (1) Effective yield (3) Adjustable-rate pass-through (1) Effective yield (3) Collateralized Mortgage Obligation (“CMO”) (1) Effective yield (3) Debentures (1) Contractual Cash Flows Interest-only (2) Prospective Residential Credit CRT (2) Prospective Alt-A (2) Prospective Prime (2) Prospective Subprime (2) Prospective NPL/RPL (2) Prospective Prime Jumbo (2) Prospective Prime Jumbo interest-only (2) (1) (2) (3) Residential Mortgage Loans – The Company’s residential mortgage loans are primarily comprised of prime jumbo fixed and adjustable-rate residential mortgage loans acquired in connection with the Company’s acquisition of Hatteras (“Hatteras Acquisition”) and through subsequent purchases. Additionally, pursuant to the Hatteras Acquisition, the Company consolidates a collateralized financing entity that securitized prime adjustable-rate jumbo residential mortgage loans. The Company made elections to account for the investments in residential mortgage loans held in its portfolio and in the securitization trust at fair value as these elections simplify the accounting. Residential mortgage loans are recognized at fair value on the accompanying Consolidated Statements of Financial Condition. Changes in the estimated fair value are presented in Net unrealized gains (losses) on investments measured at fair value through earnings in the Consolidated Statements of Comprehensive Income (Loss). Premiums and discounts associated with the purchase of residential mortgage loans and with those held in the securitization trust are primarily amortized or accreted into interest income over their estimated remaining lives using the effective interest rates inherent in the estimated cash flows from the mortgage loans. Amortization of premiums and accretion of discounts are presented in Interest income in the Consolidated Statements of Comprehensive Income (Loss). There was no real estate acquired in settlement of residential mortgage loans as of December 31, 2016 or December 31, 2015. The Company would be considered to have received physical possession of residential real estate property collateralizing a residential mortgage loan, so that the loan is derecognized and the real estate property would be recognized, if either (i) the Company obtains legal title to the residential real estate property upon completion of a foreclosure or (ii) the borrower conveys all interest in the residential real estate property to the Company to satisfy the loan through completion of a deed in lieu of foreclosure or through a similar legal agreement. Mortgage Servicing Rights (“MSRs”) – MSRs represent the rights associated with servicing contracts obtained in connection with the Hatteras Acquisition or through the subsequent purchase of such rights from third parties with the intention of holding them as investments. The Company and its subsidiaries do not originate or directly service mortgage loans. Rather, the Company utilizes duly licensed subservicers to perform substantially all servicing functions for the loans underlying the MSRs. The Company elected to account for all of its investments in MSRs at fair value; as such, they are recognized at fair value on the accompanying Consolidated Statements of Financial Condition with changes in the estimated fair value presented as a component of Net unrealized gains (losses) on investments measured at fair value through earnings in the Consolidated Statements of Comprehensive Income (Loss). Servicing income, net of servicing expenses, is reported in Other income (loss) in the Consolidated Statements of Comprehensive Income (Loss). 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 Forward purchase commitments 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 Fixed Income Discount Advisory Company (“FIDAC”) was recorded in the year ended December 31, 2015. Finite life intangible assets are amortized over their expected useful lives. 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. Convertible Senior Notes – Stock Based Compensation Income Taxes The provisions of ASC 740, Income Taxes Use of Estimates Commercial Real Estate Investments Commercial Real Estate Debt Investments - Commercial Real Estate Loans If the Company intends to sell or securitize the loans and the securitization vehicle is not expected to be consolidated, they are classified as held for sale. Commercial real estate loans that are designated as held for sale are carried at the lower of amortized cost or fair value and recorded as Commercial loans held for sale, net in the accompanying Consolidated Statements of Financial Condition. Any origination fees and costs or purchase premiums or discounts are deferred and recognized upon sale. The Company determines the fair value of commercial real estate loans held for sale on an individual loan basis. The Company has elected the fair value option for multi-family mortgage loans held in securitization trusts that it was required to consolidate. Preferred equity interests are designated as held for investment and are carried at their outstanding principal balance, net of unamortized origination fees and costs, premiums or discounts, less a reserve for estimated losses if necessary. See the “Commercial Real Estate Investments” Note for additional information. Investments in Commercial Real Estate Category Term Building 30 - 40 years Site improvements 1 - 28 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 - Interest income is accrued based on the outstanding principal amount of the and their contractual terms. Origination fees and costs, premiums or discounts associated with the purchase of CRE Debt and Preferred Equity Investments are amortized or accreted into interest income over the lives of the CRE Debt and Preferred Equity Investments using the interest method. Corporate Debt Corporate Loans – These investments typically take the form of senior secured loans primarily in first lien and second lien loans. The Company’s senior secured loans generally have stated maturities of three to eight years. In connection with these senior secured loans the Company receives a security interest in certain of the assets of the borrower and such assets support repayment of such loans. Senior secured loans are generally exposed to the least amount of credit risk given their seniority to scheduled principal and interest and priority of security in the assets of the borrower. To date, the significant majority of the Company’s investments have been funded term loans versus bonds. Corporate Debt Securities – Impairment of Securities and Loans Other-Than-Temporary Impairment Management evaluates available-for-sale securities and held-to-maturity debt securities for other-than-temporary impairment at least quarterly, and more frequently when economic or market conditions warrant such evaluation. When the fair value of an available-for-sale security is less than its amortized cost the security is considered impaired. For securities that are impaired, the Company determines if it (1) has the intent to sell the security, (2) is more likely than not that it will be required to sell the Allowance for Losses Loans and Debt Securities Acquired with Deteriorated Credit Quality The Company may be exposed to various levels of credit risk depending on the nature of its investments and 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 or companies. 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 and those affecting the property specifically, and the supply and demand of competing projects in the sub-market in which each subject property is located. Management monitors the financial condition and operating results of its corporate borrowers and continually assesses the future outlook of the borrower’s financial performance in light of industry developments, management changes and company-specific considerations. In connection with the quarterly surveillance review process, the Company's CRE Debt and Preferred Equity Investments are assigned an internal risk rating. Effective December 31, 2015, these risk ratings were enhanced to conform to guidance provided by the Office of the Controller of the Currency for commercial real estate lending. The initial internal risk ratings (“Initial Ratings”) are based on loan-to-values and the net operating income debt yields of the underlying final internal risk ratings are influenced by other quantitative and qualitative factors that can result in an adjustment to the Initial Ratings, subject to review Nonaccrual Status – The Company did not have any impaired loans, nonaccrual loans, or loans in default as all of the loans were performing as of December 31, 2016. There were no allowances for loan losses as of December 31, 2016 and 2015. Broker Dealer Activities Reverse Repurchase Agreements – Substantially all of RCap’s reverse repurchase activity is with affiliated entities. Recent Accounting Pronouncements The Company considers the applicability and impact of all Accounting Standards Updates (“ASUs”). ASUs not listed below were determined to be either not applicable, are not expected to have a significant impact on our consolidated financial statements when adopted, or did not have a significant impact on our consolidated financial statements upon adoption. Standard Description Effective Date Effect on the financial statements or other significant matters Standards that are not yet adopted ASU 2017-01 Business Combinations (Topic 805) Clarifying the Definition of a Business This update provides a screen to determine and a framework to evaluate when a set of assets and activities is a business. January 1, 2018 (early adoption permitted) The amendments are expected to result in fewer transactions being accounted for as business combinations. ASU 2016-13 Financial Instruments - Credit Losses (Topic 326): Measurement of Credit Losses on Financial Instruments This ASU updates the existing incurred loss model to a current expected credit loss (“CECL”) model for financial assets and net investments in leases that are not accounted for at fair value through earnings. The amendments affect loans, held-to-maturity debt securities, trade receivables, net investments in leases, off-balance sheet credit exposures and any other financial assets not excluded from the scope. There are also limited amendments to the impairment model for available-for-sale debt securities. January 1, 2020 (early adoption permitted) The Company currently plans to adopt the new standard on its effective date. While Annaly is continuing to assess the impact the ASU will have on the consolidated financial statements, the measurement of expected credit losses under the CECL model will be based on relevant information about past events, including historical experience, current conditions, and reasonable and supportable forecasts that affect the collectability of the reported amounts of the financial assets in scope of the model. Further, based on the amended guidance for available-for-sale debt securities, the Company: • will be required to use an allowance approach to recognize credit impairment, with the allowance to be limited to the amount by which the security’s fair value is less than its amortized cost basis; • may not consider the length of time fair value has been below amortized cost, and • may not consider recoveries of fair value after the balance sheet date when assessing whether a credit loss exists. Standard Description Effective Date Effect on the financial statements or other significant matters Standards that were adopted 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, 2016 (early adoption permitted) The Company early adopted this ASU in the first quarter of 2015 and applied the guidance to commercial mortgage backed securitization transactions. See "Variable Interest Entity" footnote for further disclosure. |
ACQUISITION OF HATTERAS
ACQUISITION OF HATTERAS | 12 Months Ended |
Dec. 31, 2016 | |
Business Combinations [Abstract] | |
ACQUISITION OF HATTERAS | 4. ACQUISITION OF HATTERAS As previously disclosed in the Company’s filings with the SEC, on July 12, 2016 the Company completed its acquisition of Hatteras, an externally managed mortgage REIT that invested primarily in single-family residential mortgage real estate assets, for aggregate consideration to Hatteras common stockholders of $1.5 billion, consisting of $1.0 billion in equity consideration and $521.1 million in cash consideration. The Company issued 93.9 million shares of common shares as part of the consideration for the Hatteras Acquisition, which includes replacement share-based payment awards. In addition, as part of the Hatteras Acquisition, each share of Hatteras 7.625% Series A Cumulative Redeemable Preferred Stock, par value $0.001 per share (“Hatteras Preferred Share”), that was outstanding as of immediately prior to the completion of the Hatteras Acquisition was converted into one share of a newly-designated series of the Company’s preferred stock, par value $0.01 per share, which the Company classified and designated as 7.625% Series E Cumulative Redeemable Preferred Stock, and which has rights, preferences, privileges and voting powers substantially the same as a Hatteras Preferred Share. Hatteras’ portfolio of adjustable rate mortgage-backed securities is believed to be complementary to the Company’s existing portfolio. The combined capital base is believed to support continued growth of the Company’s businesses and the acquisition is believed to create efficiency and growth opportunities. The following table summarizes the aggregate consideration and preliminary fair value of the assets acquired and liabilities assumed recognized at the acquisition date, which is subject to change if new information becomes available: July 12, 2016 Consideration Transferred: (dollars in thousands) Cash $ 521,082 Common equity 997,707 Preferred shares: Exchange of Hatteras preferred stock for Annaly preferred stock 278,252 Preferred stock fair value adjustment 9,248 Preferred shares 287,500 Total consideration $ 1,806,289 Net Assets: Cash $ 562,780 Agency mortgage-backed securities, at fair value 10,863,070 Credit risk transfer securities, at fair value 116,770 Residential mortgage loans 360,447 Mortgage servicing rights 355,820 Other derivatives, at fair value 8,677 Principal receivable 438,005 Accrued interest and dividend receivable 83,814 Other assets 57,250 Total assets acquired $ 12,846,633 Repurchase agreements $ 10,422,757 Other secured financing 35,769 Securitized debt of consolidated VIEs 54,135 Other derivatives, at fair value 349,922 Dividends payable 670 Payable for investments purchased 2,643 Accrued interest payable 4,833 Accounts payable and other liabilities 97,039 Total liabilities assumed 10,967,768 Net assets acquired $ 1,878,865 Bargain purchase gain $ 72,576 For time-based restricted stock awards granted by Hatteras that fully vested as of the Hatteras Acquisition closing date, the fair value of the Company’s common stock issued in the satisfaction of these awards was included in equity consideration transferred as no post acquisition service was required. For time-based restricted stock awards granted by Hatteras that did not fully vest as of the acquisition date and require post-acquisition service, the fair value of the Company’s common stock issued as replacement awards has been allocated between the pre- and post-acquisition service period, with the amount allocated to the pre-acquisition period included in the equity consideration transferred. The amount allocated to the post-acquisition service period for the time-based restricted stock awards was $5.8 million and expensed during the third quarter of 2016 in Other general and administrative expenses in the Consolidated Statements of Comprehensive Income (Loss). Also, in connection with the Hatteras Acquisition, the Company entered into consulting agreements with certain former employees of Hatteras. During the third quarter of 2016, the Company recognized the full amount of the fees related to the consulting agreements totaling $19.9 million in Other general and administrative expenses in the Consolidated Statements of Comprehensive Income (Loss). Under the acquisition method of accounting, merger-related transaction costs (such as advisory, legal, valuation, and other professional fees) are not included as components of consideration transferred but are expensed in the periods in which the costs are incurred. Transaction costs of $48.9 million were incurred during the year ended December 31, 2016 and were included in Other general and administrative expenses in the Consolidated Statements of Comprehensive Income (Loss). The fair value and unpaid principal balance of residential mortgage loans acquired in connection with the Hatteras acquisition were $360.4 million and $350.5 million, respectively. The bargain purchase gain is the result of the mortgage REIT sector facing significant headwinds for a variety of reasons, including uncertainty regarding the outlook for interest rates and the financial markets generally. Consequently, in recent years, the price per share of Hatteras common stock has traded at a substantial discount to Hatteras’ book value per share, which made raising equity capital to fund new investments dilutive to stockholders. Because of these circumstances, Hatteras was unable to raise equity capital on acceptable terms and significantly increase its size and scale through capital market transactions. The bargain purchase is recognized in Realized and unrealized gains (losses) in the Consolidated Statements of Comprehensive Income (Loss). The Consolidated Statements of Comprehensive Income (Loss) for the year ended December 31, 2016 includes Net interest income and Net income (loss) of $61.4 million and $295.8 million, respectively, attributable to the Hatteras Acquisition. The following unaudited pro forma summary presents consolidated information of the Company, assuming the Hatteras Acquisition had occurred as of January 1, 2015 for purposes of the 2016 and 2015 pro forma disclosures presented. They include certain adjustments for the periods presented to exclude deferred swap net losses of Hatteras from net interest expense to conform to the Company’s presentation, recalculate the management fee based upon pro forma stockholders’ equity and the Company’s management fee rate, eliminate Hatteras common stock outstanding and record the issuance of the Company’s common stock to Hatteras stockholders and reflect direct costs incurred by the Company and the bargain purchase gain as if the Hatteras Acquisition occurred as of January 1, 2015. These pro forma results have been prepared for comparative purposes only and do not purport to be indicative of what operating results would have been had the Hatteras Acquisition occurred on January 1, 2015 and may not be indicative of future operating results: For the Years Ended December 31, 2016 December 31, 2015 (dollars in thousands, except per share data) Net interest income $ 1,650,828 $ 1,951,417 Net income (loss) $ 1,327,653 $ 543,796 Basic earnings per common share $ 1.16 $ 0.43 Diluted earnings per common share $ 1.16 $ 0.43 For additional details regarding the terms and conditions of the Hatteras Acquisition and related matters, please refer to the Company’s other filings with the SEC that were made in connection with the Hatteras Acquisition, including the Prospectus/Offer to Exchange filed with the SEC pursuant to Rule 424(b)(3) on July 8, 2016 and the Current Report on Form 8-K filed with the SEC on July 12, 2016. |
RESIDENTIAL INVESTMENT SECURITI
RESIDENTIAL INVESTMENT SECURITIES | 12 Months Ended |
Dec. 31, 2016 | |
Text Block [Abstract] | |
RESIDENTIAL INVESTMENT SECURITIES | 5. RESIDENTIAL INVESTMENT SECURITIES The following tables present the Company’s Residential Investment Securities porfolio that was carried at their fair value as of December 31, 2016 and 2015: December 31, 2016 Principal / Notional Remaining Premium Remaining Discount Amortized Cost Unrealized Gains (1) Unrealized Losses (1) Estimated Fair Value Agency (dollars in thousands) Fixed-rate pass-through $ 60,759,317 $ 3,633,354 $ (1,956 ) $ 64,390,715 $ 228,430 $ (1,307,771 ) $ 63,311,373 Adjustable-rate pass-through 10,653,109 391,267 (4,081 ) 11,040,295 47,250 (53,795 ) 11,033,751 Interest-only 8,133,805 1,436,192 - 1,436,192 4,225 (195,668 ) 1,244,749 Total Agency investments $ 79,546,231 $ 5,460,813 $ (6,037 ) $ 76,867,202 $ 279,905 $ (1,557,234 ) $ 75,589,873 Residential Credit CRT $ 690,491 $ 11,113 $ (10,907 ) $ 690,697 $ 34,046 $ (21 ) $ 724,722 Alt-A 173,108 1,068 (23,039 ) 151,137 3,721 (685 ) 154,173 Prime 248,176 287 (35,068 ) 213,395 7,050 (253 ) 220,192 Subprime 697,983 380 (96,331 ) 602,032 12,578 (1,061 ) 613,549 NPL/RPL 269,802 670 (209 ) 270,263 1,004 (429 ) 270,838 Prime Jumbo 129,453 852 (345 ) 129,960 267 (308 ) 129,919 Prime Jumbo Interest-Only 863,370 15,129 - 15,129 - (2,493 ) 12,636 Total residential credit investments $ 3,072,383 $ 29,499 $ (165,899 ) $ 2,072,613 $ 58,666 $ (5,250 ) $ 2,126,029 Total Residential Investment Securities $ 82,618,614 $ 5,490,312 $ (171,936 ) $ 78,939,815 $ 338,571 $ (1,562,484 ) $ 77,715,902 December 31, 2015 Principal / Notional Remaining Premium Remaining Discount Amortized Cost Unrealized Gains (1) Unrealized Losses (1) Estimated Fair Value Agency (dollars in thousands) Fixed-rate pass-through $ 57,339,705 $ 3,270,521 $ (2,832 ) $ 60,607,394 $ 400,350 $ (824,862 ) $ 60,182,882 Adjustable-rate pass-through 2,894,192 61,781 (6,427 ) 2,949,546 70,849 (10,317 ) 3,010,078 CMO 964,095 27,269 (477 ) 990,887 9,137 (12,945 ) 987,079 Debentures 158,802 - (648 ) 158,154 - (6,116 ) 152,038 Interest-only 9,499,332 1,634,312 - 1,634,312 18,699 (114,826 ) 1,538,185 Total Agency investments $ 70,856,126 $ 4,993,883 $ (10,384 ) $ 66,340,293 $ 499,035 $ (969,066 ) $ 65,870,262 Residential Credit CRT $ 476,084 $ 2,225 $ (12,840 ) $ 465,469 $ 250 $ (9,209 ) $ 456,510 Alt-A 138,211 449 (14,131 ) 124,529 211 (460 ) 124,280 Prime 117,649 302 (10,916 ) 107,035 424 (81 ) 107,378 Subprime 122,667 22 (12,103 ) 110,586 63 (599 ) 110,050 NPL/RPL 354,945 19 (1,270 ) 353,694 19 (1,172 ) 352,541 Prime Jumbo 197,695 566 - 198,261 - (1,060 ) 197,201 Prime Jumbo Interest-Only 811,245 15,430 - 15,430 - (158 ) 15,272 Total residential credit securities $ 2,218,496 $ 19,013 $ (51,260 ) $ 1,375,004 $ 967 $ (12,739 ) $ 1,363,232 Total Residential Investment Securities $ 73,074,622 $ 5,012,896 $ (61,644 ) $ 67,715,297 $ 500,002 $ (981,805 ) $ 67,233,494 (1) Unrealized gains and losses on Agency investments, excluding interest-only investments, are reported as a component of Other comprehensive income (loss). Unrealized gains and losses on residential credit securities and Agency interest-only investments are reported in Net unrealized gains (losses) on investments measured at fair value through earnings in the Consolidated Statements of Comprehensive Income (Loss). The following table presents the Company’s Agency mortgage-backed securities portfolio by issuing Agency concentration as of December 31, 2016 and 2015: Investment Type December 31, 2016 December 31, 2015 (dollars in thousands) Fannie Mae $ 51,658,391 $ 42,647,075 Freddie Mac 23,858,110 22,960,595 Ginnie Mae 73,372 110,554 Total $ 75,589,873 $ 65,718,224 Actual maturities of the Company’s Residential Investment Securities portfolio are generally shorter than stated contractual maturities because actual maturities of the portfolio are generally affected by periodic payments and prepayments of principal on underlying mortgages. The following table summarizes the Company’s available for sale Residential Investment Securities as of December 31, 2016 and 2015, according to their estimated weighted average life classifications: December 31, 2016 December 31, 2015 Weighted Average Life Estimated Fair Value Amortized Cost Estimated Fair Value Amortized Cost (dollars in thousands) Less than one year $ 63,510 $ 61,775 $ 37,862 $ 37,850 Greater than one year through five years 12,626,932 12,666,394 20,278,111 20,066,435 Greater than five years through ten years 56,785,601 57,738,588 46,473,701 47,174,319 Greater than ten years 8,239,859 8,473,058 443,820 436,693 Total $ 77,715,902 $ 78,939,815 $ 67,233,494 $ 67,715,297 The weighted average lives of the Agency mortgage-backed securities at December 31, 2016 and 2015 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 and debentures, accounted for as available-for-sale, by length of time that such securities have been in a continuous unrealized loss position at December 31, 2016 and 2015. December 31, 2016 December 31, 2015 Estimated Fair Value (1) Gross Unrealized Losses (1) Number of Securities (1) Estimated Fair Value (1) Gross Unrealized Losses (1) Number of Securities (1) (dollars in thousands) Less than 12 Months $ 52,465,045 $ (1,094,957 ) 1,368 $ 20,072,072 $ (164,259 ) 463 12 Months or More 6,277,814 (266,609 ) 54 21,705,764 (689,981 ) 189 Total $ 58,742,859 $ (1,361,566 ) 1,422 $ 41,777,836 $ (854,240 ) 652 The decline in value of these securities is solely due to market conditions and not the quality of the assets. Substantially all of the Agency mortgage-backed securities are “AAA” rated or carry an implied “AAA” rating. The investments are not considered to be other-than-temporarily impaired because the Company currently has the ability and intent to hold the investments to maturity or for a period of time sufficient for a forecasted market price recovery up to or beyond the cost of the investments, and it is not more likely than not that the Company will be required to sell the investments before recovery of the amortized cost bases, which may be maturity. Also, the Company is guaranteed payment of the principal amount of the securities by the respective issuing government agency. During the year ended December 31, 2016, the Company disposed of $12.3 billion of Residential Investment Securities, resulting in a net realized gain of $31.0 million. During the year ended December 31, 2015, the Company disposed of $23.9 billion of Residential Investment Securities, resulting in a net realized gain of $63.3 million. During the year ended December 31, 2014, the Company disposed of $22.5 billion of Residential Investment Securities, resulting in a net realized gain of $94.5 million. Agency interest-only mortgage-backed securities represent the right to receive a specified portion of the contractual interest flows of the underlying outstanding principal balance of specific Agency mortgage-backed securities. Agency interest-only mortgage-backed securities in the Company’s portfolio as of December 31, 2016 and 2015 had accumulated net unrealized gains (losses) of ($191.4) million and ($96.1) million and an amortized cost of $1.4 billion and $1.6 billion, respectively. |
MORTGAGE LOANS
MORTGAGE LOANS | 12 Months Ended |
Dec. 31, 2016 | |
Residential Mortgage | |
MORTGAGE LOANS | 6. RESIDENTIAL MORTGAGE LOANS The table below presents the fair value and the unpaid principal balance of the residential mortgage loan portfolio as of December 31, 2016: (dollars in thousands) Fair value $ 342,289 Unpaid principal balance $ 338,323 The following table provides information regarding the line items and amounts recognized in the Consolidated Statements of Comprehensive Income (Loss) for the year ended December 31, 2016 for these investments: (dollars in thousands) Net gains (losses) on disposal of investments $ (922 ) Net unrealized gains (losses) on investments measured at fair value through earnings (5,614 ) Net interest income 3,452 Total included in net income (loss) $ (3,084 ) The following table provides the geographic concentrations based on the unpaid principal balances as of December 31, 2016 for the residential mortgage loans, including loans held in a securitization trust: Geographic Concentrations of Residential Mortgage Loans Property Location % of Balance California 46.3% Texas 9.6% Illinois 5.7% Florida 5.2% Washington 5.1% All other (none individually greater than 5%) 28.1% Total 100.0% The table below provides additional data on the Company’s residential mortgage loans, including loans held in a securitization trust, at December 31, 2016: December 31, 2016 Portfolio Range Portfolio Weighted Average (dollars in thousands) Unpaid principal balance $ 22 - $1,905 $ 691 Interest rate 2.50% - 6.75 % 3.72 % Maturity 4/8/2044 - 11/1/2046 8/20/2045 FICO score at loan origination 665 - 814 761 Loan-to-value ratio at loan origination 24% - 90 % 71 % As of December 31, 2016, approximately 85% of the carrying value of the Company’s residential mortgage loans, including loans held in a securitization trust, were adjustable-rate. The following table presents the activity related to residential mortgage loans for the year ended December 31, 2016: December 31, 2016 (dollars in thousands) Fair value, beginning of period $ - Obtained through Hatteras Acquisition 360,447 Purchases 165,213 Collection of principal (176,815 ) Amortization of premiums (942 ) Change in fair value (5,614 ) Fair value, end of period $ 342,289 |
Commercial Real Estate | |
MORTGAGE LOANS | SCHEDULE IV Schedule IV - Mortgage Loans on Commercial Real Estate December 31, 2016 (dollars in thousands) Description Location Prior Liens (1) Face Amount Carrying Amount Interest Rate (2) Libor Floor Payment Terms Maturity Date (3) Mezzanine Debt Investments: Hotel Various 26,223 1,691 1,691 8.65% N/A Interest Only 8/9/2019 Hotel Various 103,800 6,500 6,500 LIBOR+8.75% 0.2% Interest Only 2/9/2018 Hotel CA 50,000 10,000 10,000 10.25% N/A Interest Only 2/6/2019 Hotel Various 26,223 10,335 10,335 8.65% N/A Interest Only 8/9/2019 Hotel Various 103,800 25,000 25,000 LIBOR+9.95% 0.2% Interest Only 2/14/2019 Industrial Various 61,901 29,890 29,878 8.11% N/A Interest Only 6/28/2022 Mixed OH 129,890 36,816 36,816 9.5% N/A Interest Only 12/1/2023 Multi-Family NY 44,000 1,202 1,185 LIBOR+4.5% 0.2% Interest Only 2/9/2021 Multi-Family NY 446,371 54,164 53,694 7.81% N/A Interest Only 10/1/2020 Multi-Family NY 446,371 61,838 61,536 7.04% N/A Interest Only 10/1/2020 Office TX 64,312 2,944 2,944 10.25% N/A Interest Only 8/1/2018 Office TX 64,312 3,709 3,709 10.25% N/A Interest Only 8/1/2018 Office CO 13,469 6,000 6,000 10.96% N/A Interest Only 8/6/2018 Office TX 52,000 7,000 7,000 10.1% N/A Interest Only 12/1/2024 Office LA 64,000 8,700 8,700 10.75% N/A Interest Only 10/1/2023 Office CA 46,751 8,680 8,711 LIBOR+9.5% 0.25% Interest Only 3/31/2019 Office FL 52,000 9,000 8,826 LIBOR+4.2% 0.5% Interest Only 10/9/2021 Office TX 43,500 9,187 9,158 9.5% N/A Interest Only 9/1/2018 Office MD 53,637 9,942 9,935 11.7% N/A Interest Only 8/1/2017 Office MD 54,299 10,130 10,122 11.2% N/A Interest Only 8/1/2017 Office Various 190,132 18,962 18,966 LIBOR+7.5% 0.25% Interest Only 1/20/2017 Office NY 67,780 20,113 20,094 LIBOR+9.71% 0.2% Interest Only 3/2/2020 Office CA 90,000 25,723 25,581 LIBOR+4.35% 0.25% Interest Only 2/9/2021 Office CA 280,000 27,500 26,960 6.54% N/A Interest Only 1/2/2021 Office CA 280,000 38,667 38,127 7.67% N/A Interest Only 1/2/2021 Retail MA 64,500 10,000 10,000 10.14% N/A Interest Only 9/6/2023 Preferred Equity Investments: Mixed PA 26,000 9,000 8,967 11% N/A Interest Only 11/27/2018 First Mortgages: Multi-Family TX - 15,090 15,075 4.45% N/A Interest Only 10/1/2020 Multi-Family FL - 26,000 26,000 LIBOR+4.5% 0.25% Interest Only 5/9/2019 Multi-Family NC - 36,800 36,733 4.25% N/A Amortizing 11/1/2020 Multi-Family FL - 41,000 40,966 LIBOR+4.05% 0.2% Interest Only 6/5/2020 Multi-Family NY - 44,000 43,694 LIBOR+4.5% 0.2% Interest Only 2/9/2021 Office FL - 16,050 16,002 LIBOR+5% 0.2% Interest Only 12/6/2019 Office CA - 21,434 21,268 LIBOR+4% 0.2% Interest Only 3/5/2021 Office VA - 41,000 40,812 LIBOR+4.25% 0.2% Interest Only 12/9/2020 Office AZ - 45,000 44,711 LIBOR+4.35% 0.2% Interest Only 10/5/2018 Office FL - 52,000 51,523 LIBOR+4.2% 0.5% Interest Only 10/9/2021 Office NJ - 67,390 67,165 LIBOR+4.5% 0.25% Interest Only 5/9/2020 Office CA - 90,000 89,520 LIBOR+4.35% 0.25% Interest Only 2/9/2021 Retail (4) CO 12,827 16,558 16,602 5.58% N/A Amortizing 5/1/2017 First Mortgages Held for Sale: Office CA 165,000 115,000 114,425 2.91% N/A Interest Only 1/2/2021 $ 1,090,015 $ 1,084,931 (1) Represents third-party priority liens. (2) LIBOR represents the one month London Interbank Offer Rate, EURIBOR represents the one month Eurodollar deposit rate. (3) Assumes all extension options are exercised. (4) Includes senior position sold to third party that did not qualify for GAAP sale accounting. The Company’s economic interest is limited to a B-Note with an outstanding face of $3.7 million. |
MORTGAGE SERVICING RIGHTS
MORTGAGE SERVICING RIGHTS | 12 Months Ended |
Dec. 31, 2016 | |
Transfers and Servicing [Abstract] | |
MORTGAGE SERVICING RIGHTS | 7. MORTGAGE SERVICING RIGHTS In connection with the Hatteras Acquisition, the Company acquired an MSR portfolio and began investing in MSRs through Hatteras’ wholly-owned subsidiary during the third quarter of 2016. The Company elected to carry all investments in MSRs at fair value. The following table presents activity related to MSRs for the year ended December 31, 2016: December 31, 2016 (dollars in thousands) Fair value, beginning of period $ - Obtained through Hatteras Acquisition 355,820 Purchases 166,585 Change in fair value due to: Changes in valuation inputs or assumptions (1) 178,463 Other changes, including realization of expected cash flows (48,652 ) Fair value, end of period $ 652,216 (1) Principally represent changes in discount rates and prepayment speed inputs used in valuation model, primarily due to changes in interest rates For the year ended December 31, 2016, the Company recognized $60.5 million of net servicing income from MSRs in Other income (loss) in the Consolidated Statements of Comprehensive Income (Loss). |
COMMERCIAL REAL ESTATE INVESTME
COMMERCIAL REAL ESTATE INVESTMENTS | 12 Months Ended |
Dec. 31, 2016 | |
Text Block [Abstract] | |
COMMERCIAL REAL ESTATE INVESTMENTS | 8. COMMERCIAL REAL ESTATE INVESTMENTS On December 11, 2015, the Company originated a $335.0 million recapitalization financing with respect to eight class A/B office properties in Orange County California. As of December 31, 2015, such financing is comprised of a $280.0 million senior mortgage loan ($278.6 million, net of origination fees), and mezzanine debt with an initial principal balance of $55.0 million ($52.7 million, net of origination fees) and a future funding component of $30.0 million. The senior mortgage loan was held for sale as of December 31, 2015. During 2016, the Company sold $165.0 million ($164.0 million, net of origination fees) of the senior loan to unrelated third parties at carrying value. Accordingly, no gain or loss was recorded in connection with these sales. The balance of the senior loan of $115.0 million ($114.4 million, net of origination fees) remains held for sale as of December 31, 2016. At December 31, 2016 and 2015, commercial real estate investments held for investment were comprised of the following: CRE Debt and Preferred Equity Investments December 31, 2016 December 31, 2015 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 $ 512,322 $ 510,071 52.6 % $ 387,314 $ 385,838 28.6 % Senior securitized mortgages (3) - - 0.0 % 263,072 262,703 19.4 % Mezzanine loans 453,693 451,467 46.5 % 582,592 578,503 43.0 % Preferred equity 9,000 8,967 0.9 % 122,444 121,773 9.0 % Total (4) $ 975,015 $ 970,505 100.0 % $ 1,355,422 $ 1,348,817 100.0 % (1) Carrying value includes unamortized origination fees of $4.5 million and $6.9 million as of December 31, 2016 and 2015, respectively. (2) Based on outstanding principal. (3) Assets of consolidated VIEs. (4) Excludes Loans held for sale, net. December 31, 2016 Senior Mortgages Senior Securitized Mortgages (1) Mezzanine Loans Preferred Equity Total (dollars in thousands) Beginning balance $ 385,838 $ 262,703 $ 578,503 $ 121,773 $ 1,348,817 Originations & advances (principal) 211,318 - 62,390 - 273,708 Principal payments (86,310 ) (263,072 ) (191,291 ) (113,444 ) (654,117 ) Amortization & accretion of (premium) discounts (136 ) - (178 ) - (314 ) Net (increase) decrease in origination fees (2,086 ) - (472 ) - (2,558 ) Amortization of net origination fees 1,447 369 2,515 638 4,969 Net carrying value (2) $ 510,071 $ - $ 451,467 $ 8,967 $ 970,505 (1) (2) Excludes Loans held for sale, net. December 31, 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) 293,925 - 195,312 - 489,237 Principal payments (243,270 ) (136,469 ) (153,693 ) (92,210 ) (625,642 ) Sales (principal) (46,945 ) - - - (46,945 ) Amortization & accretion of (premium) discounts (142 ) - (232 ) 517 143 Net (increase) decrease in origination fees (3,702 ) (279 ) (4,806 ) - (8,787 ) Amortization of net origination fees 2,077 817 691 561 4,146 Transfers - - 18,500 - 18,500 Net carrying value (2) $ 385,838 $ 262,703 $ 578,503 $ 121,773 $ 1,348,817 (1) Assets of consolidated VIE. (2) Excludes Loans held for sale, net. Internal CRE Debt and Preferred Equity Investment Ratings The Company’s internal loan risk ratings are based on the guidance provided by the Office of the Comptroller of the Currency for commercial real estate lending. The Company’s internal risk rating categories include “Performing”, “Performing - Closely Monitored”, “Performing - Special Mention”, “Substandard”, “Doubtful” or “Loss”. Performing loans meet all present contractual obligations. Performing - Closely Monitored loans meet all present contractual obligations, but are transitional or could be exhibiting some weakness in both leverage and liquidity. Performing - Special Mention loans meet all present contractual obligations, but exhibit potential weakness that deserve management’s close attention and if uncorrected, may result in deterioration of repayment prospects. Substandard loans are inadequately protected by sound worth and paying capacity of the obligor or of the collateral pledged with a distinct possibility that loss will be sustained if some of the deficiencies are not corrected. Doubtful loans are Substandard loans whereby collection of all contractual principal and interest is highly questionable or improbable. Loss loans are considered uncollectible. The Company did not have any impaired loans, nonaccrual loans, or loans in default in the commercial loans portfolio as all of the loans were performing as of December 31, 2016 and 2015. Accordingly, no allowance for loan losses was deemed necessary as of December 31, 2016 and 2015. December 31, 2016 Internal Ratings Investment Type Outstanding Principal (1) Percentage of CRE Debt and Preferred Equity Portfolio Performing Performing - Closely Monitored Performing - Special Mention Substandard Doubtful Loss Total (dollars in thousands) Senior mortgages $ 512,322 52.6 % $ 144,434 $ 243,448 $ 124,440 $ - $ - $ - $ 512,322 Mezzanine loans 453,693 46.5 % 254,337 170,039 29,317 - - - 453,693 Preferred equity 9,000 0.9 % - - 9,000 - - - 9,000 $ 975,015 100.0 % $ 398,771 $ 413,487 $ 162,757 $ - $ - $ - $ 975,015 (1) December 31, 2015 Internal Ratings Investment Type Outstanding Principal (1) Percentage of CRE Debt and Preferred Equity Portfolio Performing Performing - Closely Monitored Performing - Special Mention Substandard Doubtful Loss Total (dollars in thousands) Senior mortgages $ 387,314 28.6 % $ 71,000 $ 283,148 $ 33,166 $ - $ - $ - $ 387,314 Senior securitized mortgages (2) 263,072 19.4 % 106,770 15,500 140,802 - - - 263,072 Mezzanine loans 582,592 43.0 % 342,493 219,969 20,130 - - - 582,592 Preferred equity 122,444 9.0 % - 81,944 40,500 - - - 122,444 $ 1,355,422 100.0 % $ 520,263 $ 600,561 $ 234,598 $ - $ - $ - $ 1,355,422 (1) (2) As of December 31, 2016, approximately 77% of the carrying value of the Company’s CRE Debt and Preferred Equity Investments, excluding commercial loans held for sale, were adjustable-rate. Investments in Commercial Real Estate There were no acquisitions of new real estate holdings during the year ended December 31, 2016. The following table summarizes acquisitions of real estate held for investment during 2015: Date of Acquisition Type Location Original Purchase Price Remaining Lease Term (Years) (1) (dollars in thousands) July 2015 Single Tenant Retail Ohio $ 11,000 3.9 August 2015 Multi Tenant Retail Florida $ 18,900 4.5 October 2015 Multifamily Property Washington, DC $ 75,000 1.0 October 2015 Multi Tenant Retail California $ 37,750 3.8 November 2015 Multi Tenant Retail Texas $ 131,950 4.2 (1) As of December 31, 2016. Does not include extension options. In the second quarter of 2016, the Company finalized the purchase price allocation of the eleven multi-tenant retail properties portfolio (“Texas Portfolio”) acquired in November 2015 for a total purchase price of $132.0 million and recognized $4.2 million of additional depreciation and amortization as a result. The following presents the aggregate final purchase price allocation of the Texas Portfolio: Texas (dollars in thousands) Purchase Price Allocation: Land $ 32,452 Buildings 82,552 Site improvements 5,446 Tenant Improvements 6,835 Real estate held for investment 127,285 Intangible assets (liabilities): Leasehold intangible assets 14,598 Above market lease 274 Below market lease (10,207 ) Total purchase price $ 131,950 The Company sold three non-core properties of the Texas Portfolio in June 2016 for $12.8 million and recognized a gain on sale of $0.8 million. The Company sold one of its wholly-owned triple net leased properties in November 2016 for $26.8 million and recognized a gain on sale of $2.0 million. The weighted average amortization period for intangible assets and liabilities as of December 31, 2016 is 4.7 years. Above market leases and leasehold intangible assets are included in Other assets and below market leases are included in Accounts payable and other liabilities in the Consolidated Statements of Financial Condition. Total Commercial Real Estate Investment December 31, 2016 December 31, 2015 (dollars in thousands) Real estate held for investment, at amortized cost Land $ 112,675 $ 113,494 Buildings and improvements 335,945 373,603 Subtotal 448,620 487,097 Less: accumulated depreciation (34,221 ) (16,886 ) Total real estate held for investment, at amortized cost, net 414,399 470,211 Equity in unconsolidated joint ventures 60,168 65,735 Investments in commercial real estate, net $ 474,567 $ 535,946 Depreciation expense was $20.4 million and $12.7 million for the year ended December 31, 2016 and 2015, respectively and is included in Other income (loss) Rental Income The minimum rental amounts due under 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 December 31, 2016 for consolidated investments in real estate are as follows (in thousands): December 31, 2016 (dollars in thousands) 2017 $ 30,441 2018 27,225 2019 23,231 2020 18,635 2021 14,554 Later years 26,424 $ 140,510 Mortgage loans payable as of December 31, 2016 and 2015, were as follows: December 31, 2016 Property Mortgage Carrying Value Mortgage Principal Interest Rate Fixed/Floating Rate Maturity Date Priority (dollars in thousands) Joint Ventures $ 285,993 $ 289,125 4.03% - 4.61 % Fixed 2024 and 2025 First liens Tennessee 12,261 12,350 4.01 % Fixed 9/6/2019 First liens Virginia 11,015 11,025 3.58 % Fixed 6/6/2019 First liens Arizona - - 3.50 % Fixed 1/1/2017 First liens Nevada 2,367 2,365 L+200 Floating (1) 3/29/2017 First liens $ 311,636 $ 314,865 (1) Includes a mortgage with a fixed rate via an interest rate swap (pay fixed 3.45%, receive floating rate of L+200). December 31, 2015 Property Mortgage Carrying Value Mortgage Principal Interest Rate Fixed/Floating Rate Maturity Date Priority (dollars in thousands) Joint Ventures $ 292,658 $ 296,325 2.30% to 4.61 % Fixed 2016, 2024 and 2025 First liens Tennessee 12,228 12,350 4.01 % Fixed 9/6/2019 First liens Virginia 11,012 11,025 3.58 % Fixed 6/6/2019 First liens Arizona 16,365 16,308 3.50 % Fixed 1/1/2017 First liens Nevada 2,444 2,436 L+200 Floating (1) 3/29/2017 First liens $ 334,707 $ 338,444 (1) Includes a mortgage with a fixed rate via an interest rate swap (pay fixed 3.45%, receive floating rate of L+200). The following table details future mortgage loan principal payments as of December 31, 2016: Mortgage Loan Principal Payments (dollars in thousands) 2017 $ 2,365 2018 - 2019 23,375 2020 - 2021 - Later years 289,125 $ 314,865 |
CORPORATE DEBT
CORPORATE DEBT | 12 Months Ended |
Dec. 31, 2016 | |
Investments, Debt and Equity Securities [Abstract] | |
CORPORATE DEBT | 9. CORPORATE DEBT The Company invests in corporate loans and corporate debt securities through Annaly Middle Market Lending LLC (or MML). The industry and rate sensitivity dispersion of the portfolio as of December 31, 2016 and 2015 are as follows: Industry Dispersion December 31, 2016 December 31, 2015 Fixed Rate Floating Rate Total Fixed Rate Floating Rate Total (dollars in thousands) Aircraft and Parts $ - $ 32,067 $ 32,067 $ - $ - $ - Commercial Fishing - 40,600 40,600 - 41,979 41,979 Computer Programming, Data Processing & Other Computer Related Services - 146,547 146,547 - 73,758 73,758 Drugs - 34,042 34,042 - - - Drugs, Drug Proprietaries & Druggists's Sundries - - - - 43,617 43,617 Groceries and Related Products - 14,856 14,856 - 28,286 28,286 Grocery Stores - 23,761 23,761 - - - Home Health Care Services - 39,205 39,205 - 34,432 34,432 Insurance Agents, Brokers and services 4,391 73,267 77,658 - 29,221 29,221 Laboratory Apparatus and Analytical, Optical, Measuring, and Controlling Instruments - - - - 7,475 7,475 Management and Public Relations Services - 16,493 16,493 - - - Medical and Dental Laboratories - 17,292 17,292 - - - Miscellaneous Business Services 84,486 - 84,486 74,682 - 74,682 Miscellaneous Health and Allied Services, not elsewhere classified - 9,791 9,791 - 9,875 9,875 Miscellaneous Nonmetallic Minerals, except Fuels - 24,688 24,688 - 24,666 24,666 Miscellaneous Plastic Products - 27,036 27,036 - 12,697 12,697 Motor Vehicles and Motor Vehicle Parts and Supplies - 12,319 12,319 - - - Offices and Clinics of Doctors of Medicine - 83,386 83,386 - 61,275 61,275 Personnel Supply Services - 36,921 36,921 - 7,573 7,573 Research, Development and Testing Services - 17,744 17,744 - 17,742 17,742 Schools and Educational Services, not elsewhere classified - 20,979 20,979 - 21,230 21,230 Surgical, Medical, and Dental Instruments and Supplies - 13,403 13,403 - - - Total $ 88,877 $ 684,397 $ 773,274 $ 74,682 $ 413,826 $ 488,508 The table below reflects the Company’s aggregate positions by their respective place in the capital structure of the borrowers as of December 31, 2016 and 2015. December 31, 2016 December 31, 2015 (dollars in thousands) First lien loans $ 505,956 $ 280,441 Second lien loans 178,441 133,385 Second lien notes 84,486 74,682 Subordinated notes 4,391 - Total $ 773,274 $ 488,508 |
VARIABLE INTEREST ENTITIES
VARIABLE INTEREST ENTITIES | 12 Months Ended |
Dec. 31, 2016 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
VARIABLE INTEREST ENTITIES | 10. VARIABLE INTEREST ENTITIES In January 2014, the Company closed NLY Commercial Mortgage Trust 2014-FL1 (the “NLY Commercial Mortgage Trust”), a $399.5 million securitization financing transaction which provided 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 NLY Commercial Mortgage 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 NLY Commercial Mortgage 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 were being amortized to interest expense. Deferred financing costs are included in Securitized debt of consolidated VIEs in the accompanying Consolidated Statements of Financial Condition. As of December 31, 2016, the underlying securitized debt was fully paid off, and accordingly, the remaining costs were fully amortized. The Company is considered to be the primary beneficiary of NLY Commercial Mortgage Trust as a result of its ability to remove the special servicer without cause and through its ownership of subordinated certificates. The Company did not elect the fair value option for the loans in this VIE in order to consistently account for loans it originated that are held for investment and carried at amortized cost. 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 $1.3 billion and $1.2 billion, respectively, at December 31, 2016. 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 $1.1 billion and $1.0 billion, respectively, at December 31, 2016. In February 2016, the Company purchased the junior- most tranche, Class C Certificate of the Freddie Mac securitization, FREMF Mortgage Trust 2016-KLH1 (“FREMF 2016-KLH1”) for $107.6 million, net of a $4.4 million discount to face value of $112.0 million. The underlying portfolio is a pool of 28 floating rate multifamily mortgage loans with a cut-off principal balance of $1.5 billion. The Company is required to consolidate the FREMF 2016-KLH1 Trust’s assets and liabilities of $1.5 billion and $1.4 billion, respectively, at December 31, 2016. FREMF 2015-KLSF, FREMF 2015-KF07 and FREMF 2016-KLH1 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 $281.6 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 FREMF Trusts mortgage loans had an unpaid principal balance of $3.9 billion at December 31, 2016. As of December 31, 2016 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 December 31, 2016 based upon the Company’s process of monitoring events of default on the underlying mortgage loans. The Company consolidates a residential mortgage trust that issued residential mortgage-backed securities that are collateralized by residential mortgage loans that had been transferred to the trust by one of the Company’s subsidiaries. The Company owns most of the mortgage-backed securities issued by this VIE, including the subordinate securities, and a subsidiary of the Company continues to be the servicer. As such, the Company is deemed to be the primary beneficiary of the residential mortgage trust and consolidates the entity. The Company has elected the fair value option for the financial assets and liabilities of this VIE, but has elected not to apply the practical expedient under ASU 2014-13 as prices of both the financial liabilities and financial assets of the residential mortgage trust are available from third-party pricing services. The contractual principal amount of the residential mortgage trust’s debt was $164.5 million as of December 31, 2016. In June 2016, a consolidated subsidiary of the Company (the “Borrower”) entered into a $300.0 million credit facility with a third party financial institution. The Borrower was determined to be a VIE and the Company was determined to be the primary beneficiary due to its role as collateral manager and because it holds a variable interest in the entity that could be potentially significant to the entity. The Company has transferred corporate loans with a carrying amount of $592.9 million at December 31, 2016 that are pledged as collateral for the credit facility. The transfers did not qualify for sale accounting and are reflected as an intercompany secured borrowing that is eliminated upon consolidation. As of December 31, 2016, the Borrower had an intercompany receivable of $292.6 million, which eliminates upon consolidation and an Other secured financing of $292.6 million to the third party financial institution. The Company also owns variable interests in an entity that invests in MSRs and has structured its operations, funding and capitalization into pools of assets and liabilities referred to as “silos.” Owners of variable interests in a given silo are entitled to all of the returns and risk of loss on the investments and operations of that silo and have no substantive recourse to the assets of any other silo. While the Company has power over all silos because it holds 100% of the voting interests in the entity, it is the primary beneficiary of those silos in which it holds variable interests that could be potentially significant to that silo. The Company’s exposure to the obligations of its VIEs is generally limited to the Company’s investment in the VIEs of $1.1 billion at December 31, 2016. Assets of the VIEs may only be used to settle obligations of the VIEs. Creditors of the VIEs 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 VIEs. No gain or loss was recognized upon initial consolidation of the VIEs. Interest income and expense are recognized using the effective interest method. The statements of financial condition of the Company’s VIEs that are reflected in the Company’s Consolidated Statements of Financial Condition at December 31, 2016 and 2015 are as follows: December 31, 2016 FREMF Trusts Residential Mortgage Loan Trust MSR Silos (dollars in thousands) Assets Cash and cash equivalents $ - $ - $ 23,198 Commercial real estate debt investments 3,890,807 - - Residential mortgages loans - 165,869 8,309 Mortgage servicing rights - - 652,216 Accrued interest receivable 8,690 836 - Other derivatives, at fair value - - 9 Other assets 138 - 35,540 Total assets $ 3,899,635 $ 166,705 $ 719,272 Liabilities Securitized debt (non-recourse) at fair value $ 3,609,164 $ 46,638 $ - Other secured financing - - 3,825 Other derivatives, at fair value - - 9 Accrued interest payable 4,350 107 - Accounts payable and other liabilities - 662 14,007 Total liabilities $ 3,613,514 $ 47,407 $ 17,841 December 31, 2015 FREMF Trusts NLY Commercial Mortgage Trust (dollars in thousands) Assets Cash and cash equivalents $ - $ 49,025 Commercial real estate debt investments 2,554,023 - Commercial real estate and debt and preferred equity, held for investment - 262,703 Accrued interest receivable 4,994 431 Other assets - 169 Total assets $ 2,559,017 $ 312,328 Liabilities Securitized debt (non-recourse) at fair value $ 2,366,878 $ - Securitized debt (non-recourse) at amortized cost - 173,833 Accrued interest payable 4,183 191 Accounts payable and other liabilities - 290 Total liabilities $ 2,371,061 $ 174,314 The statement of comprehensive income (loss) of the Company’s VIEs that is reflected in the Company’s Consolidated Statements of Comprehensive Income (Loss) at December 31, 2016 is as follows: For the Year Ended December 31, 2016 FREMF Trusts NLY Commercial Mortgage Trust Residential Mortgage Loan Trust MSR Silos (dollars in thousands) Net interest income: Interest income $ 94,991 $ 9,541 $ 2,292 $ 129 Interest expense 41,395 2,302 694 60 Net interest income 53,596 7,239 1,598 69 Realized gain (loss) on disposal of investments - - (505 ) 87 Unrealized gain (loss) on investments at fair value (1) (412 ) - (2,280 ) 129,355 Other income (loss) (25,290 ) - (183 ) 59,410 General and administration expenses 7 - 36 2,677 Net income (loss) $ 27,887 $ 7,239 $ (1,406 ) $ 186,244 (1) Included in Net unrealized gains (losses) on investments measured at fair value through earnings. The geographic concentrations of credit risk exceeding 5% of the total loan unpaid principal balances related to the Company’s VIEs as of December 31, 2016 are as follows: Securitized Loans at Fair Value Geographic Concentration of Credit Risk FREMF Trusts Residential Mortgage Loan Trust Property Location Principal Balance % of Balance Property Location Principal Balance % of Balance (dollars in thousands) Texas $ 682,829 17.7 % California $ 76,254 46.3 % North Carolina 537,375 13.9 % Texas 16,925 10.3 % Maryland 499,495 12.9 % Washington 10,762 6.5 % Florida 456,441 11.8 % Illinois 10,193 6.2 % Virginia 329,250 8.5 % Florida 9,362 5.7 % New York 280,925 7.3 % Other (1) 41,263 25.0 % Pennslyvania 225,810 5.8 % Ohio 197,455 5.1 % Other (1) 655,332 17.0 % Total $ 3,864,912 100.0 % $ 164,759 100.0 % (1) No individual state greater than 5% |
FAIR VALUE MEASUREMENTS
FAIR VALUE MEASUREMENTS | 12 Months Ended |
Dec. 31, 2016 | |
Fair Value Disclosures [Abstract] | |
FAIR VALUE MEASUREMENTS | 11. 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. Futures contracts are valued using quoted prices for identical instruments in active markets. Residential 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. Fair value estimates for residential mortgage loans are generated by a discounted cash flow model and are primarily based on observable market-based inputs including discount rates, prepayment speeds, delinquency levels, and credit losses. 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. Residential Investment Securities, residential mortgage loans, interest rate swap and swaption markets and MBS options 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 Residential 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 Residential Investment Securities, interest rate swaps, swaptions, TBA derivatives and MBS options as Level 2 inputs in the fair value hierarchy. The fair value of commercial mortgage-backed securities classified as available-for-sale is determined based upon quoted prices of similar assets in recent market transactions and requires the application of judgment due to differences in the underlying collateral. Consequently, as discussed in the “Commercial Real Estate Investments” Note, Commercial real estate debt investments carried at fair value are classified as Level 2. The fair value of securitized debt of consolidated VIEs is determined using the average of external vendor pricing services. The Company classifies its investments in MSRs as Level 3 in the fair value measurements hierarchy. Fair value estimates for these investments are obtained from internal models, which use significant unobservable inputs in their valuations. These valuations primarily utilize discounted cash flow models that incorporate unobservable market data inputs including prepayment rates, delinquency levels, costs to service and discount rates. Model valuations are then compared to external valuations obtained from third-party pricing providers. Management reviews the valuations received from third-party pricing providers and uses them as a point of comparison to its internally modeled values. The valuation of MSRs requires significant judgment by management and the third-party pricing providers. Assumptions used for which there is a lack of observable inputs may significantly impact the resulting fair value and therefore the Company’s financial statements. The following table presents the estimated fair values of financial instruments measured at fair value on a recurring basis. There were no transfers between levels of the fair value hierarchy during the periods presented. Level 1 Level 2 Level 3 Total December 31, 2016 (dollars in thousands) Assets: Agency mortgage-backed securities $ - $ 75,589,873 $ - $ 75,589,873 Credit risk transfer securities - 724,722 - 724,722 Non-Agency mortgage-backed securities - 1,401,307 - 1,401,307 Residential mortgage loans - 342,289 - 342,289 Mortgage servicing rights - - 652,216 652,216 Commercial real estate debt investments - 4,321,739 - 4,321,739 Interest rate swaps - 68,194 - 68,194 Other derivatives 168,209 3,057 - 171,266 Total assets $ 168,209 $ 82,451,181 $ 652,216 $ 83,271,606 Liabilities: Securitized debt of consolidated VIEs $ - $ 3,655,802 $ - $ 3,655,802 Interest rate swaps - 1,443,765 - 1,443,765 Other derivatives 24,912 61,525 - 86,437 Total liabilities $ 24,912 $ 5,161,092 $ - $ 5,186,004 Level 1 Level 2 Level 3 Total December 31, 2015 (dollars in thousands) Assets: Agency mortgage-backed securities $ - $ 65,718,224 $ - $ 65,718,224 Agency debentures - 152,038 - 152,038 Credit risk transfer securities - 456,510 - 456,510 Non-Agency mortgage-backed securities - 906,722 - 906,722 Commercial real estate debt investments - 2,911,828 - 2,911,828 Interest rate swaps - 19,642 - 19,642 Other derivatives 12,443 9,623 - 22,066 Total assets $ 12,443 $ 70,174,587 $ - $ 70,187,030 Liabilities: Securitized debt of consolidated VIEs $ - $ 2,366,878 $ - $ 2,366,878 Interest rate swaps - 1,677,571 - 1,677,571 Other derivatives 32,778 17,185 - 49,963 Total liabilities $ 32,778 $ 4,061,634 $ - $ 4,094,412 Quantitative Information about Level 3 Fair Value Measurements The Company considers unobservable inputs to be those for which market data is not available and that are developed using the best information available to us about the assumptions that market participants would use when pricing the asset. Relevant inputs vary depending on the nature of the instrument being measured at fair value. The following paragraph provides a general description of sensitivities of significant unobservable inputs along with interrelationships between and among the significant unobservable inputs and their impact on the fair value measurements. The effect of a change in a particular assumption in the sensitivity analysis below is considered independently of changes in any other assumptions. In practice, simultaneous changes in assumptions may not always have a linear effect on the inputs discussed below. Interrelationships may also exist between observable and unobservable inputs. Such relationships have not been included in the discussion below. For each of the individual relationships described below, the inverse relationship would also generally apply. For MSRs, in general, increases in the discount, prepayment or delinquency rates or in annual servicing costs in isolation would result in a lower fair value measurement. A decline in interest rates could lead to higher-than-expected prepayments of mortgages underlying the Company’s investments in MSRs, which in turn could result in a decline in the estimated fair value of MSRs. Refer to the Note titled “Mortgage Servicing Rights” for additional information. The table below presents information about the significant unobservable inputs used for recurring fair value measurements for Level 3 MSRs. The table does not give effect to the Company’s risk management practices that might offset risks inherent in these Level 3 investments. December 31, 2016 Range Valuation Technique Unobservable Input (1) (Weighted Average ) Discounted cash flow Discount rate 10.0% -15.0% (10.4%) Prepayment rate 5.1% - 18.8% (8.7%) Delinquency rate 0.0% - 10.0% (2.3%) Cost to service $83 - $152 ($100) (1) Fair Value Information about Financial Instruments Not Carried at Fair Value 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, repurchase agreements and other secured financing 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 following table summarizes the estimated fair value for financial assets and liabilities as of December 31, 2016 and 2015. December 31, 2016 December 31, 2015 Level in Fair Value Hierarchy Carrying Value Fair Value Carrying Value Fair Value Financial assets: (dollars in thousands) Cash and cash equivalents 1 $ 1,539,746 $ 1,539,746 $ 1,769,258 $ 1,769,258 Agency mortgage-backed securities 2 75,589,873 75,589,873 65,718,224 65,718,224 Agency debentures 2 - - 152,038 152,038 Credit risk transfer securities 2 724,722 724,722 456,510 456,510 Non-Agency mortgage-backed securities 2 1,401,307 1,401,307 906,722 906,722 Residential mortgage loans 2 342,289 342,289 - - Mortgage servicing rights 3 652,216 652,216 - - Commercial real estate debt investments 2 4,321,739 4,321,739 2,911,828 2,911,828 Commercial real estate debt and preferred equity, held for investment 3 970,505 968,824 1,348,817 1,350,968 Commercial loans held for sale, net 3 114,425 114,425 278,600 278,600 Corporate debt (1) 2 773,274 776,310 488,508 470,894 Interest rate swaps 2 68,194 68,194 19,642 19,642 Other derivatives 1,2 171,266 171,266 22,066 22,066 Financial liabilities: Repurchase agreements 1,2 $ 65,215,810 $ 65,256,505 $ 56,230,860 $ 56,361,623 Other secured financing 1,2 3,884,708 3,885,430 1,845,048 1,846,095 Securitized debt of consolidated VIEs 2 3,655,802 3,655,802 2,540,711 2,541,193 Participation sold 2 12,869 12,827 13,286 13,138 Mortgage payable 3 311,636 312,442 334,707 339,849 Interest rate swaps 2 1,443,765 1,443,765 1,677,571 1,677,571 Other derivatives 1,2 86,437 86,437 49,963 49,963 (1) Includes a held-to-maturity debt security carried at amortized cost of $84.5 million, with a fair value of $87.8 million, and $74.7 million, with a fair value of $61.3 million, as of December 31, 2016 and 2015, respectively. The bond’s stated maturity is May 15, 2020. |
SECURED FINANCING
SECURED FINANCING | 12 Months Ended |
Dec. 31, 2016 | |
Debt Disclosure [Abstract] | |
SECURED FINANCING | 12. SECURED FINANCING The Company had outstanding $65.2 billion and $56.2 billion of repurchase agreements with weighted average effective borrowing rates of 1.64% and 1.83%, after giving effect to the Company’s interest rate swaps used to hedge cost of funds, and weighted average remaining maturities of 96 days and 151 days as of December 31, 2016 and 2015, respectively. At December 31, 2016 and 2015, the repurchase agreements had the following remaining maturities, collateral types and weighted average rates: December 31, 2016 Agency Mortgage-backed Securities CRTs Non-Agency Mortgage-backed Securities Commercial Loans Total Repurchase Agreements Weighted Average Rate (dollars in thousands) 1 day $ - $ - $ - $ - $ - - 2 to 29 days 29,657,705 358,972 377,366 - 30,394,043 0.87 % 30 to 59 days 11,373,300 80,139 241,360 - 11,694,799 1.10 % 60 to 89 days 6,966,827 13,914 101,491 - 7,082,232 1.14 % 90 to 119 days 2,063,561 - - - 2,063,561 0.89 % Over 120 days (1) 13,646,308 - - 334,867 13,981,175 1.47 % Total $ 63,707,701 $ 453,025 $ 720,217 $ 334,867 $ 65,215,810 1.07 % (1) December 31, 2015 Agency Mortgage-backed Securities CRTs Non-Agency Mortgage-backed Securities Commercial Loans Total Repurchase Agreements Weighted Average Rate (dollars in thousands) 1 day $ - $ - $ - $ - $ - - 2 to 29 days 20,123,464 83,664 260,359 - 20,467,487 0.69 % 30 to 59 days 7,898,646 59,189 65,374 - 8,023,209 0.74 % 60 to 89 days 4,046,593 - 78,833 - 4,125,426 0.74 % 90 to 119 days 4,846,580 - - - 4,846,580 0.60 % Over 120 days (1) 18,557,715 - 31,015 179,428 18,768,158 1.33 % Total $ 55,472,998 $ 142,853 $ 435,581 $ 179,428 $ 56,230,860 0.90 % (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 December 31, 2016 and 2015. Refer to the “Derivative Instruments” Note for information related to the effect of netting arrangements on the Company’s derivative instruments. December 31, 2016 December 31, 2015 Reverse Repurchase Agreements Repurchase Agreements Reverse Repurchase Agreements Repurchase Agreements (dollars in thousands) Gross Amounts $ 400,000 $ 65,615,810 $ - $ 56,230,860 Amounts Offset (400,000 ) (400,000 ) - - Netted Amounts $ - $ 65,215,810 $ - $ 56,230,860 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. As of December 31, 2016, $3.6 billion of advances from the FHLB Des Moines matures beyond three years. As of December 31, 2015, $402.8 million of advances from the FHLB Des Moines matured within 90 days and $1.4 billion extended beyond three years. The weighted average rate of the advances from the FHLB Des Moines was 0.76% and 0.59% at December 31, 2016 and 2015, respectively. Financial instruments pledged as collateral under secured financing arrangements and interest rate swaps had an estimated fair value and accrued interest of $74.3 billion and $229.2 million, respectively, at December 31, 2016 and $62.3 billion and $171.7 million, respectively, at December 31, 2015. |
DERIVATIVE INSTRUMENTS
DERIVATIVE INSTRUMENTS | 12 Months Ended |
Dec. 31, 2016 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
DERIVATIVE INSTRUMENTS | 13. 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 and certain forward purchase commitments 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 Residential 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 December 31, 2016 and 2015: Derivatives Instruments Balance Sheet Location December 31, 2016 December 31, 2015 Assets: (dollars in thousands) Interest rate swaps Interest rate swaps, at fair value $ 68,194 $ 19,642 TBA derivatives Other derivatives, at fair value 2,774 9,622 Futures contracts Other derivatives, at fair value 168,209 12,444 Purchase commitments Other derivatives, at fair value 283 - $ 239,460 $ 41,708 Liabilities: Interest rate swaps Interest rate swaps, at fair value $ 1,443,765 $ 1,677,571 TBA derivatives Other derivatives, at fair value 60,972 17,185 Futures contracts Other derivatives, at fair value 24,912 32,778 Purchase commitments Other derivatives, at fair value 553 - $ 1,530,202 $ 1,727,534 The following table summarizes certain characteristics of the Company’s interest rate swaps at December 31, 2016 and 2015: December 31, 2016 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 $ 3,444,365 1.37 % 1.00 % 2.71 3 - 6 years 10,590,000 1.92 % 0.99 % 3.94 6 - 10 years 8,206,900 2.35 % 1.10 % 7.82 Greater than 10 years 3,634,400 3.70 % 0.83 % 18.36 Total / Weighted Average $ 25,875,665 2.22 % 1.02 % 6.87 December 31, 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 $ 3,240,436 1.85 % 0.36 % 1.80 3 - 6 years 11,675,000 1.82 % 0.55 % 4.25 6 - 10 years 11,635,250 2.44 % 0.57 % 7.92 Greater than 10 years 3,634,400 3.70 % 0.43 % 19.37 Total / Weighted Average $ 30,185,086 2.26 % 0.53 % 7.02 (1) There were no forward starting swaps as of December 31, 2016. Notional amount includes $500.0 million in forward starting pay fixed swaps as of December 31, 2015. (2) Excludes forward starting swaps. (3) There were no forward starting swaps as of December 31, 2016. Weighted average fixed rate on forward starting pay fixed swaps was 1.44% as of December 31, 2015. There were no swaptions outstanding as of December 31, 2016 and 2015. The following table summarizes certain characteristics of the Company’s TBA derivatives at December 31, 2016 and 2015: December 31, 2016 Purchase and sale contracts for derivative TBAs Notional Implied Cost Basis Implied Market Value Net Carrying Value (dollars in thousands) Purchase contracts $ 11,223,000 $ 11,495,514 $ 11,437,316 $ (58,198 ) December 31, 2015 Purchase and sale contracts for derivative TBAs Notional Implied Cost Basis Implied Market Value Net Carrying Value (dollars in thousands) Purchase contracts $ 13,761,000 $ 14,177,338 $ 14,169,775 $ (7,563 ) The following table summarizes certain characteristics of the Company’s futures derivatives as of December 31, 2016 and 2015: December 31, 2016 Notional - Long Positions Notional - Short Positions Weighted Average Years to Maturity (dollars in thousands) 2-year swap equivalent Eurodollar contracts $ - $ (14,968,250 ) 2.00 U.S. Treasury futures - 5 year - (1,697,200 ) 4.42 U.S. Treasury futures - 10 year and greater - (2,250,000 ) 8.39 Total $ - $ (18,915,450 ) 2.98 December 31, 2015 Notional - Long Positions Notional - Short Positions Weighted Average Years to Maturity (dollars in thousands) 2-year swap equivalent Eurodollar contracts $ - $ (7,000,000 ) 2.00 U.S. Treasury futures - 5 year - (1,847,200 ) 4.42 U.S. Treasury futures - 10 year and greater - (655,600 ) 6.92 Total $ - $ (9,502,800 ) 2.81 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 December 31, 2016 and 2015, respectively. December 31, 2016 Amounts Eligible for Offset Gross Amounts Financial Instruments Cash Collateral Net Amounts Assets: (dollars in thousands) Interest rate swaps, at fair value $ 68,194 $ (68,194 ) $ - $ - TBA derivatives, at fair value 2,774 (2,172 ) - 602 Futures contracts, at fair value 168,209 (24,912 ) - 143,297 Purchase commitments 283 - - 283 Liabilities: Interest rate swaps, at fair value $ 1,443,765 $ (68,194 ) $ (768,877 ) $ 606,694 TBA derivatives, at fair value 60,972 (2,172 ) - 58,800 Futures contracts, at fair value 24,912 (24,912 ) - - Purchase commitments 553 - - 553 December 31, 2015 Amounts Eligible for Offset Gross Amounts Financial Instruments Cash Collateral Net Amounts Assets: (dollars in thousands) Interest rate swaps, at fair value $ 19,642 $ (18,040 ) $ - $ 1,602 TBA derivatives, at fair value 9,622 (7,367 ) - 2,255 Futures contracts, at fair value 12,443 (10,868 ) - 1,575 Liabilities: Interest rate swaps, at fair value $ 1,677,571 $ (18,040 ) $ (913,576 ) $ 745,955 TBA derivatives, at fair value 17,185 (7,367 ) - 9,818 Futures contracts, at fair value 32,778 (10,868 ) (21,910 ) - 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) For the Years Ended: December 31, 2016 $ (506,681 ) $ (113,941 ) $ 282,190 December 31, 2015 $ (624,495 ) $ (226,462 ) $ (124,869 ) December 31, 2014 $ (825,360 ) $ (779,333 ) $ (948,755 ) (1) Interest expense related to interest rate swaps is recorded in Realized gains (losses) on interest rate swaps on the Consolidated Statements of Comprehensive Income (Loss). The effect of other derivative contracts on the Company’s Consolidated Statements of Comprehensive Income (Loss) is as follows: Year Ended December 31, 2016 Derivative Instruments Realized Gain (Loss) Unrealized Gain (Loss) Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Trading Assets (dollars in thousands) Net TBA derivatives $ 164,008 $ (50,636 ) $ 113,372 Net interest rate swaptions 4,850 - 4,850 Futures (51,148 ) 163,631 112,483 Purchase commitments - (123 ) (123 ) $ 230,582 Year Ended December 31, 2015 Derivative Instruments Realized Gain (Loss) Unrealized Gain (Loss) Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Trading Assets (dollars in thousands) Net TBA derivatives $ 102,408 $ (3,305 ) $ 99,103 Net interest rate swaptions (41,016 ) 35,634 (5,382 ) U.S. Treasury futures (47,394 ) (16,681 ) (64,075 ) $ 29,646 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 December 31, 2016 was approximately $1.3 billion, which represents the maximum amount the Company would be required to pay upon termination. This amount is fully collateralized. |
CONVERTIBLE SENIOR NOTES
CONVERTIBLE SENIOR NOTES | 12 Months Ended |
Dec. 31, 2016 | |
Text Block [Abstract] | |
CONVERTIBLE SENIOR NOTES | 14. CONVERTIBLE SENIOR NOTES In 2010, the Company issued $600.0 million in aggregate principal amount of its 4% Convertible Senior Notes for net proceeds of approximately $582.0 million. In 2012, the Company repurchased $492.5 million in aggregate principal amount of its 4% Convertible Senior Notes. In February 2015, the 4% Convertible Senior Notes matured and the Company repaid the remaining 4% Convertible Senior Notes for the face amount of $107.5 million. In May 2012, the Company issued $750.0 million in aggregate principal amount of its 5% Convertible Senior Notes due 2015 for net proceeds of approximately $727.5 million. In May 2015, the 5% Convertible Senior Notes matured and the Company repaid the 5% Convertible Senior Notes for the face amount of $750.0 million. |
COMMON STOCK AND PREFERRED STOC
COMMON STOCK AND PREFERRED STOCK | 12 Months Ended |
Dec. 31, 2016 | |
Equity [Abstract] | |
COMMON STOCK AND PREFERRED STOCK | 15. COMMON STOCK AND PREFERRED STOCK The Company’s authorized shares of capital stock, par value of $0.01 per share, consists of 1,945,437,500 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, 18,400,000 shares classified as 7.50% Series D Cumulative Redeemable Preferred Stock, and 11,500,000 shares classified as 7.625% Series E Cumulative Redeemable Preferred Stock. (A) Common Stock At December 31, 2016 and 2015, the Company had issued and outstanding 1,018,913,249 and 935,929,561 shares of common stock, respectively, with a par value of $0.01 per share. No options were exercised during the years ended December 31, 2016, 2015, and 2014. During the years ended December 31, 2016, 2015 and 2014 the Company raised $2.4 million (by issuing 228,000 shares), $2.2 million (by issuing 221,000 shares) and $2.4 million (by issuing 210,000 shares), respectively, through the Direct Purchase and Dividend Reinvestment Program. In August 2015, the Company announced that its board of directors (“Board”) had authorized the repurchase of up to $1.0 billion of its outstanding common shares through December 31, 2016 (“Repurchase Program”). During the year ended December 31, 2016, the Company repurchased 11,132,226 shares of its common stock under the Repurchase Program for an aggregate amount of $102.7 million. All common shares purchased were part of a publicly announced plan in open-market transactions. 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 years (B) Preferred Stock At December 31, 2016 and 2015, 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 December 31, 2016, the Company had declared and paid all required quarterly dividends on the Series A Preferred Stock. At December 31, 2016 and 2015, 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 December 31, 2016, the Company had declared and paid all required quarterly dividends on the Series C Preferred Stock. At December 31, 2016 and 2015, 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 December 31, 2016, the Company had declared and paid all required quarterly dividends on the Series D Preferred Stock. At December 31, 2016, the Company had issued and outstanding 11,500,000 shares of Series E Cumulative Redeemable Preferred Stock (“Series E 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 E 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 E 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 August 27, 2017 (subject to the Company’s right under limited circumstances to redeem the Series E Preferred Stock earlier in order to preserve its qualification as a REIT or under limited circumstances related to a change of control of the Company). The Series E Preferred Stock was issued in July 2016 as part of the Hatteras Acquisition. Refer to the “Acquisition of Hatteras” Note for additional information. Through December 31, 2016, the Company had declared and paid all required quarterly dividends on the Series E Preferred Stock. The 7.875% Series A Preferred Stock, 7.625% Series C Preferred Stock, 7.50% Series D Preferred Stock and 7.625% Series E Preferred Stock rank senior to the common stock of the Company. (C) Distributions to Stockholders The following table provides a summary of the Company’s dividend distribution activity for the periods presented: For the Years Ended December 31, 2016 December 31, 2015 (dollars in thousands, except per share data) Distributions declared to common stockholders $ 1,162,897 $ 1,133,768 Distributions declared per common share $ 1.20 $ 1.20 Distributions paid to common stockholders after period end $ 305,674 $ 280,779 Distributions paid per common share after period end $ 0.30 $ 0.30 Date of distributions paid to common stockholders after period end January 31, 2017 January 29, 2016 Dividends declared to Series A Preferred stockholders $ 14,593 $ 14,593 Dividends declared per Series A Preferred share $ 1.97 $ 1.97 Dividends declared to Series C Preferred stockholders $ 22,875 $ 22,875 Dividends declared per Series C Preferred share $ 1.91 $ 1.91 Dividends declared to Series D Preferred stockholders $ 34,500 $ 34,500 Dividends declared per Series D Preferred share $ 1.88 $ 1.88 Dividends declared to Series E Preferred stockholders $ 10,292 $ - Dividends declared per Series E Preferred share $ 0.95 $ - |
INTEREST INCOME AND INTEREST EX
INTEREST INCOME AND INTEREST EXPENSE | 12 Months Ended |
Dec. 31, 2016 | |
Banking and Thrift, Interest [Abstract] | |
INTEREST INCOME AND INTEREST EXPENSE | 16. INTEREST INCOME AND INTEREST EXPENSE The table below presents the components of the Company’s interest income and interest expense for the years ended December 31, 2016, 2015 and 2014. For the Years Ended December 31, 2016 2015 2014 Interest income: (dollars in thousands) Residential Investment Securities $ 1,944,457 $ 1,963,629 $ 2,467,783 Residential mortgage loans 4,147 - - Commercial investment portfolio (1) 252,436 203,804 161,837 U.S. Treasury securities - - 1,329 Securities loaned - - 114 Reverse repurchase agreements 9,911 3,264 1,335 Total interest income 2,210,951 2,170,697 2,632,398 Interest expense: Repurchase agreements 585,826 420,325 417,194 Convertible Senior Notes - 29,740 87,293 U.S. Treasury securities sold, not yet purchased - - 1,076 Securities borrowed - - 95 Securitized debt of consolidated VIEs 44,392 20,065 6,350 Participation sold 627 639 651 Other 26,907 827 - Total interest expense 657,752 471,596 512,659 Net interest income $ 1,553,199 $ 1,699,101 $ 2,119,739 (1) |
GOODWILL
GOODWILL | 12 Months Ended |
Dec. 31, 2016 | |
Goodwill and Intangible Assets Disclosure [Abstract] | |
GOODWILL | 17. GOODWILL At December 31, 2016 and 2015, Goodwill totaled $71.8 million. An impairment to Goodwill of $23.0 million related to FIDAC was recognized in 2015 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 | 12 Months Ended |
Dec. 31, 2016 | |
Earnings Per Share [Abstract] | |
NET INCOME (LOSS) PER COMMON SHARE | 18. 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 years ended December 31, 2016, 2015 and 2014. For the Years Ended December 31, 2016 December 31, 2015 December 31, 2014 (dollars in thousands, except per share data) Net income (loss) $ 1,432,786 $ 465,747 $ (842,279 ) Less: Net income (loss) attributable to noncontrolling interest (970 ) (809 ) (196 ) Net income (loss) attributable to Annaly 1,433,756 466,556 (842,083 ) Less: Dividends on preferred stock 82,260 71,968 71,968 Net income (loss) per share available (related) to common stockholders, prior to adjustment for dilutive potential common shares, if necessary 1,351,496 394,588 (914,051 ) Add: Interest on Convertible Senior Notes, if dilutive - - - Net income (loss) available to common stockholders, as adjusted $ 1,351,496 $ 394,588 $ (914,051 ) Weighted average shares of common stock outstanding-basic 969,787,583 947,062,099 947,539,294 Add: Effect of stock awards and Convertible Senior Notes, if dilutive 314,770 214,643 - Weighted average shares of common stock outstanding-diluted 970,102,353 947,276,742 947,539,294 Net income (loss) per share available (related) to common share: Basic $ 1.39 $ 0.42 $ (0.96 ) Diluted $ 1.39 $ 0.42 $ (0.96 ) Options to purchase 1.1 million shares, 1.2 million shares and 2.3 million shares of common stock were outstanding and considered anti-dilutive as their exercise price and option expense exceeded the average stock price for the years ended December 31, 2016, 2015 and 2014, respectively. |
LONG-TERM STOCK INCENTIVE PLAN
LONG-TERM STOCK INCENTIVE PLAN | 12 Months Ended |
Dec. 31, 2016 | |
Disclosure of Compensation Related Costs, Share-based Payments [Abstract] | |
LONG-TERM STOCK INCENTIVE PLAN | 19. The Company adopted the 2010 Equity Incentive Plan (the “Plan”), which authorizes the Compensation Committee of the Board to grant options, stock appreciation rights, dividend equivalent rights, or other share-based awards, including restricted shares up to an aggregate of 25,000,000 shares, subject to adjustments as provided in the 2010 Equity Incentive Plan. The Company had previously adopted a long-term stock incentive plan for executive officers, key employees and non-employee directors (the “Prior Plan”). The Prior Plan authorized the Compensation Committee of the Board 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 Years Ended December 31, 2016 December 31, 2015 Number of Shares Weighted Average Exercise Price Number of Shares Weighted Average Exercise Price Options outstanding at the beginning of year 1,168,775 $ 15.34 2,259,335 $ 15.35 Granted - - - - Exercised - - - - Forfeited (6,400 ) 14.69 (795,810 ) 14.72 Expired (36,750 ) 12.90 (294,750 ) 17.07 Options outstanding at the end of period 1,125,625 $ 15.43 1,168,775 $ 15.34 Options exercisable at the end of the period 1,125,625 $ 15.43 1,168,775 $ 15.34 The weighted average remaining contractual term was approximately 1.5 years and 2.4 years for stock options outstanding and exercisable as of December 31, 2016 and 2015, respectively. As of December 31, 2016 and 2015, there was no unrecognized compensation cost related to nonvested share-based compensation awards. |
INCOME TAXES
INCOME TAXES | 12 Months Ended |
Dec. 31, 2016 | |
Income Tax Disclosure [Abstract] | |
INCOME TAXES | 20. INCOME TAXES For the year ended December 31, 2016 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. 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 years ended December 31, 2016, 2015 and 2014, the Company recorded a net income tax expense (benefit) of ($1.8) million, ($1.9) million and $5.9 million, respectively, for income and losses attributable to its TRSs. The Company’s federal, state and local tax returns from 2013 and forward remain open for examination. |
LEASE COMMITMENTS AND CONTINGEN
LEASE COMMITMENTS AND CONTINGENCIES | 12 Months Ended |
Dec. 31, 2016 | |
Commitments and Contingencies Disclosure [Abstract] | |
LEASE COMMITMENTS AND CONTINGENCIES | 21. 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. The lease expense for the years ended December 31, 2016, 2015, and 2014 was $3.1 million, $2.9 million and $3.0 million, respectively. The Company’s aggregate future minimum lease payments total $32.9 million. The following table details the future lease payments: Years Ending December 31, Lease Commitments (dollars in thousands) 2017 $ 3,697 2018 3,641 2019 3,565 2020 3,652 2021 3,862 Later years 14,481 $ 32,898 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 December 31, 2016 and 2015. |
RISK MANAGEMENT
RISK MANAGEMENT | 12 Months Ended |
Dec. 31, 2016 | |
Text Block [Abstract] | |
RISK MANAGEMENT | 22. RISK MANAGEMENT The primary risks to the Company are liquidity, investment/market risk and credit 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 investments at an inopportune time when prices are depressed. The Company has established policies and procedures for mitigating risks, including conducting scenario and sensitivity 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. The majority of the Company’s Residential 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. MSR values may also be adversely impacted if overall costs to service the underlying mortgage loans increase due to borrower performance. 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 | 12 Months Ended |
Dec. 31, 2016 | |
Brokers and Dealers [Abstract] | |
RCAP REGULATORY REQUIREMENTS | 23. 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 December 31, 2016 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 December 31, 2016 was $395.5 million with excess net capital of $395.2 million. |
RELATED PARTY TRANSACTIONS
RELATED PARTY TRANSACTIONS | 12 Months Ended |
Dec. 31, 2016 | |
Related Party Transactions [Abstract] | |
RELATED PARTY TRANSACTIONS | 24. 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 year ended December 31, 2016, the Company did not record any advisory fees. For the years ended December 31, 2015 and 2014, the Company recorded advisory fees from Chimera totaling $24.8 million and $31.3 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). 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 (the “Externalization”). The management agreement was effective as of July 1, 2013 and was amended on November 5, 2014 and amended and restated on April 12, 2016 and restated Under the Management Agreement, the Manager, subject to the supervision and direction of the Company’s Board, is responsible for (i) the selection, purchase and sale of assets for the Company’s investment portfolio; (ii) recommending alternative forms of capital raising; (iii) supervising the Company’s financing and hedging activities; and (iv) day to day management functions. The Manager also performs such other supervisory and management services and activities relating to the Company’s assets and operations as may be appropriate. In exchange for the management services, the Company pays the Manager a monthly management fee in an amount equal to 1/12th of 1.05% of our stockholders’ equity (as defined in the Management Agreement), and the Manager is responsible for providing personnel to manage the Company, and paying all compensation and benefit expenses associated with such personnel. All compensation and benefit expenses paid by the Company to individuals employed by the Company’s subsidiaries reduce the management fee. The Company does not pay the Manager any incentive fees. For the years ended December 31, 2016, 2015 and 2014, the compensation and management fee was $151.6 million (includes $8.4 million related to compensation expense for the employees of the Company’s subsidiaries), $150.3 million (includes $7.5 million related to compensation expense for the employees of the Company’s subsidiaries) and $155.6 million (includes $24.2 million related to compensation expense for the employees of the Company’s subsidiaries), respectively The Management Agreement’s current term ends on December 31, 2018 and will automatically renew for successive two-year terms 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. Following the Externalization, the Company continues to retain employees at certain 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. |
SUMMARIZED QUARTERLY RESULTS (U
SUMMARIZED QUARTERLY RESULTS (UNAUDITED) | 12 Months Ended |
Dec. 31, 2016 | |
Quarterly Financial Information Disclosure [Abstract] | |
SUMMARIZED QUARTERLY RESULTS (UNAUDITED) | 25. SUMMARIZED QUARTERLY RESULTS (UNAUDITED) The following is a presentation of summarized quarterly results of operations for the years ended December 31, 2016 and 2015. For the Quarters Ended December 31, 2016 September 30, 2016 June 30, 2016 March 31, 2016 (dollars in thousands, expect per share data) Interest income $ 807,022 $ 558,668 $ 457,118 $ 388,143 Interest expense 183,396 174,154 152,755 147,447 Net interest income 623,626 384,514 304,363 240,696 Total realized and unrealized gains (losses) 1,250,636 412,906 (523,785 ) (1,055,553 ) Total other income (loss) 30,918 29,271 (9,930 ) (6,115 ) Less: Total general and administrative expenses 55,453 97,737 49,221 47,945 Income before income taxes and noncontrolling interest 1,849,727 728,954 (278,573 ) (868,917 ) Less: Income taxes 1,244 (1,926 ) (76 ) (837 ) Net income (loss) 1,848,483 730,880 (278,497 ) (868,080 ) Less: Net income attributable to noncontrolling interest (87 ) (336 ) (385 ) (162 ) Less: Dividends on preferred stock 23,473 22,803 17,992 17,992 Net income (loss) available (related) to common stockholders $ 1,825,097 $ 708,413 $ (296,104 ) $ (885,910 ) Net income (loss) available (related) per share to common stockholders: Basic $ 1.79 $ 0.70 $ (0.32 ) $ (0.96 ) Diluted $ 1.79 $ 0.70 $ (0.32 ) $ (0.96 ) For the Quarters Ended December 31, 2015 September 30, 2015 June 30, 2015 March 31, 2015 (dollars in thousands, expect per share data) Interest income $ 576,580 $ 450,726 $ 624,277 $ 519,114 Interest expense 118,807 110,297 113,072 129,420 Net interest income 457,773 340,429 511,205 389,694 Total realized and unrealized gains (losses) 276,261 (909,158 ) 440,545 (828,999 ) Total other income (loss) (10,447 ) (9,675 ) (7,353 ) 13,758 Less: Total general and administrative expenses 47,836 49,457 52,009 50,938 Income before income taxes and noncontrolling interest 675,751 (627,861 ) 892,388 (476,485 ) Less: Income taxes 6,085 (370 ) (7,683 ) 14 Net income (loss) 669,666 (627,491 ) 900,071 (476,499 ) Less: Net income attributable to noncontrolling interest (373 ) (197 ) (149 ) (90 ) Less: Dividends on preferred stock 17,992 17,992 17,992 17,992 Net income (loss) available (related) to common stockholders $ 652,047 $ (645,286 ) $ 882,228 $ (494,401 ) Net income (loss) available (related) per share to common stockholders: Basic $ 0.69 $ (0.68 ) $ 0.93 $ (0.52 ) Diluted $ 0.69 $ (0.68 ) $ 0.93 $ (0.52 ) |
Schedule III - Real Estate and
Schedule III - Real Estate and Accumulated Depreciation | 12 Months Ended |
Dec. 31, 2016 | |
SEC Schedule III, Real Estate and Accumulated Depreciation Disclosure [Abstract] | |
Schedule III - Real Estate and Accumulated Depreciation | SCHEDULE III Schedule III - Real Estate and Accumulated Depreciation December 31, 2016 (dollars in thousands) Initial Cost to Company Cost Capitalized Subsequent to Acquisition Property Sold Gross Amounts Carried at Close of Period 12/31/16 Location Number of Properties Encumbrances Land Buildings and Improvements Improvements Purchase Price Allocation Adjustments Capitalized Costs Property Sold Land Buildings and Improvements Total Accumulated Depreciation Year of Construction Date Acquired Weighted-Average Depreciable Life (in years) Retail - Carrollton, TX 1 12,875 3,798 15,192 - (348 ) - - 3,970 14,672 18,642 (818 ) 1996 11/25/2015 39 Retail - Plano, TX 1 11,817 3,486 13,944 - (123 ) - - 4,615 12,692 17,307 (811 ) 1994 11/25/2015 39 Retail - Grapevine, TX 1 12,692 3,744 14,976 - (119 ) - - 4,713 13,888 18,601 (728 ) 1998 11/25/2015 39 Retail - Flower Mound, TX 1 13,085 3,860 15,440 - 140 - - 4,963 14,477 19,440 (812 ) 1999 11/25/2015 39 Retail - Grapevine, TX 1 9,797 2,890 11,560 15 (561 ) - - 3,931 9,972 13,903 (595 ) 1994 11/25/2015 39 Retail - Flower Mound, TX 1 7,492 2,210 8,840 - (1,003 ) - - 2,696 7,351 10,047 (613 ) 1992 11/25/2015 39 Retail - Flower Mound, TX 1 8,929 2,634 10,536 - (1,319 ) - - 3,571 8,280 11,851 (481 ) 1996 11/25/2015 39 Retail - Plano, TX 1 4,638 1,366 5,473 - (848 ) - - 1,459 4,533 5,992 (698 ) 1995 11/25/2015 39 Retail - Mesquite, TX 0 - 800 3,200 - 56 - (4,056 ) - - - - 1999 11/25/2015 39 Retail - Garland, TX 0 - 1,100 4,400 - (140 ) - (5,360 ) - - - - 2000 11/25/2015 39 Retail - Plano, TX 0 - 500 2,000 - (401 ) - (2,099 ) - - - - 2000 11/25/2015 39 Retail - Largo, FL 1 12,750 4,973 12,580 252 - - - 4,973 12,832 17,805 (915 ) 1988 8/14/2015 28 Retail - Grass Valley, CA 1 25,900 9,872 27,654 1,026 - - - 9,872 28,680 38,552 (2,111 ) 1988 10/27/2015 26 Multifamily - Washington, DC 1 57,500 31,999 41,831 820 - - - 31,999 42,651 74,650 (1,918 ) 1978, 2008 10/20/2015 29 Retail - Penfield, NY 1 23,558 4,122 22,410 260 - - - 4,122 22,670 26,792 (4,315 ) 1957 11/10/2014 25 Retail - Orchard Park, NY 1 12,888 4,189 20,628 30 - - - 4,189 20,658 24,847 (3,301 ) 1997, 2000 11/10/2014 33 Retail - Cheektowaga, NY 1 9,447 1,939 12,296 218 - - - 1,939 12,514 14,453 (1,566 ) 1978 11/10/2014 26 Retail - Amherst, NY 1 8,270 2,132 9,740 67 - - - 2,132 9,807 11,939 (1,598 ) 1986 11/10/2014 29 Retail - Ontario, NY 1 5,406 574 6,810 29 - - - 574 6,839 7,413 (932 ) 1998 11/10/2014 32 Retail - Irondequoit, NY 1 15,000 2,438 14,685 151 - - - 2,438 14,836 17,274 (2,518 ) 1972 11/10/2014 28 Retail - LeRoy, NY 1 3,492 343 4,937 13 - - - 343 4,950 5,293 (768 ) 1997 11/10/2014 30 Retail - Jamestown, NY 1 7,356 820 4,915 - - - - 820 4,915 5,735 (1,152 ) 1997 11/10/2014 30 Retail - Warsaw, NY 1 3,415 407 4,123 - - - - 407 4,123 4,530 (549 ) 1998 11/10/2014 32 Retail - Chillicothe, OH 1 7,888 1,262 10,819 - - - - 1,262 10,819 12,081 (1,307 ) 1981, 1998 11/10/2014 27 Retail - Loganville, GA 1 7,230 3,217 8,386 - - - - 3,217 8,386 11,603 (1,196 ) 1996 11/10/2014 29 Retail - Chillicothe, OH 1 7,700 2,282 9,775 - - - - 2,282 9,775 12,057 (758 ) 1995 7/22/2015 26 Retail - Newport News, VA 1 11,025 6,394 12,046 - - - - 6,394 12,046 18,440 (1,126 ) 1994 6/2/2014 36 Retail - Knoxville, TN 1 12,350 3,504 13,309 - - - - 3,504 13,309 16,813 (1,215 ) 2002 4/9/2014 35 Industrial - Las Vegas, NV 1 2,365 628 4,053 - - - - 628 4,053 4,681 (448 ) 1988, 2009 3/29/2012 38 Industrial - Phoenix, AZ 1 - 6,011 27,045 - - - (25,177 ) 1,662 6,217 7,879 (972 ) 1999 11/28/2011 27 27 $ 314,865 $ 113,494 $ 373,603 $ 2,881 $ (4,666 ) $ - $ (36,692 ) $ 112,675 $ 335,945 $ 448,620 $ (34,221 ) The following table presents our real estate activity during the year ended December 31, 2016 (in thousands): Real Estate: Beginning balance, January 1, 2016 $ 487,097 Acquisitions and improvements 2,881 Property sold (36,692 ) Purchase price allocation adjustment (4,666 ) Ending balance, December 31, 2016 $ 448,620 Accumulated Depreciation: Beginning balance, January 1, 2016 $ 16,886 Property sold (3,015 ) Depreciation 20,350 Ending balance, December 31, 2016 $ 34,221 |
SIGNIFICANT ACCOUNTING POLICI34
SIGNIFICANT ACCOUNTING POLICIES (Policies) | 12 Months Ended |
Dec. 31, 2016 | |
Accounting Policies [Abstract] | |
Principles of Consolidation | Principles of Consolidation All intercompany balances and transactions have been eliminated in consolidation. The Company reclassified previously presented financial information so that amounts previously presented conform to the current presentation. |
Variable Interest Entities | Variable Interest Entities . 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 The Company also invests in Agency debentures issued by the Federal Home Loan Banks, Freddie Mac and Fannie Mae, as well as CRT securities. CRT securities are risk sharing instruments issued by Fannie Mae and Freddie Mac, and similarly structured transactions arranged by third party market participants. CRT securities are designed to synthetically transfer mortgage credit risk from Fannie Mae and Freddie Mac to private investors. The Company also invests in non-Agency mortgage-backed securities such as those issued in non-performing loan (“NPL”) and re-performing loan (“RPL”) securitizations. Agency mortgage-backed securities, Agency debentures, non-Agency mortgage-backed securities and CRT securities are referred to herein as “Residential Investment Securities.” Although the Company generally intends to hold most of its Residential Investment Securities until maturity, it may, from time to time, sell any of its Residential Investment Securities as part of the overall management of its portfolio. Residential 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) unless the Company has elected the fair value option, where the unrealized gains and losses on these financial instruments are recorded through earnings (e.g., interest-only securities). The fair value of Residential Investment Securities classified as available-for-sale are estimated by management and are compared to independent sources for reasonableness. Residential Investment Securities transactions are recorded on trade date, including TBA securities that meet the regular-way securities scope exception from derivative accounting. Gains and losses on sales of Residential Investment Securities are recorded on trade date based on the specific identification method. The Company elected the fair value option for interest-only mortgage-backed securities, non-Agency mortgage-backed securities and certain CRT securities as this election simplifies the accounting. 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 investments 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. The Company recognizes coupon income, which is a component of interest income, based upon the outstanding principal amounts of the Residential Investment Securities and their contractual terms. In addition, the Company amortizes or accretes premiums or discounts into interest income for its Agency mortgage-backed securities (other than interest-only securities), considering estimates of future principal prepayment in the calculation of the effective yield because they are probable and the timing and amount of prepayments can be reasonably estimated. The Company recalculates the effective yield as differences between anticipated and actual prepayments occur. Using third-party model and market Premiums or discounts associated with the purchase of Agency interest-only securities and residential credit securities are amortized or accreted into interest income based upon current expected future cash flows with any adjustment to yield made on a prospective basis. Interest income for Agency debentures is recognized by applying the interest method using contractual cash flows without estimating prepayments. The table below summarizes the interest income recognition methodology for Residential Investment Securities: Interest Income Methodology Agency Fixed-rate pass-through (1) Effective yield (3) Adjustable-rate pass-through (1) Effective yield (3) Collateralized Mortgage Obligation (“CMO”) (1) Effective yield (3) Debentures (1) Contractual Cash Flows Interest-only (2) Prospective Residential Credit CRT (2) Prospective Alt-A (2) Prospective Prime (2) Prospective Subprime (2) Prospective NPL/RPL (2) Prospective Prime Jumbo (2) Prospective Prime Jumbo interest-only (2) (1) (2) (3) |
Residential Mortgage Loans | Residential Mortgage Loans – The Company’s residential mortgage loans are primarily comprised of prime jumbo fixed and adjustable-rate residential mortgage loans acquired in connection with the Company’s acquisition of Hatteras (“Hatteras Acquisition”) and through subsequent purchases. Additionally, pursuant to the Hatteras Acquisition, the Company consolidates a collateralized financing entity that securitized prime adjustable-rate jumbo residential mortgage loans. The Company made elections to account for the investments in residential mortgage loans held in its portfolio and in the securitization trust at fair value as these elections simplify the accounting. Residential mortgage loans are recognized at fair value on the accompanying Consolidated Statements of Financial Condition. Changes in the estimated fair value are presented in Net unrealized gains (losses) on investments measured at fair value through earnings in the Consolidated Statements of Comprehensive Income (Loss). Premiums and discounts associated with the purchase of residential mortgage loans and with those held in the securitization trust are primarily amortized or accreted into interest income over their estimated remaining lives using the effective interest rates inherent in the estimated cash flows from the mortgage loans. Amortization of premiums and accretion of discounts are presented in Interest income in the Consolidated Statements of Comprehensive Income (Loss). There was no real estate acquired in settlement of residential mortgage loans as of December 31, 2016 or December 31, 2015. The Company would be considered to have received physical possession of residential real estate property collateralizing a residential mortgage loan, so that the loan is derecognized and the real estate property would be recognized, if either (i) the Company obtains legal title to the residential real estate property upon completion of a foreclosure or (ii) the borrower conveys all interest in the residential real estate property to the Company to satisfy the loan through completion of a deed in lieu of foreclosure or through a similar legal agreement. |
Mortgage Servicing Rights ("MSRs") | Mortgage Servicing Rights (“MSRs”) – MSRs represent the rights associated with servicing contracts obtained in connection with the Hatteras Acquisition or through the subsequent purchase of such rights from third parties with the intention of holding them as investments. The Company and its subsidiaries do not originate or directly service mortgage loans. Rather, the Company utilizes duly licensed subservicers to perform substantially all servicing functions for the loans underlying the MSRs. The Company elected to account for all of its investments in MSRs at fair value; as such, they are recognized at fair value on the accompanying Consolidated Statements of Financial Condition with changes in the estimated fair value presented as a component of Net unrealized gains (losses) on investments measured at fair value through earnings in the Consolidated Statements of Comprehensive Income (Loss). Servicing income, net of servicing expenses, is reported in Other income (loss) in the Consolidated Statements of Comprehensive Income (Loss). |
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 Forward purchase commitments |
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 Fixed Income Discount Advisory Company (“FIDAC”) was recorded in the year ended December 31, 2015. Finite life intangible assets are amortized over their expected useful lives. |
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. |
Convertible Senior Notes | Convertible Senior Notes – |
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 - Commercial Real Estate Loans If the Company intends to sell or securitize the loans and the securitization vehicle is not expected to be consolidated, they are classified as held for sale. Commercial real estate loans that are designated as held for sale are carried at the lower of amortized cost or fair value and recorded as Commercial loans held for sale, net in the accompanying Consolidated Statements of Financial Condition. Any origination fees and costs or purchase premiums or discounts are deferred and recognized upon sale. The Company determines the fair value of commercial real estate loans held for sale on an individual loan basis. The Company has elected the fair value option for multi-family mortgage loans held in securitization trusts that it was required to consolidate. Preferred equity interests are designated as held for investment and are carried at their outstanding principal balance, net of unamortized origination fees and costs, premiums or discounts, less a reserve for estimated losses if necessary. See the “Commercial Real Estate Investments” Note for additional information. Investments in Commercial Real Estate Category Term Building 30 - 40 years Site improvements 1 - 28 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 - Interest income is accrued based on the outstanding principal amount of the and their contractual terms. Origination fees and costs, premiums or discounts associated with the purchase of CRE Debt and Preferred Equity Investments are amortized or accreted into interest income over the lives of the CRE Debt and Preferred Equity Investments using the interest method. |
Corporate Debt | Corporate Debt Corporate Loans – These investments typically take the form of senior secured loans primarily in first lien and second lien loans. The Company’s senior secured loans generally have stated maturities of three to eight years. In connection with these senior secured loans the Company receives a security interest in certain of the assets of the borrower and such assets support repayment of such loans. Senior secured loans are generally exposed to the least amount of credit risk given their seniority to scheduled principal and interest and priority of security in the assets of the borrower. To date, the significant majority of the Company’s investments have been funded term loans versus bonds. Corporate Debt Securities – |
Other-Than-Temporary Impairment | Other-Than-Temporary Impairment Management evaluates available-for-sale securities and held-to-maturity debt securities for other-than-temporary impairment at least quarterly, and more frequently when economic or market conditions warrant such evaluation. When the fair value of an available-for-sale security is less than its amortized cost the security is considered impaired. For securities that are impaired, the Company determines if it (1) has the intent to sell the security, (2) is more likely than not that it will be required to sell the |
Allowance for Losses | Allowance for Losses Loans and Debt Securities Acquired with Deteriorated Credit Quality The Company may be exposed to various levels of credit risk depending on the nature of its investments and 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 or companies. 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 and those affecting the property specifically, and the supply and demand of competing projects in the sub-market in which each subject property is located. Management monitors the financial condition and operating results of its corporate borrowers and continually assesses the future outlook of the borrower’s financial performance in light of industry developments, management changes and company-specific considerations. In connection with the quarterly surveillance review process, the Company’s CRE Debt and Preferred Equity Investments are assigned an internal risk rating. Effective December 31, 2015, these risk ratings were enhanced to conform to guidance provided by the Office of the Controller of the Currency for commercial real estate lending. The initial internal risk ratings (“Initial Ratings”) are based on loan-to-values and the net operating income debt yields of the underlying final internal risk ratings are influenced by other quantitative and qualitative factors that can result in an adjustment to the Initial Ratings, subject to review |
Nonaccrual Status | Nonaccrual Status – The Company did not have any impaired loans, nonaccrual loans, or loans in default as all of the loans were performing as of December 31, 2016. There were no allowances for loan losses as of December 31, 2016 and 2015. |
Broker Dealer Activities | Broker Dealer Activities Reverse Repurchase Agreements – Substantially all of RCap’s reverse repurchase activity is with affiliated entities. |
Recent Accounting Pronouncements | Recent Accounting Pronouncements The Company considers the applicability and impact of all Accounting Standards Updates (“ASUs”). ASUs not listed below were determined to be either not applicable, are not expected to have a significant impact on our consolidated financial statements when adopted, or did not have a significant impact on our consolidated financial statements upon adoption. Standard Description Effective Date Effect on the financial statements or other significant matters Standards that are not yet adopted ASU 2017-01 Business Combinations (Topic 805) Clarifying the Definition of a Business This update provides a screen to determine and a framework to evaluate when a set of assets and activities is a business. January 1, 2018 (early adoption permitted) The amendments are expected to result in fewer transactions being accounted for as business combinations. ASU 2016-13 Financial Instruments - Credit Losses (Topic 326): Measurement of Credit Losses on Financial Instruments This ASU updates the existing incurred loss model to a current expected credit loss (“CECL”) model for financial assets and net investments in leases that are not accounted for at fair value through earnings. The amendments affect loans, held-to-maturity debt securities, trade receivables, net investments in leases, off-balance sheet credit exposures and any other financial assets not excluded from the scope. There are also limited amendments to the impairment model for available-for-sale debt securities. January 1, 2020 (early adoption permitted) The Company currently plans to adopt the new standard on its effective date. While Annaly is continuing to assess the impact the ASU will have on the consolidated financial statements, the measurement of expected credit losses under the CECL model will be based on relevant information about past events, including historical experience, current conditions, and reasonable and supportable forecasts that affect the collectability of the reported amounts of the financial assets in scope of the model. Further, based on the amended guidance for available-for-sale debt securities, the Company: • will be required to use an allowance approach to recognize credit impairment, with the allowance to be limited to the amount by which the security’s fair value is less than its amortized cost basis; • may not consider the length of time fair value has been below amortized cost, and • may not consider recoveries of fair value after the balance sheet date when assessing whether a credit loss exists. Standard Description Effective Date Effect on the financial statements or other significant matters Standards that were adopted 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, 2016 (early adoption permitted) The Company early adopted this ASU in the first quarter of 2015 and applied the guidance to commercial mortgage backed securitization transactions. See "Variable Interest Entity" footnote for further disclosure. |
SIGNIFICANT ACCOUNTING POLICI35
SIGNIFICANT ACCOUNTING POLICIES (Tables) | 12 Months Ended |
Dec. 31, 2016 | |
Accounting Policies [Abstract] | |
Summary of Interest Income Recognition Methodology for Residential Investment Securities | The table below summarizes the interest income recognition methodology for Residential Investment Securities: Interest Income Methodology Agency Fixed-rate pass-through (1) Effective yield (3) Adjustable-rate pass-through (1) Effective yield (3) Collateralized Mortgage Obligation (“CMO”) (1) Effective yield (3) Debentures (1) Contractual Cash Flows Interest-only (2) Prospective Residential Credit CRT (2) Prospective Alt-A (2) Prospective Prime (2) Prospective Subprime (2) Prospective NPL/RPL (2) Prospective Prime Jumbo (2) Prospective Prime Jumbo interest-only (2) (1) (2) (3) |
Schedule of Useful Lives of 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 30 - 40 years Site improvements 1 - 28 years |
Recent Accounting Pronouncements | The Company considers the applicability and impact of all Accounting Standards Updates (“ASUs”). ASUs not listed below were determined to be either not applicable, are not expected to have a significant impact on our consolidated financial statements when adopted, or did not have a significant impact on our consolidated financial statements upon adoption. Standard Description Effective Date Effect on the financial statements or other significant matters Standards that are not yet adopted ASU 2017-01 Business Combinations (Topic 805) Clarifying the Definition of a Business This update provides a screen to determine and a framework to evaluate when a set of assets and activities is a business. January 1, 2018 (early adoption permitted) The amendments are expected to result in fewer transactions being accounted for as business combinations. ASU 2016-13 Financial Instruments - Credit Losses (Topic 326): Measurement of Credit Losses on Financial Instruments This ASU updates the existing incurred loss model to a current expected credit loss (“CECL”) model for financial assets and net investments in leases that are not accounted for at fair value through earnings. The amendments affect loans, held-to-maturity debt securities, trade receivables, net investments in leases, off-balance sheet credit exposures and any other financial assets not excluded from the scope. There are also limited amendments to the impairment model for available-for-sale debt securities. January 1, 2020 (early adoption permitted) The Company currently plans to adopt the new standard on its effective date. While Annaly is continuing to assess the impact the ASU will have on the consolidated financial statements, the measurement of expected credit losses under the CECL model will be based on relevant information about past events, including historical experience, current conditions, and reasonable and supportable forecasts that affect the collectability of the reported amounts of the financial assets in scope of the model. Further, based on the amended guidance for available-for-sale debt securities, the Company: • will be required to use an allowance approach to recognize credit impairment, with the allowance to be limited to the amount by which the security’s fair value is less than its amortized cost basis; • may not consider the length of time fair value has been below amortized cost, and • may not consider recoveries of fair value after the balance sheet date when assessing whether a credit loss exists. Standard Description Effective Date Effect on the financial statements or other significant matters Standards that were adopted 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, 2016 (early adoption permitted) The Company early adopted this ASU in the first quarter of 2015 and applied the guidance to commercial mortgage backed securitization transactions. See "Variable Interest Entity" footnote for further disclosure. |
ACQUISITION OF HATTERAS (Tables
ACQUISITION OF HATTERAS (Tables) | 12 Months Ended |
Dec. 31, 2016 | |
Business Combinations [Abstract] | |
Aggregate Consideration and Preliminary Fair Value of Assets Acquired and Liabilities Assumed | The following table summarizes the aggregate consideration and preliminary fair value of the assets acquired and liabilities assumed recognized at the acquisition date, which is subject to change if new information becomes available: July 12, 2016 Consideration Transferred: (dollars in thousands) Cash $ 521,082 Common equity 997,707 Preferred shares: Exchange of Hatteras preferred stock for Annaly preferred stock 278,252 Preferred stock fair value adjustment 9,248 Preferred shares 287,500 Total consideration $ 1,806,289 Net Assets: Cash $ 562,780 Agency mortgage-backed securities, at fair value 10,863,070 Credit risk transfer securities, at fair value 116,770 Residential mortgage loans 360,447 Mortgage servicing rights 355,820 Other derivatives, at fair value 8,677 Principal receivable 438,005 Accrued interest and dividend receivable 83,814 Other assets 57,250 Total assets acquired $ 12,846,633 Repurchase agreements $ 10,422,757 Other secured financing 35,769 Securitized debt of consolidated VIEs 54,135 Other derivatives, at fair value 349,922 Dividends payable 670 Payable for investments purchased 2,643 Accrued interest payable 4,833 Accounts payable and other liabilities 97,039 Total liabilities assumed 10,967,768 Net assets acquired $ 1,878,865 Bargain purchase gain $ 72,576 |
Summary of Consolidated Pro Forma Information | These pro forma results have been prepared for comparative purposes only and do not purport to be indicative of what operating results would have been had the Hatteras Acquisition occurred on January 1, 2015 and may not be indicative of future operating results: For the Years Ended December 31, 2016 December 31, 2015 (dollars in thousands, except per share data) Net interest income $ 1,650,828 $ 1,951,417 Net income (loss) $ 1,327,653 $ 543,796 Basic earnings per common share $ 1.16 $ 0.43 Diluted earnings per common share $ 1.16 $ 0.43 |
RESIDENTIAL INVESTMENT SECURI37
RESIDENTIAL INVESTMENT SECURITIES (Tables) | 12 Months Ended |
Dec. 31, 2016 | |
Text Block [Abstract] | |
Schedule of Available-for-sale Securities Reconciliation | The following tables present the Company’s Residential Investment Securities porfolio that was carried at their fair value as of December 31, 2016 and 2015: December 31, 2016 Principal / Notional Remaining Premium Remaining Discount Amortized Cost Unrealized Gains (1) Unrealized Losses (1) Estimated Fair Value Agency (dollars in thousands) Fixed-rate pass-through $ 60,759,317 $ 3,633,354 $ (1,956 ) $ 64,390,715 $ 228,430 $ (1,307,771 ) $ 63,311,373 Adjustable-rate pass-through 10,653,109 391,267 (4,081 ) 11,040,295 47,250 (53,795 ) 11,033,751 Interest-only 8,133,805 1,436,192 - 1,436,192 4,225 (195,668 ) 1,244,749 Total Agency investments $ 79,546,231 $ 5,460,813 $ (6,037 ) $ 76,867,202 $ 279,905 $ (1,557,234 ) $ 75,589,873 Residential Credit CRT $ 690,491 $ 11,113 $ (10,907 ) $ 690,697 $ 34,046 $ (21 ) $ 724,722 Alt-A 173,108 1,068 (23,039 ) 151,137 3,721 (685 ) 154,173 Prime 248,176 287 (35,068 ) 213,395 7,050 (253 ) 220,192 Subprime 697,983 380 (96,331 ) 602,032 12,578 (1,061 ) 613,549 NPL/RPL 269,802 670 (209 ) 270,263 1,004 (429 ) 270,838 Prime Jumbo 129,453 852 (345 ) 129,960 267 (308 ) 129,919 Prime Jumbo Interest-Only 863,370 15,129 - 15,129 - (2,493 ) 12,636 Total residential credit investments $ 3,072,383 $ 29,499 $ (165,899 ) $ 2,072,613 $ 58,666 $ (5,250 ) $ 2,126,029 Total Residential Investment Securities $ 82,618,614 $ 5,490,312 $ (171,936 ) $ 78,939,815 $ 338,571 $ (1,562,484 ) $ 77,715,902 December 31, 2015 Principal / Notional Remaining Premium Remaining Discount Amortized Cost Unrealized Gains (1) Unrealized Losses (1) Estimated Fair Value Agency (dollars in thousands) Fixed-rate pass-through $ 57,339,705 $ 3,270,521 $ (2,832 ) $ 60,607,394 $ 400,350 $ (824,862 ) $ 60,182,882 Adjustable-rate pass-through 2,894,192 61,781 (6,427 ) 2,949,546 70,849 (10,317 ) 3,010,078 CMO 964,095 27,269 (477 ) 990,887 9,137 (12,945 ) 987,079 Debentures 158,802 - (648 ) 158,154 - (6,116 ) 152,038 Interest-only 9,499,332 1,634,312 - 1,634,312 18,699 (114,826 ) 1,538,185 Total Agency investments $ 70,856,126 $ 4,993,883 $ (10,384 ) $ 66,340,293 $ 499,035 $ (969,066 ) $ 65,870,262 Residential Credit CRT $ 476,084 $ 2,225 $ (12,840 ) $ 465,469 $ 250 $ (9,209 ) $ 456,510 Alt-A 138,211 449 (14,131 ) 124,529 211 (460 ) 124,280 Prime 117,649 302 (10,916 ) 107,035 424 (81 ) 107,378 Subprime 122,667 22 (12,103 ) 110,586 63 (599 ) 110,050 NPL/RPL 354,945 19 (1,270 ) 353,694 19 (1,172 ) 352,541 Prime Jumbo 197,695 566 - 198,261 - (1,060 ) 197,201 Prime Jumbo Interest-Only 811,245 15,430 - 15,430 - (158 ) 15,272 Total residential credit securities $ 2,218,496 $ 19,013 $ (51,260 ) $ 1,375,004 $ 967 $ (12,739 ) $ 1,363,232 Total Residential Investment Securities $ 73,074,622 $ 5,012,896 $ (61,644 ) $ 67,715,297 $ 500,002 $ (981,805 ) $ 67,233,494 (1) Unrealized gains and losses on Agency investments, excluding interest-only investments, are reported as a component of Other comprehensive income (loss). Unrealized gains and losses on residential credit securities and Agency interest-only investments are reported in Net unrealized gains (losses) on investments measured at fair value through earnings in the Consolidated Statements of Comprehensive Income (Loss). |
Types of Agency Mortgage Backed Securities | The following table presents the Company’s Agency mortgage-backed securities portfolio by issuing Agency concentration as of December 31, 2016 and 2015: Investment Type December 31, 2016 December 31, 2015 (dollars in thousands) Fannie Mae $ 51,658,391 $ 42,647,075 Freddie Mac 23,858,110 22,960,595 Ginnie Mae 73,372 110,554 Total $ 75,589,873 $ 65,718,224 |
Schedule of Residential Investment Securities by Estimated Weighted Average Life Classification | The following table summarizes the Company’s available for sale Residential Investment Securities as of December 31, 2016 and 2015, according to their estimated weighted average life classifications: December 31, 2016 December 31, 2015 Weighted Average Life Estimated Fair Value Amortized Cost Estimated Fair Value Amortized Cost (dollars in thousands) Less than one year $ 63,510 $ 61,775 $ 37,862 $ 37,850 Greater than one year through five years 12,626,932 12,666,394 20,278,111 20,066,435 Greater than five years through ten years 56,785,601 57,738,588 46,473,701 47,174,319 Greater than ten years 8,239,859 8,473,058 443,820 436,693 Total $ 77,715,902 $ 78,939,815 $ 67,233,494 $ 67,715,297 |
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 and debentures, accounted for as available-for-sale, by length of time that such securities have been in a continuous unrealized loss position at December 31, 2016 and 2015. December 31, 2016 December 31, 2015 Estimated Fair Value (1) Gross Unrealized Losses (1) Number of Securities (1) Estimated Fair Value (1) Gross Unrealized Losses (1) Number of Securities (1) (dollars in thousands) Less than 12 Months $ 52,465,045 $ (1,094,957 ) 1,368 $ 20,072,072 $ (164,259 ) 463 12 Months or More 6,277,814 (266,609 ) 54 21,705,764 (689,981 ) 189 Total $ 58,742,859 $ (1,361,566 ) 1,422 $ 41,777,836 $ (854,240 ) 652 |
MORTGAGE LOANS (Tables)
MORTGAGE LOANS (Tables) | 12 Months Ended |
Dec. 31, 2016 | |
Fair Value and Unpaid Principal of Residential Mortgage Loan Portfolio | The table below presents the fair value and the unpaid principal balance of the residential mortgage loan portfolio as of December 31, 2016: (dollars in thousands) Fair value $ 342,289 Unpaid principal balance $ 338,323 |
Summary of Comprehensive Income (Loss) | The following table provides information regarding the line items and amounts recognized in the Consolidated Statements of Comprehensive Income (Loss) for the year ended December 31, 2016 for these investments: (dollars in thousands) Net gains (losses) on disposal of investments $ (922 ) Net unrealized gains (losses) on investments measured at fair value through earnings (5,614 ) Net interest income 3,452 Total included in net income (loss) $ (3,084 ) |
Geographic Concentrations Based on Unpaid Principal Balances | The geographic concentrations of credit risk exceeding 5% of the total loan unpaid principal balances related to the Company’s VIEs as of December 31, 2016 are as follows: Securitized Loans at Fair Value Geographic Concentration of Credit Risk FREMF Trusts Residential Mortgage Loan Trust Property Location Principal Balance % of Balance Property Location Principal Balance % of Balance (dollars in thousands) Texas $ 682,829 17.7 % California $ 76,254 46.3 % North Carolina 537,375 13.9 % Texas 16,925 10.3 % Maryland 499,495 12.9 % Washington 10,762 6.5 % Florida 456,441 11.8 % Illinois 10,193 6.2 % Virginia 329,250 8.5 % Florida 9,362 5.7 % New York 280,925 7.3 % Other (1) 41,263 25.0 % Pennslyvania 225,810 5.8 % Ohio 197,455 5.1 % Other (1) 655,332 17.0 % Total $ 3,864,912 100.0 % $ 164,759 100.0 % (1) No individual state greater than 5% |
Residential Mortgage Loans | The table below provides additional data on the Company’s residential mortgage loans, including loans held in a securitization trust, at December 31, 2016: December 31, 2016 Portfolio Range Portfolio Weighted Average (dollars in thousands) Unpaid principal balance $ 22 - $1,905 $ 691 Interest rate 2.50% - 6.75 % 3.72 % Maturity 4/8/2044 - 11/1/2046 8/20/2045 FICO score at loan origination 665 - 814 761 Loan-to-value ratio at loan origination 24% - 90 % 71 % |
Schedule of Residential Mortgage Loans | The following table presents the activity related to residential mortgage loans for the year ended December 31, 2016: December 31, 2016 (dollars in thousands) Fair value, beginning of period $ - Obtained through Hatteras Acquisition 360,447 Purchases 165,213 Collection of principal (176,815 ) Amortization of premiums (942 ) Change in fair value (5,614 ) Fair value, end of period $ 342,289 |
Residential Mortgage Loans | Geographic Concentration Risk | |
Geographic Concentrations Based on Unpaid Principal Balances | The following table provides the geographic concentrations based on the unpaid principal balances as of December 31, 2016 for the residential mortgage loans, including loans held in a securitization trust: Geographic Concentrations of Residential Mortgage Loans Property Location % of Balance California 46.3% Texas 9.6% Illinois 5.7% Florida 5.2% Washington 5.1% All other (none individually greater than 5%) 28.1% Total 100.0% |
MORTGAGE SERVICING RIGHTS (Tabl
MORTGAGE SERVICING RIGHTS (Tables) | 12 Months Ended |
Dec. 31, 2016 | |
Transfers and Servicing [Abstract] | |
Presentation of Activity Related to MSR | The following table presents activity related to MSRs for the year ended December 31, 2016: December 31, 2016 (dollars in thousands) Fair value, beginning of period $ - Obtained through Hatteras Acquisition 355,820 Purchases 166,585 Change in fair value due to: Changes in valuation inputs or assumptions (1) 178,463 Other changes, including realization of expected cash flows (48,652 ) Fair value, end of period $ 652,216 (1) Principally represent changes in discount rates and prepayment speed inputs used in valuation model, primarily due to changes in interest rates |
COMMERCIAL REAL ESTATE INVEST40
COMMERCIAL REAL ESTATE INVESTMENTS (Tables) | 12 Months Ended |
Dec. 31, 2016 | |
Text Block [Abstract] | |
Commercial Real Estate Investments Held for Investment | At December 31, 2016 and 2015, commercial real estate investments held for investment were comprised of the following: CRE Debt and Preferred Equity Investments December 31, 2016 December 31, 2015 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 $ 512,322 $ 510,071 52.6 % $ 387,314 $ 385,838 28.6 % Senior securitized mortgages (3) - - 0.0 % 263,072 262,703 19.4 % Mezzanine loans 453,693 451,467 46.5 % 582,592 578,503 43.0 % Preferred equity 9,000 8,967 0.9 % 122,444 121,773 9.0 % Total (4) $ 975,015 $ 970,505 100.0 % $ 1,355,422 $ 1,348,817 100.0 % (1) Carrying value includes unamortized origination fees of $4.5 million and $6.9 million as of December 31, 2016 and 2015, respectively. (2) Based on outstanding principal. (3) Assets of consolidated VIEs. (4) Excludes Loans held for sale, net. December 31, 2016 Senior Mortgages Senior Securitized Mortgages (1) Mezzanine Loans Preferred Equity Total (dollars in thousands) Beginning balance $ 385,838 $ 262,703 $ 578,503 $ 121,773 $ 1,348,817 Originations & advances (principal) 211,318 - 62,390 - 273,708 Principal payments (86,310 ) (263,072 ) (191,291 ) (113,444 ) (654,117 ) Amortization & accretion of (premium) discounts (136 ) - (178 ) - (314 ) Net (increase) decrease in origination fees (2,086 ) - (472 ) - (2,558 ) Amortization of net origination fees 1,447 369 2,515 638 4,969 Net carrying value (2) $ 510,071 $ - $ 451,467 $ 8,967 $ 970,505 (1) (2) Excludes Loans held for sale, net. December 31, 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) 293,925 - 195,312 - 489,237 Principal payments (243,270 ) (136,469 ) (153,693 ) (92,210 ) (625,642 ) Sales (principal) (46,945 ) - - - (46,945 ) Amortization & accretion of (premium) discounts (142 ) - (232 ) 517 143 Net (increase) decrease in origination fees (3,702 ) (279 ) (4,806 ) - (8,787 ) Amortization of net origination fees 2,077 817 691 561 4,146 Transfers - - 18,500 - 18,500 Net carrying value (2) $ 385,838 $ 262,703 $ 578,503 $ 121,773 $ 1,348,817 (1) Assets of consolidated VIE. (2) Excludes Loans held for sale, net. |
Internal Loan and Preferred Equity Ratings | Internal CRE Debt and Preferred Equity Investment Ratings December 31, 2016 Internal Ratings Investment Type Outstanding Principal (1) Percentage of CRE Debt and Preferred Equity Portfolio Performing Performing - Closely Monitored Performing - Special Mention Substandard Doubtful Loss Total (dollars in thousands) Senior mortgages $ 512,322 52.6 % $ 144,434 $ 243,448 $ 124,440 $ - $ - $ - $ 512,322 Mezzanine loans 453,693 46.5 % 254,337 170,039 29,317 - - - 453,693 Preferred equity 9,000 0.9 % - - 9,000 - - - 9,000 $ 975,015 100.0 % $ 398,771 $ 413,487 $ 162,757 $ - $ - $ - $ 975,015 (1) December 31, 2015 Internal Ratings Investment Type Outstanding Principal (1) Percentage of CRE Debt and Preferred Equity Portfolio Performing Performing - Closely Monitored Performing - Special Mention Substandard Doubtful Loss Total (dollars in thousands) Senior mortgages $ 387,314 28.6 % $ 71,000 $ 283,148 $ 33,166 $ - $ - $ - $ 387,314 Senior securitized mortgages (2) 263,072 19.4 % 106,770 15,500 140,802 - - - 263,072 Mezzanine loans 582,592 43.0 % 342,493 219,969 20,130 - - - 582,592 Preferred equity 122,444 9.0 % - 81,944 40,500 - - - 122,444 $ 1,355,422 100.0 % $ 520,263 $ 600,561 $ 234,598 $ - $ - $ - $ 1,355,422 (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 Original Purchase Price Remaining Lease Term (Years) (1) (dollars in thousands) July 2015 Single Tenant Retail Ohio $ 11,000 3.9 August 2015 Multi Tenant Retail Florida $ 18,900 4.5 October 2015 Multifamily Property Washington, DC $ 75,000 1.0 October 2015 Multi Tenant Retail California $ 37,750 3.8 November 2015 Multi Tenant Retail Texas $ 131,950 4.2 (1) As of December 31, 2016. Does not include extension options. |
Aggregate Allocation of Final Purchase Price | The following presents the aggregate final purchase price allocation of the Texas Portfolio: Texas (dollars in thousands) Purchase Price Allocation: Land $ 32,452 Buildings 82,552 Site improvements 5,446 Tenant Improvements 6,835 Real estate held for investment 127,285 Intangible assets (liabilities): Leasehold intangible assets 14,598 Above market lease 274 Below market lease (10,207 ) Total purchase price $ 131,950 |
Total Commercial Real Estate Held for Investment | Total Commercial Real Estate Investment December 31, 2016 December 31, 2015 (dollars in thousands) Real estate held for investment, at amortized cost Land $ 112,675 $ 113,494 Buildings and improvements 335,945 373,603 Subtotal 448,620 487,097 Less: accumulated depreciation (34,221 ) (16,886 ) Total real estate held for investment, at amortized cost, net 414,399 470,211 Equity in unconsolidated joint ventures 60,168 65,735 Investments in commercial real estate, net $ 474,567 $ 535,946 |
Minimum Future Rentals on Non-cancelable Leases | Rental Income December 31, 2016 (dollars in thousands) 2017 $ 30,441 2018 27,225 2019 23,231 2020 18,635 2021 14,554 Later years 26,424 $ 140,510 |
Mortgage Loans Payable | Mortgage loans payable as of December 31, 2016 and 2015, were as follows: December 31, 2016 Property Mortgage Carrying Value Mortgage Principal Interest Rate Fixed/Floating Rate Maturity Date Priority (dollars in thousands) Joint Ventures $ 285,993 $ 289,125 4.03% - 4.61 % Fixed 2024 and 2025 First liens Tennessee 12,261 12,350 4.01 % Fixed 9/6/2019 First liens Virginia 11,015 11,025 3.58 % Fixed 6/6/2019 First liens Arizona - - 3.50 % Fixed 1/1/2017 First liens Nevada 2,367 2,365 L+200 Floating (1) 3/29/2017 First liens $ 311,636 $ 314,865 (1) Includes a mortgage with a fixed rate via an interest rate swap (pay fixed 3.45%, receive floating rate of L+200). December 31, 2015 Property Mortgage Carrying Value Mortgage Principal Interest Rate Fixed/Floating Rate Maturity Date Priority (dollars in thousands) Joint Ventures $ 292,658 $ 296,325 2.30% to 4.61 % Fixed 2016, 2024 and 2025 First liens Tennessee 12,228 12,350 4.01 % Fixed 9/6/2019 First liens Virginia 11,012 11,025 3.58 % Fixed 6/6/2019 First liens Arizona 16,365 16,308 3.50 % Fixed 1/1/2017 First liens Nevada 2,444 2,436 L+200 Floating (1) 3/29/2017 First liens $ 334,707 $ 338,444 (1) Includes a mortgage with a fixed rate via an interest rate swap (pay fixed 3.45%, receive floating rate of L+200). |
Future Mortgage Loan Principal Payments | The following table details future mortgage loan principal payments as of December 31, 2016: Mortgage Loan Principal Payments (dollars in thousands) 2017 $ 2,365 2018 - 2019 23,375 2020 - 2021 - Later years 289,125 $ 314,865 |
CORPORATE DEBT (Tables)
CORPORATE DEBT (Tables) | 12 Months Ended |
Dec. 31, 2016 | |
Schedule of Industry and Rate Sensitivity | The industry and rate sensitivity dispersion of the portfolio as of December 31, 2016 and 2015 are as follows: Industry Dispersion December 31, 2016 December 31, 2015 Fixed Rate Floating Rate Total Fixed Rate Floating Rate Total (dollars in thousands) Aircraft and Parts $ - $ 32,067 $ 32,067 $ - $ - $ - Commercial Fishing - 40,600 40,600 - 41,979 41,979 Computer Programming, Data Processing & Other Computer Related Services - 146,547 146,547 - 73,758 73,758 Drugs - 34,042 34,042 - - - Drugs, Drug Proprietaries & Druggists's Sundries - - - - 43,617 43,617 Groceries and Related Products - 14,856 14,856 - 28,286 28,286 Grocery Stores - 23,761 23,761 - - - Home Health Care Services - 39,205 39,205 - 34,432 34,432 Insurance Agents, Brokers and services 4,391 73,267 77,658 - 29,221 29,221 Laboratory Apparatus and Analytical, Optical, Measuring, and Controlling Instruments - - - - 7,475 7,475 Management and Public Relations Services - 16,493 16,493 - - - Medical and Dental Laboratories - 17,292 17,292 - - - Miscellaneous Business Services 84,486 - 84,486 74,682 - 74,682 Miscellaneous Health and Allied Services, not elsewhere classified - 9,791 9,791 - 9,875 9,875 Miscellaneous Nonmetallic Minerals, except Fuels - 24,688 24,688 - 24,666 24,666 Miscellaneous Plastic Products - 27,036 27,036 - 12,697 12,697 Motor Vehicles and Motor Vehicle Parts and Supplies - 12,319 12,319 - - - Offices and Clinics of Doctors of Medicine - 83,386 83,386 - 61,275 61,275 Personnel Supply Services - 36,921 36,921 - 7,573 7,573 Research, Development and Testing Services - 17,744 17,744 - 17,742 17,742 Schools and Educational Services, not elsewhere classified - 20,979 20,979 - 21,230 21,230 Surgical, Medical, and Dental Instruments and Supplies - 13,403 13,403 - - - Total $ 88,877 $ 684,397 $ 773,274 $ 74,682 $ 413,826 $ 488,508 |
Credit Risk [Member] | |
Aggregate positions by Respective Place in the Capital Structure of the Borrowers | The table below reflects the Company’s aggregate positions by their respective place in the capital structure of the borrowers as of December 31, 2016 and 2015. December 31, 2016 December 31, 2015 (dollars in thousands) First lien loans $ 505,956 $ 280,441 Second lien loans 178,441 133,385 Second lien notes 84,486 74,682 Subordinated notes 4,391 - Total $ 773,274 $ 488,508 |
VARIABLE INTEREST ENTITIES (Tab
VARIABLE INTEREST ENTITIES (Tables) | 12 Months Ended |
Dec. 31, 2016 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Statement of Financial Condition of VIEs Reflected in Consolidated Statements of Financial Condition | The statements of financial condition of the Company’s VIEs that are reflected in the Company’s Consolidated Statements of Financial Condition at December 31, 2016 and 2015 are as follows: December 31, 2016 FREMF Trusts Residential Mortgage Loan Trust MSR Silos (dollars in thousands) Assets Cash and cash equivalents $ - $ - $ 23,198 Commercial real estate debt investments 3,890,807 - - Residential mortgages loans - 165,869 8,309 Mortgage servicing rights - - 652,216 Accrued interest receivable 8,690 836 - Other derivatives, at fair value - - 9 Other assets 138 - 35,540 Total assets $ 3,899,635 $ 166,705 $ 719,272 Liabilities Securitized debt (non-recourse) at fair value $ 3,609,164 $ 46,638 $ - Other secured financing - - 3,825 Other derivatives, at fair value - - 9 Accrued interest payable 4,350 107 - Accounts payable and other liabilities - 662 14,007 Total liabilities $ 3,613,514 $ 47,407 $ 17,841 December 31, 2015 FREMF Trusts NLY Commercial Mortgage Trust (dollars in thousands) Assets Cash and cash equivalents $ - $ 49,025 Commercial real estate debt investments 2,554,023 - Commercial real estate and debt and preferred equity, held for investment - 262,703 Accrued interest receivable 4,994 431 Other assets - 169 Total assets $ 2,559,017 $ 312,328 Liabilities Securitized debt (non-recourse) at fair value $ 2,366,878 $ - Securitized debt (non-recourse) at amortized cost - 173,833 Accrued interest payable 4,183 191 Accounts payable and other liabilities - 290 Total liabilities $ 2,371,061 $ 174,314 |
Statement of Comprehensive Income (Loss) of VIEs Reflected in Consolidated Statements of Comprehensive Income (Loss) | The statement of comprehensive income (loss) of the Company’s VIEs that is reflected in the Company’s Consolidated Statements of Comprehensive Income (Loss) at December 31, 2016 is as follows: For the Year Ended December 31, 2016 FREMF Trusts NLY Commercial Mortgage Trust Residential Mortgage Loan Trust MSR Silos (dollars in thousands) Net interest income: Interest income $ 94,991 $ 9,541 $ 2,292 $ 129 Interest expense 41,395 2,302 694 60 Net interest income 53,596 7,239 1,598 69 Realized gain (loss) on disposal of investments - - (505 ) 87 Unrealized gain (loss) on investments at fair value (1) (412 ) - (2,280 ) 129,355 Other income (loss) (25,290 ) - (183 ) 59,410 General and administration expenses 7 - 36 2,677 Net income (loss) $ 27,887 $ 7,239 $ (1,406 ) $ 186,244 (1) Included in Net unrealized gains (losses) on investments measured at fair value through earnings. |
FAIR VALUE MEASUREMENTS (Tables
FAIR VALUE MEASUREMENTS (Tables) | 12 Months Ended |
Dec. 31, 2016 | |
Fair Value Disclosures [Abstract] | |
Schedule of Fair Values, 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. There were no transfers between levels of the fair value hierarchy during the periods presented. Level 1 Level 2 Level 3 Total December 31, 2016 (dollars in thousands) Assets: Agency mortgage-backed securities $ - $ 75,589,873 $ - $ 75,589,873 Credit risk transfer securities - 724,722 - 724,722 Non-Agency mortgage-backed securities - 1,401,307 - 1,401,307 Residential mortgage loans - 342,289 - 342,289 Mortgage servicing rights - - 652,216 652,216 Commercial real estate debt investments - 4,321,739 - 4,321,739 Interest rate swaps - 68,194 - 68,194 Other derivatives 168,209 3,057 - 171,266 Total assets $ 168,209 $ 82,451,181 $ 652,216 $ 83,271,606 Liabilities: Securitized debt of consolidated VIEs $ - $ 3,655,802 $ - $ 3,655,802 Interest rate swaps - 1,443,765 - 1,443,765 Other derivatives 24,912 61,525 - 86,437 Total liabilities $ 24,912 $ 5,161,092 $ - $ 5,186,004 Level 1 Level 2 Level 3 Total December 31, 2015 (dollars in thousands) Assets: Agency mortgage-backed securities $ - $ 65,718,224 $ - $ 65,718,224 Agency debentures - 152,038 - 152,038 Credit risk transfer securities - 456,510 - 456,510 Non-Agency mortgage-backed securities - 906,722 - 906,722 Commercial real estate debt investments - 2,911,828 - 2,911,828 Interest rate swaps - 19,642 - 19,642 Other derivatives 12,443 9,623 - 22,066 Total assets $ 12,443 $ 70,174,587 $ - $ 70,187,030 Liabilities: Securitized debt of consolidated VIEs $ - $ 2,366,878 $ - $ 2,366,878 Interest rate swaps - 1,677,571 - 1,677,571 Other derivatives 32,778 17,185 - 49,963 Total liabilities $ 32,778 $ 4,061,634 $ - $ 4,094,412 |
Information about Significant Unobservable Inputs Used for Recurring Fair Value Measurements for Level 3 MSRs | The table below presents information about the significant unobservable inputs used for recurring fair value measurements for Level 3 MSRs. The table does not give effect to the Company’s risk management practices that might offset risks inherent in these Level 3 investments. December 31, 2016 Range Valuation Technique Unobservable Input (1) (Weighted Average ) Discounted cash flow Discount rate 10.0% -15.0% (10.4%) Prepayment rate 5.1% - 18.8% (8.7%) Delinquency rate 0.0% - 10.0% (2.3%) Cost to service $83 - $152 ($100) (1) |
Schedule of Estimated Fair Value for All Financial Assets and Liabilities | The following table summarizes the estimated fair value for financial assets and liabilities as of December 31, 2016 and 2015. December 31, 2016 December 31, 2015 Level in Fair Value Hierarchy Carrying Value Fair Value Carrying Value Fair Value Financial assets: (dollars in thousands) Cash and cash equivalents 1 $ 1,539,746 $ 1,539,746 $ 1,769,258 $ 1,769,258 Agency mortgage-backed securities 2 75,589,873 75,589,873 65,718,224 65,718,224 Agency debentures 2 - - 152,038 152,038 Credit risk transfer securities 2 724,722 724,722 456,510 456,510 Non-Agency mortgage-backed securities 2 1,401,307 1,401,307 906,722 906,722 Residential mortgage loans 2 342,289 342,289 - - Mortgage servicing rights 3 652,216 652,216 - - Commercial real estate debt investments 2 4,321,739 4,321,739 2,911,828 2,911,828 Commercial real estate debt and preferred equity, held for investment 3 970,505 968,824 1,348,817 1,350,968 Commercial loans held for sale, net 3 114,425 114,425 278,600 278,600 Corporate debt (1) 2 773,274 776,310 488,508 470,894 Interest rate swaps 2 68,194 68,194 19,642 19,642 Other derivatives 1,2 171,266 171,266 22,066 22,066 Financial liabilities: Repurchase agreements 1,2 $ 65,215,810 $ 65,256,505 $ 56,230,860 $ 56,361,623 Other secured financing 1,2 3,884,708 3,885,430 1,845,048 1,846,095 Securitized debt of consolidated VIEs 2 3,655,802 3,655,802 2,540,711 2,541,193 Participation sold 2 12,869 12,827 13,286 13,138 Mortgage payable 3 311,636 312,442 334,707 339,849 Interest rate swaps 2 1,443,765 1,443,765 1,677,571 1,677,571 Other derivatives 1,2 86,437 86,437 49,963 49,963 (1) Includes a held-to-maturity debt security carried at amortized cost of $84.5 million, with a fair value of $87.8 million, and $74.7 million, with a fair value of $61.3 million, as of December 31, 2016 and 2015, respectively. The bond’s stated maturity is May 15, 2020. |
SECURED FINANCING (Tables)
SECURED FINANCING (Tables) | 12 Months Ended |
Dec. 31, 2016 | |
Debt Disclosure [Abstract] | |
Schedule of Repurchase Agreements Remaining Maturity ,Collateral Types and Weighted Average Rates | At December 31, 2016 and 2015, the repurchase agreements had the following remaining maturities, collateral types and weighted average rates: December 31, 2016 Agency Mortgage-backed Securities CRTs Non-Agency Mortgage-backed Securities Commercial Loans Total Repurchase Agreements Weighted Average Rate (dollars in thousands) 1 day $ - $ - $ - $ - $ - - 2 to 29 days 29,657,705 358,972 377,366 - 30,394,043 0.87 % 30 to 59 days 11,373,300 80,139 241,360 - 11,694,799 1.10 % 60 to 89 days 6,966,827 13,914 101,491 - 7,082,232 1.14 % 90 to 119 days 2,063,561 - - - 2,063,561 0.89 % Over 120 days (1) 13,646,308 - - 334,867 13,981,175 1.47 % Total $ 63,707,701 $ 453,025 $ 720,217 $ 334,867 $ 65,215,810 1.07 % (1) December 31, 2015 Agency Mortgage-backed Securities CRTs Non-Agency Mortgage-backed Securities Commercial Loans Total Repurchase Agreements Weighted Average Rate (dollars in thousands) 1 day $ - $ - $ - $ - $ - - 2 to 29 days 20,123,464 83,664 260,359 - 20,467,487 0.69 % 30 to 59 days 7,898,646 59,189 65,374 - 8,023,209 0.74 % 60 to 89 days 4,046,593 - 78,833 - 4,125,426 0.74 % 90 to 119 days 4,846,580 - - - 4,846,580 0.60 % Over 120 days (1) 18,557,715 - 31,015 179,428 18,768,158 1.33 % Total $ 55,472,998 $ 142,853 $ 435,581 $ 179,428 $ 56,230,860 0.90 % (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 December 31, 2016 and 2015. Refer to the “Derivative Instruments” Note for information related to the effect of netting arrangements on the Company’s derivative instruments. December 31, 2016 December 31, 2015 Reverse Repurchase Agreements Repurchase Agreements Reverse Repurchase Agreements Repurchase Agreements (dollars in thousands) Gross Amounts $ 400,000 $ 65,615,810 $ - $ 56,230,860 Amounts Offset (400,000 ) (400,000 ) - - Netted Amounts $ - $ 65,215,810 $ - $ 56,230,860 |
DERIVATIVE INSTRUMENTS (Tables)
DERIVATIVE INSTRUMENTS (Tables) | 12 Months Ended |
Dec. 31, 2016 | |
Summarizes Fair Value Information about Derivative Assets Liabilities | The table below summarizes fair value information about our derivative assets and liabilities as of December 31, 2016 and 2015: Derivatives Instruments Balance Sheet Location December 31, 2016 December 31, 2015 Assets: (dollars in thousands) Interest rate swaps Interest rate swaps, at fair value $ 68,194 $ 19,642 TBA derivatives Other derivatives, at fair value 2,774 9,622 Futures contracts Other derivatives, at fair value 168,209 12,444 Purchase commitments Other derivatives, at fair value 283 - $ 239,460 $ 41,708 Liabilities: Interest rate swaps Interest rate swaps, at fair value $ 1,443,765 $ 1,677,571 TBA derivatives Other derivatives, at fair value 60,972 17,185 Futures contracts Other derivatives, at fair value 24,912 32,778 Purchase commitments Other derivatives, at fair value 553 - $ 1,530,202 $ 1,727,534 |
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 December 31, 2016 and 2015, respectively. December 31, 2016 Amounts Eligible for Offset Gross Amounts Financial Instruments Cash Collateral Net Amounts Assets: (dollars in thousands) Interest rate swaps, at fair value $ 68,194 $ (68,194 ) $ - $ - TBA derivatives, at fair value 2,774 (2,172 ) - 602 Futures contracts, at fair value 168,209 (24,912 ) - 143,297 Purchase commitments 283 - - 283 Liabilities: Interest rate swaps, at fair value $ 1,443,765 $ (68,194 ) $ (768,877 ) $ 606,694 TBA derivatives, at fair value 60,972 (2,172 ) - 58,800 Futures contracts, at fair value 24,912 (24,912 ) - - Purchase commitments 553 - - 553 December 31, 2015 Amounts Eligible for Offset Gross Amounts Financial Instruments Cash Collateral Net Amounts Assets: (dollars in thousands) Interest rate swaps, at fair value $ 19,642 $ (18,040 ) $ - $ 1,602 TBA derivatives, at fair value 9,622 (7,367 ) - 2,255 Futures contracts, at fair value 12,443 (10,868 ) - 1,575 Liabilities: Interest rate swaps, at fair value $ 1,677,571 $ (18,040 ) $ (913,576 ) $ 745,955 TBA derivatives, at fair value 17,185 (7,367 ) - 9,818 Futures contracts, at fair value 32,778 (10,868 ) (21,910 ) - |
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) For the Years Ended: December 31, 2016 $ (506,681 ) $ (113,941 ) $ 282,190 December 31, 2015 $ (624,495 ) $ (226,462 ) $ (124,869 ) December 31, 2014 $ (825,360 ) $ (779,333 ) $ (948,755 ) (1) Interest expense related to interest rate swaps is recorded in Realized gains (losses) on interest rate swaps on the Consolidated Statements of Comprehensive Income (Loss). |
Effect of Other Derivative Contracts on the Consolidated Statements of Operations and Comprehensive Income (Loss) | The effect of other derivative contracts on the Company’s Consolidated Statements of Comprehensive Income (Loss) is as follows: Year Ended December 31, 2016 Derivative Instruments Realized Gain (Loss) Unrealized Gain (Loss) Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Trading Assets (dollars in thousands) Net TBA derivatives $ 164,008 $ (50,636 ) $ 113,372 Net interest rate swaptions 4,850 - 4,850 Futures (51,148 ) 163,631 112,483 Purchase commitments - (123 ) (123 ) $ 230,582 Year Ended December 31, 2015 Derivative Instruments Realized Gain (Loss) Unrealized Gain (Loss) Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Trading Assets (dollars in thousands) Net TBA derivatives $ 102,408 $ (3,305 ) $ 99,103 Net interest rate swaptions (41,016 ) 35,634 (5,382 ) U.S. Treasury futures (47,394 ) (16,681 ) (64,075 ) $ 29,646 |
Interest Rate Swaps | |
Summary of Certain Characteristics of Derivatives | The following table summarizes certain characteristics of the Company’s interest rate swaps at December 31, 2016 and 2015: December 31, 2016 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 $ 3,444,365 1.37 % 1.00 % 2.71 3 - 6 years 10,590,000 1.92 % 0.99 % 3.94 6 - 10 years 8,206,900 2.35 % 1.10 % 7.82 Greater than 10 years 3,634,400 3.70 % 0.83 % 18.36 Total / Weighted Average $ 25,875,665 2.22 % 1.02 % 6.87 December 31, 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 $ 3,240,436 1.85 % 0.36 % 1.80 3 - 6 years 11,675,000 1.82 % 0.55 % 4.25 6 - 10 years 11,635,250 2.44 % 0.57 % 7.92 Greater than 10 years 3,634,400 3.70 % 0.43 % 19.37 Total / Weighted Average $ 30,185,086 2.26 % 0.53 % 7.02 (1) There were no forward starting swaps as of December 31, 2016. Notional amount includes $500.0 million in forward starting pay fixed swaps as of December 31, 2015. (2) Excludes forward starting swaps. (3) There were no forward starting swaps as of December 31, 2016. Weighted average fixed rate on forward starting pay fixed swaps was 1.44% as of December 31, 2015. |
Futures Contracts | |
Summary of Certain Characteristics of Derivatives | The following table summarizes certain characteristics of the Company’s futures derivatives as of December 31, 2016 and 2015: December 31, 2016 Notional - Long Positions Notional - Short Positions Weighted Average Years to Maturity (dollars in thousands) 2-year swap equivalent Eurodollar contracts $ - $ (14,968,250 ) 2.00 U.S. Treasury futures - 5 year - (1,697,200 ) 4.42 U.S. Treasury futures - 10 year and greater - (2,250,000 ) 8.39 Total $ - $ (18,915,450 ) 2.98 December 31, 2015 Notional - Long Positions Notional - Short Positions Weighted Average Years to Maturity (dollars in thousands) 2-year swap equivalent Eurodollar contracts $ - $ (7,000,000 ) 2.00 U.S. Treasury futures - 5 year - (1,847,200 ) 4.42 U.S. Treasury futures - 10 year and greater - (655,600 ) 6.92 Total $ - $ (9,502,800 ) 2.81 |
TBA Derivatives | |
Summary of Certain Characteristics of Derivatives | The following table summarizes certain characteristics of the Company’s TBA derivatives at December 31, 2016 and 2015: December 31, 2016 Purchase and sale contracts for derivative TBAs Notional Implied Cost Basis Implied Market Value Net Carrying Value (dollars in thousands) Purchase contracts $ 11,223,000 $ 11,495,514 $ 11,437,316 $ (58,198 ) December 31, 2015 Purchase and sale contracts for derivative TBAs Notional Implied Cost Basis Implied Market Value Net Carrying Value (dollars in thousands) Purchase contracts $ 13,761,000 $ 14,177,338 $ 14,169,775 $ (7,563 ) |
COMMON STOCK AND PREFERRED ST46
COMMON STOCK AND PREFERRED STOCK (Tables) | 12 Months Ended |
Dec. 31, 2016 | |
Equity [Abstract] | |
Summary of Dividend Distribution Activity | The following table provides a summary of the Company’s dividend distribution activity for the periods presented: For the Years Ended December 31, 2016 December 31, 2015 (dollars in thousands, except per share data) Distributions declared to common stockholders $ 1,162,897 $ 1,133,768 Distributions declared per common share $ 1.20 $ 1.20 Distributions paid to common stockholders after period end $ 305,674 $ 280,779 Distributions paid per common share after period end $ 0.30 $ 0.30 Date of distributions paid to common stockholders after period end January 31, 2017 January 29, 2016 Dividends declared to Series A Preferred stockholders $ 14,593 $ 14,593 Dividends declared per Series A Preferred share $ 1.97 $ 1.97 Dividends declared to Series C Preferred stockholders $ 22,875 $ 22,875 Dividends declared per Series C Preferred share $ 1.91 $ 1.91 Dividends declared to Series D Preferred stockholders $ 34,500 $ 34,500 Dividends declared per Series D Preferred share $ 1.88 $ 1.88 Dividends declared to Series E Preferred stockholders $ 10,292 $ - Dividends declared per Series E Preferred share $ 0.95 $ - |
INTEREST INCOME AND INTEREST 47
INTEREST INCOME AND INTEREST EXPENSE (Tables) | 12 Months Ended |
Dec. 31, 2016 | |
Banking and Thrift, Interest [Abstract] | |
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 years ended December 31, 2016, 2015 and 2014. For the Years Ended December 31, 2016 2015 2014 Interest income: (dollars in thousands) Residential Investment Securities $ 1,944,457 $ 1,963,629 $ 2,467,783 Residential mortgage loans 4,147 - - Commercial investment portfolio (1) 252,436 203,804 161,837 U.S. Treasury securities - - 1,329 Securities loaned - - 114 Reverse repurchase agreements 9,911 3,264 1,335 Total interest income 2,210,951 2,170,697 2,632,398 Interest expense: Repurchase agreements 585,826 420,325 417,194 Convertible Senior Notes - 29,740 87,293 U.S. Treasury securities sold, not yet purchased - - 1,076 Securities borrowed - - 95 Securitized debt of consolidated VIEs 44,392 20,065 6,350 Participation sold 627 639 651 Other 26,907 827 - Total interest expense 657,752 471,596 512,659 Net interest income $ 1,553,199 $ 1,699,101 $ 2,119,739 (1) |
NET INCOME (LOSS) PER COMMON 48
NET INCOME (LOSS) PER COMMON SHARE (Tables) | 12 Months Ended |
Dec. 31, 2016 | |
Earnings Per Share [Abstract] | |
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 years ended December 31, 2016, 2015 and 2014. For the Years Ended December 31, 2016 December 31, 2015 December 31, 2014 (dollars in thousands, except per share data) Net income (loss) $ 1,432,786 $ 465,747 $ (842,279 ) Less: Net income (loss) attributable to noncontrolling interest (970 ) (809 ) (196 ) Net income (loss) attributable to Annaly 1,433,756 466,556 (842,083 ) Less: Dividends on preferred stock 82,260 71,968 71,968 Net income (loss) per share available (related) to common stockholders, prior to adjustment for dilutive potential common shares, if necessary 1,351,496 394,588 (914,051 ) Add: Interest on Convertible Senior Notes, if dilutive - - - Net income (loss) available to common stockholders, as adjusted $ 1,351,496 $ 394,588 $ (914,051 ) Weighted average shares of common stock outstanding-basic 969,787,583 947,062,099 947,539,294 Add: Effect of stock awards and Convertible Senior Notes, if dilutive 314,770 214,643 - Weighted average shares of common stock outstanding-diluted 970,102,353 947,276,742 947,539,294 Net income (loss) per share available (related) to common share: Basic $ 1.39 $ 0.42 $ (0.96 ) Diluted $ 1.39 $ 0.42 $ (0.96 ) |
LONG-TERM STOCK INCENTIVE PLAN
LONG-TERM STOCK INCENTIVE PLAN (Tables) | 12 Months Ended |
Dec. 31, 2016 | |
Disclosure of Compensation Related Costs, Share-based Payments [Abstract] | |
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 Years Ended December 31, 2016 December 31, 2015 Number of Shares Weighted Average Exercise Price Number of Shares Weighted Average Exercise Price Options outstanding at the beginning of year 1,168,775 $ 15.34 2,259,335 $ 15.35 Granted - - - - Exercised - - - - Forfeited (6,400 ) 14.69 (795,810 ) 14.72 Expired (36,750 ) 12.90 (294,750 ) 17.07 Options outstanding at the end of period 1,125,625 $ 15.43 1,168,775 $ 15.34 Options exercisable at the end of the period 1,125,625 $ 15.43 1,168,775 $ 15.34 |
LEASE COMMITMENTS AND CONTING50
LEASE COMMITMENTS AND CONTINGENCIES (Tables) | 12 Months Ended |
Dec. 31, 2016 | |
Commitments and Contingencies Disclosure [Abstract] | |
Lease Commitments and Contingencies | The Company’s aggregate future minimum lease payments total $32.9 million. The following table details the future lease payments: Years Ending December 31, Lease Commitments (dollars in thousands) 2017 $ 3,697 2018 3,641 2019 3,565 2020 3,652 2021 3,862 Later years 14,481 $ 32,898 |
SUMMARIZED QUARTERLY RESULTS 51
SUMMARIZED QUARTERLY RESULTS (UNAUDITED) (Tables) | 12 Months Ended |
Dec. 31, 2016 | |
Quarterly Financial Information Disclosure [Abstract] | |
Summary of Quarterly Results of Operations | The following is a presentation of summarized quarterly results of operations for the years ended December 31, 2016 and 2015. For the Quarters Ended December 31, 2016 September 30, 2016 June 30, 2016 March 31, 2016 (dollars in thousands, expect per share data) Interest income $ 807,022 $ 558,668 $ 457,118 $ 388,143 Interest expense 183,396 174,154 152,755 147,447 Net interest income 623,626 384,514 304,363 240,696 Total realized and unrealized gains (losses) 1,250,636 412,906 (523,785 ) (1,055,553 ) Total other income (loss) 30,918 29,271 (9,930 ) (6,115 ) Less: Total general and administrative expenses 55,453 97,737 49,221 47,945 Income before income taxes and noncontrolling interest 1,849,727 728,954 (278,573 ) (868,917 ) Less: Income taxes 1,244 (1,926 ) (76 ) (837 ) Net income (loss) 1,848,483 730,880 (278,497 ) (868,080 ) Less: Net income attributable to noncontrolling interest (87 ) (336 ) (385 ) (162 ) Less: Dividends on preferred stock 23,473 22,803 17,992 17,992 Net income (loss) available (related) to common stockholders $ 1,825,097 $ 708,413 $ (296,104 ) $ (885,910 ) Net income (loss) available (related) per share to common stockholders: Basic $ 1.79 $ 0.70 $ (0.32 ) $ (0.96 ) Diluted $ 1.79 $ 0.70 $ (0.32 ) $ (0.96 ) For the Quarters Ended December 31, 2015 September 30, 2015 June 30, 2015 March 31, 2015 (dollars in thousands, expect per share data) Interest income $ 576,580 $ 450,726 $ 624,277 $ 519,114 Interest expense 118,807 110,297 113,072 129,420 Net interest income 457,773 340,429 511,205 389,694 Total realized and unrealized gains (losses) 276,261 (909,158 ) 440,545 (828,999 ) Total other income (loss) (10,447 ) (9,675 ) (7,353 ) 13,758 Less: Total general and administrative expenses 47,836 49,457 52,009 50,938 Income before income taxes and noncontrolling interest 675,751 (627,861 ) 892,388 (476,485 ) Less: Income taxes 6,085 (370 ) (7,683 ) 14 Net income (loss) 669,666 (627,491 ) 900,071 (476,499 ) Less: Net income attributable to noncontrolling interest (373 ) (197 ) (149 ) (90 ) Less: Dividends on preferred stock 17,992 17,992 17,992 17,992 Net income (loss) available (related) to common stockholders $ 652,047 $ (645,286 ) $ 882,228 $ (494,401 ) Net income (loss) available (related) per share to common stockholders: Basic $ 0.69 $ (0.68 ) $ 0.93 $ (0.52 ) Diluted $ 0.69 $ (0.68 ) $ 0.93 $ (0.52 ) |
Organization and Significant Ac
Organization and Significant Accounting Policies - Additional Information (Detail) | 12 Months Ended | |
Dec. 31, 2016USD ($)Property | Dec. 31, 2015USD ($)Property | |
Schedule Of Significant Accounting Policies [Line Items] | ||
Number of real estate properties | Property | 0 | 0 |
Outstanding impaired loans, nonaccrual loans, and loans in default | $ 0 | $ 0 |
Allowance for loan losses | $ 0 | 0 |
Minimum | ||
Schedule Of Significant Accounting Policies [Line Items] | ||
Senior secured loans, maturity period | 3 years | |
Maximum | ||
Schedule Of Significant Accounting Policies [Line Items] | ||
Senior secured loans, maturity period | 8 years | |
Interest Rate Swaps | ||
Schedule Of Significant Accounting Policies [Line Items] | ||
Cash on margin with counterparty to interest rate swaps | $ 1,400,000,000 | $ 1,600,000,000 |
Summary of Interest Income Reco
Summary of Interest Income Recognition Methodology for Residential Investment Securities (Detail) | 12 Months Ended | |
Dec. 31, 2016 | ||
Agency Mortgage-backed Securities | Fixed Rate Pass-through | ||
Mortgage-Backed Securities Portfolio: | ||
Interest Income Methodology | Effective yield | [1],[2] |
Agency Mortgage-backed Securities | Adjustable-rate Pass-through | ||
Mortgage-Backed Securities Portfolio: | ||
Interest Income Methodology | Effective yield | [1],[2] |
Agency Mortgage-backed Securities | CMO | ||
Mortgage-Backed Securities Portfolio: | ||
Interest Income Methodology | Effective yield | [1],[2] |
Agency Mortgage-backed Securities | Debentures | ||
Mortgage-Backed Securities Portfolio: | ||
Interest Income Methodology | Contractual Cash Flows | [1] |
Agency Mortgage-backed Securities | Interest-only | ||
Mortgage-Backed Securities Portfolio: | ||
Interest Income Methodology | Prospective | [3] |
Residential Credit Securities Mortgage Backed Securities | CRT | ||
Mortgage-Backed Securities Portfolio: | ||
Interest Income Methodology | Prospective | [3] |
Residential Credit Securities Mortgage Backed Securities | Alt-A | ||
Mortgage-Backed Securities Portfolio: | ||
Interest Income Methodology | Prospective | [3] |
Residential Credit Securities Mortgage Backed Securities | Prime | ||
Mortgage-Backed Securities Portfolio: | ||
Interest Income Methodology | Prospective | [3] |
Residential Credit Securities Mortgage Backed Securities | Subprime | ||
Mortgage-Backed Securities Portfolio: | ||
Interest Income Methodology | Prospective | [3] |
Residential Credit Securities Mortgage Backed Securities | NPL/RPL | ||
Mortgage-Backed Securities Portfolio: | ||
Interest Income Methodology | Prospective | [3] |
Residential Credit Securities Mortgage Backed Securities | Prime Jumbo | ||
Mortgage-Backed Securities Portfolio: | ||
Interest Income Methodology | Prospective | [3] |
[1] | Changes in fair value are recognized in Other comprehensive income (loss) on the accompanying Consolidated Statements of Comprehensive Income (Loss). | |
[2] | Effective yield is recalculated for differences between estimated and actual prepayments and the amortized cost is adjusted as if the new effective yield had been applied since inception. | |
[3] | Changes in fair value are recognized in Net unrealized gains (losses) on investments measured at fair value through earnings on the accompanying Consolidated Statements of Comprehensive Income (Loss). |
Summary of Estimated Useful Liv
Summary of Estimated Useful Lives of Assets (Detail) | 12 Months Ended |
Dec. 31, 2016 | |
Building | Minimum | |
Property, Plant and Equipment [Line Items] | |
Estimated useful lives of assets | 30 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 | 28 years |
Recent Accounting Pronouncement
Recent Accounting Pronouncements (Detail) | 12 Months Ended |
Dec. 31, 2016 | |
Accounting Standards Update 2017-01 | |
New Accounting Pronouncements or Change in Accounting Principle [Line Items] | |
Standard | ASU 2017-01 Business Combinations (Topic 805) Clarifying the Definition of a Business |
Description | This update provides a screen to determine and a framework to evaluate when a set of assets and activities is a business. |
Effective Date | Jan. 1, 2018 |
Effect on the financial statements or other significant matters | Yes |
Accounting Standards Update 2016-13 | |
New Accounting Pronouncements or Change in Accounting Principle [Line Items] | |
Standard | ASU 2016-13 Financial Instruments - Credit Losses (Topic 326): Measurement of Credit Losses on Financial Instruments |
Description | This ASU updates the existing incurred loss model to a current expected credit loss ("CECL") model for financial assets and net investments in leases that are not accounted for at fair value through earnings. The amendments affect loans, held-to-maturity debt securities, trade receivables, net investments in leases, off-balance sheet credit exposures and any other financial assets not excluded from the scope. There are also limited amendments to the impairment model for available-for-sale debt securities. |
Effective Date | Jan. 1, 2020 |
Effect on the financial statements or other significant matters | Yes |
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. |
Effective Date | Jan. 1, 2016 |
Effect on the financial statements or other significant matters | Yes |
Acquisition of Hatteras - Addit
Acquisition of Hatteras - Additional Information (Detail) - USD ($) $ / shares in Units, $ in Thousands, shares in Millions | Jul. 12, 2016 | Dec. 31, 2016 | Sep. 30, 2016 | Jun. 30, 2016 | Mar. 31, 2016 | Dec. 31, 2015 | Sep. 30, 2015 | Jun. 30, 2015 | Mar. 31, 2015 | Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 |
Business Acquisition [Line Items] | ||||||||||||
Net interest income | $ 623,626 | $ 384,514 | $ 304,363 | $ 240,696 | $ 457,773 | $ 340,429 | $ 511,205 | $ 389,694 | $ 1,553,199 | $ 1,699,101 | $ 2,119,739 | |
Net income (loss) | 1,848,483 | 730,880 | $ (278,497) | $ (868,080) | $ 669,666 | $ (627,491) | $ 900,071 | $ (476,499) | 1,433,756 | $ 466,556 | $ (842,083) | |
Residential Mortgage | ||||||||||||
Business Acquisition [Line Items] | ||||||||||||
Unpaid principal balance of residential mortgage loans | 338,323 | 338,323 | ||||||||||
Fair value of residential mortgage loans | $ 342,289 | 342,289 | ||||||||||
Net interest income | 3,452 | |||||||||||
Net income (loss) | $ (3,084) | |||||||||||
7.625% Series E Cumulative Redeemable Preferred Stock | ||||||||||||
Business Acquisition [Line Items] | ||||||||||||
Cumulative redeemable preferred stock, par value | $ 0.01 | $ 0.01 | $ 0.01 | |||||||||
Hatteras | ||||||||||||
Business Acquisition [Line Items] | ||||||||||||
Business combination aggregate consideration transferred to common stockholders | $ 1,500,000 | |||||||||||
Business acquisition, cash consideration | $ 521,082 | |||||||||||
Cumulative redeemable preferred stock, par value | $ 0.001 | |||||||||||
Amount allocated to post acquisition service | $ 48,900 | |||||||||||
Consulting fees | $ 19,900 | |||||||||||
Net interest income | 61,400 | |||||||||||
Net income (loss) | 295,800 | |||||||||||
Hatteras | Residential Mortgage | ||||||||||||
Business Acquisition [Line Items] | ||||||||||||
Unpaid principal balance of residential mortgage loans | $ 360,400 | |||||||||||
Fair value of residential mortgage loans | 350,500 | |||||||||||
Hatteras | Common Stock | ||||||||||||
Business Acquisition [Line Items] | ||||||||||||
Business acquisition, equity consideration | $ 997,707 | |||||||||||
Business acquisition, shares issued | 93.9 | |||||||||||
Post Acquisition | Time Based Restricted Stock Awards | ||||||||||||
Business Acquisition [Line Items] | ||||||||||||
Amount allocated to post acquisition service | $ 5,800 |
Aggregate Consideration and Pre
Aggregate Consideration and Preliminary Fair Value of Assets Acquired and Liabilities Assumed (Detail) - USD ($) $ in Thousands | Jul. 12, 2016 | Dec. 31, 2016 | Dec. 31, 2015 |
Business Acquisition [Line Items] | |||
Bargain purchase gain | $ 71,815 | $ 71,815 | |
Hatteras | |||
Business Acquisition [Line Items] | |||
Cash | $ 521,082 | ||
Total Consideration | 1,806,289 | ||
Cash | 562,780 | ||
Principal receivable | 438,005 | ||
Accrued interest and dividend receivable | 83,814 | ||
Other assets | 57,250 | ||
Total assets acquired | 12,846,633 | ||
Securitized debt of consolidated VIEs | 54,135 | ||
Dividends payable | 670 | ||
Payable for investments purchased | 2,643 | ||
Accrued interest payable | 4,833 | ||
Accounts payable and other liabilities | 97,039 | ||
Total liabilities assumed | 10,967,768 | ||
Net assets acquired | 1,878,865 | ||
Bargain purchase gain | 72,576 | ||
Hatteras | Common Stock | |||
Business Acquisition [Line Items] | |||
Equity shares | 997,707 | ||
Hatteras | Preferred Stock | |||
Business Acquisition [Line Items] | |||
Exchange of Hatteras preferred stock for Annaly preferred stock | 278,252 | ||
Preferred stock fair value adjustment | 9,248 | ||
Equity shares | 287,500 | ||
Hatteras | Agency Mortgage-backed Securities | |||
Business Acquisition [Line Items] | |||
Financial assets | 10,863,070 | ||
Hatteras | Credit Risk Transfer Securities | |||
Business Acquisition [Line Items] | |||
Financial assets | 116,770 | ||
Hatteras | Residential Mortgage | |||
Business Acquisition [Line Items] | |||
Financial assets | 360,447 | ||
Hatteras | Mortgage Servicing Rights | |||
Business Acquisition [Line Items] | |||
Financial assets | 355,820 | ||
Hatteras | Other Derivatives | |||
Business Acquisition [Line Items] | |||
Financial assets | 8,677 | ||
Financial liabilities | 349,922 | ||
Hatteras | Other Secured Financings | |||
Business Acquisition [Line Items] | |||
Financial liabilities | 35,769 | ||
Hatteras | Repurchase Agreements | |||
Business Acquisition [Line Items] | |||
Financial liabilities | $ 10,422,757 |
Summary of Consolidated Pro For
Summary of Consolidated Pro Forma Information (Detail) - Hatteras - USD ($) $ / shares in Units, $ in Thousands | 12 Months Ended | |
Dec. 31, 2016 | Dec. 31, 2015 | |
Business Acquisition, Pro Forma Information [Line Items] | ||
Net interest income | $ 1,650,828 | $ 1,951,417 |
Net income (loss) | $ 1,327,653 | $ 543,796 |
Basic earnings per common share | $ 1.16 | $ 0.43 |
Diluted earnings per common share | $ 1.16 | $ 0.43 |
Residential Investment Securi59
Residential Investment Securities - Portfolio (Detail) - USD ($) $ in Thousands | Dec. 31, 2016 | Dec. 31, 2015 | |
Mortgage-Backed Securities Portfolio: | |||
Estimated Fair Value | $ 77,715,902 | $ 67,233,494 | |
Residential Credit Securities Mortgage Backed Securities | |||
Mortgage-Backed Securities Portfolio: | |||
Principal / Notional | 3,072,383 | 2,218,496 | |
Remaining Premium | 29,499 | 19,013 | |
Remaining Discount | (165,899) | (51,260) | |
Amortized Cost | 2,072,613 | 1,375,004 | |
Amortized Cost | 2,072,613 | 1,375,004 | |
Unrealized Gains | [1] | 58,666 | 967 |
Unrealized Losses | [1] | (5,250) | (12,739) |
Estimated Fair Value | 2,126,029 | 1,363,232 | |
Residential Credit Securities Mortgage Backed Securities | CRT | |||
Mortgage-Backed Securities Portfolio: | |||
Principal / Notional | 690,491 | 476,084 | |
Remaining Premium | 11,113 | 2,225 | |
Remaining Discount | (10,907) | (12,840) | |
Amortized Cost | 690,697 | 465,469 | |
Amortized Cost | 690,697 | 465,469 | |
Unrealized Gains | [1] | 34,046 | 250 |
Unrealized Losses | [1] | (21) | (9,209) |
Estimated Fair Value | 724,722 | 456,510 | |
Residential Credit Securities Mortgage Backed Securities | NPL/RPL | |||
Mortgage-Backed Securities Portfolio: | |||
Principal / Notional | 269,802 | 354,945 | |
Remaining Premium | 670 | 19 | |
Remaining Discount | (209) | (1,270) | |
Amortized Cost | 270,263 | 353,694 | |
Amortized Cost | 270,263 | 353,694 | |
Unrealized Gains | [1] | 1,004 | 19 |
Unrealized Losses | [1] | (429) | (1,172) |
Estimated Fair Value | 270,838 | 352,541 | |
Residential Credit Securities Mortgage Backed Securities | Alt-A | |||
Mortgage-Backed Securities Portfolio: | |||
Principal / Notional | 173,108 | 138,211 | |
Remaining Premium | 1,068 | 449 | |
Remaining Discount | (23,039) | (14,131) | |
Amortized Cost | 151,137 | 124,529 | |
Amortized Cost | 151,137 | 124,529 | |
Unrealized Gains | [1] | 3,721 | 211 |
Unrealized Losses | [1] | (685) | (460) |
Estimated Fair Value | 154,173 | 124,280 | |
Residential Credit Securities Mortgage Backed Securities | Prime | |||
Mortgage-Backed Securities Portfolio: | |||
Principal / Notional | 248,176 | 117,649 | |
Remaining Premium | 287 | 302 | |
Remaining Discount | (35,068) | (10,916) | |
Amortized Cost | 213,395 | 107,035 | |
Amortized Cost | 213,395 | 107,035 | |
Unrealized Gains | [1] | 7,050 | 424 |
Unrealized Losses | [1] | (253) | (81) |
Estimated Fair Value | 220,192 | 107,378 | |
Residential Credit Securities Mortgage Backed Securities | Subprime | |||
Mortgage-Backed Securities Portfolio: | |||
Principal / Notional | 697,983 | 122,667 | |
Remaining Premium | 380 | 22 | |
Remaining Discount | (96,331) | (12,103) | |
Amortized Cost | 602,032 | 110,586 | |
Amortized Cost | 602,032 | 110,586 | |
Unrealized Gains | [1] | 12,578 | 63 |
Unrealized Losses | [1] | (1,061) | (599) |
Estimated Fair Value | 613,549 | 110,050 | |
Residential Credit Securities Mortgage Backed Securities | Prime Jumbo | |||
Mortgage-Backed Securities Portfolio: | |||
Principal / Notional | 129,453 | 197,695 | |
Remaining Premium | 852 | 566 | |
Remaining Discount | (345) | ||
Amortized Cost | 129,960 | 198,261 | |
Amortized Cost | 129,960 | 198,261 | |
Unrealized Gains | [1] | 267 | |
Unrealized Losses | [1] | (308) | (1,060) |
Estimated Fair Value | 129,919 | 197,201 | |
Residential Credit Securities Mortgage Backed Securities | Prime Jumbo Interest-only | |||
Mortgage-Backed Securities Portfolio: | |||
Principal / Notional | 863,370 | 811,245 | |
Remaining Premium | 15,129 | 15,430 | |
Amortized Cost | 15,129 | 15,430 | |
Amortized Cost | 15,129 | 15,430 | |
Unrealized Losses | [1] | (2,493) | (158) |
Estimated Fair Value | 12,636 | 15,272 | |
Agency Securities | |||
Mortgage-Backed Securities Portfolio: | |||
Principal / Notional | 79,546,231 | 70,856,126 | |
Remaining Premium | 5,460,813 | 4,993,883 | |
Remaining Discount | (6,037) | (10,384) | |
Amortized Cost | 76,867,202 | 66,340,293 | |
Amortized Cost | 76,867,202 | 66,340,293 | |
Unrealized Gains | [1] | 279,905 | 499,035 |
Unrealized Losses | [1] | (1,557,234) | (969,066) |
Estimated Fair Value | 75,589,873 | 65,870,262 | |
Agency Securities | Fixed Rate Pass-through | |||
Mortgage-Backed Securities Portfolio: | |||
Principal / Notional | 60,759,317 | 57,339,705 | |
Remaining Premium | 3,633,354 | 3,270,521 | |
Remaining Discount | (1,956) | (2,832) | |
Amortized Cost | 64,390,715 | 60,607,394 | |
Amortized Cost | 64,390,715 | 60,607,394 | |
Unrealized Gains | [1] | 228,430 | 400,350 |
Unrealized Losses | [1] | (1,307,771) | (824,862) |
Estimated Fair Value | 63,311,373 | 60,182,882 | |
Agency Securities | Adjustable-rate Pass-through | |||
Mortgage-Backed Securities Portfolio: | |||
Principal / Notional | 10,653,109 | 2,894,192 | |
Remaining Premium | 391,267 | 61,781 | |
Remaining Discount | (4,081) | (6,427) | |
Amortized Cost | 11,040,295 | 2,949,546 | |
Amortized Cost | 11,040,295 | 2,949,546 | |
Unrealized Gains | [1] | 47,250 | 70,849 |
Unrealized Losses | [1] | (53,795) | (10,317) |
Estimated Fair Value | 11,033,751 | 3,010,078 | |
Agency Securities | Interest-only | |||
Mortgage-Backed Securities Portfolio: | |||
Principal / Notional | 8,133,805 | 9,499,332 | |
Remaining Premium | 1,436,192 | 1,634,312 | |
Amortized Cost | 1,436,192 | 1,634,312 | |
Amortized Cost | 1,436,192 | 1,634,312 | |
Unrealized Gains | [1] | 4,225 | 18,699 |
Unrealized Losses | [1] | (195,668) | (114,826) |
Estimated Fair Value | 1,244,749 | 1,538,185 | |
Agency Securities | CMO | |||
Mortgage-Backed Securities Portfolio: | |||
Principal / Notional | 964,095 | ||
Remaining Premium | 27,269 | ||
Remaining Discount | (477) | ||
Amortized Cost | 990,887 | ||
Amortized Cost | 990,887 | ||
Unrealized Gains | [1] | 9,137 | |
Unrealized Losses | [1] | (12,945) | |
Estimated Fair Value | 987,079 | ||
Agency Securities | Debentures | |||
Mortgage-Backed Securities Portfolio: | |||
Principal / Notional | 158,802 | ||
Remaining Discount | (648) | ||
Amortized Cost | 158,154 | ||
Amortized Cost | 158,154 | ||
Unrealized Losses | [1] | (6,116) | |
Estimated Fair Value | 152,038 | ||
Residential Investments | |||
Mortgage-Backed Securities Portfolio: | |||
Principal / Notional | 82,618,614 | 73,074,622 | |
Remaining Premium | 5,490,312 | 5,012,896 | |
Remaining Discount | (171,936) | (61,644) | |
Amortized Cost | 78,939,815 | 67,715,297 | |
Amortized Cost | 78,939,815 | 67,715,297 | |
Unrealized Gains | [1] | 338,571 | 500,002 |
Unrealized Losses | [1] | (1,562,484) | (981,805) |
Estimated Fair Value | $ 77,715,902 | $ 67,233,494 | |
[1] | Unrealized gains and losses on Agency investments, excluding interest-only investments, are reported as a component of Other comprehensive income (loss). Unrealized gains and losses on residential credit securities and Agency interest-only investments are reported in Net unrealized gains (losses) on investments measured at fair value through earnings in the Consolidated Statements of Comprehensive Income (Loss). |
Component of Agency Mortgage-Ba
Component of Agency Mortgage-Backed Securities Portfolio by Issuing Agency Concentration (Detail) - USD ($) $ in Thousands | Dec. 31, 2016 | Dec. 31, 2015 |
Mortgage-Backed Securities Portfolio: | ||
Estimated Fair Value | $ 77,715,902 | $ 67,233,494 |
Agency Mortgage-backed Securities | ||
Mortgage-Backed Securities Portfolio: | ||
Estimated Fair Value | 75,589,873 | 65,718,224 |
Agency Mortgage-backed Securities | Fannie Mae | ||
Mortgage-Backed Securities Portfolio: | ||
Estimated Fair Value | 51,658,391 | 42,647,075 |
Agency Mortgage-backed Securities | Freddie Mac | ||
Mortgage-Backed Securities Portfolio: | ||
Estimated Fair Value | 23,858,110 | 22,960,595 |
Agency Mortgage-backed Securities | Ginnie Mae | ||
Mortgage-Backed Securities Portfolio: | ||
Estimated Fair Value | $ 73,372 | $ 110,554 |
Residential Investment Securi61
Residential Investment Securities - Weighted Average Life (Detail) - USD ($) $ in Thousands | Dec. 31, 2016 | Dec. 31, 2015 |
Fair Value of Agency Mortgage-Backed Securities according to their estimated weighted-average life: | ||
Less than one year | $ 63,510 | $ 37,862 |
Greater than one year through five years | 12,626,932 | 20,278,111 |
Greater than five years through ten years | 56,785,601 | 46,473,701 |
Greater than ten years | 8,239,859 | 443,820 |
Total | 77,715,902 | 67,233,494 |
Amortized Cost of Agency Mortgage-Backed Securities according to their estimated weighted-average life: | ||
Less than one year | 61,775 | 37,850 |
Greater than one year through five years | 12,666,394 | 20,066,435 |
Greater than five years through ten years | 57,738,588 | 47,174,319 |
Greater than ten years | 8,473,058 | 436,693 |
Total | $ 78,939,815 | $ 67,715,297 |
Residential Investment Securi62
Residential Investment Securities - Unrealized Loss Position (Detail) $ in Thousands | Dec. 31, 2016USD ($)Securities | Dec. 31, 2015USD ($)Securities |
Unrealized Loss Position For: | ||
Estimated Fair Value | $ 58,742,859 | $ 41,777,836 |
Gross Unrealized Losses | $ (1,361,566) | $ (854,240) |
Number of Securities | Securities | 1,422 | 652 |
Available For Sale Securities, Continuous Unrealized Loss Positions, Less Than 12 Months | ||
Unrealized Loss Position For: | ||
Estimated Fair Value | $ 52,465,045 | $ 20,072,072 |
Gross Unrealized Losses | $ (1,094,957) | $ (164,259) |
Number of Securities | Securities | 1,368 | 463 |
Available For Sale Securities, Continuous Unrealized Loss Positions, Greater Than 12 Months | ||
Unrealized Loss Position For: | ||
Estimated Fair Value | $ 6,277,814 | $ 21,705,764 |
Gross Unrealized Losses | $ (266,609) | $ (689,981) |
Number of Securities | Securities | 54 | 189 |
Residential Investment Securi63
Residential Investment Securities - Narrative (Detail) - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | |
Mortgage-Backed Securities Sold: | |||
Residential Investment securities sold, carrying value | $ 12,300 | $ 23,900 | $ 22,500 |
Residential Investment securities sold, net realized gain | 31 | 63.3 | $ 94.5 |
Interest-only securities | |||
Mortgage-Backed Securities Sold: | |||
Amortized cost | 1,400 | 1,600 | |
Accumulated other comprehensive income (loss) | Interest-only securities | |||
Mortgage-Backed Securities Sold: | |||
Unrealized gains (Losses) | $ (191.4) | $ (96.1) |
Fair Value and Unpaid Principal
Fair Value and Unpaid Principal of Residential Mortgage Loan Portfolio (Detail) - Residential Mortgage $ in Thousands | Dec. 31, 2016USD ($) |
Mortgage Loans on Real Estate [Line Items] | |
Fair value | $ 342,289 |
Unpaid principal balance | $ 338,323 |
Summary of Comprehensive Income
Summary of Comprehensive Income (Loss) (Detail) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended | |||||||||
Dec. 31, 2016 | Sep. 30, 2016 | Jun. 30, 2016 | Mar. 31, 2016 | Dec. 31, 2015 | Sep. 30, 2015 | Jun. 30, 2015 | Mar. 31, 2015 | Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | |
Mortgage Loans on Real Estate [Line Items] | |||||||||||
Net gains (losses) on disposal of investments | $ 31,039 | $ 63,317 | $ 94,476 | ||||||||
Net interest income | $ 623,626 | $ 384,514 | $ 304,363 | $ 240,696 | $ 457,773 | $ 340,429 | $ 511,205 | $ 389,694 | 1,553,199 | 1,699,101 | 2,119,739 |
Net income (loss) | $ 1,848,483 | $ 730,880 | $ (278,497) | $ (868,080) | $ 669,666 | $ (627,491) | $ 900,071 | $ (476,499) | 1,433,756 | $ 466,556 | $ (842,083) |
Residential Mortgage | |||||||||||
Mortgage Loans on Real Estate [Line Items] | |||||||||||
Net gains (losses) on disposal of investments | (922) | ||||||||||
Net unrealized gains (losses) on investments measured at fair value through earnings | (5,614) | ||||||||||
Net interest income | 3,452 | ||||||||||
Net income (loss) | $ (3,084) |
Geographic Concentrations Based
Geographic Concentrations Based on Unpaid Principal Balances (Detail) - Residential Mortgage Loans - Geographic Concentration Risk | 12 Months Ended |
Dec. 31, 2016 | |
Mortgage Loans on Real Estate [Line Items] | |
Percent of Balance | 100.00% |
CALIFORNIA | |
Mortgage Loans on Real Estate [Line Items] | |
Percent of Balance | 46.30% |
TEXAS | |
Mortgage Loans on Real Estate [Line Items] | |
Percent of Balance | 9.60% |
ILLINOIS | |
Mortgage Loans on Real Estate [Line Items] | |
Percent of Balance | 5.70% |
FLORIDA | |
Mortgage Loans on Real Estate [Line Items] | |
Percent of Balance | 5.20% |
WASHINGTON | |
Mortgage Loans on Real Estate [Line Items] | |
Percent of Balance | 5.10% |
Other | |
Mortgage Loans on Real Estate [Line Items] | |
Percent of Balance | 28.10% |
Residential Mortgage Loans (Det
Residential Mortgage Loans (Detail) - Residential Mortgage $ in Thousands | 12 Months Ended |
Dec. 31, 2016USD ($) | |
Mortgage Loans on Real Estate [Line Items] | |
Unpaid principal balance | $ 338,323 |
Minimum | |
Mortgage Loans on Real Estate [Line Items] | |
Unpaid principal balance | $ 22 |
Interest rate | 2.50% |
Maturity | Apr. 8, 2044 |
FICO score at loan origination | 665 |
Loan-to-value ratio at loan origination | 24.00% |
Maximum | |
Mortgage Loans on Real Estate [Line Items] | |
Unpaid principal balance | $ 1,905 |
Interest rate | 6.75% |
Maturity | Nov. 1, 2046 |
FICO score at loan origination | 814 |
Loan-to-value ratio at loan origination | 90.00% |
Weighted Average | |
Mortgage Loans on Real Estate [Line Items] | |
Unpaid principal balance | $ 691 |
Interest rate | 3.72% |
Maturity | Aug. 20, 2045 |
FICO score at loan origination | 761 |
Loan-to-value ratio at loan origination | 71.00% |
Residential Mortgage Loans - Na
Residential Mortgage Loans - Narrative (Detail) | Dec. 31, 2016 |
Residential Mortgage | |
Mortgage Loans on Real Estate [Line Items] | |
Percent of adjustable-rate loans | 85.00% |
Schedule of Residential Mortgag
Schedule of Residential Mortgage Loans (Detail) - USD ($) $ in Thousands | Dec. 31, 2016 | Dec. 31, 2016 | Dec. 31, 2015 | |
Mortgage Loans on Real Estate [Line Items] | ||||
Collection of principal | $ (164,500) | $ (654,117) | $ (625,642) | |
Fair value, end of period | [1] | 342,289 | 342,289 | |
Residential Mortgage | ||||
Mortgage Loans on Real Estate [Line Items] | ||||
Purchases | 165,213 | |||
Collection of principal | (176,815) | |||
Amortization of premiums | (942) | |||
Change in fair value | (5,614) | |||
Fair value, end of period | $ 342,289 | 342,289 | ||
Hatteras | Residential Mortgage | ||||
Mortgage Loans on Real Estate [Line Items] | ||||
Obtained through Hatteras Acquisition | $ 360,447 | |||
[1] | Includes securitized residential mortgage loans of a consolidated VIE carried at fair value of $165.9 million and $0 at December 31, 2016 and 2015, respectively. |
Presentation of Activity Relate
Presentation of Activity Related to MSR (Detail) $ in Thousands | 12 Months Ended | |
Dec. 31, 2016USD ($) | ||
Change in fair value due to: | ||
Changes in valuation inputs or assumptions | $ 178,463 | [1] |
Other changes, including realization of expected cash flows | (48,652) | |
Fair value, end of period | 652,216 | |
Purchased Servicing Rights | ||
Servicing Assets at Fair Value [Line Items] | ||
Fair value, additions | 166,585 | |
Hatteras | ||
Servicing Assets at Fair Value [Line Items] | ||
Fair value, additions | $ 355,820 | |
[1] | Principally represent changes in discount rates and prepayment speed inputs used in valuation model, primarily due to changes in interest rates. |
Mortgage Servicing Rights - Add
Mortgage Servicing Rights - Additional Information (Detail) $ in Millions | 12 Months Ended |
Dec. 31, 2016USD ($) | |
Transfers and Servicing [Abstract] | |
Service income fee | $ 60.5 |
Commercial Real Estate Invest72
Commercial Real Estate Investments - Additional Information (Detail) | 1 Months Ended | 12 Months Ended | |||||
Nov. 30, 2016USD ($)Property | Jun. 30, 2016USD ($)Property | Dec. 31, 2016USD ($) | Dec. 31, 2015USD ($) | Dec. 31, 2014USD ($) | Dec. 11, 2015USD ($) | Sep. 30, 2015Property | |
Real Estate Properties [Line Items] | |||||||
Sales of senior loan | $ 46,945,000 | ||||||
Gain on sales of senior loan | $ (921,000) | ||||||
Outstanding impaired loans, nonaccrual loans, and loans in default | 0 | 0 | |||||
Allowance for loan losses | $ 0 | 0 | |||||
Loans receivable with variable rates of interest | 77.00% | ||||||
Gain (loss) on sale of properties | $ 2,865,000 | $ 2,748,000 | |||||
Weighted average amortization period for intangible assets and liabilities | 4 years 8 months 12 days | ||||||
Depreciation expense | $ 21,868,000 | 12,661,000 | $ 3,205,000 | ||||
General and Administrative Expense | |||||||
Real Estate Properties [Line Items] | |||||||
Depreciation expense | 20,400,000 | 12,700,000 | |||||
Commercial Mortgage Loan | |||||||
Real Estate Properties [Line Items] | |||||||
Debt issued | 314,865,000 | 338,444,000 | |||||
CALIFORNIA | Commercial Mortgage Loan | Eight Class AB Office Properties In Orange Country California | |||||||
Real Estate Properties [Line Items] | |||||||
Funding for senior mortgage loan, net of origination fees | 278,600,000 | ||||||
Future funding commitment | 30,000,000 | ||||||
Funding for senior mortgage loan, net of origination fees | 280,000,000 | ||||||
Debt issued | $ 335,000,000 | ||||||
CALIFORNIA | Commercial Mortgage Loan | Eight Class AB Office Properties In Orange Country California | Mezzanine Loans | |||||||
Real Estate Properties [Line Items] | |||||||
Funding for senior mortgage loan, net of origination fees | 52,700,000 | ||||||
Debt issued | $ 55,000,000 | ||||||
CALIFORNIA | Commercial Mortgage Loan | Senior Loans | Eight Class AB Office Properties In Orange Country California | |||||||
Real Estate Properties [Line Items] | |||||||
Sales of senior loan | 165,000,000 | ||||||
Gain on sales of senior loan | 0 | ||||||
Outstanding impaired loans, nonaccrual loans, and loans in default | 164,000,000 | ||||||
Remaining senior loans held for sale | 115,000,000 | ||||||
Remaining senior loans held for sale, net of origination fees | 114,400,000 | ||||||
Multi Tenant Retail Properties | |||||||
Real Estate Properties [Line Items] | |||||||
Number of multi-tenant retail properties acquired | Property | 11,000 | ||||||
Total purchase price | 132,000,000 | ||||||
Additional depreciation and amortization | 4,200,000 | ||||||
Number of non-core properties sold | Property | 1 | 3 | |||||
Properties sold | $ 26,800,000 | $ 12,800,000 | |||||
Gain (loss) on sale of properties | $ 2,000,000 | $ 800,000 | |||||
Multi Tenant Retail Properties | CALIFORNIA | |||||||
Real Estate Properties [Line Items] | |||||||
Total purchase price | $ 37,750,000 |
CRE Debt and Preferred Equity I
CRE Debt and Preferred Equity Investments (Detail) - USD ($) $ in Thousands | Dec. 31, 2016 | Dec. 31, 2015 | |
Real Estate [Line Items] | |||
Carrying Value | [1] | $ 1,084,931 | $ 1,348,817 |
Preferred Equity Interests | |||
Real Estate [Line Items] | |||
Carrying Value | [1] | 8,967 | 121,773 |
Commercial Mortgage | |||
Real Estate [Line Items] | |||
Outstanding Principal | [1] | 975,015 | 1,355,422 |
Carrying Value | [1],[2] | $ 970,505 | $ 1,348,817 |
Percentage of Loan Portfolio | [1],[3] | 100.00% | 100.00% |
Commercial Mortgage | Mezzanine Loans | |||
Real Estate [Line Items] | |||
Outstanding Principal | $ 453,693 | $ 582,592 | |
Carrying Value | [1],[2] | $ 451,467 | $ 578,503 |
Percentage of Loan Portfolio | [3] | 46.50% | 43.00% |
Commercial Mortgage | Senior Mortgages | |||
Real Estate [Line Items] | |||
Outstanding Principal | $ 512,322 | $ 387,314 | |
Carrying Value | [1],[2] | $ 510,071 | $ 385,838 |
Percentage of Loan Portfolio | [3] | 52.60% | 28.60% |
Commercial Mortgage | Senior Securitized Mortgages | |||
Real Estate [Line Items] | |||
Outstanding Principal | [4],[5] | $ 263,072 | |
Carrying Value | [1],[2],[4],[5] | $ 262,703 | |
Percentage of Loan Portfolio | [3],[5] | 0.00% | 19.40% |
Commercial Mortgage | Preferred Equity Interests | |||
Real Estate [Line Items] | |||
Outstanding Principal | $ 9,000 | $ 122,444 | |
Carrying Value | [2] | $ 8,967 | $ 121,773 |
Percentage of Loan Portfolio | [3] | 0.90% | 9.00% |
[1] | Excludes Loans held for sale, net. | ||
[2] | Carrying value includes unamortized origination fees of $4.5 million and $6.9 million as of December 31, 2016 and 2015, respectively. | ||
[3] | Based on outstanding principal. | ||
[4] | Assets of consolidated VIE. | ||
[5] | Assets of consolidated VIEs. |
CRE Debt and Preferred Equity74
CRE Debt and Preferred Equity Investments (Parenthetical) (Detail) - USD ($) $ in Millions | Dec. 31, 2016 | Dec. 31, 2015 |
Real Estate Properties Base Purchase Price [Abstract] | ||
Carrying value, unamortized origination fees | $ 4.5 | $ 6.9 |
CRE Debt and Preferred Equity75
CRE Debt and Preferred Equity Investments -Based on Outstanding Principal (Detail) - USD ($) $ in Thousands | Dec. 31, 2016 | Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | |
Real Estate [Line Items] | |||||
Beginning balance | $ 1,348,817 | $ 1,348,817 | $ 1,518,165 | ||
Originations & advances (principal) | 273,708 | 489,237 | |||
Principal payments | (164,500) | (654,117) | (625,642) | ||
Sales (principal) | (46,945) | ||||
Amortization & accretion of (premium) discounts | (314) | 143 | |||
Net (increase) decrease in origination fees | (2,558) | (8,787) | |||
Amortization of net origination fees | 4,967 | 4,263 | $ 4,917 | ||
Transfers | 18,500 | ||||
Net carrying value | [1] | 1,084,931 | 1,084,931 | 1,348,817 | |
Preferred Equity Interests | |||||
Real Estate [Line Items] | |||||
Beginning balance | 121,773 | 121,773 | 212,905 | ||
Principal payments | (113,444) | (92,210) | |||
Amortization & accretion of (premium) discounts | 517 | ||||
Amortization of net origination fees | 638 | 561 | |||
Net carrying value | [1] | 8,967 | 8,967 | 121,773 | |
Commercial Mortgage | |||||
Real Estate [Line Items] | |||||
Net carrying value | [1],[2] | 970,505 | 970,505 | 1,348,817 | |
Commercial Mortgage | Mezzanine Loans | |||||
Real Estate [Line Items] | |||||
Beginning balance | 578,503 | 578,503 | 522,731 | ||
Originations & advances (principal) | 62,390 | 195,312 | |||
Principal payments | (191,291) | (153,693) | |||
Amortization & accretion of (premium) discounts | (178) | (232) | |||
Net (increase) decrease in origination fees | (472) | (4,806) | |||
Amortization of net origination fees | 2,515 | 691 | |||
Transfers | 18,500 | ||||
Net carrying value | [1],[2] | 451,467 | 451,467 | 578,503 | |
Commercial Mortgage | Senior Mortgages | |||||
Real Estate [Line Items] | |||||
Beginning balance | 385,838 | 385,838 | 383,895 | ||
Originations & advances (principal) | 211,318 | 293,925 | |||
Principal payments | (86,310) | (243,270) | |||
Sales (principal) | (46,945) | ||||
Amortization & accretion of (premium) discounts | (136) | (142) | |||
Net (increase) decrease in origination fees | (2,086) | (3,702) | |||
Amortization of net origination fees | 1,447 | 2,077 | |||
Net carrying value | [1],[2] | 510,071 | 510,071 | 385,838 | |
Commercial Mortgage | Senior Securitized Mortgages | |||||
Real Estate [Line Items] | |||||
Beginning balance | [3] | 262,703 | 262,703 | 398,634 | |
Principal payments | [3] | (263,072) | (136,469) | ||
Net (increase) decrease in origination fees | [3] | (279) | |||
Amortization of net origination fees | [3] | 369 | 817 | ||
Net carrying value | [1],[2],[3],[4] | 262,703 | |||
Commercial Mortgage | Preferred Equity Interests | |||||
Real Estate [Line Items] | |||||
Net carrying value | [2] | $ 8,967 | $ 8,967 | $ 121,773 | |
[1] | Excludes Loans held for sale, net. | ||||
[2] | Carrying value includes unamortized origination fees of $4.5 million and $6.9 million as of December 31, 2016 and 2015, respectively. | ||||
[3] | Assets of consolidated VIE. | ||||
[4] | Assets of consolidated VIEs. |
Internal CRE Debt and Preferred
Internal CRE Debt and Preferred Equity Ratings (Detail) - Commercial Mortgage - USD ($) $ in Thousands | Dec. 31, 2016 | Dec. 31, 2015 | |
Real Estate [Line Items] | |||
Performing | $ 398,771 | $ 520,263 | |
Performing Closely Monitored | 413,487 | 600,561 | |
Performing Special Mention | 162,757 | 234,598 | |
Internal Rating Substandard | 0 | 0 | |
Doubtful | 0 | 0 | |
Loss | 0 | 0 | |
Total | [1] | 975,015 | 1,355,422 |
Mezzanine Loans | |||
Real Estate [Line Items] | |||
Performing | 254,337 | 342,493 | |
Performing Closely Monitored | 170,039 | 219,969 | |
Performing Special Mention | 29,317 | 20,130 | |
Internal Rating Substandard | 0 | 0 | |
Doubtful | 0 | 0 | |
Loss | 0 | 0 | |
Total | 453,693 | 582,592 | |
Senior Mortgages | |||
Real Estate [Line Items] | |||
Performing | 144,434 | 71,000 | |
Performing Closely Monitored | 243,448 | 283,148 | |
Performing Special Mention | 124,440 | 33,166 | |
Internal Rating Substandard | 0 | 0 | |
Doubtful | 0 | 0 | |
Loss | 0 | 0 | |
Total | 512,322 | 387,314 | |
Senior Securitized Mortgages | |||
Real Estate [Line Items] | |||
Performing | [2] | 106,770 | |
Performing Closely Monitored | [2] | 15,500 | |
Performing Special Mention | [2] | 140,802 | |
Internal Rating Substandard | [2] | 0 | |
Doubtful | [2] | 0 | |
Loss | [2] | 0 | |
Total | [2],[3] | 263,072 | |
Preferred Equity Interests | |||
Real Estate [Line Items] | |||
Performing Closely Monitored | 81,944 | ||
Performing Special Mention | 9,000 | 40,500 | |
Internal Rating Substandard | 0 | 0 | |
Doubtful | 0 | 0 | |
Loss | 0 | 0 | |
Total | $ 9,000 | $ 122,444 | |
[1] | Excludes Loans held for sale, net. | ||
[2] | Assets of consolidated VIE. | ||
[3] | Assets of consolidated VIEs. |
Summary of Acquisitions of Real
Summary of Acquisitions of Real Estate Held for Investment (Detail) $ in Thousands | 12 Months Ended | |
Dec. 31, 2016USD ($) | ||
Multi Tenant Retail Properties | ||
Real Estate [Line Items] | ||
Original Purchase Price | $ 132,000 | |
OHIO | Single Tenant Properties | ||
Real Estate [Line Items] | ||
Date of Acquisition | Jul. 31, 2015 | |
Original Purchase Price | $ 11,000 | |
Remaining Lease Term (Years) | 3 years 10 months 24 days | [1] |
FLORIDA | Multi Tenant Retail Properties | ||
Real Estate [Line Items] | ||
Date of Acquisition | Aug. 31, 2015 | |
Original Purchase Price | $ 18,900 | |
Remaining Lease Term (Years) | 4 years 6 months | [1] |
DISTRICT OF COLUMBIA | Multifamily Property | ||
Real Estate [Line Items] | ||
Date of Acquisition | Oct. 31, 2015 | |
Original Purchase Price | $ 75,000 | |
Remaining Lease Term (Years) | 1 year | [1] |
CALIFORNIA | Multi Tenant Retail Properties | ||
Real Estate [Line Items] | ||
Date of Acquisition | Oct. 31, 2015 | |
Original Purchase Price | $ 37,750 | |
Remaining Lease Term (Years) | 3 years 9 months 18 days | [1] |
TEXAS | ||
Real Estate [Line Items] | ||
Original Purchase Price | $ 131,950 | |
TEXAS | Multi Tenant Retail Properties | ||
Real Estate [Line Items] | ||
Date of Acquisition | Nov. 30, 2015 | |
Original Purchase Price | $ 131,950 | |
Remaining Lease Term (Years) | 4 years 2 months 12 days | [1] |
[1] | As of December 31, 2016. Does not include extension options. |
Aggregate Allocation of Purchas
Aggregate Allocation of Purchase Price (Detail) - TEXAS $ in Thousands | 12 Months Ended |
Dec. 31, 2016USD ($) | |
Real Estate [Line Items] | |
Total purchase price | $ 131,950 |
Real Estate Investment | |
Real Estate [Line Items] | |
Total purchase price | 127,285 |
Above Market Leases | |
Real Estate [Line Items] | |
Total purchase price | 274 |
Land | |
Real Estate [Line Items] | |
Total purchase price | 32,452 |
Building | |
Real Estate [Line Items] | |
Total purchase price | 82,552 |
Site Improvements | |
Real Estate [Line Items] | |
Total purchase price | 5,446 |
Tenant Improvements | |
Real Estate [Line Items] | |
Total purchase price | 6,835 |
Leaseholds and Leasehold Improvements | |
Real Estate [Line Items] | |
Total purchase price | 14,598 |
Below Market Lease Liabilities | |
Real Estate [Line Items] | |
Total purchase price | $ 10,207 |
Total Commercial Real Estate He
Total Commercial Real Estate Held for Investments (Detail) - USD ($) $ in Thousands | Dec. 31, 2016 | Dec. 31, 2015 |
Real estate held for investment, at amortized cost | ||
Real estate held for investment, at amortized cost | $ 448,620 | $ 487,097 |
Less: accumulated depreciation | (34,221) | (16,886) |
Total real estate held for investment, at amortized cost, net | 414,399 | 470,211 |
Equity in unconsolidated joint ventures | 60,168 | 65,735 |
Investments in commercial real estate, net | 474,567 | 535,946 |
Land | ||
Real estate held for investment, at amortized cost | ||
Real estate held for investment, at amortized cost | 112,675 | 113,494 |
Building Improvements | ||
Real estate held for investment, at amortized cost | ||
Real estate held for investment, at amortized cost | $ 335,945 | $ 373,603 |
Minimum Future Rentals to be Re
Minimum Future Rentals to be Received on Noncancelable Operating Leases (Detail) $ in Thousands | Dec. 31, 2016USD ($) |
Leases [Abstract] | |
2,017 | $ 30,441 |
2,018 | 27,225 |
2,019 | 23,231 |
2,020 | 18,635 |
2,021 | 14,554 |
Later years | 26,424 |
Operating Leases, Future Minimum Payments Receivable, Total | $ 140,510 |
Mortgage Loans Payable (Detail)
Mortgage Loans Payable (Detail) - Commercial Mortgage Loan - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2016 | Dec. 31, 2015 | ||
Mortgage Loans on Real Estate [Line Items] | |||
Mortgage Carrying Value | $ 311,636 | $ 334,707 | |
Mortgage Principal | 314,865 | 338,444 | |
Joint Venture | Minimum | |||
Mortgage Loans on Real Estate [Line Items] | |||
Mortgage Carrying Value | 285,993 | 292,658 | |
Mortgage Principal | $ 289,125 | $ 296,325 | |
Interest rate | 4.03% | 2.30% | |
Fixed/Floating Rate | Fixed | ||
Maturity Date | Dec. 31, 2024 | Dec. 31, 2024 | |
Priority | First liens | ||
Joint Venture | Maximum | |||
Mortgage Loans on Real Estate [Line Items] | |||
Interest rate | 4.64% | 4.61% | |
Fixed/Floating Rate | Fixed | ||
Maturity Date | Dec. 31, 2025 | Dec. 31, 2025 | |
Three Thousand One Hundred South Mall | |||
Mortgage Loans on Real Estate [Line Items] | |||
Mortgage Carrying Value | $ 12,261 | $ 12,228 | |
Mortgage Principal | $ 12,350 | $ 12,350 | |
Interest rate | 4.01% | 4.01% | |
Fixed/Floating Rate | Fixed | ||
Maturity Date | Sep. 6, 2019 | Sep. 6, 2019 | |
Priority | First liens | ||
Twelve Thousand One Hundred Fifty-One Jefferson | |||
Mortgage Loans on Real Estate [Line Items] | |||
Mortgage Carrying Value | $ 11,015 | $ 11,012 | |
Mortgage Principal | $ 11,025 | $ 11,025 | |
Interest rate | 3.58% | 3.58% | |
Fixed/Floating Rate | Fixed | ||
Maturity Date | Jun. 6, 2019 | Jun. 6, 2019 | |
Priority | First liens | ||
ARIZONA | |||
Mortgage Loans on Real Estate [Line Items] | |||
Mortgage Carrying Value | $ 16,365 | ||
Mortgage Principal | $ 16,308 | ||
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 | $ 2,367 | $ 2,444 | |
Mortgage Principal | $ 2,365 | $ 2,436 | |
Interest rate | 3.45% | 3.45% | |
Fixed/Floating Rate | [1] | Floating | |
Maturity Date | Mar. 29, 2017 | Mar. 29, 2017 | |
Priority | First liens | ||
[1] | Includes a mortgage with a fixed rate 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 | Dec. 31, 2016USD ($) |
Debt Disclosure [Abstract] | |
2,017 | $ 2,365 |
2,018 | 0 |
2,019 | 23,375 |
2,020 | 0 |
2,021 | 0 |
Later years | 289,125 |
Long-term Debt, Total | $ 314,865 |
Schedule of Industry and Rate S
Schedule of Industry and Rate Sensitivity (Detail) - USD ($) $ in Thousands | Dec. 31, 2016 | Dec. 31, 2015 |
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | $ 773,274 | $ 488,508 |
Commercial Fishing | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 40,600 | 41,979 |
Drugs | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 34,042 | |
Grocery Stores | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 23,761 | |
Home Health Care Services | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 39,205 | 34,432 |
Miscellaneous Business Services | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 84,486 | 74,682 |
Miscellaneous Plastic Products | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 27,036 | 12,697 |
Aircraft and Parts | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 32,067 | |
Computer Programming, Data Processing and Other Computer Related Services | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 146,547 | 73,758 |
Drugs, Drug Proprietaries and Druggists Sundries | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 43,617 | |
Groceries and Related Products | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 14,856 | 28,286 |
Insurance Agents, Brokers and Services | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 77,658 | 29,221 |
Laboratory Apparatus and Analytical, Optical, Measuring, and Controlling Instruments | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 7,475 | |
Management and Public Relations | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 16,493 | |
Medical and Dental Laboratories | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 17,292 | |
Miscellaneous Health and Allied Services, Not Elsewhere Classified | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 9,791 | 9,875 |
Miscellaneous Nonmetallic Minerals, Except Fuels | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 24,688 | 24,666 |
Motor Vehicles and Motor Vehicle Parts and Supplies | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 12,319 | |
Offices and Clinics of Doctors of Medicine | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 83,386 | 61,275 |
Personnel Supply Services | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 36,921 | 7,573 |
Research, Development and Testing Services | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 17,744 | 17,742 |
Schools and Educational Services, Not Elsewhere Classified | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 20,979 | 21,230 |
Surgical, Medical, and Dental Instruments and Supplies | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 13,403 | |
Fixed Rate | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 88,877 | 74,682 |
Fixed Rate | Miscellaneous Business Services | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 84,486 | 74,682 |
Fixed Rate | Insurance Agents, Brokers and Services | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 4,391 | |
Floating Rate | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 684,397 | 413,826 |
Floating Rate | Commercial Fishing | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 40,600 | 41,979 |
Floating Rate | Drugs | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 34,042 | |
Floating Rate | Grocery Stores | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 23,761 | |
Floating Rate | Home Health Care Services | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 39,205 | 34,432 |
Floating Rate | Miscellaneous Plastic Products | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 27,036 | 12,697 |
Floating Rate | Aircraft and Parts | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 32,067 | |
Floating Rate | Computer Programming, Data Processing and Other Computer Related Services | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 146,547 | 73,758 |
Floating Rate | Drugs, Drug Proprietaries and Druggists Sundries | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 43,617 | |
Floating Rate | Groceries and Related Products | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 14,856 | 28,286 |
Floating Rate | Insurance Agents, Brokers and Services | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 73,267 | 29,221 |
Floating Rate | Laboratory Apparatus and Analytical, Optical, Measuring, and Controlling Instruments | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 7,475 | |
Floating Rate | Management and Public Relations | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 16,493 | |
Floating Rate | Medical and Dental Laboratories | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 17,292 | |
Floating Rate | Miscellaneous Health and Allied Services, Not Elsewhere Classified | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 9,791 | 9,875 |
Floating Rate | Miscellaneous Nonmetallic Minerals, Except Fuels | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 24,688 | 24,666 |
Floating Rate | Motor Vehicles and Motor Vehicle Parts and Supplies | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 12,319 | |
Floating Rate | Offices and Clinics of Doctors of Medicine | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 83,386 | 61,275 |
Floating Rate | Personnel Supply Services | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 36,921 | 7,573 |
Floating Rate | Research, Development and Testing Services | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 17,744 | 17,742 |
Floating Rate | Schools and Educational Services, Not Elsewhere Classified | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 20,979 | $ 21,230 |
Floating Rate | Surgical, Medical, and Dental Instruments and Supplies | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | $ 13,403 |
Aggregate Positions in Capital
Aggregate Positions in Capital Structure of Borrowers (Detail) - USD ($) $ in Thousands | Dec. 31, 2016 | Dec. 31, 2015 |
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt, total | $ 773,274 | $ 488,508 |
Subordinated Debt | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt, total | 4,391 | |
First Lien | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt, total | 505,956 | 280,441 |
Second Lien | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt, total | 178,441 | 133,385 |
Corporate Debt Securities | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt, total | $ 84,486 | $ 74,682 |
Variable Interest Entities - Ad
Variable Interest Entities - Additional Information (Detail) | Dec. 31, 2016USD ($) | Feb. 29, 2016USD ($)Loan | Apr. 30, 2015USD ($)Loan | Feb. 28, 2015USD ($)Loan | Jan. 31, 2014USD ($) | Dec. 31, 2016USD ($) | Dec. 31, 2015USD ($) | Jun. 30, 2016USD ($) | |
Variable Interest Entity [Line Items] | |||||||||
Securitization financing transaction, total | [1] | $ 3,655,802,000 | $ 3,655,802,000 | $ 2,540,711,000 | |||||
Securitization financing transaction, variable interest rate | 77.00% | ||||||||
Securitization cost | $ 4,300,000 | ||||||||
Face value | 1,090,015,000 | $ 1,090,015,000 | |||||||
Payments to purchase mortgage loans | 99,590,000 | ||||||||
Exposure to obligations of VIEs | 1,100,000,000 | 1,100,000,000 | |||||||
Gain (Loss) recognized upon initial consolidation | 0 | ||||||||
Contractual principal amount of residential mortgage trust debt | 164,500,000 | 654,117,000 | 625,642,000 | ||||||
Other secured financings | 3,884,708,000 | $ 3,884,708,000 | $ 1,845,048,000 | ||||||
Freddie Mac | Floating Rate Multifamily Mortgage Loans | FREMF 2015-KLSF | |||||||||
Variable Interest Entity [Line Items] | |||||||||
Number of loans in the underlying portfolio | Loan | 11 | ||||||||
Face value | $ 1,400,000,000 | ||||||||
Freddie Mac | Floating Rate Multifamily Mortgage Loans | FREMF 2015-KF07 | |||||||||
Variable Interest Entity [Line Items] | |||||||||
Number of loans in the underlying portfolio | Loan | 40 | ||||||||
Face value | $ 1,200,000,000 | ||||||||
Freddie Mac | Floating Rate Multifamily Mortgage Loans | FREMF 2016-KLH1 | |||||||||
Variable Interest Entity [Line Items] | |||||||||
Number of loans in the underlying portfolio | Loan | 28 | ||||||||
Face value | $ 1,500,000,000 | ||||||||
NLY Commercial Mortgage Trust | |||||||||
Variable Interest Entity [Line Items] | |||||||||
Securitization financing transaction, purchase | 399,500,000 | ||||||||
Securitization financing transaction, total | $ 260,700,000 | ||||||||
Securitization financing transaction, weighted average rate | 65.30% | ||||||||
Securitization financing transaction, variable interest rate | 1.74% | ||||||||
Securitization financing transaction, variable interest rate description | LIBOR plus 1.74% at closing | ||||||||
FREMF Trust | |||||||||
Variable Interest Entity [Line Items] | |||||||||
Exposure to obligations of VIEs | 281,600,000 | $ 281,600,000 | |||||||
Gain (Loss) recognized upon initial consolidation | 0 | ||||||||
Debt issue costs expensed | 800,000 | ||||||||
Mortgage loans, unpaid principal balance | 3,900,000,000 | 3,900,000,000 | |||||||
Loans 90 days or more past due or on nonaccrual status | 0 | 0 | |||||||
Gain (Loss) attributable to instrument- specific credit risk | 0 | ||||||||
FREMF Trust | Freddie Mac | FREMF 2015-KLSF | |||||||||
Variable Interest Entity [Line Items] | |||||||||
Variable interest entity, consolidated, carrying amount, assets | 1,300,000,000 | 1,300,000,000 | |||||||
Variable interest entity, consolidated, carrying amount, liabilities | 1,200,000,000 | 1,200,000,000 | |||||||
Payments to purchase mortgage loans | $ 102,100,000 | ||||||||
FREMF Trust | Freddie Mac | FREMF 2015-KF07 | |||||||||
Variable Interest Entity [Line Items] | |||||||||
Variable interest entity, consolidated, carrying amount, assets | 1,100,000,000 | 1,100,000,000 | |||||||
Variable interest entity, consolidated, carrying amount, liabilities | 1,000,000,000 | 1,000,000,000 | |||||||
Payments to purchase mortgage loans | $ 89,400,000 | ||||||||
FREMF Trust | Freddie Mac | FREMF 2016-KLH1 | |||||||||
Variable Interest Entity [Line Items] | |||||||||
Face value | 112,000,000 | ||||||||
Variable interest entity, consolidated, carrying amount, assets | 1,500,000,000 | 1,500,000,000 | |||||||
Variable interest entity, consolidated, carrying amount, liabilities | 1,400,000,000 | 1,400,000,000 | |||||||
Payments to purchase mortgage loans | 107,600,000 | ||||||||
Discounted value | $ 4,400,000 | ||||||||
Borrower | |||||||||
Variable Interest Entity [Line Items] | |||||||||
Credit facility, maximum borrowing capacity | $ 300,000,000 | ||||||||
Other secured financings | 292,600,000 | 292,600,000 | |||||||
Borrower | Consolidation, Eliminations | |||||||||
Variable Interest Entity [Line Items] | |||||||||
Intercompany receivable | 292,600,000 | 292,600,000 | |||||||
Borrower | Corporate Debt Securities | |||||||||
Variable Interest Entity [Line Items] | |||||||||
Transferred loans pledged as collateral for credit facility | $ 592,900,000 | $ 592,900,000 | |||||||
Pingora | |||||||||
Variable Interest Entity [Line Items] | |||||||||
Variable interest entity, ownership percentage | 100.00% | ||||||||
[1] | Includes securitized debt of consolidated VIEs carried at fair value of $3.7 billion and $2.4 billion at December 31, 2016 and 2015, respectively. |
Statement of Financial Conditio
Statement of Financial Condition of VIEs Reflected in Consolidated Statements of Financial Condition (Detail) - USD ($) $ in Thousands | Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | |||
ASSETS | |||||||
Cash and cash equivalents | $ 1,539,746 | [1] | $ 1,769,258 | [1] | $ 1,741,244 | $ 552,436 | |
Commercial real estate debt investments | [2] | 4,321,739 | 2,911,828 | ||||
Residential mortgages loans | [3] | 342,289 | |||||
Commercial real estate and debt and preferred equity, held for investment | [4] | 970,505 | 1,348,817 | ||||
Mortgage servicing rights | 652,216 | ||||||
Other assets | 333,063 | 119,422 | |||||
Total assets | 87,905,046 | 75,190,893 | |||||
Liabilities | |||||||
Other secured financing | 3,884,708 | 1,845,048 | |||||
Other derivatives, at fair value | 86,437 | 49,963 | |||||
Accrued interest payable | 163,013 | 151,843 | |||||
Total liabilities | 75,329,074 | 63,284,971 | |||||
FREMF Trust | |||||||
ASSETS | |||||||
Cash and cash equivalents | 23,200 | 48,500 | |||||
Commercial real estate debt investments | 3,890,807 | 2,554,023 | |||||
Residential mortgages loans | 165,900 | 0 | |||||
Accrued interest receivable | 8,690 | ||||||
Accrued interest receivable | 4,994 | ||||||
Other assets | 138 | ||||||
Total assets | 3,899,635 | 2,559,017 | |||||
Liabilities | |||||||
Securitized debt (non-recourse) at fair value | 3,609,164 | 2,366,878 | |||||
Accrued interest payable | 4,350 | 4,183 | |||||
Total liabilities | 3,613,514 | 2,371,061 | |||||
NLY Commercial Mortgage Trust | |||||||
ASSETS | |||||||
Cash and cash equivalents | 49,025 | ||||||
Commercial real estate and debt and preferred equity, held for investment | 262,703 | ||||||
Accrued interest receivable | 431 | ||||||
Other assets | 169 | ||||||
Total assets | 312,328 | ||||||
Liabilities | |||||||
Securitized debt (non-recourse) at amortized cost | 173,833 | ||||||
Accrued interest payable | 191 | ||||||
Accounts payable and other liabilities | 290 | ||||||
Total liabilities | $ 174,314 | ||||||
Residential Mortgage Loan Trust | |||||||
ASSETS | |||||||
Residential mortgages loans | 165,869 | ||||||
Accrued interest receivable | 836 | ||||||
Total assets | 166,705 | ||||||
Liabilities | |||||||
Securitized debt (non-recourse) at fair value | 46,638 | ||||||
Accrued interest payable | 107 | ||||||
Accounts payable and other liabilities | 662 | ||||||
Total liabilities | 47,407 | ||||||
Mortgage Servicing Rights Silos | |||||||
ASSETS | |||||||
Cash and cash equivalents | 23,198 | ||||||
Residential mortgages loans | 8,309 | ||||||
Mortgage servicing rights | 652,216 | ||||||
Accrued interest receivable | 9 | ||||||
Other assets | 35,540 | ||||||
Total assets | 719,272 | ||||||
Liabilities | |||||||
Other secured financing | 3,825 | ||||||
Other derivatives, at fair value | 9 | ||||||
Accounts payable and other liabilities | 14,007 | ||||||
Total liabilities | $ 17,841 | ||||||
[1] | Includes cash of consolidated VIEs of $23.2 million and $48.5 million at December 31, 2016 and 2015, respectively. | ||||||
[2] | Includes senior securitized commercial mortgage loans of consolidated VIEs carried at fair value of $3.9 billion and $2.6 billion at December 31, 2016 and 2015, respectively. | ||||||
[3] | Includes securitized residential mortgage loans of a consolidated VIE carried at fair value of $165.9 million and $0 at December 31, 2016 and 2015, respectively. | ||||||
[4] | Includes senior securitized commercial mortgage loans of a consolidated VIE with a carrying value of $0 and $262.7 million carried at amortized cost, at December 31, 2016 and 2015, respectively. |
Statement of Comprehensive Inco
Statement of Comprehensive Income (Loss) of VIEs Reflected in Consolidated Statements of Comprehensive Income (Loss) (Detail) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended | ||||||||||
Dec. 31, 2016 | Sep. 30, 2016 | Jun. 30, 2016 | Mar. 31, 2016 | Dec. 31, 2015 | Sep. 30, 2015 | Jun. 30, 2015 | Mar. 31, 2015 | Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | ||
Net interest income: | ||||||||||||
Interest income | $ 807,022 | $ 558,668 | $ 457,118 | $ 388,143 | $ 576,580 | $ 450,726 | $ 624,277 | $ 519,114 | $ 2,210,951 | $ 2,170,697 | $ 2,632,398 | |
Interest expense | 183,396 | 174,154 | 152,755 | 147,447 | 118,807 | 110,297 | 113,072 | 129,420 | 657,752 | 471,596 | 512,659 | |
Net interest income | $ 623,626 | $ 384,514 | $ 304,363 | $ 240,696 | $ 457,773 | $ 340,429 | $ 511,205 | $ 389,694 | 1,553,199 | 1,699,101 | 2,119,739 | |
Realized gain (loss) on disposal of investments | (12,450) | |||||||||||
Other income (loss) | 44,144 | (13,717) | 44,044 | |||||||||
General and administration expenses | 250,356 | 200,240 | 209,338 | |||||||||
Net income (loss) | 1,432,786 | $ 465,747 | $ (842,279) | |||||||||
FREMF Trust | ||||||||||||
Net interest income: | ||||||||||||
Interest income | 94,991 | |||||||||||
Interest expense | 41,395 | |||||||||||
Net interest income | 53,596 | |||||||||||
Unrealized gain (loss) on investments at fair value | [1] | (412) | ||||||||||
Other income (loss) | (25,290) | |||||||||||
General and administration expenses | 7 | |||||||||||
Net income (loss) | 27,887 | |||||||||||
NLY Commercial Mortgage Trust | ||||||||||||
Net interest income: | ||||||||||||
Interest income | 9,541 | |||||||||||
Interest expense | 2,302 | |||||||||||
Net interest income | 7,239 | |||||||||||
Net income (loss) | 7,239 | |||||||||||
Residential Mortgage Loan Trust | ||||||||||||
Net interest income: | ||||||||||||
Interest income | 2,292 | |||||||||||
Interest expense | 694 | |||||||||||
Net interest income | 1,598 | |||||||||||
Realized gain (loss) on disposal of investments | (505) | |||||||||||
Unrealized gain (loss) on investments at fair value | [1] | (2,280) | ||||||||||
Other income (loss) | (183) | |||||||||||
General and administration expenses | 36 | |||||||||||
Net income (loss) | (1,406) | |||||||||||
Mortgage Servicing Rights Silos | ||||||||||||
Net interest income: | ||||||||||||
Interest income | 129 | |||||||||||
Interest expense | 60 | |||||||||||
Net interest income | 69 | |||||||||||
Realized gain (loss) on disposal of investments | 87 | |||||||||||
Unrealized gain (loss) on investments at fair value | [1] | 129,355 | ||||||||||
Other income (loss) | 59,410 | |||||||||||
General and administration expenses | 2,677 | |||||||||||
Net income (loss) | $ 186,244 | |||||||||||
[1] | Included in Net unrealized gains (losses) on investments measured at fair value through earnings. |
Geographic Concentrations of Cr
Geographic Concentrations of Credit Risk Exceeding 5% of Total Loan Unpaid Principal Balances (Detail) $ in Thousands | 12 Months Ended | |
Dec. 31, 2016USD ($) | ||
Residential Mortgage Loan Trust | ||
Concentration Risk [Line Items] | ||
Principal Balance | $ 164,759 | |
Residential Mortgage Loan Trust | TEXAS | ||
Concentration Risk [Line Items] | ||
Principal Balance | 76,254 | |
Residential Mortgage Loan Trust | NORTH CAROLINA | ||
Concentration Risk [Line Items] | ||
Principal Balance | 16,925 | |
Residential Mortgage Loan Trust | MARYLAND | ||
Concentration Risk [Line Items] | ||
Principal Balance | 10,762 | |
Residential Mortgage Loan Trust | FLORIDA | ||
Concentration Risk [Line Items] | ||
Principal Balance | 10,193 | |
Residential Mortgage Loan Trust | VIRGINIA | ||
Concentration Risk [Line Items] | ||
Principal Balance | 9,362 | |
Residential Mortgage Loan Trust | NEW YORK | ||
Concentration Risk [Line Items] | ||
Principal Balance | $ 41,263 | |
Residential Mortgage Loan Trust | Securitized Loans | Geographic Concentration Risk | ||
Concentration Risk [Line Items] | ||
Percent of Balance | 100.00% | |
Residential Mortgage Loan Trust | Securitized Loans | Geographic Concentration Risk | TEXAS | ||
Concentration Risk [Line Items] | ||
Percent of Balance | 46.30% | |
Residential Mortgage Loan Trust | Securitized Loans | Geographic Concentration Risk | NORTH CAROLINA | ||
Concentration Risk [Line Items] | ||
Percent of Balance | 10.30% | |
Residential Mortgage Loan Trust | Securitized Loans | Geographic Concentration Risk | MARYLAND | ||
Concentration Risk [Line Items] | ||
Percent of Balance | 6.50% | |
Residential Mortgage Loan Trust | Securitized Loans | Geographic Concentration Risk | FLORIDA | ||
Concentration Risk [Line Items] | ||
Percent of Balance | 6.20% | |
Residential Mortgage Loan Trust | Securitized Loans | Geographic Concentration Risk | VIRGINIA | ||
Concentration Risk [Line Items] | ||
Percent of Balance | 5.70% | |
Residential Mortgage Loan Trust | Securitized Loans | Geographic Concentration Risk | NEW YORK | ||
Concentration Risk [Line Items] | ||
Percent of Balance | 25.00% | |
FREMF Trust | ||
Concentration Risk [Line Items] | ||
Principal Balance | $ 3,864,912 | |
FREMF Trust | TEXAS | ||
Concentration Risk [Line Items] | ||
Principal Balance | 682,829 | |
FREMF Trust | NORTH CAROLINA | ||
Concentration Risk [Line Items] | ||
Principal Balance | 537,375 | |
FREMF Trust | MARYLAND | ||
Concentration Risk [Line Items] | ||
Principal Balance | 499,495 | |
FREMF Trust | FLORIDA | ||
Concentration Risk [Line Items] | ||
Principal Balance | 456,441 | |
FREMF Trust | VIRGINIA | ||
Concentration Risk [Line Items] | ||
Principal Balance | 329,250 | |
FREMF Trust | NEW YORK | ||
Concentration Risk [Line Items] | ||
Principal Balance | 280,925 | |
FREMF Trust | PENNSYLVANIA | ||
Concentration Risk [Line Items] | ||
Principal Balance | 225,810 | |
FREMF Trust | OHIO | ||
Concentration Risk [Line Items] | ||
Principal Balance | 197,455 | |
FREMF Trust | Other | ||
Concentration Risk [Line Items] | ||
Principal Balance | $ 655,332 | [1] |
FREMF Trust | Securitized Loans | Geographic Concentration Risk | ||
Concentration Risk [Line Items] | ||
Percent of Balance | 100.00% | |
FREMF Trust | Securitized Loans | Geographic Concentration Risk | TEXAS | ||
Concentration Risk [Line Items] | ||
Percent of Balance | 17.70% | |
FREMF Trust | Securitized Loans | Geographic Concentration Risk | NORTH CAROLINA | ||
Concentration Risk [Line Items] | ||
Percent of Balance | 13.90% | |
FREMF Trust | Securitized Loans | Geographic Concentration Risk | MARYLAND | ||
Concentration Risk [Line Items] | ||
Percent of Balance | 12.90% | |
FREMF Trust | Securitized Loans | Geographic Concentration Risk | FLORIDA | ||
Concentration Risk [Line Items] | ||
Percent of Balance | 11.80% | |
FREMF Trust | Securitized Loans | Geographic Concentration Risk | VIRGINIA | ||
Concentration Risk [Line Items] | ||
Percent of Balance | 8.50% | |
FREMF Trust | Securitized Loans | Geographic Concentration Risk | NEW YORK | ||
Concentration Risk [Line Items] | ||
Percent of Balance | 7.30% | |
FREMF Trust | Securitized Loans | Geographic Concentration Risk | PENNSYLVANIA | ||
Concentration Risk [Line Items] | ||
Percent of Balance | 5.80% | |
FREMF Trust | Securitized Loans | Geographic Concentration Risk | OHIO | ||
Concentration Risk [Line Items] | ||
Percent of Balance | 5.10% | |
FREMF Trust | Securitized Loans | Geographic Concentration Risk | Other | ||
Concentration Risk [Line Items] | ||
Percent of Balance | 17.00% | [1] |
[1] | No individual state greater than 5% |
Fair Value Measurements - Addit
Fair Value Measurements - Additional Information (Detail) - USD ($) | Dec. 31, 2016 | Dec. 31, 2015 |
Fair Value Disclosures [Abstract] | ||
Debt instrument, fair value disclosure | $ 0 | $ 0 |
Fair Value Measurements (Detail
Fair Value Measurements (Detail) - USD ($) $ in Thousands | Dec. 31, 2016 | Dec. 31, 2015 | |
Assets: | |||
Agency mortgage-backed securities | $ 75,589,873 | $ 65,718,224 | |
Non-Agency mortgage-backed securities | 77,715,902 | 67,233,494 | |
Agency debentures | 152,038 | ||
Credit risk transfer securities | 724,722 | 456,510 | |
Non-Agency mortgage-backed securities | 1,401,307 | ||
Mortgage servicing rights | 652,216 | ||
Commercial real estate debt investments | [1] | 4,321,739 | 2,911,828 |
Interest rate swaps | 68,194 | 19,642 | |
Other derivatives | 171,266 | 22,066 | |
Total assets | 83,271,606 | 70,187,030 | |
Liabilities: | |||
Securitized debt of consolidated VIEs | 3,655,802 | 2,366,878 | |
Interest rate swaps | 1,443,765 | 1,677,571 | |
Other derivatives | 86,437 | 49,963 | |
Total liabilities | 5,186,004 | 4,094,412 | |
Non-Agency Mortgage-backed Securities | |||
Assets: | |||
Non-Agency mortgage-backed securities | [2] | 1,401,307 | 906,722 |
Residential Mortgage | |||
Assets: | |||
Residential mortgage loans | 342,289 | ||
Level 1 | |||
Assets: | |||
Other derivatives | 168,209 | 12,443 | |
Total assets | 168,209 | 12,443 | |
Liabilities: | |||
Other derivatives | 24,912 | 32,778 | |
Total liabilities | 24,912 | 32,778 | |
Level 2 | |||
Assets: | |||
Agency mortgage-backed securities | 75,589,873 | 65,718,224 | |
Agency debentures | 152,038 | ||
Credit risk transfer securities | 724,722 | 456,510 | |
Non-Agency mortgage-backed securities | 1,401,307 | ||
Commercial real estate debt investments | 4,321,739 | 2,911,828 | |
Interest rate swaps | 68,194 | 19,642 | |
Other derivatives | 3,057 | 9,623 | |
Total assets | 82,451,181 | 70,174,587 | |
Liabilities: | |||
Securitized debt of consolidated VIEs | 3,655,802 | 2,366,878 | |
Interest rate swaps | 1,443,765 | 1,677,571 | |
Other derivatives | 61,525 | 17,185 | |
Total liabilities | 5,161,092 | 4,061,634 | |
Level 2 | Non-Agency Mortgage-backed Securities | |||
Assets: | |||
Non-Agency mortgage-backed securities | $ 906,722 | ||
Level 2 | Residential Mortgage | |||
Assets: | |||
Residential mortgage loans | 342,289 | ||
Level 3 | |||
Assets: | |||
Mortgage servicing rights | 652,216 | ||
Total assets | $ 652,216 | ||
[1] | Includes senior securitized commercial mortgage loans of consolidated VIEs carried at fair value of $3.9 billion and $2.6 billion at December 31, 2016 and 2015, respectively. | ||
[2] | Includes $88.6 million and $0 at December 31, 2016 and 2015, respectively, of non-Agency mortgage-backed securities in a consolidated VIE pledged as collateral and eliminated from the Company's Consolidated Statements of Financial Condition. |
Information about Significant U
Information about Significant Unobservable Inputs Used for Recurring Fair Value Measurements for Level 3 MSRs (Detail) - Fair Value, Measurements, Recurring - Level 3 - Mortgage Servicing Rights | 12 Months Ended | |
Dec. 31, 2016USD ($) | [1] | |
Minimum | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Unobservable input, discount rate | 10.00% | |
Unobservable input, prepayment rate | 5.10% | |
Unobservable input, delinquency rate | 0.00% | |
Unobservable input, cost to service | $ 83 | |
Maximum | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Unobservable input, discount rate | 15.00% | |
Unobservable input, prepayment rate | 18.80% | |
Unobservable input, delinquency rate | 10.00% | |
Unobservable input, cost to service | $ 152 | |
Weighted Average | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Unobservable input, discount rate | 10.40% | |
Unobservable input, prepayment rate | 8.70% | |
Unobservable input, delinquency rate | 2.30% | |
Unobservable input, cost to service | $ 100 | |
[1] | Represents rates, estimates and assumptions that the Company believes would be used by market participants when valuing these assets. |
Estimated Fair Values for All F
Estimated Fair Values for All Financial Assets and Liabilities (Detail) - USD ($) $ in Thousands | Dec. 31, 2016 | Dec. 31, 2015 | |
Estimate of Fair Value, Fair Value Disclosure | |||
Financial assets: | |||
Commercial loans held for sale, net | $ 114,425 | $ 278,600 | |
Estimate of Fair Value, Fair Value Disclosure | Level 1 | |||
Financial assets: | |||
Cash and cash equivalents | 1,539,746 | 1,769,258 | |
Estimate of Fair Value, Fair Value Disclosure | Level 2 | |||
Financial assets: | |||
Agency mortgage-backed securities | 75,589,873 | 65,718,224 | |
Agency debentures | 152,038 | ||
Credit risk transfer securities | 724,722 | 456,510 | |
Non-Agency mortgage-backed securities | 1,401,307 | 906,722 | |
Commercial real estate debt investments | 4,321,739 | 2,911,828 | |
Corporate debt | 776,310 | 470,894 | |
Interest rate swaps | 68,194 | 19,642 | |
Residential mortgage loans | 342,289 | ||
Financial liabilities: | |||
Securitized debt of consolidated VIEs | 3,655,802 | 2,541,193 | |
Participation sold | 12,827 | 13,138 | |
Interest rate swaps | 1,443,765 | 1,677,571 | |
Estimate of Fair Value, Fair Value Disclosure | Level 3 | |||
Financial assets: | |||
Mortgage servicing rights | 652,216 | ||
Commercial real estate debt and preferred equity, held for investment | 968,824 | 1,350,968 | |
Financial liabilities: | |||
Mortgage payable | 312,442 | 339,849 | |
Estimate of Fair Value, Fair Value Disclosure | Level 1, Level 2 | |||
Financial assets: | |||
Other derivatives | 171,266 | 22,066 | |
Financial liabilities: | |||
Repurchase agreements | 65,256,505 | 56,361,623 | |
Other secured financing | 3,885,430 | 1,846,095 | |
Other derivatives | 86,437 | 49,963 | |
Carrying (Reported) Amount, Fair Value Disclosure | |||
Financial assets: | |||
Commercial loans held for sale, net | 114,425 | 278,600 | |
Carrying (Reported) Amount, Fair Value Disclosure | Level 1 | |||
Financial assets: | |||
Cash and cash equivalents | 1,539,746 | 1,769,258 | |
Carrying (Reported) Amount, Fair Value Disclosure | Level 2 | |||
Financial assets: | |||
Agency mortgage-backed securities | 75,589,873 | 65,718,224 | |
Agency debentures | 152,038 | ||
Credit risk transfer securities | 724,722 | 456,510 | |
Non-Agency mortgage-backed securities | 1,401,307 | 906,722 | |
Residential mortgage loans | 342,289 | ||
Commercial real estate debt investments | 4,321,739 | 2,911,828 | |
Corporate debt | 773,274 | 488,508 | |
Interest rate swaps | [1] | 68,194 | 19,642 |
Financial liabilities: | |||
Securitized debt of consolidated VIEs | 3,655,802 | 2,540,711 | |
Participation sold | 12,869 | 13,286 | |
Interest rate swaps | 1,443,765 | 1,677,571 | |
Carrying (Reported) Amount, Fair Value Disclosure | Level 3 | |||
Financial assets: | |||
Mortgage servicing rights | 652,216 | ||
Commercial real estate debt and preferred equity, held for investment | 970,505 | 1,348,817 | |
Financial liabilities: | |||
Mortgage payable | 311,636 | 334,707 | |
Carrying (Reported) Amount, Fair Value Disclosure | Level 1, Level 2 | |||
Financial assets: | |||
Other derivatives | 171,266 | 22,066 | |
Financial liabilities: | |||
Repurchase agreements | 65,215,810 | 56,230,860 | |
Other secured financing | 3,884,708 | 1,845,048 | |
Other derivatives | 86,437 | 49,963 | |
Agency mortgage-backed securities | 75,589,873 | 65,718,224 | |
Agency debentures | 152,038 | ||
Credit risk transfer securities | 724,722 | 456,510 | |
Non-Agency mortgage-backed securities | 1,401,307 | ||
Residential mortgage loans | [2] | 342,289 | |
Mortgage servicing rights | 652,216 | ||
Commercial real estate debt investments | [3] | 4,321,739 | 2,911,828 |
Interest rate swaps | 68,194 | 19,642 | |
Other derivatives | 171,266 | 22,066 | |
Other secured financing | 3,884,708 | 1,845,048 | |
Securitized debt of consolidated VIEs | [4] | 3,655,802 | 2,540,711 |
Interest rate swaps | 1,443,765 | 1,677,571 | |
Other derivatives | 86,437 | 49,963 | |
Level 1 | |||
Financial assets: | |||
Other derivatives | 168,209 | 12,443 | |
Financial liabilities: | |||
Other derivatives | 24,912 | 32,778 | |
Level 2 | |||
Financial assets: | |||
Agency mortgage-backed securities | 75,589,873 | 65,718,224 | |
Agency debentures | 152,038 | ||
Credit risk transfer securities | 724,722 | 456,510 | |
Non-Agency mortgage-backed securities | 1,401,307 | ||
Commercial real estate debt investments | 4,321,739 | 2,911,828 | |
Interest rate swaps | 68,194 | 19,642 | |
Other derivatives | 3,057 | 9,623 | |
Financial liabilities: | |||
Interest rate swaps | 1,443,765 | 1,677,571 | |
Other derivatives | $ 61,525 | $ 17,185 | |
[1] | Includes a held-to-maturity debt security carried at amortized cost of $84.5 million, with a fair value of $87.8 million, and $74.7 million, with a fair value of $61.3 million, as of December 31, 2016 and 2015, respectively. The bond's stated maturity is May 15, 2020. | ||
[2] | Includes securitized residential mortgage loans of a consolidated VIE carried at fair value of $165.9 million and $0 at December 31, 2016 and 2015, respectively. | ||
[3] | Includes senior securitized commercial mortgage loans of consolidated VIEs carried at fair value of $3.9 billion and $2.6 billion at December 31, 2016 and 2015, respectively. | ||
[4] | Includes securitized debt of consolidated VIEs carried at fair value of $3.7 billion and $2.4 billion at December 31, 2016 and 2015, respectively. |
Estimated Fair Values for All93
Estimated Fair Values for All Financial Assets and Liabilities (Parenthetical) (Detail) - USD ($) $ in Millions | 12 Months Ended | |
Dec. 31, 2016 | Dec. 31, 2015 | |
Fair Value Disclosures [Abstract] | ||
Held-to-maturity debt security, fair value | $ 87.8 | $ 61.3 |
Held-to-maturity debt security, amortized cost | $ 84.5 | $ 74.7 |
Held-to-maturity debt security, stated maturity date | May 15, 2020 |
Secured Financing - Additional
Secured Financing - Additional Information (Detail) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2016 | Dec. 31, 2015 | |
Repurchase Agreements: | ||
Repurchase agreements - outstanding | $ 65,215,810 | $ 56,230,860 |
Repurchase agreements - weighted average effective borrowing rates | 1.64% | 1.83% |
Repurchase agreements - weighted average remaining maturities (in days) | 96 days | 151 days |
Other secured financing long term, amount | $ 3,884,708 | $ 1,845,048 |
Secured financings and interest rate swaps - collateral held, estimated fair value | 74,300,000 | 62,300,000 |
Secured financings and interest rate swaps - collateral held, accrued interest | $ 229,200 | $ 171,700 |
FHLB De Moines | ||
Repurchase Agreements: | ||
Debt weighted average interest rate | 0.76% | 0.59% |
FHLB De Moines | Maturity Period Beyond Three Years | ||
Repurchase Agreements: | ||
Other secured financing long term, amount | $ 3,600,000 | $ 1,400,000 |
Other secured financing short term amount, expiration period | 3 years | 3 years |
FHLB De Moines | Matured Within 90 Days | ||
Repurchase Agreements: | ||
Other secured financing long term, amount | $ 402,800,000 | |
Other secured financing short term amount, expiration period | 90 days |
Repurchase Agreements - Remaini
Repurchase Agreements - Remaining Maturities, Collateral Types and Weighted Average Rate (Detail) - USD ($) $ in Thousands | Dec. 31, 2016 | Dec. 31, 2015 | |
Repurchase Agreements: | |||
Repurchase agreements | $ 65,215,810 | $ 56,230,860 | |
Weighted Average Rate | 1.07% | 0.90% | |
Credit Risk Transfer Securities | |||
Repurchase Agreements: | |||
Repurchase agreements | $ 453,025 | $ 142,853 | |
Non Agency MBS | |||
Repurchase Agreements: | |||
Repurchase agreements | 720,217 | 435,581 | |
Commercial Loan | |||
Repurchase Agreements: | |||
Repurchase agreements | 334,867 | 179,428 | |
Agency Mortgage-backed Securities | |||
Repurchase Agreements: | |||
Repurchase agreements | 63,707,701 | 55,472,998 | |
2 to 29 days | |||
Repurchase Agreements: | |||
Repurchase agreements | $ 30,394,043 | $ 20,467,487 | |
Weighted Average Rate | 0.87% | 0.69% | |
2 to 29 days | Credit Risk Transfer Securities | |||
Repurchase Agreements: | |||
Repurchase agreements | $ 358,972 | $ 83,664 | |
2 to 29 days | Non Agency MBS | |||
Repurchase Agreements: | |||
Repurchase agreements | 377,366 | 260,359 | |
2 to 29 days | Agency Mortgage-backed Securities | |||
Repurchase Agreements: | |||
Repurchase agreements | 29,657,705 | 20,123,464 | |
30 to 59 days | |||
Repurchase Agreements: | |||
Repurchase agreements | $ 11,694,799 | $ 8,023,209 | |
Weighted Average Rate | 1.10% | 0.74% | |
30 to 59 days | Credit Risk Transfer Securities | |||
Repurchase Agreements: | |||
Repurchase agreements | $ 80,139 | $ 59,189 | |
30 to 59 days | Non Agency MBS | |||
Repurchase Agreements: | |||
Repurchase agreements | 241,360 | 65,374 | |
30 to 59 days | Agency Mortgage-backed Securities | |||
Repurchase Agreements: | |||
Repurchase agreements | 11,373,300 | 7,898,646 | |
60 to 89 days | |||
Repurchase Agreements: | |||
Repurchase agreements | $ 7,082,232 | $ 4,125,426 | |
Weighted Average Rate | 1.14% | 0.74% | |
60 to 89 days | Credit Risk Transfer Securities | |||
Repurchase Agreements: | |||
Repurchase agreements | $ 13,914 | ||
60 to 89 days | Non Agency MBS | |||
Repurchase Agreements: | |||
Repurchase agreements | 101,491 | $ 78,833 | |
60 to 89 days | Agency Mortgage-backed Securities | |||
Repurchase Agreements: | |||
Repurchase agreements | 6,966,827 | 4,046,593 | |
90 to 119 days | |||
Repurchase Agreements: | |||
Repurchase agreements | $ 2,063,561 | $ 4,846,580 | |
Weighted Average Rate | 0.89% | 0.60% | |
90 to 119 days | Agency Mortgage-backed Securities | |||
Repurchase Agreements: | |||
Repurchase agreements | $ 2,063,561 | $ 4,846,580 | |
Over 120 days | |||
Repurchase Agreements: | |||
Repurchase agreements | [1] | $ 13,981,175 | $ 18,768,158 |
Weighted Average Rate | [1] | 1.47% | 1.33% |
Over 120 days | Non Agency MBS | |||
Repurchase Agreements: | |||
Repurchase agreements | [1] | $ 31,015 | |
Over 120 days | Commercial Loan | |||
Repurchase Agreements: | |||
Repurchase agreements | [1] | $ 334,867 | 179,428 |
Over 120 days | Agency Mortgage-backed Securities | |||
Repurchase Agreements: | |||
Repurchase agreements | [1] | $ 13,646,308 | $ 18,557,715 |
[1] | Approximately 7% and 15% of the total repurchase agreements had a remaining maturity over 1 year as of December 31, 2016 and December 31, 2015, respectively. |
Repurchase Agreements - Remai96
Repurchase Agreements - Remaining Maturities, Collateral Types and Weighted Average Rate (Parenthetical) (Detail) | Dec. 31, 2016 | Dec. 31, 2015 |
Disclosure of Repurchase Agreements [Abstract] | ||
Percentage of repurchase agreements, with remaining maturity over one year | 7.00% | 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 | 12 Months Ended | |
Dec. 31, 2016 | Dec. 31, 2015 | |
Disclosure of Repurchase Agreements [Abstract] | ||
Gross amounts -reverse repurchase agreements | $ 400,000 | |
Amounts offset - reverse repurchase agreement | (400,000) | |
Netted amounts -reverse repurchase | 0 | $ 0 |
Gross amounts -repurchase agreement | 65,615,810 | 56,230,860 |
Amounts offset -repurchase agreement | (400,000) | |
Netted amounts -repurchase agreement | $ 65,215,810 | $ 56,230,860 |
Summary of Fair Value Informati
Summary of Fair Value Information about Derivative Assets and Liabilities (Detail) - USD ($) $ in Thousands | Dec. 31, 2016 | Dec. 31, 2015 |
Derivatives, Fair Value [Line Items] | ||
Interest rate swaps, at fair value | $ 68,194 | $ 19,642 |
Other derivatives, at fair value | 171,266 | 22,066 |
Derivative assets | 239,460 | 41,708 |
Interest rate swaps, at fair value | 1,443,765 | 1,677,571 |
Other derivatives, at fair value | 86,437 | 49,963 |
Derivative liabilities | 1,530,202 | 1,727,534 |
Futures Contracts | ||
Derivatives, Fair Value [Line Items] | ||
Other derivatives, at fair value | 168,209 | 12,444 |
Other derivatives, at fair value | 24,912 | 32,778 |
Purchase Commitments | ||
Derivatives, Fair Value [Line Items] | ||
Other derivatives, at fair value | 283 | |
Other derivatives, at fair value | 553 | |
TBA Derivatives | ||
Derivatives, Fair Value [Line Items] | ||
Other derivatives, at fair value | 2,774 | 9,622 |
Other derivatives, at fair value | $ 60,972 | $ 17,185 |
Summary of Characteristics of I
Summary of Characteristics of Interest Rate Swaps (Detail) - Interest Rate Swaps - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2016 | Dec. 31, 2015 | ||
Derivative Instruments: | |||
Current Notional | [1] | $ 25,875,665 | $ 30,185,086 |
Weighted Average Pay Rate | [2],[3] | 2.22% | 2.26% |
Weighted Average Receive Rate | [2] | 1.02% | 0.53% |
Weighted Average Years to Maturity | [2] | 6 years 10 months 13 days | 7 years 7 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] | $ 3,444,365 | $ 3,240,436 |
Weighted Average Pay Rate | [2],[3] | 1.37% | 1.85% |
Weighted Average Receive Rate | [2] | 1.00% | 0.36% |
Weighted Average Years to Maturity | [2] | 2 years 8 months 16 days | 1 year 9 months 18 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] | $ 10,590,000 | $ 11,675,000 |
Weighted Average Pay Rate | [2],[3] | 1.92% | 1.82% |
Weighted Average Receive Rate | [2] | 0.99% | 0.55% |
Weighted Average Years to Maturity | [2] | 3 years 11 months 9 days | 4 years 3 months |
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] | $ 8,206,900 | $ 11,635,250 |
Weighted Average Pay Rate | [2],[3] | 2.35% | 2.44% |
Weighted Average Receive Rate | [2] | 1.10% | 0.57% |
Weighted Average Years to Maturity | [2] | 7 years 9 months 26 days | 7 years 11 months 1 day |
Greater than 10 years | |||
Derivative Instruments: | |||
Derivative Instruments minimum maturity period | 10 years | 10 years | |
Current Notional | [1] | $ 3,634,400 | $ 3,634,400 |
Weighted Average Pay Rate | [2],[3] | 3.70% | 3.70% |
Weighted Average Receive Rate | [2] | 0.83% | 0.43% |
Weighted Average Years to Maturity | [2] | 18 years 4 months 10 days | 19 years 4 months 13 days |
[1] | There were no forward starting swaps as of December 31, 2016. Notional amount includes $500.0 million in forward starting pay fixed swaps as of December 31, 2015. | ||
[2] | Excludes forward starting swaps. | ||
[3] | There were no forward starting swaps as of December 31, 2016. Weighted average fixed rate on forward starting pay fixed swaps was 1.44% as of December 31, 2015. |
Summary of Characteristics o100
Summary of Characteristics of Interest Rate Swaps (Parenthetical) (Detail) - Forward Starting Pay Fixed Swaps - USD ($) | Dec. 31, 2016 | Dec. 31, 2015 |
Derivative Instruments: | ||
Notional amount | $ 0 | $ 500,000,000 |
Weighted average fixed rate | 0.00% | 1.44% |
Summary of Characteristics of T
Summary of Characteristics of TBA Derivatives (Detail) - TBA Derivatives - Long - USD ($) | 12 Months Ended | |
Dec. 31, 2016 | Dec. 31, 2015 | |
Derivative Instruments: | ||
Notional | $ 11,223,000,000 | $ 13,761,000,000 |
Implied Cost Basis | 11,495,514,000 | 14,177,338,000 |
Implied Market Value | 11,437,316,000 | 14,169,775,000 |
Carrying Value | $ (58,198,000) | $ (7,563,000) |
Summary of Certain Characterist
Summary of Certain Characteristics of Futures Derivatives (Detail) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2016 | Dec. 31, 2015 | |
Swap Equivalent Eurodollar Futures Contract | 2 Year | ||
Derivative Instruments: | ||
Derivative Instruments, maturity period | 2 years | 2 years |
Weighted Average Years to Maturity | 2 years | 2 years |
Swap Equivalent Eurodollar Futures Contract | Short | 2 Year | ||
Derivative Instruments: | ||
Notional | $ 14,968,250 | $ 7,000,000 |
U.S. Treasury Futures | 5 Year | ||
Derivative Instruments: | ||
Derivative Instruments, maturity period | 5 years | 5 years |
Weighted Average Years to Maturity | 4 years 5 months 1 day | 4 years 5 months 1 day |
U.S. Treasury Futures | 10 Year and Greater | ||
Derivative Instruments: | ||
Derivative Instruments minimum maturity period | 10 years | 10 years |
Weighted Average Years to Maturity | 8 years 4 months 21 days | 6 years 11 months 1 day |
U.S. Treasury Futures | Short | 5 Year | ||
Derivative Instruments: | ||
Notional | $ 1,697,200 | $ 1,847,200 |
U.S. Treasury Futures | Short | 10 Year and Greater | ||
Derivative Instruments: | ||
Notional | $ 2,250,000 | $ 655,600 |
Futures Contracts | ||
Derivative Instruments: | ||
Weighted Average Years to Maturity | 2 years 11 months 23 days | 2 years 9 months 22 days |
Futures Contracts | Short | ||
Derivative Instruments: | ||
Notional | $ 18,915,450 | $ 9,502,800 |
Offsetting of Derivative Assets
Offsetting of Derivative Assets and Liabilities (Detail) - USD ($) $ in Thousands | Dec. 31, 2016 | Dec. 31, 2015 |
Offsetting Assets [Line Items] | ||
Gross Amounts, Liabilities | $ 86,437 | $ 49,963 |
Futures Contracts | ||
Offsetting Assets [Line Items] | ||
Gross Amounts, Assets | 168,209 | 12,443 |
Amounts Eligible for Offset -Financial Instruments, Assets | (24,912) | (10,868) |
Amounts Eligible for Offset-Cash Collateral, Assets | 0 | 0 |
Net Amounts, Assets | 143,297 | 1,575 |
Gross Amounts, Liabilities | 24,912 | 32,778 |
Amounts Eligible for Offset-Financial Instruments, Liabilities | (24,912) | (10,868) |
Amounts Eligible for Offset -Cash Collateral, Liabilities | (21,910) | |
Purchase Commitments | ||
Offsetting Assets [Line Items] | ||
Gross Amounts, Assets | 283 | |
Amounts Eligible for Offset-Cash Collateral, Assets | 0 | |
Net Amounts, Assets | 283 | |
Gross Amounts, Liabilities | 553 | |
Net Amounts, Liabilities | 553 | |
Interest Rate Swaps | ||
Offsetting Assets [Line Items] | ||
Gross Amounts, Assets | 68,194 | 19,642 |
Amounts Eligible for Offset -Financial Instruments, Assets | (68,194) | (18,040) |
Amounts Eligible for Offset-Cash Collateral, Assets | 0 | 0 |
Net Amounts, Assets | 1,602 | |
Gross Amounts, Liabilities | 1,443,765 | 1,677,571 |
Amounts Eligible for Offset-Financial Instruments, Liabilities | (68,194) | (18,040) |
Amounts Eligible for Offset -Cash Collateral, Liabilities | (768,877) | (913,576) |
Net Amounts, Liabilities | 606,694 | 745,955 |
TBA Derivatives | ||
Offsetting Assets [Line Items] | ||
Gross Amounts, Assets | 2,774 | 9,622 |
Amounts Eligible for Offset -Financial Instruments, Assets | (2,172) | (7,367) |
Amounts Eligible for Offset-Cash Collateral, Assets | 0 | 0 |
Net Amounts, Assets | 602 | 2,255 |
Gross Amounts, Liabilities | 60,972 | 17,185 |
Amounts Eligible for Offset-Financial Instruments, Liabilities | (2,172) | (7,367) |
Net Amounts, Liabilities | $ 58,800 | $ 9,818 |
Derivative Instruments - Effect
Derivative Instruments - Effect of Interest Rate Swaps on Consolidated Statements of Comprehensive Income (Loss) (Detail) - USD ($) $ in Thousands | 12 Months Ended | |||
Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | ||
Derivative Instruments and Hedging Activities Disclosure [Abstract] | ||||
Realized gains (losses) on interest rate swaps | [1],[2] | $ (506,681) | $ (624,495) | $ (825,360) |
Realized gain (losses) on termination of interest rate swaps | (113,941) | (226,462) | (779,333) | |
Unrealized gains (losses) on interest rate swaps | $ 282,190 | $ (124,869) | $ (948,755) | |
[1] | Consists of interest expense on interest rate swaps. | |||
[2] | Interest expense related to 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 | 12 Months Ended | ||
Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | |
Derivative Instruments: | |||
Unrealized Gain (Loss) | $ 282,190 | $ (124,869) | $ (948,755) |
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Trading Assets | 230,582 | 29,646 | |
U.S. Treasury Futures | |||
Derivative Instruments: | |||
Realized Gain (Loss) | (51,148) | (47,394) | |
Unrealized Gain (Loss) | 163,631 | (16,681) | |
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Trading Assets | 112,483 | (64,075) | |
Purchase Commitments | |||
Derivative Instruments: | |||
Unrealized Gain (Loss) | (123) | ||
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Trading Assets | (123) | ||
TBA Derivatives | |||
Derivative Instruments: | |||
Realized Gain (Loss) | 164,008 | 102,408 | |
Unrealized Gain (Loss) | (50,636) | (3,305) | |
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Trading Assets | 113,372 | 99,103 | |
Interest Rate Swaption | |||
Derivative Instruments: | |||
Realized Gain (Loss) | 4,850 | (41,016) | |
Unrealized Gain (Loss) | 35,634 | ||
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Trading Assets | $ 4,850 | $ (5,382) |
Derivative Instruments - Additi
Derivative Instruments - Additional Information (Detail) $ in Billions | Dec. 31, 2016USD ($) |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Derivative instruments, net liability position, aggregate fair value | $ 1.3 |
Convertible Senior Notes - Addi
Convertible Senior Notes - Additional Information (Detail) - USD ($) $ in Thousands | 1 Months Ended | 12 Months Ended | ||||
Feb. 28, 2015 | May 31, 2012 | Dec. 31, 2015 | Dec. 31, 2010 | May 31, 2015 | Dec. 31, 2012 | |
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 S108
Common Stock and Preferred Stock - Additional Information (Detail) - USD ($) | 12 Months Ended | ||||
Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | Jul. 12, 2016 | Aug. 31, 2015 | |
Class of Stock [Line Items] | |||||
Common Stock, par value | $ 0.01 | $ 0.01 | |||
Common Stock, shares authorized | 1,945,437,500 | 1,945,437,500 | |||
Common Stock, shares issued | 1,018,913,249 | 935,929,561 | |||
Common Stock, shares outstanding | 1,018,913,249 | 935,929,561 | |||
Options exercised under incentive plans, shares | 0 | 0 | |||
Direct purchase and dividend reinvestment program - value raised | $ 2,362,000 | $ 2,246,000 | $ 2,370,000 | ||
Direct purchase and dividend reinvestment program - issued shares | 228,000 | 221,000 | 210,000 | ||
Common stock repurchase program, authorized amount | $ 1,000,000,000 | ||||
Common stock repurchase program, repurchased share | 11,132,226 | ||||
Common stock repurchase program, repurchased value | $ 102,700,000 | ||||
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 | 2012-03 | ||||
Number of common shares authorized for issuance under the Distribution Agency Agreement | 125,000,000 | 125,000,000 | 125,000,000 | ||
7.875% Series A Cumulative Redeemable Preferred Stock | |||||
Class of Stock [Line Items] | |||||
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 | |||
Preferred Stock, par value | $ 0.01 | $ 0.01 | |||
Preferred Stock liquidation preference, per share | $ 25 | $ 25 | |||
Preferred Stock dividend rate, percentage | 7.875% | 7.875% | |||
Preferred Stock redeemable price, per share | $ 25 | $ 25 | |||
Preferred Stock redemption date | Apr. 5, 2009 | ||||
7.625% Series C Cumulative Redeemable Preferred Stock | |||||
Class of Stock [Line Items] | |||||
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 | |||
Preferred Stock, par value | $ 0.01 | $ 0.01 | |||
Preferred Stock liquidation preference, per share | $ 25 | $ 25 | |||
Preferred Stock dividend rate, percentage | 7.625% | 7.625% | |||
Preferred Stock redeemable price, per share | $ 25 | $ 25 | |||
Preferred Stock redemption date | May 16, 2017 | ||||
7.50% Series D Cumulative Redeemable Preferred Stock | |||||
Class of Stock [Line Items] | |||||
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 | |||
Preferred Stock, par value | $ 0.01 | $ 0.01 | |||
Preferred Stock liquidation preference, per share | $ 25 | $ 25 | |||
Preferred Stock dividend rate, percentage | 7.50% | 7.50% | |||
Preferred Stock redeemable price, per share | $ 25 | $ 25 | |||
Preferred Stock redemption date | Sep. 13, 2017 | ||||
7.625% Series E Cumulative Redeemable Preferred Stock | |||||
Class of Stock [Line Items] | |||||
Preferred Stock, shares authorized | 11,500,000 | 11,500,000 | |||
Preferred Stock, shares issued | 11,500,000 | 11,500,000 | |||
Preferred Stock, shares outstanding | 11,500,000 | 11,500,000 | |||
Preferred Stock, par value | $ 0.01 | $ 0.01 | |||
Preferred Stock liquidation preference, per share | $ 25 | ||||
Preferred Stock dividend rate, percentage | 7.625% | ||||
Preferred Stock redeemable price, per share | $ 25 | ||||
Preferred Stock redemption date | Aug. 27, 2017 | ||||
6.00% Series B Cumulative Convertible Preferred Stock | |||||
Class of Stock [Line Items] | |||||
Preferred Stock, shares authorized | 4,600,000 |
Summary of Dividend Distributio
Summary of Dividend Distribution Activity (Detail) - USD ($) $ / shares in Units, $ in Thousands | 12 Months Ended | ||
Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | |
Class of Stock [Line Items] | |||
Distributions declared to common stockholders | $ 1,162,897 | $ 1,133,768 | $ 1,137,079 |
Distributions declared per common share | $ 1.20 | $ 1.20 | $ 1.2 |
Distributions paid to common stockholders after period end | $ 305,674 | $ 280,779 | |
Distributions paid per common share after period end | $ 0.30 | $ 0.30 | |
Date of distributions paid to common stockholders after period end | Jan. 31, 2017 | Jan. 29, 2016 | |
7.875% Series A Cumulative Redeemable Preferred Stock | |||
Class of Stock [Line Items] | |||
Preferred dividends declared | $ 14,593 | $ 14,593 | $ 14,593 |
Preferred series dividends declared, per share | $ 1.97 | $ 1.97 | $ 1.97 |
7.625% Series C Cumulative Redeemable Preferred Stock | |||
Class of Stock [Line Items] | |||
Preferred dividends declared | $ 22,875 | $ 22,875 | $ 22,875 |
Preferred series dividends declared, per share | $ 1.91 | $ 1.91 | $ 1.91 |
7.50% Series D Cumulative Redeemable Preferred Stock | |||
Class of Stock [Line Items] | |||
Preferred dividends declared | $ 34,500 | $ 34,500 | $ 34,500 |
Preferred series dividends declared, per share | $ 1.88 | $ 1.88 | $ 1.88 |
7.625% Series E Cumulative Redeemable Preferred Stock | |||
Class of Stock [Line Items] | |||
Preferred dividends declared | $ 10,292 | ||
Preferred series dividends declared, per share | $ 0.95 |
Components of Company's Interes
Components of Company's Interest Income and Interest Expense (Detail) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended | ||||||||||
Dec. 31, 2016 | Sep. 30, 2016 | Jun. 30, 2016 | Mar. 31, 2016 | Dec. 31, 2015 | Sep. 30, 2015 | Jun. 30, 2015 | Mar. 31, 2015 | Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | ||
Interest income: | ||||||||||||
Residential Investment Securities | $ 1,944,457 | $ 1,963,629 | $ 2,467,783 | |||||||||
Residential mortgage loans | 4,147 | |||||||||||
Commercial investment portfolio | [1] | 252,436 | 203,804 | 161,837 | ||||||||
U.S. Treasury securities | 1,329 | |||||||||||
Securities loaned | 114 | |||||||||||
Reverse repurchase agreements | 9,911 | 3,264 | 1,335 | |||||||||
Total interest income | $ 807,022 | $ 558,668 | $ 457,118 | $ 388,143 | $ 576,580 | $ 450,726 | $ 624,277 | $ 519,114 | 2,210,951 | 2,170,697 | 2,632,398 | |
Interest expense: | ||||||||||||
Repurchase agreements | 585,826 | 420,325 | 417,194 | |||||||||
Convertible Senior Notes | 29,740 | 87,293 | ||||||||||
U.S. Treasury securities sold, not yet purchased | 1,076 | |||||||||||
Securities borrowed | 95 | |||||||||||
Securitized debt of consolidated VIEs | 44,392 | 20,065 | 6,350 | |||||||||
Participation sold | 627 | 639 | 651 | |||||||||
Other | 26,907 | 827 | ||||||||||
Total interest expense | 183,396 | 174,154 | 152,755 | 147,447 | 118,807 | 110,297 | 113,072 | 129,420 | 657,752 | 471,596 | 512,659 | |
Net interest income | $ 623,626 | $ 384,514 | $ 304,363 | $ 240,696 | $ 457,773 | $ 340,429 | $ 511,205 | $ 389,694 | $ 1,553,199 | $ 1,699,101 | $ 2,119,739 | |
[1] | Includes commercial real estate debt, preferred equity and corporate debt. |
Goodwill - Additional Informati
Goodwill - Additional Information (Detail) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2015 | Dec. 31, 2016 | |
Goodwill and Intangible Assets Disclosure [Abstract] | ||
Goodwill | $ 71,815 | $ 71,815 |
Impairment of goodwill | $ 22,966 |
Schedule of Net Income (Loss) p
Schedule of Net Income (Loss) per Share Reconciliation (Detail) - USD ($) $ / shares in Units, $ in Thousands | 3 Months Ended | 12 Months Ended | |||||||||
Dec. 31, 2016 | Sep. 30, 2016 | Jun. 30, 2016 | Mar. 31, 2016 | Dec. 31, 2015 | Sep. 30, 2015 | Jun. 30, 2015 | Mar. 31, 2015 | Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | |
Earnings Per Share [Abstract] | |||||||||||
Net income (loss) | $ 1,432,786 | $ 465,747 | $ (842,279) | ||||||||
Less: Net income (loss) attributable to noncontrolling interest | $ (87) | $ (336) | $ (385) | $ (162) | $ (373) | $ (197) | $ (149) | $ (90) | (970) | (809) | (196) |
Net income (loss) attributable to Annaly | 1,848,483 | 730,880 | (278,497) | (868,080) | 669,666 | (627,491) | 900,071 | (476,499) | 1,433,756 | 466,556 | (842,083) |
Less: Dividends on preferred stock | 23,473 | 22,803 | 17,992 | 17,992 | 17,992 | 17,992 | 17,992 | 17,992 | 82,260 | 71,968 | 71,968 |
Net income (loss) per share available (related) to common stockholders, prior to adjustment for dilutive potential common shares, if necessary | $ 1,825,097 | $ 708,413 | $ (296,104) | $ (885,910) | $ 652,047 | $ (645,286) | $ 882,228 | $ (494,401) | 1,351,496 | 394,588 | (914,051) |
Add: Interest on Convertible Senior Notes, if dilutive | 0 | 0 | 0 | ||||||||
Net income (loss) available to common stockholders, as adjusted | $ 1,351,496 | $ 394,588 | $ (914,051) | ||||||||
Weighted average shares of common stock outstanding-basic | 969,787,583 | 947,062,099 | 947,539,294 | ||||||||
Add: Effect of stock awards and Convertible Senior Notes, if dilutive | 314,770 | 214,643 | |||||||||
Weighted average shares of common stock outstanding-diluted | 970,102,353 | 947,276,742 | 947,539,294 | ||||||||
Net income (loss) per share available (related) to common share: | |||||||||||
Basic | $ 1.79 | $ 0.70 | $ (0.32) | $ (0.96) | $ 0.69 | $ (0.68) | $ 0.93 | $ (0.52) | $ 1.39 | $ 0.42 | $ (0.96) |
Diluted | $ 1.79 | $ 0.70 | $ (0.32) | $ (0.96) | $ 0.69 | $ (0.68) | $ 0.93 | $ (0.52) | $ 1.39 | $ 0.42 | $ (0.96) |
Net Income Per Common Share - A
Net Income Per Common Share - Additional Information (Detail) - shares shares in Millions | 12 Months Ended | ||
Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | |
Earnings Per Share [Abstract] | |||
Options to purchase common stock outstanding that would be considered anti-dilutive | 1.1 | 1.2 | 2.3 |
Long-Term Stock Incentive Plans
Long-Term Stock Incentive Plans - Additional Information (Detail) - USD ($) | 12 Months Ended | |
Dec. 31, 2016 | Dec. 31, 2015 | |
Long-Term Stock Incentive Plans: | ||
Weighted average remaining contractual term of stock options outstanding, years | 1 year 6 months | 2 years 4 months 24 days |
Weighted average remaining contractual term of stock options exercisable, years | 1 year 6 months | 2 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 | 12 Months Ended | |
Dec. 31, 2016 | Dec. 31, 2015 | |
Disclosure of Compensation Related Costs, Share-based Payments [Abstract] | ||
Options outstanding at the beginning of year | 1,168,775 | 2,259,335 |
Granted | 0 | 0 |
Exercised | 0 | 0 |
Forfeited | (6,400) | (795,810) |
Expired | (36,750) | (294,750) |
Options outstanding at the end of period | 1,125,625 | 1,168,775 |
Options exercisable at the end of the period | 1,125,625 | 1,168,775 |
Options outstanding at the beginning of year, weighted average exercise price | $ 15.34 | $ 15.35 |
Granted | 0 | 0 |
Exercised | 0 | 0 |
Forfeited | 14.69 | 14.72 |
Expired | 12.90 | 17.07 |
Options outstanding at the end of period, weighted average exercise price | 15.43 | 15.34 |
Options exercisable at the end of period, exercise price | $ 15.43 | $ 15.34 |
Income Taxes - Additional Infor
Income Taxes - Additional Information (Detail) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended | |||||||||
Dec. 31, 2016 | Sep. 30, 2016 | Jun. 30, 2016 | Mar. 31, 2016 | Dec. 31, 2015 | Sep. 30, 2015 | Jun. 30, 2015 | Mar. 31, 2015 | Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | |
Income Taxes: | |||||||||||
REIT Taxable income distributed | 100.00% | ||||||||||
Income tax expense (benefit) for income and losses attributable to TRSs | $ 1,244 | $ (1,926) | $ (76) | $ (837) | $ 6,085 | $ (370) | $ (7,683) | $ 14 | $ (1,595) | $ (1,954) | $ 5,325 |
Years federal and state tax returns remain open for examination | 2,013 | ||||||||||
Taxable REIT Subsidiary | |||||||||||
Income Taxes: | |||||||||||
Income tax expense (benefit) for income and losses attributable to TRSs | $ (1,800) | $ (1,900) | $ 5,900 |
Lease Commitments and Contin117
Lease Commitments and Contingencies - Additional Information (Detail) - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | |
Leases [Abstract] | |||
Aggregate future net minimum lease payments | $ 32.9 | ||
Lease expense | $ 3.1 | $ 2.9 | $ 3 |
Lease Commitments and Contin118
Lease Commitments and Contingencies (Detail) $ in Thousands | Dec. 31, 2016USD ($) |
Commitments and Contingencies Disclosure [Abstract] | |
Lease Commitment - 2017 | $ 3,697 |
Lease Commitment - 2018 | 3,641 |
Lease Commitment - 2019 | 3,565 |
Lease Commitment - 2020 | 3,652 |
Lease Commitment - 2021 | 3,862 |
Lease Commitment - Later years | 14,481 |
Aggregate future minimum lease payments | $ 32,898 |
RCap Regulatory Requirements -
RCap Regulatory Requirements - Additional Information (Detail) | Dec. 31, 2016USD ($) |
Regulatory Capital Requirements [Abstract] | |
Minimum net capital requirement | $ 300,000 |
Regulatory net capital | 395,500,000 |
Regulatory net capital, excess net capital | $ 395,200,000 |
Related Party Transactions - Ad
Related Party Transactions - Additional Information (Detail) - USD ($) | Aug. 05, 2015 | Nov. 05, 2014 | Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | Aug. 31, 2014 | Aug. 07, 2014 |
Shares repurchased, shares | 11,132,226 | ||||||
Shares repurchased, value | $ 102,700,000 | ||||||
Compensation and management fee | $ 151,599,000 | $ 150,286,000 | $ 155,560,000 | ||||
Amendment Agreement | |||||||
Basis for management fee | Amount equal to 1/12th of 1.05% of our stockholders' equity | ||||||
Term of management agreement expiration date | Dec. 31, 2018 | ||||||
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 | 9,000,000 | ||||||
Shares repurchased, value | $ 126,400,000 | ||||||
Share repurchase agreement expiration period | 2015-08 | ||||||
Advisory fees from affiliate | $ 0 | 24,800,000 | 31,300,000 | ||||
Effective date | Aug. 8, 2014 | ||||||
Management fee percentage | 1.20% | 0.75% | |||||
Management Agreement | |||||||
Compensation and management fee | $ 151,600,000 | 150,300,000 | 155,600,000 | ||||
Management fee payable | 11,200,000 | 12,100,000 | |||||
Management Agreement | Subsidiaries | |||||||
Compensation expense | $ 8,400,000 | $ 7,500,000 | $ 24,200,000 |
Summarized Quarterly Results (D
Summarized Quarterly Results (Detail) - USD ($) $ / shares in Units, $ in Thousands | 3 Months Ended | 12 Months Ended | |||||||||
Dec. 31, 2016 | Sep. 30, 2016 | Jun. 30, 2016 | Mar. 31, 2016 | Dec. 31, 2015 | Sep. 30, 2015 | Jun. 30, 2015 | Mar. 31, 2015 | Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | |
Income Statement [Abstract] | |||||||||||
Interest income | $ 807,022 | $ 558,668 | $ 457,118 | $ 388,143 | $ 576,580 | $ 450,726 | $ 624,277 | $ 519,114 | $ 2,210,951 | $ 2,170,697 | $ 2,632,398 |
Interest expense | 183,396 | 174,154 | 152,755 | 147,447 | 118,807 | 110,297 | 113,072 | 129,420 | 657,752 | 471,596 | 512,659 |
Net interest income | 623,626 | 384,514 | 304,363 | 240,696 | 457,773 | 340,429 | 511,205 | 389,694 | 1,553,199 | 1,699,101 | 2,119,739 |
Total realized and unrealized gains (losses) | 1,250,636 | 412,906 | (523,785) | (1,055,553) | 276,261 | (909,158) | 440,545 | (828,999) | 84,204 | (1,021,351) | (2,791,399) |
Total other income (loss) | 30,918 | 29,271 | (9,930) | (6,115) | (10,447) | (9,675) | (7,353) | 13,758 | |||
Less: Total general and administrative expenses | 55,453 | 97,737 | 49,221 | 47,945 | 47,836 | 49,457 | 52,009 | 50,938 | |||
Income (loss) before income taxes and noncontrolling interest | 1,849,727 | 728,954 | (278,573) | (868,917) | 675,751 | (627,861) | 892,388 | (476,485) | 1,431,191 | 463,793 | (836,954) |
Less: Income taxes | 1,244 | (1,926) | (76) | (837) | 6,085 | (370) | (7,683) | 14 | (1,595) | (1,954) | 5,325 |
Net income (loss) | 1,848,483 | 730,880 | (278,497) | (868,080) | 669,666 | (627,491) | 900,071 | (476,499) | 1,433,756 | 466,556 | (842,083) |
Less: Net income attributable to noncontrolling interest | (87) | (336) | (385) | (162) | (373) | (197) | (149) | (90) | (970) | (809) | (196) |
Less: Dividends on preferred stock | 23,473 | 22,803 | 17,992 | 17,992 | 17,992 | 17,992 | 17,992 | 17,992 | 82,260 | 71,968 | 71,968 |
Net income (loss) available (related) to common stockholders | $ 1,825,097 | $ 708,413 | $ (296,104) | $ (885,910) | $ 652,047 | $ (645,286) | $ 882,228 | $ (494,401) | $ 1,351,496 | $ 394,588 | $ (914,051) |
Net income (loss) available (related) per share to common stockholders: | |||||||||||
Basic | $ 1.79 | $ 0.70 | $ (0.32) | $ (0.96) | $ 0.69 | $ (0.68) | $ 0.93 | $ (0.52) | $ 1.39 | $ 0.42 | $ (0.96) |
Diluted | $ 1.79 | $ 0.70 | $ (0.32) | $ (0.96) | $ 0.69 | $ (0.68) | $ 0.93 | $ (0.52) | $ 1.39 | $ 0.42 | $ (0.96) |
Schedule III - Real Estate a122
Schedule III - Real Estate and Accumulated Depreciation (Detail) $ in Thousands | 12 Months Ended | |
Dec. 31, 2016USD ($)Property | Dec. 31, 2015USD ($) | |
SEC Schedule III, Real Estate and Accumulated Depreciation [Line Items] | ||
Number of Properties | Property | 27 | |
Encumbrances | $ 314,865 | |
Initial Cost, Land | 113,494 | |
Initial Cost , Buildings and Improvements | 373,603 | |
Cost Capitalized Subsequent to Acquisition, Improvement | 2,881 | |
Cost Capitalized Subsequent to Acquisition, Purchase Price Allocation Adjustments | (4,666) | |
Cost Capitalized Subsequent to Acquisition, Capitalized Costs | 0 | |
Property sold | (36,692) | |
Gross Amounts, Land | 112,675 | |
Gross Amounts, Buildings and Improvements | 335,945 | |
Total | 448,620 | |
Accumulated Depreciation | $ (34,221) | $ (16,886) |
TEXAS | Retail - Carrollton, TX | ||
SEC Schedule III, Real Estate and Accumulated Depreciation [Line Items] | ||
Number of Properties | Property | 1 | |
Encumbrances | $ 12,875 | |
Initial Cost, Land | 3,798 | |
Initial Cost , Buildings and Improvements | 15,192 | |
Cost Capitalized Subsequent to Acquisition, Purchase Price Allocation Adjustments | (348) | |
Cost Capitalized Subsequent to Acquisition, Capitalized Costs | 0 | |
Gross Amounts, Land | 3,970 | |
Gross Amounts, Buildings and Improvements | 14,672 | |
Total | 18,642 | |
Accumulated Depreciation | $ (818) | |
Year of Construction | 1,996 | |
Date Acquired | Nov. 25, 2015 | |
Life (in years) | 39 years | |
TEXAS | Retail - Plano, TX | Group One | ||
SEC Schedule III, Real Estate and Accumulated Depreciation [Line Items] | ||
Number of Properties | Property | 1 | |
Encumbrances | $ 11,817 | |
Initial Cost, Land | 3,486 | |
Initial Cost , Buildings and Improvements | 13,944 | |
Cost Capitalized Subsequent to Acquisition, Purchase Price Allocation Adjustments | (123) | |
Cost Capitalized Subsequent to Acquisition, Capitalized Costs | 0 | |
Gross Amounts, Land | 4,615 | |
Gross Amounts, Buildings and Improvements | 12,692 | |
Total | 17,307 | |
Accumulated Depreciation | $ (811) | |
Year of Construction | 1,994 | |
Date Acquired | Nov. 25, 2015 | |
Life (in years) | 39 years | |
TEXAS | Retail - Grapevine, TX | Group One | ||
SEC Schedule III, Real Estate and Accumulated Depreciation [Line Items] | ||
Number of Properties | Property | 1 | |
Encumbrances | $ 12,692 | |
Initial Cost, Land | 3,744 | |
Initial Cost , Buildings and Improvements | 14,976 | |
Cost Capitalized Subsequent to Acquisition, Purchase Price Allocation Adjustments | (119) | |
Cost Capitalized Subsequent to Acquisition, Capitalized Costs | 0 | |
Gross Amounts, Land | 4,713 | |
Gross Amounts, Buildings and Improvements | 13,888 | |
Total | 18,601 | |
Accumulated Depreciation | $ (728) | |
Year of Construction | 1,998 | |
Date Acquired | Nov. 25, 2015 | |
Life (in years) | 39 years | |
TEXAS | Retail - Flower Mound, TX | Group One | ||
SEC Schedule III, Real Estate and Accumulated Depreciation [Line Items] | ||
Number of Properties | Property | 1 | |
Encumbrances | $ 13,085 | |
Initial Cost, Land | 3,860 | |
Initial Cost , Buildings and Improvements | 15,440 | |
Cost Capitalized Subsequent to Acquisition, Purchase Price Allocation Adjustments | 140 | |
Cost Capitalized Subsequent to Acquisition, Capitalized Costs | 0 | |
Gross Amounts, Land | 4,963 | |
Gross Amounts, Buildings and Improvements | 14,477 | |
Total | 19,440 | |
Accumulated Depreciation | $ (812) | |
Year of Construction | 1,999 | |
Date Acquired | Nov. 25, 2015 | |
Life (in years) | 39 years | |
Retail Site | TEXAS | Retail - Plano, TX | Group Two | ||
SEC Schedule III, Real Estate and Accumulated Depreciation [Line Items] | ||
Number of Properties | Property | 1 | |
Encumbrances | $ 4,638 | |
Initial Cost, Land | 1,366 | |
Initial Cost , Buildings and Improvements | 5,473 | |
Cost Capitalized Subsequent to Acquisition, Purchase Price Allocation Adjustments | (848) | |
Cost Capitalized Subsequent to Acquisition, Capitalized Costs | 0 | |
Gross Amounts, Land | 1,459 | |
Gross Amounts, Buildings and Improvements | 4,533 | |
Total | 5,992 | |
Accumulated Depreciation | $ (698) | |
Year of Construction | 1,995 | |
Date Acquired | Nov. 25, 2015 | |
Life (in years) | 39 years | |
Retail Site | TEXAS | Retail - Plano, TX | Group Three | ||
SEC Schedule III, Real Estate and Accumulated Depreciation [Line Items] | ||
Number of Properties | Property | 0 | |
Initial Cost, Land | $ 500 | |
Initial Cost , Buildings and Improvements | 2,000 | |
Cost Capitalized Subsequent to Acquisition, Purchase Price Allocation Adjustments | (401) | |
Cost Capitalized Subsequent to Acquisition, Capitalized Costs | 0 | |
Property sold | $ (2,099) | |
Year of Construction | 2,000 | |
Date Acquired | Nov. 25, 2015 | |
Life (in years) | 39 years | |
Retail Site | TEXAS | Retail - Grapevine, TX | Group Two | ||
SEC Schedule III, Real Estate and Accumulated Depreciation [Line Items] | ||
Number of Properties | Property | 1 | |
Encumbrances | $ 9,797 | |
Initial Cost, Land | 2,890 | |
Initial Cost , Buildings and Improvements | 11,560 | |
Cost Capitalized Subsequent to Acquisition, Improvement | 15 | |
Cost Capitalized Subsequent to Acquisition, Purchase Price Allocation Adjustments | (561) | |
Cost Capitalized Subsequent to Acquisition, Capitalized Costs | 0 | |
Gross Amounts, Land | 3,931 | |
Gross Amounts, Buildings and Improvements | 9,972 | |
Total | 13,903 | |
Accumulated Depreciation | $ (595) | |
Year of Construction | 1,994 | |
Date Acquired | Nov. 25, 2015 | |
Life (in years) | 39 years | |
Retail Site | TEXAS | Retail - Flower Mound, TX | Group Two | ||
SEC Schedule III, Real Estate and Accumulated Depreciation [Line Items] | ||
Number of Properties | Property | 1 | |
Encumbrances | $ 7,492 | |
Initial Cost, Land | 2,210 | |
Initial Cost , Buildings and Improvements | 8,840 | |
Cost Capitalized Subsequent to Acquisition, Purchase Price Allocation Adjustments | (1,003) | |
Cost Capitalized Subsequent to Acquisition, Capitalized Costs | 0 | |
Gross Amounts, Land | 2,696 | |
Gross Amounts, Buildings and Improvements | 7,351 | |
Total | 10,047 | |
Accumulated Depreciation | $ (613) | |
Year of Construction | 1,992 | |
Date Acquired | Nov. 25, 2015 | |
Life (in years) | 39 years | |
Retail Site | TEXAS | Retail - Flower Mound, TX | Group Three | ||
SEC Schedule III, Real Estate and Accumulated Depreciation [Line Items] | ||
Number of Properties | Property | 1 | |
Encumbrances | $ 8,929 | |
Initial Cost, Land | 2,634 | |
Initial Cost , Buildings and Improvements | 10,536 | |
Cost Capitalized Subsequent to Acquisition, Purchase Price Allocation Adjustments | (1,319) | |
Cost Capitalized Subsequent to Acquisition, Capitalized Costs | 0 | |
Gross Amounts, Land | 3,571 | |
Gross Amounts, Buildings and Improvements | 8,280 | |
Total | 11,851 | |
Accumulated Depreciation | $ (481) | |
Year of Construction | 1,996 | |
Date Acquired | Nov. 25, 2015 | |
Life (in years) | 39 years | |
Retail Site | TEXAS | Retail - Mesquite, TX | ||
SEC Schedule III, Real Estate and Accumulated Depreciation [Line Items] | ||
Number of Properties | Property | 0 | |
Initial Cost, Land | $ 800 | |
Initial Cost , Buildings and Improvements | 3,200 | |
Cost Capitalized Subsequent to Acquisition, Purchase Price Allocation Adjustments | 56 | |
Cost Capitalized Subsequent to Acquisition, Capitalized Costs | 0 | |
Property sold | $ (4,056) | |
Year of Construction | 1,999 | |
Date Acquired | Nov. 25, 2015 | |
Life (in years) | 39 years | |
Retail Site | TEXAS | Retail - Garland, TX | ||
SEC Schedule III, Real Estate and Accumulated Depreciation [Line Items] | ||
Number of Properties | Property | 0 | |
Initial Cost, Land | $ 1,100 | |
Initial Cost , Buildings and Improvements | 4,400 | |
Cost Capitalized Subsequent to Acquisition, Purchase Price Allocation Adjustments | (140) | |
Cost Capitalized Subsequent to Acquisition, Capitalized Costs | 0 | |
Property sold | $ (5,360) | |
Year of Construction | 2,000 | |
Date Acquired | Nov. 25, 2015 | |
Life (in years) | 39 years | |
Retail Site | FLORIDA | ||
SEC Schedule III, Real Estate and Accumulated Depreciation [Line Items] | ||
Number of Properties | Property | 1 | |
Encumbrances | $ 12,750 | |
Initial Cost, Land | 4,973 | |
Initial Cost , Buildings and Improvements | 12,580 | |
Cost Capitalized Subsequent to Acquisition, Improvement | 252 | |
Cost Capitalized Subsequent to Acquisition, Capitalized Costs | 0 | |
Gross Amounts, Land | 4,973 | |
Gross Amounts, Buildings and Improvements | 12,832 | |
Total | 17,805 | |
Accumulated Depreciation | $ (915) | |
Year of Construction | 1,988 | |
Date Acquired | Aug. 14, 2015 | |
Life (in years) | 28 years | |
Retail Site | CALIFORNIA | ||
SEC Schedule III, Real Estate and Accumulated Depreciation [Line Items] | ||
Number of Properties | Property | 1 | |
Encumbrances | $ 25,900 | |
Initial Cost, Land | 9,872 | |
Initial Cost , Buildings and Improvements | 27,654 | |
Cost Capitalized Subsequent to Acquisition, Improvement | 1,026 | |
Cost Capitalized Subsequent to Acquisition, Capitalized Costs | 0 | |
Gross Amounts, Land | 9,872 | |
Gross Amounts, Buildings and Improvements | 28,680 | |
Total | 38,552 | |
Accumulated Depreciation | $ (2,111) | |
Year of Construction | 1,988 | |
Date Acquired | Oct. 27, 2015 | |
Life (in years) | 26 years | |
Retail Site | NEW YORK | Retail - Penfield - NY | ||
SEC Schedule III, Real Estate and Accumulated Depreciation [Line Items] | ||
Number of Properties | Property | 1 | |
Encumbrances | $ 23,558 | |
Initial Cost, Land | 4,122 | |
Initial Cost , Buildings and Improvements | 22,410 | |
Cost Capitalized Subsequent to Acquisition, Improvement | 260 | |
Cost Capitalized Subsequent to Acquisition, Capitalized Costs | 0 | |
Gross Amounts, Land | 4,122 | |
Gross Amounts, Buildings and Improvements | 22,670 | |
Total | 26,792 | |
Accumulated Depreciation | $ (4,315) | |
Year of Construction | 1,957 | |
Date Acquired | Nov. 10, 2014 | |
Life (in years) | 25 years | |
Retail Site | NEW YORK | Retail - Orchard Park - NY | Group One | ||
SEC Schedule III, Real Estate and Accumulated Depreciation [Line Items] | ||
Number of Properties | Property | 1 | |
Encumbrances | $ 12,888 | |
Initial Cost, Land | 4,189 | |
Initial Cost , Buildings and Improvements | 20,628 | |
Cost Capitalized Subsequent to Acquisition, Improvement | 30 | |
Cost Capitalized Subsequent to Acquisition, Capitalized Costs | 0 | |
Gross Amounts, Land | 4,189 | |
Gross Amounts, Buildings and Improvements | 20,658 | |
Total | 24,847 | |
Accumulated Depreciation | $ (3,301) | |
Year of Construction | 1,997 | |
Date Acquired | Nov. 10, 2014 | |
Life (in years) | 33 years | |
Retail Site | NEW YORK | Retail - Orchard Park - NY | Group Two | ||
SEC Schedule III, Real Estate and Accumulated Depreciation [Line Items] | ||
Cost Capitalized Subsequent to Acquisition, Capitalized Costs | $ 0 | |
Year of Construction | 2,000 | |
Retail Site | NEW YORK | Retail - Cheektowaga - NY | ||
SEC Schedule III, Real Estate and Accumulated Depreciation [Line Items] | ||
Number of Properties | Property | 1 | |
Encumbrances | $ 9,447 | |
Initial Cost, Land | 1,939 | |
Initial Cost , Buildings and Improvements | 12,296 | |
Cost Capitalized Subsequent to Acquisition, Improvement | 218 | |
Cost Capitalized Subsequent to Acquisition, Capitalized Costs | 0 | |
Gross Amounts, Land | 1,939 | |
Gross Amounts, Buildings and Improvements | 12,514 | |
Total | 14,453 | |
Accumulated Depreciation | $ (1,566) | |
Year of Construction | 1,978 | |
Date Acquired | Nov. 10, 2014 | |
Life (in years) | 26 years | |
Retail Site | NEW YORK | Retail - Amherst - NY | ||
SEC Schedule III, Real Estate and Accumulated Depreciation [Line Items] | ||
Number of Properties | Property | 1 | |
Encumbrances | $ 8,270 | |
Initial Cost, Land | 2,132 | |
Initial Cost , Buildings and Improvements | 9,740 | |
Cost Capitalized Subsequent to Acquisition, Improvement | 67 | |
Cost Capitalized Subsequent to Acquisition, Capitalized Costs | 0 | |
Gross Amounts, Land | 2,132 | |
Gross Amounts, Buildings and Improvements | 9,807 | |
Total | 11,939 | |
Accumulated Depreciation | $ (1,598) | |
Year of Construction | 1,986 | |
Date Acquired | Nov. 10, 2014 | |
Life (in years) | 29 years | |
Retail Site | NEW YORK | Retail - Ontario - NY | ||
SEC Schedule III, Real Estate and Accumulated Depreciation [Line Items] | ||
Number of Properties | Property | 1 | |
Encumbrances | $ 5,406 | |
Initial Cost, Land | 574 | |
Initial Cost , Buildings and Improvements | 6,810 | |
Cost Capitalized Subsequent to Acquisition, Improvement | 29 | |
Cost Capitalized Subsequent to Acquisition, Capitalized Costs | 0 | |
Gross Amounts, Land | 574 | |
Gross Amounts, Buildings and Improvements | 6,839 | |
Total | 7,413 | |
Accumulated Depreciation | $ (932) | |
Year of Construction | 1,998 | |
Date Acquired | Nov. 10, 2014 | |
Life (in years) | 32 years | |
Retail Site | NEW YORK | Retail - Irondequoit - NY | ||
SEC Schedule III, Real Estate and Accumulated Depreciation [Line Items] | ||
Number of Properties | Property | 1 | |
Encumbrances | $ 15,000 | |
Initial Cost, Land | 2,438 | |
Initial Cost , Buildings and Improvements | 14,685 | |
Cost Capitalized Subsequent to Acquisition, Improvement | 151 | |
Cost Capitalized Subsequent to Acquisition, Capitalized Costs | 0 | |
Gross Amounts, Land | 2,438 | |
Gross Amounts, Buildings and Improvements | 14,836 | |
Total | 17,274 | |
Accumulated Depreciation | $ (2,518) | |
Year of Construction | 1,972 | |
Date Acquired | Nov. 10, 2014 | |
Life (in years) | 28 years | |
Retail Site | NEW YORK | Retail - LeRoy - NY | ||
SEC Schedule III, Real Estate and Accumulated Depreciation [Line Items] | ||
Number of Properties | Property | 1 | |
Encumbrances | $ 3,492 | |
Initial Cost, Land | 343 | |
Initial Cost , Buildings and Improvements | 4,937 | |
Cost Capitalized Subsequent to Acquisition, Improvement | 13 | |
Cost Capitalized Subsequent to Acquisition, Capitalized Costs | 0 | |
Gross Amounts, Land | 343 | |
Gross Amounts, Buildings and Improvements | 4,950 | |
Total | 5,293 | |
Accumulated Depreciation | $ (768) | |
Year of Construction | 1,997 | |
Date Acquired | Nov. 10, 2014 | |
Life (in years) | 30 years | |
Retail Site | NEW YORK | Retail - Jamestown - NY | ||
SEC Schedule III, Real Estate and Accumulated Depreciation [Line Items] | ||
Number of Properties | Property | 1 | |
Encumbrances | $ 7,356 | |
Initial Cost, Land | 820 | |
Initial Cost , Buildings and Improvements | 4,915 | |
Cost Capitalized Subsequent to Acquisition, Capitalized Costs | 0 | |
Gross Amounts, Land | 820 | |
Gross Amounts, Buildings and Improvements | 4,915 | |
Total | 5,735 | |
Accumulated Depreciation | $ (1,152) | |
Year of Construction | 1,997 | |
Date Acquired | Nov. 10, 2014 | |
Life (in years) | 30 years | |
Retail Site | NEW YORK | Retail - Warsaw - NY | ||
SEC Schedule III, Real Estate and Accumulated Depreciation [Line Items] | ||
Number of Properties | Property | 1 | |
Encumbrances | $ 3,415 | |
Initial Cost, Land | 407 | |
Initial Cost , Buildings and Improvements | 4,123 | |
Cost Capitalized Subsequent to Acquisition, Capitalized Costs | 0 | |
Gross Amounts, Land | 407 | |
Gross Amounts, Buildings and Improvements | 4,123 | |
Total | 4,530 | |
Accumulated Depreciation | $ (549) | |
Year of Construction | 1,998 | |
Date Acquired | Nov. 10, 2014 | |
Life (in years) | 32 years | |
Retail Site | OHIO | Group One | ||
SEC Schedule III, Real Estate and Accumulated Depreciation [Line Items] | ||
Number of Properties | Property | 1 | |
Encumbrances | $ 7,888 | |
Initial Cost, Land | 1,262 | |
Initial Cost , Buildings and Improvements | 10,819 | |
Cost Capitalized Subsequent to Acquisition, Capitalized Costs | 0 | |
Gross Amounts, Land | 1,262 | |
Gross Amounts, Buildings and Improvements | 10,819 | |
Total | 12,081 | |
Accumulated Depreciation | $ (1,307) | |
Year of Construction | 1,981 | |
Date Acquired | Nov. 10, 2014 | |
Life (in years) | 27 years | |
Retail Site | OHIO | Group Two | ||
SEC Schedule III, Real Estate and Accumulated Depreciation [Line Items] | ||
Cost Capitalized Subsequent to Acquisition, Capitalized Costs | $ 0 | |
Year of Construction | 1,998 | |
Retail Site | OHIO | Group Three | ||
SEC Schedule III, Real Estate and Accumulated Depreciation [Line Items] | ||
Number of Properties | Property | 1 | |
Encumbrances | $ 7,700 | |
Initial Cost, Land | 2,282 | |
Initial Cost , Buildings and Improvements | 9,775 | |
Cost Capitalized Subsequent to Acquisition, Capitalized Costs | 0 | |
Gross Amounts, Land | 2,282 | |
Gross Amounts, Buildings and Improvements | 9,775 | |
Total | 12,057 | |
Accumulated Depreciation | $ (758) | |
Year of Construction | 1,995 | |
Date Acquired | Jul. 22, 2015 | |
Life (in years) | 26 years | |
Retail Site | GEORGIA | ||
SEC Schedule III, Real Estate and Accumulated Depreciation [Line Items] | ||
Number of Properties | Property | 1 | |
Encumbrances | $ 7,230 | |
Initial Cost, Land | 3,217 | |
Initial Cost , Buildings and Improvements | 8,386 | |
Cost Capitalized Subsequent to Acquisition, Capitalized Costs | 0 | |
Gross Amounts, Land | 3,217 | |
Gross Amounts, Buildings and Improvements | 8,386 | |
Total | 11,603 | |
Accumulated Depreciation | $ (1,196) | |
Year of Construction | 1,996 | |
Date Acquired | Nov. 10, 2014 | |
Life (in years) | 29 years | |
Retail Site | VIRGINIA | ||
SEC Schedule III, Real Estate and Accumulated Depreciation [Line Items] | ||
Number of Properties | Property | 1 | |
Encumbrances | $ 11,025 | |
Initial Cost, Land | 6,394 | |
Initial Cost , Buildings and Improvements | 12,046 | |
Cost Capitalized Subsequent to Acquisition, Capitalized Costs | 0 | |
Gross Amounts, Land | 6,394 | |
Gross Amounts, Buildings and Improvements | 12,046 | |
Total | 18,440 | |
Accumulated Depreciation | $ (1,126) | |
Year of Construction | 1,994 | |
Date Acquired | Jun. 2, 2014 | |
Life (in years) | 36 years | |
Retail Site | TENNESSEE | ||
SEC Schedule III, Real Estate and Accumulated Depreciation [Line Items] | ||
Number of Properties | Property | 1 | |
Encumbrances | $ 12,350 | |
Initial Cost, Land | 3,504 | |
Initial Cost , Buildings and Improvements | 13,309 | |
Cost Capitalized Subsequent to Acquisition, Capitalized Costs | 0 | |
Gross Amounts, Land | 3,504 | |
Gross Amounts, Buildings and Improvements | 13,309 | |
Total | 16,813 | |
Accumulated Depreciation | $ (1,215) | |
Year of Construction | 2,002 | |
Date Acquired | Apr. 9, 2014 | |
Life (in years) | 35 years | |
Multifamily | WASHINGTON | Group One | ||
SEC Schedule III, Real Estate and Accumulated Depreciation [Line Items] | ||
Number of Properties | Property | 1 | |
Encumbrances | $ 57,500 | |
Initial Cost, Land | 31,999 | |
Initial Cost , Buildings and Improvements | 41,831 | |
Cost Capitalized Subsequent to Acquisition, Improvement | 820 | |
Cost Capitalized Subsequent to Acquisition, Capitalized Costs | 0 | |
Gross Amounts, Land | 31,999 | |
Gross Amounts, Buildings and Improvements | 42,651 | |
Total | 74,650 | |
Accumulated Depreciation | $ (1,918) | |
Year of Construction | 1,978 | |
Date Acquired | Oct. 20, 2015 | |
Life (in years) | 29 years | |
Multifamily | WASHINGTON | Group Two | ||
SEC Schedule III, Real Estate and Accumulated Depreciation [Line Items] | ||
Cost Capitalized Subsequent to Acquisition, Capitalized Costs | $ 0 | |
Year of Construction | 2,008 | |
Industrial Property | NEVADA | Group One | ||
SEC Schedule III, Real Estate and Accumulated Depreciation [Line Items] | ||
Number of Properties | Property | 1 | |
Encumbrances | $ 2,365 | |
Initial Cost, Land | 628 | |
Initial Cost , Buildings and Improvements | 4,053 | |
Cost Capitalized Subsequent to Acquisition, Capitalized Costs | 0 | |
Gross Amounts, Land | 628 | |
Gross Amounts, Buildings and Improvements | 4,053 | |
Total | 4,681 | |
Accumulated Depreciation | $ (448) | |
Year of Construction | 1,988 | |
Date Acquired | Mar. 29, 2012 | |
Life (in years) | 38 years | |
Industrial Property | NEVADA | Group Two | ||
SEC Schedule III, Real Estate and Accumulated Depreciation [Line Items] | ||
Cost Capitalized Subsequent to Acquisition, Capitalized Costs | $ 0 | |
Year of Construction | 2,009 | |
Industrial Property | ARIZONA | Group One | ||
SEC Schedule III, Real Estate and Accumulated Depreciation [Line Items] | ||
Number of Properties | Property | 1 | |
Initial Cost, Land | $ 6,011 | |
Initial Cost , Buildings and Improvements | 27,045 | |
Cost Capitalized Subsequent to Acquisition, Capitalized Costs | 0 | |
Property sold | (25,177) | |
Gross Amounts, Land | 1,662 | |
Gross Amounts, Buildings and Improvements | 6,217 | |
Total | 7,879 | |
Accumulated Depreciation | $ (972) | |
Year of Construction | 1,999 | |
Date Acquired | Nov. 28, 2011 | |
Life (in years) | 27 years |
Schedule III - Real Estate a123
Schedule III - Real Estate and Accumulated Depreciation (Real Estate Activity) (Detail) $ in Thousands | 12 Months Ended |
Dec. 31, 2016USD ($) | |
SEC Schedule III, Real Estate and Accumulated Depreciation Disclosure [Abstract] | |
Beginning balance, January 1, 2016 | $ 487,097 |
Acquisitions and improvements | 2,881 |
Property sold | (36,692) |
Purchase price allocation adjustment | (4,666) |
Ending balance, December 31, 2016 | 448,620 |
Accumulated Depreciation: | |
Beginning balance, January 1, 2016 | 16,886 |
Property sold | (3,015) |
Depreciation | 20,350 |
Ending balance, December 31, 2016 | $ 34,221 |
Schedule IV - Mortgage Loans on
Schedule IV - Mortgage Loans on Commercial Real Estate (Detail) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2016 | Dec. 31, 2015 | ||
Mortgage Loans on Real Estate [Line Items] | |||
Face Amount | $ 1,090,015 | ||
Carrying Amount | [1] | 1,084,931 | $ 1,348,817 |
Office Building | CALIFORNIA | |||
Mortgage Loans on Real Estate [Line Items] | |||
Prior Liens | [2] | 165,000 | |
Face Amount | 115,000 | ||
Carrying Amount | $ 114,425 | ||
Payment Terms | Interest Only | ||
Maturity Date | [3] | Jan. 2, 2021 | |
First Mortgage | Multifamily | NEW YORK | |||
Mortgage Loans on Real Estate [Line Items] | |||
Libor Plus- Interest Rate | [4] | 4.50% | |
Face Amount | $ 44,000 | ||
Carrying Amount | $ 43,694 | ||
Payment Terms | Interest Only | ||
Maturity Date | [3] | Sep. 2, 2021 | |
First Mortgage | Multifamily | NEW YORK | Minimum | |||
Mortgage Loans on Real Estate [Line Items] | |||
Interest Rate | [4] | 0.20% | |
Real Estate Debt Investments | Retail Site | MASSACHUSETTS | |||
Mortgage Loans on Real Estate [Line Items] | |||
Interest Rate | [4] | 10.14% | |
Prior Liens | [2] | $ 64,500 | |
Face Amount | 10,000 | ||
Carrying Amount | $ 10,000 | ||
Payment Terms | Interest Only | ||
Maturity Date | [3] | Sep. 6, 2023 | |
Real Estate Debt Investments | Hotel | Various States | Group One | |||
Mortgage Loans on Real Estate [Line Items] | |||
Interest Rate | [4] | 8.65% | |
Prior Liens | [2] | $ 26,223 | |
Face Amount | 1,691 | ||
Carrying Amount | $ 1,691 | ||
Payment Terms | Interest Only | ||
Maturity Date | [3] | Aug. 9, 2019 | |
Real Estate Debt Investments | Hotel | Various States | Group Two | |||
Mortgage Loans on Real Estate [Line Items] | |||
Libor Plus- Interest Rate | [4] | 8.75% | |
Prior Liens | [2] | $ 103,800 | |
Face Amount | 6,500 | ||
Carrying Amount | $ 6,500 | ||
Payment Terms | Interest Only | ||
Maturity Date | [3] | Feb. 9, 2018 | |
Real Estate Debt Investments | Hotel | Various States | Group Three | |||
Mortgage Loans on Real Estate [Line Items] | |||
Interest Rate | [4] | 8.65% | |
Prior Liens | [2] | $ 26,223 | |
Face Amount | 10,335 | ||
Carrying Amount | $ 10,335 | ||
Payment Terms | Interest Only | ||
Maturity Date | [3] | Aug. 9, 2019 | |
Real Estate Debt Investments | Hotel | Various States | Group Four | |||
Mortgage Loans on Real Estate [Line Items] | |||
Libor Plus- Interest Rate | [4] | 9.95% | |
Prior Liens | [2] | $ 103,800 | |
Face Amount | 25,000 | ||
Carrying Amount | $ 25,000 | ||
Payment Terms | Interest Only | ||
Maturity Date | [3] | Feb. 14, 2019 | |
Real Estate Debt Investments | Hotel | Various States | Minimum | Group Two | |||
Mortgage Loans on Real Estate [Line Items] | |||
Interest Rate | [4] | 0.20% | |
Real Estate Debt Investments | Hotel | Various States | Minimum | Group Four | |||
Mortgage Loans on Real Estate [Line Items] | |||
Interest Rate | [4] | 0.20% | |
Real Estate Debt Investments | Hotel | CALIFORNIA | |||
Mortgage Loans on Real Estate [Line Items] | |||
Interest Rate | [4] | 10.25% | |
Prior Liens | [2] | $ 50,000 | |
Face Amount | 10,000 | ||
Carrying Amount | $ 10,000 | ||
Payment Terms | Interest Only | ||
Maturity Date | [3] | Feb. 6, 2019 | |
Real Estate Debt Investments | Industrial Property | Various States | |||
Mortgage Loans on Real Estate [Line Items] | |||
Interest Rate | [4] | 8.11% | |
Prior Liens | [2] | $ 61,901 | |
Face Amount | 29,890 | ||
Carrying Amount | $ 29,878 | ||
Payment Terms | Interest Only | ||
Maturity Date | [3] | Jun. 28, 2022 | |
Real Estate Debt Investments | Mixed Use | OHIO | |||
Mortgage Loans on Real Estate [Line Items] | |||
Interest Rate | [4] | 9.50% | |
Prior Liens | [2] | $ 129,890 | |
Face Amount | 36,816 | ||
Carrying Amount | $ 36,816 | ||
Payment Terms | Interest Only | ||
Maturity Date | [3] | Dec. 1, 2023 | |
Real Estate Debt Investments | Multifamily | NEW YORK | |||
Mortgage Loans on Real Estate [Line Items] | |||
Libor Plus- Interest Rate | [4] | 4.50% | |
Prior Liens | [2] | $ 44,000 | |
Face Amount | 1,202 | ||
Carrying Amount | $ 1,185 | ||
Payment Terms | Interest Only | ||
Maturity Date | [3] | Feb. 9, 2021 | |
Real Estate Debt Investments | Multifamily | NEW YORK | Group One | |||
Mortgage Loans on Real Estate [Line Items] | |||
Interest Rate | [4] | 7.81% | |
Prior Liens | [2] | $ 446,371 | |
Face Amount | 54,164 | ||
Carrying Amount | $ 53,694 | ||
Payment Terms | Interest Only | ||
Maturity Date | [3] | Oct. 1, 2020 | |
Real Estate Debt Investments | Multifamily | NEW YORK | Group Two | |||
Mortgage Loans on Real Estate [Line Items] | |||
Interest Rate | [4] | 7.04% | |
Prior Liens | [2] | $ 446,371 | |
Face Amount | 61,838 | ||
Carrying Amount | $ 61,536 | ||
Payment Terms | Interest Only | ||
Maturity Date | [3] | Oct. 1, 2020 | |
Real Estate Debt Investments | Multifamily | NEW YORK | Minimum | |||
Mortgage Loans on Real Estate [Line Items] | |||
Interest Rate | [4] | 0.20% | |
Real Estate Debt Investments | Office Building | COLORADO | |||
Mortgage Loans on Real Estate [Line Items] | |||
Interest Rate | [4] | 10.96% | |
Prior Liens | [2] | $ 13,469 | |
Face Amount | 6,000 | ||
Carrying Amount | $ 6,000 | ||
Payment Terms | Interest Only | ||
Maturity Date | [3] | Aug. 6, 2018 | |
Real Estate Debt Investments | Office Building | Various States | |||
Mortgage Loans on Real Estate [Line Items] | |||
Libor Plus- Interest Rate | [4] | 7.50% | |
Prior Liens | [2] | $ 190,132 | |
Face Amount | 18,962 | ||
Carrying Amount | $ 18,966 | ||
Payment Terms | Interest Only | ||
Maturity Date | [3] | Jan. 20, 2017 | |
Real Estate Debt Investments | Office Building | Various States | Minimum | |||
Mortgage Loans on Real Estate [Line Items] | |||
Interest Rate | [4] | 0.25% | |
Real Estate Debt Investments | Office Building | CALIFORNIA | |||
Mortgage Loans on Real Estate [Line Items] | |||
Libor Plus- Interest Rate | [4] | 9.50% | |
Prior Liens | [2] | $ 46,751 | |
Face Amount | 8,680 | ||
Carrying Amount | $ 8,711 | ||
Payment Terms | Interest Only | ||
Maturity Date | [3] | Mar. 31, 2019 | |
Real Estate Debt Investments | Office Building | CALIFORNIA | Group One | |||
Mortgage Loans on Real Estate [Line Items] | |||
Libor Plus- Interest Rate | [4] | 4.35% | |
Prior Liens | [2] | $ 90,000 | |
Face Amount | 25,723 | ||
Carrying Amount | $ 25,581 | ||
Payment Terms | Interest Only | ||
Maturity Date | [3] | Feb. 9, 2021 | |
Real Estate Debt Investments | Office Building | CALIFORNIA | Group Two | |||
Mortgage Loans on Real Estate [Line Items] | |||
Interest Rate | [4] | 6.54% | |
Prior Liens | [2] | $ 280,000 | |
Face Amount | 27,500 | ||
Carrying Amount | $ 26,960 | ||
Payment Terms | Interest Only | ||
Maturity Date | [3] | Jan. 2, 2021 | |
Real Estate Debt Investments | Office Building | CALIFORNIA | Group Three | |||
Mortgage Loans on Real Estate [Line Items] | |||
Interest Rate | [4] | 7.67% | |
Prior Liens | [2] | $ 280,000 | |
Face Amount | 38,667 | ||
Carrying Amount | $ 38,127 | ||
Payment Terms | Interest Only | ||
Maturity Date | [3] | Jan. 2, 2021 | |
Real Estate Debt Investments | Office Building | CALIFORNIA | Minimum | |||
Mortgage Loans on Real Estate [Line Items] | |||
Interest Rate | [4] | 0.25% | |
Real Estate Debt Investments | Office Building | CALIFORNIA | Minimum | Group One | |||
Mortgage Loans on Real Estate [Line Items] | |||
Interest Rate | [4] | 0.25% | |
Real Estate Debt Investments | Office Building | NEW YORK | |||
Mortgage Loans on Real Estate [Line Items] | |||
Libor Plus- Interest Rate | [4] | 9.71% | |
Prior Liens | [2] | $ 67,780 | |
Face Amount | 20,113 | ||
Carrying Amount | $ 20,094 | ||
Payment Terms | Interest Only | ||
Maturity Date | [3] | Mar. 2, 2020 | |
Real Estate Debt Investments | Office Building | NEW YORK | Minimum | |||
Mortgage Loans on Real Estate [Line Items] | |||
Interest Rate | [4] | 0.20% | |
Real Estate Debt Investments | Office Building | TEXAS | Group One | |||
Mortgage Loans on Real Estate [Line Items] | |||
Interest Rate | [4] | 10.25% | |
Prior Liens | [2] | $ 64,312 | |
Face Amount | 2,944 | ||
Carrying Amount | $ 2,944 | ||
Payment Terms | Interest Only | ||
Maturity Date | [3] | Aug. 1, 2018 | |
Real Estate Debt Investments | Office Building | TEXAS | Group Two | |||
Mortgage Loans on Real Estate [Line Items] | |||
Interest Rate | [4] | 10.25% | |
Prior Liens | [2] | $ 64,312 | |
Face Amount | 3,709 | ||
Carrying Amount | $ 3,709 | ||
Payment Terms | Interest Only | ||
Maturity Date | [3] | Aug. 1, 2018 | |
Real Estate Debt Investments | Office Building | TEXAS | Group Three | |||
Mortgage Loans on Real Estate [Line Items] | |||
Interest Rate | [4] | 10.10% | |
Prior Liens | [2] | $ 52,000 | |
Face Amount | 7,000 | ||
Carrying Amount | $ 7,000 | ||
Payment Terms | Interest Only | ||
Maturity Date | [3] | Dec. 1, 2024 | |
Real Estate Debt Investments | Office Building | TEXAS | Group Four | |||
Mortgage Loans on Real Estate [Line Items] | |||
Interest Rate | [4] | 9.50% | |
Prior Liens | [2] | $ 43,500 | |
Face Amount | 9,187 | ||
Carrying Amount | $ 9,158 | ||
Payment Terms | Interest Only | ||
Maturity Date | [3] | Sep. 1, 2018 | |
Real Estate Debt Investments | Office Building | LOUISIANA | |||
Mortgage Loans on Real Estate [Line Items] | |||
Interest Rate | [4] | 10.75% | |
Prior Liens | [2] | $ 64,000 | |
Face Amount | 8,700 | ||
Carrying Amount | $ 8,700 | ||
Payment Terms | Interest Only | ||
Maturity Date | [3] | Oct. 1, 2023 | |
Real Estate Debt Investments | Office Building | FLORIDA | |||
Mortgage Loans on Real Estate [Line Items] | |||
Libor Plus- Interest Rate | [4] | 4.20% | |
Prior Liens | [2] | $ 52,000 | |
Face Amount | 9,000 | ||
Carrying Amount | $ 8,826 | ||
Payment Terms | Interest Only | ||
Maturity Date | [3] | Oct. 9, 2021 | |
Real Estate Debt Investments | Office Building | FLORIDA | Minimum | |||
Mortgage Loans on Real Estate [Line Items] | |||
Interest Rate | [4] | 0.50% | |
Real Estate Debt Investments | Office Building | MARYLAND | Group One | |||
Mortgage Loans on Real Estate [Line Items] | |||
Interest Rate | [4] | 11.70% | |
Prior Liens | [2] | $ 53,637 | |
Face Amount | 9,942 | ||
Carrying Amount | $ 9,935 | ||
Payment Terms | Interest Only | ||
Maturity Date | [3] | Aug. 1, 2017 | |
Real Estate Debt Investments | Office Building | MARYLAND | Group Two | |||
Mortgage Loans on Real Estate [Line Items] | |||
Interest Rate | [4] | 11.20% | |
Prior Liens | [2] | $ 54,299 | |
Face Amount | 10,130 | ||
Carrying Amount | $ 10,122 | ||
Payment Terms | Interest Only | ||
Maturity Date | [3] | Aug. 1, 2017 | |
Preferred Equity Interests | Mixed Use | PENNSYLVANIA | |||
Mortgage Loans on Real Estate [Line Items] | |||
Interest Rate | [4] | 11.00% | |
Prior Liens | [2] | $ 26,000 | |
Face Amount | 9,000 | ||
Carrying Amount | $ 8,967 | ||
Payment Terms | Interest Only | ||
Maturity Date | [3] | Nov. 27, 2018 | |
First Mortgage Securitized | Retail Site | COLORADO | |||
Mortgage Loans on Real Estate [Line Items] | |||
Interest Rate | [4],[5] | 5.58% | |
Prior Liens | [2],[5] | $ 12,827 | |
Face Amount | [5] | 16,558 | |
Carrying Amount | [5] | $ 16,602 | |
Payment Terms | [5] | Amortizing | |
Maturity Date | [3],[5] | May 1, 2017 | |
First Mortgage Securitized | Multifamily | TEXAS | |||
Mortgage Loans on Real Estate [Line Items] | |||
Interest Rate | [4] | 4.45% | |
Face Amount | $ 15,090 | ||
Carrying Amount | $ 15,075 | ||
Payment Terms | Interest Only | ||
Maturity Date | [3] | Oct. 1, 2020 | |
First Mortgage Securitized | Multifamily | FLORIDA | Group One | |||
Mortgage Loans on Real Estate [Line Items] | |||
Libor Plus- Interest Rate | [4] | 4.50% | |
Face Amount | $ 26,000 | ||
Carrying Amount | $ 26,000 | ||
Payment Terms | Interest Only | ||
Maturity Date | [3] | May 9, 2019 | |
First Mortgage Securitized | Multifamily | FLORIDA | Group Two | |||
Mortgage Loans on Real Estate [Line Items] | |||
Libor Plus- Interest Rate | [4] | 4.05% | |
Face Amount | $ 41,000 | ||
Carrying Amount | $ 40,966 | ||
Payment Terms | Interest Only | ||
Maturity Date | [3] | Jun. 5, 2020 | |
First Mortgage Securitized | Multifamily | FLORIDA | Minimum | Group One | |||
Mortgage Loans on Real Estate [Line Items] | |||
Interest Rate | [4] | 0.25% | |
First Mortgage Securitized | Multifamily | FLORIDA | Minimum | Group Two | |||
Mortgage Loans on Real Estate [Line Items] | |||
Interest Rate | [4] | 0.20% | |
First Mortgage Securitized | Multifamily | NORTH CAROLINA | |||
Mortgage Loans on Real Estate [Line Items] | |||
Interest Rate | [4] | 4.25% | |
Face Amount | $ 36,800 | ||
Carrying Amount | $ 36,733 | ||
Payment Terms | Amortizing | ||
Maturity Date | [3] | Nov. 1, 2020 | |
First Mortgage Securitized | Office Building | CALIFORNIA | Group One | |||
Mortgage Loans on Real Estate [Line Items] | |||
Libor Plus- Interest Rate | [4] | 4.00% | |
Face Amount | $ 21,434 | ||
Carrying Amount | $ 21,268 | ||
Payment Terms | Interest Only | ||
Maturity Date | [3] | Mar. 5, 2021 | |
First Mortgage Securitized | Office Building | CALIFORNIA | Group Two | |||
Mortgage Loans on Real Estate [Line Items] | |||
Libor Plus- Interest Rate | [4] | 4.35% | |
Face Amount | $ 90,000 | ||
Carrying Amount | $ 89,520 | ||
Payment Terms | Interest Only | ||
Maturity Date | [3] | Sep. 2, 2021 | |
First Mortgage Securitized | Office Building | CALIFORNIA | Minimum | Group One | |||
Mortgage Loans on Real Estate [Line Items] | |||
Interest Rate | [4] | 0.20% | |
First Mortgage Securitized | Office Building | CALIFORNIA | Minimum | Group Two | |||
Mortgage Loans on Real Estate [Line Items] | |||
Interest Rate | [4] | 0.25% | |
First Mortgage Securitized | Office Building | FLORIDA | Group One | |||
Mortgage Loans on Real Estate [Line Items] | |||
Libor Plus- Interest Rate | [4] | 5.00% | |
Face Amount | $ 16,050 | ||
Carrying Amount | $ 16,002 | ||
Payment Terms | Interest Only | ||
Maturity Date | [3] | Dec. 6, 2019 | |
First Mortgage Securitized | Office Building | FLORIDA | Group Two | |||
Mortgage Loans on Real Estate [Line Items] | |||
Libor Plus- Interest Rate | [4] | 4.20% | |
Face Amount | $ 52,000 | ||
Carrying Amount | $ 51,523 | ||
Payment Terms | Interest Only | ||
Maturity Date | [3] | Oct. 9, 2021 | |
First Mortgage Securitized | Office Building | FLORIDA | Minimum | Group One | |||
Mortgage Loans on Real Estate [Line Items] | |||
Interest Rate | [4] | 0.20% | |
First Mortgage Securitized | Office Building | FLORIDA | Minimum | Group Two | |||
Mortgage Loans on Real Estate [Line Items] | |||
Interest Rate | [4] | 0.50% | |
First Mortgage Securitized | Office Building | VIRGINIA | |||
Mortgage Loans on Real Estate [Line Items] | |||
Libor Plus- Interest Rate | [4] | 4.25% | |
Face Amount | $ 41,000 | ||
Carrying Amount | $ 40,812 | ||
Payment Terms | Interest Only | ||
Maturity Date | [3] | Dec. 9, 2020 | |
First Mortgage Securitized | Office Building | VIRGINIA | Minimum | |||
Mortgage Loans on Real Estate [Line Items] | |||
Interest Rate | [4] | 0.20% | |
First Mortgage Securitized | Office Building | ARIZONA | |||
Mortgage Loans on Real Estate [Line Items] | |||
Libor Plus- Interest Rate | [4] | 4.35% | |
Face Amount | $ 45,000 | ||
Carrying Amount | $ 44,711 | ||
Payment Terms | Interest Only | ||
Maturity Date | [3] | May 10, 2018 | |
First Mortgage Securitized | Office Building | ARIZONA | Minimum | |||
Mortgage Loans on Real Estate [Line Items] | |||
Interest Rate | [4] | 0.20% | |
First Mortgage Securitized | Office Building | NEW JERSEY | |||
Mortgage Loans on Real Estate [Line Items] | |||
Libor Plus- Interest Rate | [4] | 4.50% | |
Face Amount | $ 67,390 | ||
Carrying Amount | $ 67,165 | ||
Payment Terms | Interest Only | ||
Maturity Date | [3] | May 9, 2020 | |
First Mortgage Securitized | Office Building | NEW JERSEY | Minimum | |||
Mortgage Loans on Real Estate [Line Items] | |||
Interest Rate | [4] | 0.25% | |
First Mortgage Held For Sale | Office Building | CALIFORNIA | |||
Mortgage Loans on Real Estate [Line Items] | |||
Interest Rate | [4] | 2.91% | |
[1] | Excludes Loans held for sale, net. | ||
[2] | Represents third-party priority liens. | ||
[3] | Assumes all extension options are exercised. | ||
[4] | LIBOR represents the one month London Interbank Offer Rate, EURIBOR represents the one month Eurodollar deposit rate. | ||
[5] | Includes senior position sold to third party that did not qualify for GAAP sale accounting. The Company's economic interest is limited to a B-Note with an outstanding face of $3.7 million. |
Schedule IV - Mortgage Loans125
Schedule IV - Mortgage Loans on Commercial Real Estate (Parenthetical) (Detail) $ in Thousands | Dec. 31, 2016USD ($) |
Mortgage Loans on Real Estate [Line Items] | |
Face Amount | $ 1,090,015 |
Retail Site | Term B Notes | COLORADO | First Mortgage | |
Mortgage Loans on Real Estate [Line Items] | |
Face Amount | $ 3,700 |