Document and Entity Information
Document and Entity Information - shares | 6 Months Ended | |
Jun. 30, 2017 | Jul. 31, 2017 | |
Document And Entity Information [Abstract] | ||
Document Type | 10-Q | |
Amendment Flag | false | |
Document Period End Date | Jun. 30, 2017 | |
Document Fiscal Year Focus | 2,017 | |
Document Fiscal Period Focus | Q2 | |
Trading Symbol | NLY | |
Entity Registrant Name | ANNALY CAPITAL MANAGEMENT INC | |
Entity Central Index Key | 1,043,219 | |
Current Fiscal Year End Date | --12-31 | |
Entity Filer Category | Large Accelerated Filer | |
Entity Common Stock, Shares Outstanding | 1,088,037,669 |
CONSOLIDATED STATEMENTS OF FINA
CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION - USD ($) $ in Thousands | Jun. 30, 2017 | Dec. 31, 2016 | |||
ASSETS | |||||
Cash and cash equivalents (including cash pledged as collateral of $590,082 and $1,428,475, respectively) | [2] | $ 700,692 | [1] | $ 1,539,746 | [3] |
Investments, at fair value: | |||||
Mortgage-backed securities, including pledged assets | 75,803,877 | 77,715,902 | |||
Credit risk transfer securities (including pledged assets of $517,598 and $608,707, respectively) | 605,826 | [1] | 724,722 | [3] | |
Residential mortgage loans | [4] | 779,685 | [1] | 342,289 | [3] |
Mortgage servicing rights (including pledged assets of $3,408 and $5,464, respectively) | 605,653 | [1] | 652,216 | [3] | |
Commercial real estate debt investments (including pledged assets of $3,972,560 and $4,321,739, respectively) (6) | [5] | 3,972,560 | [1] | 4,321,739 | [3] |
Commercial real estate debt and preferred equity, held for investment (including pledged assets of $532,724 and $506,997, respectively) | 928,181 | [1] | 970,505 | [3] | |
Commercial loans held for sale, net | [3] | 114,425 | |||
Investments in commercial real estate | 474,510 | [1] | 474,567 | [3] | |
Corporate debt (including pledged assets of $437,794 and $592,871, respectively) | 773,957 | [1] | 773,274 | [3] | |
Interest rate swaps, at fair value | 10,472 | [1] | 68,194 | [3] | |
Other derivatives, at fair value | 154,004 | [1] | 171,266 | [3] | |
Receivable for investments sold | 9,784 | [1] | 51,461 | [3] | |
Accrued interest and dividends receivable | 263,217 | [1] | 270,400 | [3] | |
Other assets | 399,456 | [1] | 333,063 | [3] | |
Goodwill | 71,815 | [1] | 71,815 | [3] | |
Intangible assets, net | 28,715 | [1] | 34,184 | [3] | |
Total assets | 84,976,578 | [1] | 87,905,046 | [3] | |
Liabilities: | |||||
Repurchase agreements | 62,497,400 | [1] | 65,215,810 | [3] | |
Other secured financing | 3,785,543 | [1] | 3,884,708 | [3] | |
Securitized debt of consolidated VIEs | [6] | 3,438,675 | [1] | 3,655,802 | [3] |
Participation sold | [3] | 12,869 | |||
Mortgages payable | 311,810 | [1] | 311,636 | [3] | |
Interest rate swaps, at fair value | 614,589 | [1] | 1,443,765 | [3] | |
Other derivatives, at fair value | 99,380 | [1] | 86,437 | [3] | |
Dividends payable | 305,709 | [1] | 305,674 | [3] | |
Payable for investments purchased | 1,043,379 | [1] | 65,041 | [3] | |
Accrued interest payable | 185,720 | [1] | 163,013 | [3] | |
Accounts payable and other liabilities | 84,948 | [1] | 184,319 | [3] | |
Total liabilities | 72,367,153 | [1] | 75,329,074 | [3] | |
Stockholders' Equity: | |||||
Common stock, par value $0.01 per share, 1,945,437,500 authorized, 1,019,027,880 and 1,018,913,249 issued and outstanding, respectively | 10,190 | [1] | 10,189 | [3] | |
Additional paid-in capital | 15,581,760 | [1] | 15,579,342 | [3] | |
Accumulated other comprehensive income (loss) | (850,767) | [1] | (1,085,893) | [3] | |
Accumulated deficit | (3,339,228) | [1] | (3,136,017) | [3] | |
Total stockholders' equity | 12,602,514 | [1] | 12,568,180 | [3] | |
Noncontrolling interest | 6,911 | [1] | 7,792 | [3] | |
Total equity | 12,609,425 | [1] | 12,575,972 | [3] | |
Total liabilities and equity | 84,976,578 | [1] | 87,905,046 | [3] | |
Agency Mortgage-backed Securities | |||||
Investments, at fair value: | |||||
Mortgage-backed securities, including pledged assets | 73,963,998 | [1] | 75,589,873 | [3] | |
Liabilities: | |||||
Repurchase agreements | 60,980,074 | 63,707,701 | |||
Non-Agency Mortgage-backed Securities | |||||
Investments, at fair value: | |||||
Mortgage-backed securities, including pledged assets | [7] | 1,234,053 | [1] | 1,401,307 | [3] |
7.875% Series A Cumulative Redeemable Preferred Stock | |||||
Stockholders' Equity: | |||||
Cumulative redeemable preferred stock | 177,088 | [1] | 177,088 | [3] | |
Total equity | 177,088 | 177,088 | |||
7.625% Series C Cumulative Redeemable Preferred Stock | |||||
Stockholders' Equity: | |||||
Cumulative redeemable preferred stock | 290,514 | [1] | 290,514 | [3] | |
Total equity | 290,514 | 290,514 | |||
7.50% Series D Cumulative Redeemable Preferred Stock | |||||
Stockholders' Equity: | |||||
Cumulative redeemable preferred stock | 445,457 | [1] | 445,457 | [3] | |
Total equity | 445,457 | 445,457 | |||
7.625% Series E Cumulative Redeemable Preferred Stock | |||||
Stockholders' Equity: | |||||
Cumulative redeemable preferred stock | 287,500 | [1] | 287,500 | [3] | |
Total equity | $ 287,500 | $ 287,500 | |||
[1] | As a result of a change to a clearing organization's rulebook effective January 3, 2017, beginning with the first quarter 2017 and in subsequent periods the Company is presenting the fair value of centrally cleared interest rate swaps net of variation margin pledged under such transactions. The variation margin was previously reported under cash and cash equivalents and is currently reported as a reduction to interest rate swaps, at fair value. Balances reported prior to the effective date balances will not be adjusted. | ||||
[2] | Includes cash of consolidated VIEs of $37.9 million and $23.2 million at June 30, 2017 and December 31, 2016, respectively. | ||||
[3] | Derived from the audited consolidated financial statements at December 31, 2016. | ||||
[4] | Includes securitized residential mortgage loans of a consolidated VIE carried at fair value of $150.9 million and $165.9 million at June 30, 2017 and December 31, 2016, respectively. | ||||
[5] | Includes senior securitized commercial mortgage loans of consolidated VIEs carried at fair value of $3.7 billion and $3.9 billion at June 30, 2017 and December 31, 2016, respectively. | ||||
[6] | Includes securitized debt of consolidated VIEs carried at fair value of $3.4 billion and $3.7 billion at June 30, 2017 and December 31, 2016, respectively. | ||||
[7] | Includes $78.9 million and $88.6 million at June 30, 2017 and December 31, 2016, respectively, of non-Agency mortgage-backed securities in a consolidated VIE pledged as collateral and eliminated from the Company's Consolidated Statements of Financial Condition. |
CONSOLIDATED STATEMENTS OF FIN3
CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION (Parenthetical) - USD ($) $ in Thousands | Jun. 30, 2017 | Dec. 31, 2016 | |||
Cash pledged as collateral | $ 590,082 | [1] | $ 1,428,475 | [2] | |
Credit risk transfer securities, pledged assets | 517,598 | [1] | 608,707 | [2] | |
Residential mortgage loans, pledged assets | 679,435 | [1] | 314,746 | [2] | |
Mortgage servicing rights, pledged assets | 3,408 | [1] | 5,464 | [2] | |
Commercial real estate debt investments, pledged assets | 3,972,560 | [1] | 4,321,739 | [2] | |
Commercial real estate debt and preferred equity, held for investment, pledged assets | 532,724 | [1] | 506,997 | [2] | |
Corporate debt, pledged assets | $ 437,794 | [1] | $ 592,871 | [2] | |
Common Stock, par value | $ 0.01 | [1] | $ 0.01 | [2] | |
Common Stock, shares authorized | 1,945,437,500 | [1] | 1,945,437,500 | [2] | |
Common Stock, shares issued | 1,019,027,880 | [1] | 1,018,913,249 | [2] | |
Common Stock, shares outstanding | 1,019,027,880 | [1] | 1,018,913,249 | [2] | |
Mortgage-backed securities, including pledged assets | $ 75,803,877 | $ 77,715,902 | |||
Residential mortgage loans | [3] | 779,685 | [1] | 342,289 | [2] |
Senior Secured mortgages of Consolidated VIE, fair value | 3,700,000 | [1] | 3,900,000 | [2] | |
Cash of Consolidated VIE | [4] | 700,692 | [1] | 1,539,746 | [2] |
Securitized debt of a consolidated VIE | 3,438,675 | [1] | 3,655,802 | [2] | |
Agency Mortgage-backed Securities | |||||
Mortgage-backed securities, pledged assets | 67,214,815 | [1] | 70,796,872 | [2] | |
Mortgage-backed securities, including pledged assets | 73,963,998 | [1] | 75,589,873 | [2] | |
Non-Agency Mortgage-backed Securities | |||||
Mortgage-backed securities, pledged assets | 1,036,362 | [1] | 1,064,603 | [2] | |
Mortgage-backed securities, including pledged assets | [5] | 1,234,053 | [1] | 1,401,307 | [2] |
Consolidated VIEs | |||||
Residential mortgage loans | 150,900 | [1] | 165,900 | [2] | |
Cash of Consolidated VIE | 37,900 | [1] | 23,200 | [2] | |
Consolidated VIEs | Non-Agency Mortgage-backed Securities | |||||
Mortgage-backed securities, including pledged assets | $ 78,900 | [1] | $ 88,600 | [2] | |
7.875% Series A Cumulative Redeemable Preferred Stock | |||||
Cumulative redeemable preferred stock, shares authorized | 7,412,500 | [1] | 7,412,500 | [2] | |
Cumulative redeemable preferred stock, shares issued | 7,412,500 | [1] | 7,412,500 | [2] | |
Cumulative redeemable preferred stock, shares outstanding | 7,412,500 | [1] | 7,412,500 | [2] | |
7.625% Series C Cumulative Redeemable Preferred Stock | |||||
Cumulative redeemable preferred stock, shares authorized | 12,650,000 | [1] | 12,650,000 | [2] | |
Cumulative redeemable preferred stock, shares issued | 12,000,000 | [1] | 12,000,000 | [2] | |
Cumulative redeemable preferred stock, shares outstanding | 12,000,000 | [1] | 12,000,000 | [2] | |
7.50% Series D Cumulative Redeemable Preferred Stock | |||||
Cumulative redeemable preferred stock, shares authorized | 18,400,000 | [1] | 18,400,000 | [2] | |
Cumulative redeemable preferred stock, shares issued | 18,400,000 | [1] | 18,400,000 | [2] | |
Cumulative redeemable preferred stock, shares outstanding | 18,400,000 | [1] | 18,400,000 | [2] | |
7.625% Series E Cumulative Redeemable Preferred Stock | |||||
Cumulative redeemable preferred stock, shares authorized | 11,500,000 | [1] | 11,500,000 | [2] | |
Cumulative redeemable preferred stock, shares issued | 11,500,000 | [1] | 11,500,000 | [2] | |
Cumulative redeemable preferred stock, shares outstanding | 11,500,000 | [1] | 11,500,000 | [2] | |
[1] | As a result of a change to a clearing organization's rulebook effective January 3, 2017, beginning with the first quarter 2017 and in subsequent periods the Company is presenting the fair value of centrally cleared interest rate swaps net of variation margin pledged under such transactions. The variation margin was previously reported under cash and cash equivalents and is currently reported as a reduction to interest rate swaps, at fair value. Balances reported prior to the effective date balances will not be adjusted. | ||||
[2] | Derived from the audited consolidated financial statements at December 31, 2016. | ||||
[3] | Includes securitized residential mortgage loans of a consolidated VIE carried at fair value of $150.9 million and $165.9 million at June 30, 2017 and December 31, 2016, respectively. | ||||
[4] | Includes cash of consolidated VIEs of $37.9 million and $23.2 million at June 30, 2017 and December 31, 2016, respectively. | ||||
[5] | Includes $78.9 million and $88.6 million at June 30, 2017 and December 31, 2016, respectively, of non-Agency mortgage-backed securities in a consolidated VIE pledged as collateral and eliminated from the Company's Consolidated Statements of Financial Condition. |
CONSOLIDATED STATEMENTS OF COMP
CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2017 | Jun. 30, 2016 | Jun. 30, 2017 | Jun. 30, 2016 | ||
Net interest income: | |||||
Interest income | $ 537,426 | $ 457,118 | $ 1,125,153 | $ 845,261 | |
Interest expense | 222,281 | 152,755 | 420,706 | 300,202 | |
Net interest income | 315,145 | 304,363 | 704,447 | 545,059 | |
Realized and unrealized gains (losses): | |||||
Realized gains (losses) on interest rate swaps | [1] | (96,470) | (130,762) | (200,626) | (278,237) |
Realized gains (losses) on termination of interest rate swaps | (58) | (60,064) | (58) | (60,064) | |
Unrealized gains (losses) on interest rate swaps | (177,567) | (373,220) | (28,383) | (1,404,940) | |
Subtotal | (274,095) | (564,046) | (229,067) | (1,743,241) | |
Net gains (losses) on disposal of investments | (5,516) | 12,535 | (281) | 10,860 | |
Net gains (losses) on trading assets | (14,423) | 81,880 | (14,104) | 207,069 | |
Net unrealized gains (losses) on investments measured at fair value through earnings | 16,240 | (54,154) | 39,923 | (54,026) | |
Subtotal | (3,699) | 40,261 | 25,538 | 163,903 | |
Total realized and unrealized gains (losses) | (277,794) | (523,785) | (203,529) | (1,579,338) | |
Other income (loss): | |||||
Other income (loss) | 30,865 | (9,930) | 62,511 | (16,045) | |
Total other income (loss) | 30,865 | (9,930) | 62,511 | (16,045) | |
General and administrative expenses: | |||||
Compensation and management fee | 38,938 | 36,048 | 78,200 | 73,045 | |
Other general and administrative expenses | 15,085 | 13,173 | 29,651 | 24,121 | |
Total general and administrative expenses | 54,023 | 49,221 | 107,851 | 97,166 | |
Income (loss) before income taxes | 14,193 | (278,573) | 455,578 | (1,147,490) | |
Income taxes | (329) | (76) | 648 | (913) | |
Net income (loss) | 14,522 | (278,497) | 454,930 | (1,146,577) | |
Net income (loss) attributable to noncontrolling interest | (102) | (385) | (205) | (547) | |
Net income (loss) attributable to Annaly | 14,624 | (278,112) | 455,135 | (1,146,030) | |
Dividends on preferred stock | 23,473 | 17,992 | 46,946 | 35,984 | |
Net income (loss) available (related) to common stockholders | $ (8,849) | $ (296,104) | $ 408,189 | $ (1,182,014) | |
Net income (loss) per share available (related) to common stockholders: | |||||
Basic | $ (0.01) | $ (0.32) | $ 0.40 | $ (1.28) | |
Diluted | $ (0.01) | $ (0.32) | $ 0.40 | $ (1.28) | |
Weighted average number of common shares outstanding: | |||||
Basic | 1,019,000,817 | 924,887,316 | 1,018,971,942 | 925,850,452 | |
Diluted | 1,019,000,817 | 924,887,316 | 1,019,357,697 | 925,850,452 | |
Dividends declared per share of common stock | $ 0.30 | $ 0.30 | $ 0.60 | $ 0.60 | |
Net income (loss) | $ 14,522 | $ (278,497) | $ 454,930 | $ (1,146,577) | |
Other comprehensive income (loss): | |||||
Unrealized gains (losses) on available-for-sale securities | 261,964 | 483,930 | 202,349 | 1,501,637 | |
Reclassification adjustment for net (gains) losses included in net income (loss) | 13,360 | (7,250) | 32,777 | (6,995) | |
Other comprehensive income (loss) | 275,324 | 476,680 | 235,126 | 1,494,642 | |
Comprehensive income (loss) | 289,846 | 198,183 | 690,056 | 348,065 | |
Comprehensive income (loss) attributable to noncontrolling interest | (102) | (385) | (205) | (547) | |
Comprehensive income (loss) attributable to Annaly | 289,948 | 198,568 | 690,261 | 348,612 | |
Dividends on preferred stock | 23,473 | 17,992 | 46,946 | 35,984 | |
Comprehensive income (loss) attributable to common stockholders | $ 266,475 | $ 180,576 | $ 643,315 | $ 312,628 | |
[1] | Consists of interest expense on interest rate swaps. |
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, 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 | ||||||||||
Net income (loss) attributable to Annaly | (1,146,030) | (1,146,030) | (1,146,030) | |||||||||||||||||
Net income (loss) attributable to noncontrolling interest | (547) | (547) | ||||||||||||||||||
Unrealized gains (losses) on available-for-sale securities | 1,501,637 | 1,501,637 | 1,501,637 | |||||||||||||||||
Reclassification adjustment for net (gains) losses included in net income (loss) | (6,995) | (6,995) | (6,995) | |||||||||||||||||
Stock compensation expense | 1,084 | 1,084 | 1,084 | |||||||||||||||||
Net proceeds from direct purchase and dividend reinvestment | 1,176 | 1 | 1,175 | 1,176 | ||||||||||||||||
Buyback of common stock | (102,712) | (111) | (102,601) | (102,712) | ||||||||||||||||
Equity contributions from (distributions to) noncontrolling interest | (743) | (743) | ||||||||||||||||||
Common dividends declared, $0.60 per share | (554,935) | (554,935) | (554,935) | |||||||||||||||||
Ending balance at Jun. 30, 2016 | 11,561,873 | 177,088 | 290,514 | 445,457 | 9,249 | 14,575,426 | 1,117,046 | (5,061,565) | 11,553,215 | 8,658 | ||||||||||
Preferred dividends declared | (7,296) | (11,438) | (17,250) | $ (7,296) | $ (11,438) | $ (17,250) | $ (7,296) | $ (11,438) | $ (17,250) | |||||||||||
Beginning balance at Dec. 31, 2016 | 12,575,972 | [1] | 177,088 | 290,514 | 445,457 | $ 287,500 | 10,189 | 15,579,342 | (1,085,893) | (3,136,017) | 12,568,180 | 7,792 | ||||||||
Net income (loss) attributable to Annaly | 455,135 | 455,135 | 455,135 | |||||||||||||||||
Net income (loss) attributable to noncontrolling interest | (205) | (205) | ||||||||||||||||||
Unrealized gains (losses) on available-for-sale securities | 202,349 | 202,349 | 202,349 | |||||||||||||||||
Reclassification adjustment for net (gains) losses included in net income (loss) | 32,777 | 32,777 | 32,777 | |||||||||||||||||
Stock compensation expense | 1,149 | 1,149 | 1,149 | |||||||||||||||||
Net proceeds from direct purchase and dividend reinvestment | 1,270 | 1 | 1,269 | 1,270 | ||||||||||||||||
Equity contributions from (distributions to) noncontrolling interest | (676) | (676) | ||||||||||||||||||
Common dividends declared, $0.60 per share | (611,400) | (611,400) | (611,400) | |||||||||||||||||
Ending balance at Jun. 30, 2017 | $ 12,609,425 | [2] | 177,088 | 290,514 | 445,457 | 287,500 | $ 10,190 | $ 15,581,760 | $ (850,767) | $ (3,339,228) | $ 12,602,514 | $ 6,911 | ||||||||
Preferred dividends declared | $ (7,296) | $ (11,438) | $ (17,250) | $ (10,962) | $ (7,296) | $ (11,438) | $ (17,250) | $ (10,962) | $ (7,296) | $ (11,438) | $ (17,250) | $ (10,962) | ||||||||
[1] | Derived from the audited consolidated financial statements at December 31, 2016. | |||||||||||||||||||
[2] | As a result of a change to a clearing organization's rulebook effective January 3, 2017, beginning with the first quarter 2017 and in subsequent periods the Company is presenting the fair value of centrally cleared interest rate swaps net of variation margin pledged under such transactions. The variation margin was previously reported under cash and cash equivalents and is currently reported as a reduction to interest rate swaps, at fair value. Balances reported prior to the effective date balances will not be adjusted. |
CONSOLIDATED STATEMENTS OF STO6
CONSOLIDATED STATEMENTS OF STOCKHOLDERS' EQUITY (Parenthetical) - $ / shares | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2017 | Jun. 30, 2016 | Jun. 30, 2017 | Jun. 30, 2016 | |
Dividends declared per share of common stock | $ 0.30 | $ 0.30 | $ 0.60 | $ 0.60 |
7.875% Series A Cumulative Redeemable Preferred Stock | ||||
Preferred series dividends declared, per share | 0.984 | 0.984 | ||
7.625% Series C Cumulative Redeemable Preferred Stock | ||||
Preferred series dividends declared, per share | 0.953 | 0.953 | ||
7.50% Series D Cumulative Redeemable Preferred Stock | ||||
Preferred series dividends declared, per share | 0.938 | $ 0.938 | ||
7.625% Series E Cumulative Redeemable Preferred Stock | ||||
Preferred series dividends declared, per share | $ 0.953 |
CONSOLIDATED STATEMENTS OF CASH
CONSOLIDATED STATEMENTS OF CASH FLOWS - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | 12 Months Ended | |||||
Jun. 30, 2017 | Jun. 30, 2016 | Jun. 30, 2017 | Jun. 30, 2016 | Dec. 31, 2016 | ||||
Cash flows from operating activities: | ||||||||
Net income (loss) | $ 14,522 | $ (278,497) | $ 454,930 | $ (1,146,577) | ||||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | ||||||||
Amortization of Residential Investment Securities premiums and discounts, net | 454,718 | 621,146 | ||||||
Amortization of Residential Mortgage Loans premiums and discounts, net | 624 | |||||||
Amortization of securitized debt premiums and discounts, net | (20) | |||||||
Amortization of commercial real estate investment premiums and discounts, net | (3,116) | (1,552) | ||||||
Amortization of intangibles | 4,531 | 7,621 | ||||||
Amortization of deferred financing costs | 809 | 1,019 | ||||||
Amortization of net origination fees and costs, net | (2,195) | (2,868) | $ (4,969) | |||||
Depreciation expense | 9,166 | 10,684 | ||||||
Net (gains) losses on sale of commercial real estate | (5,050) | (821) | ||||||
Net (gains) losses on sale of commercial loans held for sale | 3 | 67 | ||||||
Net (gains) losses on sale of commercial real estate debt investments | 165 | |||||||
Net (gains) losses on sales of Residential Investment Securities | 5,200 | 4,014 | (10,271) | |||||
Net (gains) losses on sales of residential mortgage loans | 1,314 | |||||||
Stock compensation expense | 1,149 | 1,084 | ||||||
Unrealized (gains) losses on interest rate swaps | 177,567 | 373,220 | 28,383 | 1,404,940 | ||||
Net unrealized (gains) losses on investments measured at fair value through earnings | (16,240) | 54,154 | (39,923) | 54,026 | ||||
Equity in net income from unconsolidated joint ventures | 1,192 | 4,417 | ||||||
Distributions of cumulative earnings from unconsolidated joint venture | 459 | |||||||
Net (gains) losses on trading assets | 14,423 | (81,880) | 14,104 | (207,069) | ||||
Proceeds from sale of commercial loans held for sale | 114,422 | 114,358 | ||||||
Payments on purchase of residential mortgage loans | (49,599) | |||||||
Proceeds from repayments from residential mortgage loans | 42,894 | |||||||
Payment on purchase of corporate debt held for sale | (19,494) | |||||||
Proceeds from sale of corporate debt held for sale | 19,605 | |||||||
Proceeds from repurchase agreements of RCap | 1,513,657,385 | 1,076,600,000 | ||||||
Payments on repurchase agreements of RCap | (1,513,832,385) | (1,075,750,000) | ||||||
Proceeds from reverse repurchase agreements of RCap | 38,955,000 | 29,700,000 | ||||||
Payments on reverse repurchase agreements of RCap | (38,955,000) | (29,700,000) | ||||||
Net payments on derivatives | (797,580) | 196,016 | ||||||
Net change in: | ||||||||
Due to / from brokers | (16) | (5) | ||||||
Other assets | (65,037) | (65,653) | ||||||
Accrued interest and dividends receivable | 8,475 | 3,202 | ||||||
Accrued interest payable | 22,707 | 7,592 | ||||||
Accounts payable and other liabilities | (88,818) | 24,331 | ||||||
Net cash provided by (used in) operating activities | (62,349) | 1,865,852 | ||||||
Cash flows from investing activities: | ||||||||
Payments on purchases of Residential Investment Securities | (7,682,326) | (7,088,346) | ||||||
Proceeds from sales of Residential Investment Securities | 4,629,227 | 4,008,291 | ||||||
Principal payments on Residential Investment Securities | 5,846,683 | 4,615,505 | ||||||
Purchase of MSRs | (10,000) | |||||||
Origination of corporate debt, net | (252,452) | (245,447) | ||||||
Principal payments on corporate debt | 254,318 | 65,804 | ||||||
Purchases of commercial real estate debt investments | (38,410) | (76,862) | ||||||
Purchase of securitized loans at fair value | (1,489,268) | |||||||
Origination of commercial real estate investments, net | (110,026) | (189,020) | ||||||
Proceeds from sale of commercial real estate investments | 11,960 | 12,750 | ||||||
Principal payments on commercial real estate debt investments | 163,914 | 61,601 | ||||||
Principal payments on securitized loans at fair value | 271,054 | 52,407 | ||||||
Principal payments on commercial real estate investments | 154,531 | 402,459 | ||||||
Purchase of investments in real estate | (1,132) | (1,187) | ||||||
Investment in unconsolidated joint venture | (19,433) | (559) | ||||||
Distributions in excess of cumulative earnings from unconsolidated joint ventures | 4,227 | 2,117 | ||||||
Payments on purchase of residential mortgage loans held for investment | (512,146) | |||||||
Proceeds from repayments from residential mortgage loans held for investment | 85,643 | |||||||
Purchase of equity securities | (2,104) | (88,062) | ||||||
Proceeds from sales of equity securities | 16,112 | |||||||
Net cash provided by (used in) investing activities | 2,793,528 | 58,295 | ||||||
Cash flows from financing activities: | ||||||||
Proceeds from repurchase agreements | 99,863,445 | 85,723,588 | ||||||
Principal payments on repurchase agreements | (102,406,855) | (88,936,063) | ||||||
Proceeds from other secured financing | 6,801 | 2,146,084 | ||||||
Payments on other secured financing | (106,038) | (402,806) | ||||||
Proceeds from issuance of securitized debt | 1,381,640 | |||||||
Principal repayments on securitized debt | (255,927) | (163,472) | ||||||
Payment of deferred financing cost | (1,079) | (3,076) | ||||||
Net proceeds from direct purchases and dividend reinvestments | 1,270 | 1,176 | ||||||
Principal payments on participation sold | (12,827) | (153) | ||||||
Principal payments on mortgages payable | (36) | (7,399) | ||||||
Distributions to noncontrolling interests | (676) | (743) | ||||||
Net payment on share repurchase | (102,712) | |||||||
Dividends paid | (658,311) | (594,219) | ||||||
Net cash provided by (used in) financing activities | (3,570,233) | (958,155) | ||||||
Net (decrease) increase in cash and cash equivalents | (839,054) | 965,992 | ||||||
Cash and cash equivalents, beginning of period | 1,539,746 | [1],[2] | 1,769,258 | 1,769,258 | ||||
Cash and cash equivalents, end of period | 700,692 | [2],[3] | 2,735,250 | 700,692 | [2],[3] | 2,735,250 | 1,539,746 | [1],[2] |
Supplemental disclosure of cash flow information: | ||||||||
Interest received | 1,582,650 | 1,456,076 | ||||||
Dividends received | 2,511 | |||||||
Interest paid (excluding interest paid on interest rate swaps) | 454,110 | 282,146 | ||||||
Net interest paid on interest rate swaps | 195,973 | 281,120 | ||||||
Taxes paid | 1,336 | 591 | ||||||
Noncash investing activities: | ||||||||
Receivable for investments sold | 9,784 | [3] | 697,943 | 9,784 | [3] | 697,943 | 51,461 | [1] |
Payable for investments purchased | 1,043,379 | [3] | 746,090 | 1,043,379 | [3] | 746,090 | 65,041 | [1] |
Net change in unrealized gains (losses) on available-for-sale securities, net of reclassification adjustment | 235,126 | 1,494,642 | ||||||
Noncash financing activities: | ||||||||
Dividends declared, not yet paid | $ 305,709 | [3] | $ 277,479 | $ 305,709 | [3] | $ 277,479 | $ 305,674 | [1] |
[1] | Derived from the audited consolidated financial statements at December 31, 2016. | |||||||
[2] | Includes cash of consolidated VIEs of $37.9 million and $23.2 million at June 30, 2017 and December 31, 2016, respectively. | |||||||
[3] | As a result of a change to a clearing organization's rulebook effective January 3, 2017, beginning with the first quarter 2017 and in subsequent periods the Company is presenting the fair value of centrally cleared interest rate swaps net of variation margin pledged under such transactions. The variation margin was previously reported under cash and cash equivalents and is currently reported as a reduction to interest rate swaps, at fair value. Balances reported prior to the effective date balances will not be adjusted. |
DESCRIPTION OF BUSINESS
DESCRIPTION OF BUSINESS | 6 Months Ended |
Jun. 30, 2017 | |
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 is a leading diversified capital manager that invests in residential and commercial assets. The Company owns a portfolio of real estate related investments, including mortgage pass-through certificates, collateralized mortgage obligations, credit risk transfer (“CRT”) securities, other securities representing interests in or obligations backed by pools of mortgage loans, residential mortgage loans, mortgage servicing rights (“MSRs”), commercial real estate assets and corporate debt. The Company’s principal business objective is to generate net income for distribution to its stockholders through capital preservation, prudent selection of investments, and continuous management of its portfolio. The Company is externally managed by Annaly Management Company LLC (the “Manager”). The Company’s investment groups are 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 debt and equity 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 | 6 Months Ended |
Jun. 30, 2017 | |
Accounting Policies [Abstract] | |
BASIS OF PRESENTATION | BASIS OF PRESENTATION The accompanying consolidated financial statements and related notes of the Company have been prepared in accordance with accounting principles generally accepted in the United States ("GAAP"). The accompanying consolidated financial statements and related notes are unaudited and should be read in conjunction with the audited consolidated financial statements included in the Company’s most recent annual report on Form 10-K. The consolidated financial information as of December 31, 2016 has been derived from audited consolidated financial statements included in the Company’s annual report on Form 10-K for the fiscal year ended December 31, 2016. In the opinion of management, all normal, recurring adjustments have been included for a fair presentation of this interim financial information. Interim period operating results may not be indicative of the operating results for a full year. |
SIGNIFICANT ACCOUNTING POLICIES
SIGNIFICANT ACCOUNTING POLICIES | 6 Months Ended |
Jun. 30, 2017 | |
Accounting Policies [Abstract] | |
SIGNIFICANT ACCOUNTING POLICIES | SIGNIFICANT ACCOUNTING POLICIES Principles of Consolidation Variable Interest Entities - The Company has evaluated all of its investments in legal entities in order to determine if they are variable interests in Variable Interest Entities ("VIEs"). A VIE is defined as an entity in which equity investors (i) do not have the characteristics of a controlling financial interest, and/or (ii) do not have sufficient equity at risk for the entity to finance its activities without additional subordinated financial support from other parties. A variable interest is an investment or other interest that will absorb portions of a VIE's expected losses or receive portions of the entity’s expected residual returns . A VIE is required to be consolidated by its primary beneficiary, which is defined as the party that (i) has the power to control the activities that most significantly impact the VIE’s economic performance and (ii) has the obligation to absorb losses of the VIE that could potentially be significant to the VIE or the right to receive benefits from the VIE that could potentially be significant to the VIE. To assess whether the Company has the power to direct the activities of a VIE that most significantly impact the VIE’s economic performance, the Company considers all facts and circumstances, including the Company’s role in establishing the VIE and the Company’s ongoing rights and responsibilities. This assessment includes first, identifying the activities that most significantly impact the VIE’s economic performance; and second, identifying which party, if any, has power over those activities. In general, the parties that make the most significant decisions affecting the VIE or have the right to unilaterally remove those decision makers are deemed to have the power to direct the activities of a VIE. To assess whether the Company has the obligation to absorb losses of the VIE or the right to receive benefits from the VIE that could potentially be significant to the VIE, the Company applies significant judgment and considers all of its economic interests, including debt and equity investments and other arrangements deemed to be variable interests, both explicit and implicit, in the VIE. This assessment requires that the Company apply judgment in determining whether these interests, in the aggregate, are considered potentially significant to the VIE. Factors considered in assessing significance include: the design of the VIE, including its capitalization structure; subordination of interests; payment priority; relative share of interests held across various classes within the VIE’s capital structure; and the reasons why the interests are held by the Company. The Company performs ongoing reassessments of whether changes in the facts and circumstances regarding the Company’s involvement with a VIE causes the Company’s consolidation conclusion regarding the VIE to change. Cash and Cash Equivalents – Fair Value Measurements Revenue Recognition – Agency Mortgage-Backed Securities, Agency Debentures, Non-Agency Mortgage-Backed Securities and CRT Securities Agency mortgage-backed securities, Agency debentures, non-Agency mortgage-backed securities and CRT securities are referred to herein as “ Residential Residential Residential Residential Residential Residential 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), taking into account estimates of future principal prepayments in the calculation of the effective yield. 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 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 Interest-only (2) Prospective Residential Credit CRT (2) Prospective Legacy (2) Prospective NPL/RPL (2) Prospective New issue (2) Prospective New issue interest-only (2) Prospective (1) (2) 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). (3) Residential Mortgage Loans – The Company’s residential mortgage loans are primarily comprised of new origination, performing adjustable-rate and fixed-rate whole loans acquired in connection with the Company’s acquisition of Hatteras Financial Corp. (“Hatteras” and such acquisition, the “Hatteras Acquisition”) and through subsequent purchases. Additionally, in connection with the Hatteras Acquisition, the Company consolidates a collateralized financing entity that securitized prime adjustable-rate jumbo 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 There was no real estate acquired in settlement of residential mortgage loans as of June 30, 2017 or December 31, 2016. 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. 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 of the 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 swaps are the primary instrument used to mitigate interest rate risk. In particular, the Company uses interest rate swaps to manage its exposure to changing interest rates on its repurchase agreements by economically hedging cash flows associated with these borrowings. Swap agreements may or may not be cleared through a derivatives clearing organization (“DCO”). Uncleared swaps are fair valued using internal pricing models and compared to the counterparty market values. Centrally cleared swaps are fair valued using internal pricing models and compared to the DCO’s market values. Interest rate swaptions – 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. 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 Stock Based Compensation Income Taxes The provisions of ASC 740, Income Taxes (“ASC 740”), clarify the accounting for uncertainty in income taxes recognized in financial statements and prescribe a recognition threshold and measurement attribute for uncertain tax positions taken or expected to be taken on a tax return. ASC 740 also requires that interest and penalties related to unrecognized tax benefits be recognized in the financial statements. The Company does not have any unrecognized tax benefits that would affect its financial position. Use of Estimates Commercial Real Estate Investments Commercial Real Estate Debt Investments – Commercial Real Estate Loans and Preferred Equity Interests (collectively referred to as “CRE Debt and Preferred Equity Investments”) 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. 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 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 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, or deed in lieu of foreclosure, (herein collectively referred to as a foreclosure) (“REO”) 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 - Corporate Debt Corporate Loans – Corporate Debt Securities – Impairment of Securities and Loans Other-Than-Temporary Impairment When the fair value of an available-for-sale security is less than its amortized cost the security is considered impaired. For securities that are impaired, the Company determines if it (1) has the intent to sell the security, (2) is more likely than not that it will be required to sell the security before recovery of its amortized cost basis, or (3) does not expect to recover the entire amortized cost basis of the security. Further, the security is analyzed for credit loss (the difference between the present value of cash flows expected to be collected and the amortized cost basis). The credit loss, if any, will then be recognized in the Consolidated Statements of Comprehensive Income (Loss), while the balance of losses related to other factors will be recognized as a component of Other comprehensive income (loss). If the fair value is less than the cost of a held-to-maturity security, the Company performs an analysis to determine whether it expects to recover the entire cost basis of the security. There was no other-than-temporary impairment recognized for the three months ended June 30, 2017 and 2016. 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. The loan risk ratings reflect guidance provided by the Office of the Comptroller 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 collateral of the Company’s CRE Debt and Preferred Equity Investments and based upon leverage and cash flow coverages of the borrowers’ debt and operating obligations. The 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 and approval by the respective committee. The 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 exhibit potential weakness that deserves 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. 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 June 30, 2017 and December 31, 2016. There were no allowances for loan losses as of June 30, 2017 and December 31, 2016. 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 2017-05 Other Income - Gains and Losses from the Derecognition of Nonfinancial Assets (Subtopic 610-20): Clarifying the Scope of Asset Derecognition Guidance and Accounting for Partial Sales of Nonfinancial Assets This update clarifies that a financial asset is within the scope of Subtopic 610-20 if it meets the definition of an in-substance nonfinancial asset, including nonfinancial assets transferred within a legal entity to a counterparty. The ASU requires the Company to derecognize a distinct nonfinancial asset or in-substance nonfinancial asset in a partial sale transaction when it ceases to have a controlling financial interest in a legal entity that holds the asset or transfers control of the asset, with any noncontrolling interest retained recognized at fair value. Transfers of ownership interest in a consolidated subsidiary with controlling financial interest retained are accounted for as equity transactions. January 1, 2018 (early adoption permitted). The Company is evaluating the expected impact of this ASU. 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 and has developed an implementation plan, which it has begun executing. While the Company 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. |
ACQUISITION OF HATTERAS
ACQUISITION OF HATTERAS | 6 Months Ended |
Jun. 30, 2017 | |
Business Combinations [Abstract] | |
ACQUISITION OF HATTERAS | 4. ACQUISITION OF HATTERAS As previously disclosed in the Company’s filings with the Securities and Exchange Commission (“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 stock 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 Stock”), that was outstanding 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 the Hatteras The following table summarizes the aggregate consideration and fair value of the assets acquired and liabilities assumed recognized at the acquisition date: 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 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 | 6 Months Ended |
Jun. 30, 2017 | |
Text Block [Abstract] | |
RESIDENTIAL INVESTMENT SECURITIES | 5. RESIDENTIAL INVESTMENT SECURITIES The following tables present the Company’s Residential Investment Securities portfolio that was carried at fair value as of and December 31, 2016: June 30, 2017 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 $ 61,627,012 $ 3,671,722 $ (1,416 ) $ 65,297,318 $ 220,370 $ (1,045,902 ) $ 64,471,787 Adjustable-rate pass-through 8,092,902 307,181 (2,939 ) 8,397,144 26,753 (55,019 ) 8,368,878 Interest-only 7,051,876 1,305,067 - 1,305,067 3,351 (185,085 ) 1,123,333 Total Agency investments $ 76,771,790 $ 5,283,970 $ (4,355 ) $ 74,999,529 $ 250,474 $ (1,286,006 ) $ 73,963,998 Residential Credit CRT $ 550,302 $ 15,364 $ (5,915 ) $ 559,751 $ 46,077 $ (2 ) $ 605,826 Alt-A 215,364 1,255 (34,464 ) 182,155 11,475 (149 ) 193,481 Prime 198,358 264 (26,268 ) 172,355 16,497 - 188,852 Subprime 630,337 1,560 (80,889 ) 551,008 43,683 (65 ) 594,627 NPL/RPL 128,766 168 (92 ) 128,841 815 (36 ) 129,620 Prime Jumbo (>= 2010 Vintage) 110,465 675 - 111,140 1,356 - 112,496 Prime Jumbo (>= 2010 Vintage) Interest-Only 793,031 12,832 - 12,832 2,145 - 14,977 Total residential credit investments $ 2,626,623 $ 32,118 $ (147,628 ) $ 1,718,082 $ 122,048 $ (252 ) $ 1,839,879 Total Residential Investment Securities $ 79,398,413 $ 5,316,088 $ (151,983 ) $ 76,717,611 $ 372,522 $ (1,286,258 ) $ 75,803,877 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 (>= 2010 Vintage) 129,453 852 (345 ) 129,960 267 (308 ) 129,919 Prime Jumbo (>= 2010 Vintage) 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 (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 and December 31, 2016: Investment Type June 30, 2017 December 31, 2016 (dollars in thousands) Fannie Mae $ 51,216,573 $ 51,658,391 Freddie Mac 22,680,257 23,858,110 Ginnie Mae 67,168 73,372 Total $ 73,963,998 $ 75,589,873 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 June 30, 2017 and December 31, 2016 June 30, 2017 December 31, 2016 Weighted Average Life Estimated Fair Value Amortized Cost Estimated Fair Value Amortized Cost (dollars in thousands) Less than one year $ 158,935 $ 159,970 $ 63,510 $ 61,775 Greater than one year through five years 17,006,028 16,987,965 12,626,932 12,666,394 Greater than five years through ten years 58,139,230 59,089,002 56,785,601 57,738,588 Greater than ten years 499,684 480,674 8,239,859 8,473,058 Total $ 75,803,877 $ 76,717,611 $ 77,715,902 $ 78,939,815 The weighted average lives of the Agency mortgage-backed securities at and December 31, 2016 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 and December 31, 2016. June 30, 2017 December 31, 2016 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 $ 50,551,597 $ (871,480 ) 1,432 $ 52,465,045 $ (1,094,957 ) 1,368 12 Months or More 5,823,250 (229,441 ) 55 6,277,814 (266,609 ) 54 Total $ 56,374,847 $ (1,100,921 ) 1,487 $ 58,742,859 $ (1,361,566 ) 1,422 (1) Excludes interest-only mortgage-backed securities. 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 three and six months ended June 30, 2017, the Company disposed of $2.5 billion and $4.6 billion of Residential Investment Securities, resulting in a net realized loss of $5.2 million and $4.0 million, respectively. During the three and six months ended June 30, 2016, the Company disposed of $1.8 billion and $5.2 billion of Residential Investment Securities, resulting in a net realized gain of $11.9 million and $10.3 million, respectively. |
RESIDENTIAL MORTGAGE LOANS
RESIDENTIAL MORTGAGE LOANS | 6 Months Ended |
Jun. 30, 2017 | |
Mortgage Loans on Real Estate [Abstract] | |
RESIDENTIAL 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 June 30, 2017 and December 31, 2016: June 30, 2017 December 31, 2016 (dollars in thousands) Fair value $ 779,685 $ 342,289 Unpaid principal balance $ 763,850 $ 338,323 The following table provides information regarding the line items and amounts recognized in the Consolidated Statements of Comprehensive Income (Loss) for the three and six months ended June 30, 2017 for these investments: For the Three Months Ended For the Six Months Ended June 30, 2017 June 30, 2017 (dollars in thousands) Net gains (losses) on disposal of investments $ (321 ) $ (1,314 ) Net unrealized gains (losses) on investments measured at fair value through earnings 5,310 6,125 Net interest income 7,120 10,709 Total included in net income (loss) $ 12,109 $ 15,520 The change in the fair value of the residential mortgage loans can be attributed to changes in interest rates. The following table provides the geographic concentrations based on the unpaid principal balances as of June 30, 2017 and December 31, 2016, for the residential mortgage loans, including loans held in a securitization trust: Geographic Concentrations of Residential Mortgage Loans June 30, 2017 December 31, 2016 Property Location % of Balance Property Location % of Balance California 57.9 % California 46.3 % New York 7.2 % Texas 9.6 % Texas 5.0 % Illinois 5.7 % All other (none individually greater than 5%) 29.9 % Florida 5.2 % Washington 5.1 % All other (none individually greater than 5%) 28.1 % Total 100.0 % Total 100.0 % The table below provides additional data on the Company’s residential mortgage loans, including loans held in a securitization trust, at June 30, 2017 and December 31, 2016: June 30, 2017 December 31, 2016 Portfolio Range Portfolio Weighted Average Portfolio Range Portfolio Weighted Average (dollars in thousands) (dollars in thousands) Unpaid principal balance $20 - $3,686 $709 $22 - $1,905 $691 Interest rate 2.50% - 6.88% 4.35% 2.50% - 6.75% 3.72% Maturity 8/1/2029 - 6/1/2047 10/20/2045 4/8/2044 - 11/1/2046 8/20/2045 FICO score at loan origination 620 - 823 753 665 - 814 761 Loan-to-value ratio at loan origination 20% - 90% 68% 24% - 90% 71% As of June 30, 2017 and December 31, 2016, approximately 80% and 85%, respectively, of the carrying value of the Company’s residential mortgage loans, including loans held in a securitization trust, were adjustable-rate. |
MORTGAGE SERVICING RIGHTS
MORTGAGE SERVICING RIGHTS | 6 Months Ended |
Jun. 30, 2017 | |
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 a Hatteras wholly-owned subsidiary. The Company elected to carry all investments in MSRs at fair value. The following table presents activity related to MSRs for the three and six months ended June 30, 2017: For the Three Months Ended For the Six Months Ended June 30, 2017 June 30, 2017 (dollars in thousands) Fair value, beginning of period $ 632,166 $ 652,216 Purchases (1) (210 ) 3 Change in fair value due to: Changes in valuation inputs or assumptions (2) (9,205 ) (15,438 ) Other changes, including realization of expected cash flows (17,098 ) (31,128 ) Fair value, end of period $ 605,653 $ 605,653 (1) Includes adjustments to original purchase price from early payoffs, defaults, or loans that were delivered but were deemed to not be acceptable. (2) Principally represent changes in discount rates and prepayment speed inputs used in valuation model, primarily due to changes in interest rates For the three and six months ended June 30, 2017, the Company recognized $33.3 million and $67.8 million, respectively, 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 | 6 Months Ended |
Jun. 30, 2017 | |
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. The company previously classified the senior mortgage loan as held for sale. During the six months ended June 30, 2017, the Company sold the remaining balance of $115.0 million ($114.4 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. At June 30, 2017 and December 31, 2016, commercial real estate debt investments held for investment were comprised of the following CRE Debt and Preferred Equity Investments June 30, 2017 December 31, 2016 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 $ 528,659 $ 526,535 56.7 % $ 512,322 $ 510,071 52.6 % Mezzanine loans 393,810 392,670 42.3 % 453,693 451,467 46.5 % Preferred equity 9,000 8,976 1.0 % 9,000 8,967 0.9 % Total (3) $ 931,469 $ 928,181 100.0 % $ 975,015 $ 970,505 100.0 % (1) (2) (3) June 30, 2017 Senior Mortgages Mezzanine Loans Preferred Equity Total (dollars in thousands) Beginning balance $ 510,071 $ 451,467 $ 8,967 $ 970,505 Originations & advances (principal) 74,945 36,039 - 110,984 Principal payments (58,608 ) (95,923 ) - (154,531 ) Amortization & accretion of (premium) discounts (44 ) 30 - (14 ) Net (increase) decrease in origination fees (741 ) (217 ) - (958 ) Amortization of net origination fees 912 1,274 9 2,195 Net carrying value $ 526,535 $ 392,670 $ 8,976 $ 928,181 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) 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 deserves 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 June 30, 2017 and December 31, 2016. Accordingly, no allowance for loan losses was deemed necessary as of June 30, 2017 and December 31, 2016. June 30, 2017 Outstanding Principal Percentage of CRE Debt and Preferred Equity Portfolio Internal Ratings Investment Type Performing Performing - Closely Monitored Performing - Special Mention Substandard Doubtful Loss Total (dollars in thousands) Senior mortgages $ 528,659 56.7 % $ 175,394 $ 249,075 $ 104,190 $ - $ - $ - $ 528,659 Mezzanine loans 393,810 42.3 % 195,435 179,188 19,187 - - - 393,810 Preferred equity 9,000 1.0 % - - 9,000 - - - 9,000 $ 931,469 100.0 % $ 370,829 $ 428,263 $ 132,377 $ - $ - $ - $ 931,469 December 31, 2016 Outstanding Principal (1) Percentage of CRE Debt and Preferred Equity Portfolio Internal Ratings Investment Type 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) As of June 30, 2017 and December 31, 2016, approximately 84% and 77%, respectively, 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 commercial real estate holdings during the three and six months ended June 30, 2017 The weighted average amortization period for intangible assets and liabilities as of June 30, 2017 is 4.1 years. Above market leases and leasehold intangible assets are included in Intangible assets, net and below market leases are included in Accounts payable and other liabilities in the Consolidated Statements of Financial Condition. June 30, 2017 December 31, 2016 (dollars in thousands) Real estate held for investment, at amortized cost Land $ 111,012 $ 112,675 Buildings and improvements 330,837 335,945 Subtotal 441,849 448,620 Less: accumulated depreciation (41,062 ) (34,221 ) Total real estate held for investment, at amortized cost, net 400,787 414,399 Equity in unconsolidated joint ventures 73,723 60,168 Investments in commercial real estate, net $ 474,510 $ 474,567 Depreciation expense was $3.9 million and $7.8 million for the three and six months ended June 30, 2017, respectively. Depreciation expense was $6.1 million and $10.7 million for the three and six months ended June 30, 2016, respectively. Depreciation expense is included in Other income (loss) in the Consolidated Statements of Comprehensive Income (Loss). Rental Income The minimum rental amounts due under leases are generally either subject to scheduled fixed increases or adjustments. The leases generally also require that the tenants reimburse us for certain operating costs. Approximate future minimum rents to be received over the next five years and thereafter for non-cancelable operating leases in effect at June 30, 2017 for consolidated investments in real estate are as follows: June 30, 2017 (dollars in thousands) 2017 (remaining) $ 15,511 2018 28,240 2019 24,446 2020 19,749 2021 15,566 Later years 28,649 $ 132,161 Mortgage loans payable as of June 30, 2017 June 30, 2017 Property Mortgage Carrying Value Mortgage Principal Interest Rate Fixed/Floating Rate Maturity Date Priority (dollars in thousands) Joint Ventures $ 286,186 $ 289,125 4.03% - 4.61% Fixed 2024 and 2025 First liens Tennessee 12,278 12,350 4.01% Fixed 9/6/2019 First liens Virginia 11,017 11,025 3.58% Fixed 6/6/2019 First liens Nevada (1) 2,329 2,329 L+200 Floating 9/29/2017 First liens $ 311,810 $ 314,829 (1) The mortgage agreement contained an interest rate swap with an expiration date of March 29, 2017. Effective on March 29, 2017, the interest rate swap expired and the Company extended the maturity date of the mortgage debt to September 29, 2017. 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 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). The following table details future mortgage loan principal payments as of June 30, 2017: Mortgage Loan Principal Payments (dollars in thousands) 2017 (remaining) $ 2,329 2018 - 2019 23,375 2020 - 2021 - Later years 289,125 $ 314,829 |
CORPORATE DEBT
CORPORATE DEBT | 6 Months Ended |
Jun. 30, 2017 | |
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. The industry and rate sensitivity dispersion of the portfolio as of are as follows: Industry Dispersion June 30, 2017 December 31, 2016 Fixed Rate Floating Rate Total Fixed Rate Floating Rate Total (dollars in thousands) Aircraft and Parts $ - $ 34,892 $ 34,892 $ - $ 32,067 $ 32,067 Commercial Fishing - 38,828 38,828 - 40,600 40,600 Computer Programming, Data Processing & Other Computer Related Services - 132,323 132,323 - 146,547 146,547 Drugs - 33,642 33,642 - 34,042 34,042 Groceries and Related Products - 14,838 14,838 - 14,856 14,856 Grocery Stores - 23,618 23,618 - 23,761 23,761 Home Health Care Services - 24,033 24,033 - 39,205 39,205 Insurance Agents, Brokers and services 4,414 72,973 77,387 4,391 73,267 77,658 Management and Public Relations Services - 94,481 94,481 - 16,493 16,493 Medical and Dental Laboratories - 26,039 26,039 - 17,292 17,292 Miscellaneous Business Services - 19,797 19,797 84,486 - 84,486 Miscellaneous Equipment Rental and Leasing - 19,630 19,630 - - - Miscellaneous Health and Allied Services, not elsewhere classified - 25,241 25,241 - 9,791 9,791 Miscellaneous Nonmetallic Minerals, except Fuels - 24,674 24,674 - 24,688 24,688 Miscellaneous Plastic Products - 9,914 9,914 - 27,036 27,036 Motor Vehicles and Motor Vehicle Parts and Supplies - 12,259 12,259 - 12,319 12,319 Offices and Clinics of Doctors of Medicine - 48,274 48,274 - 83,386 83,386 Offices and Clinics of Health Practitioners, not elsewhere classified - 7,444 7,444 - - - Personnel Supply Services - - - - 36,921 36,921 Public Warehousing and Storage - 37,121 37,121 - - - Research, Development and Testing Services - 17,717 17,717 - 17,744 17,744 Schools and Educational Services, not elsewhere classified - 20,890 20,890 - 20,979 20,979 Surgical, Medical, and Dental Instruments and Supplies - 13,041 13,041 - 13,403 13,403 Telephone Communications - 17,874 17,874 - - - Total $ 4,414 $ 769,543 $ 773,957 $ 88,877 $ 684,397 $ 773,274 The table below reflects the Company’s aggregate positions by their respective place in the capital structure of the borrowers as of June 30, 2017 and December 31, 2016. June 30, 2017 December 31, 2016 (dollars in thousands) First lien loans $ 496,953 $ 505,956 Second lien loans 272,590 178,441 Second lien notes - 84,486 Subordinated notes 4,414 4,391 Total $ 773,957 $ 773,274 |
VARIABLE INTEREST ENTITIES
VARIABLE INTEREST ENTITIES | 6 Months Ended |
Jun. 30, 2017 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
VARIABLE INTEREST ENTITIES | 10. VARIABLE INTEREST ENTITIES 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 at settlement. 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 June 30, 2017. 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 at settlement. The Company was required to consolidate the FREMF 2015-KF07 Trust’s assets and liabilities of $0.8 billion and $0.8 billion, respectively, at June 30, 2017. 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 at settlement. The Company was required to consolidate the FREMF 2016-KLH1 Trust’s assets and liabilities of $1.5 billion and $1.4 billion, respectively, at June 30, 2017. 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 $267.2 million at June 30, 2017. 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 applies the practical expedient fair value measurement under ASU 2014-13, 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 $3.6 billion at June 30, 2017. As of June 30, 2017, 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 $147.9 million as of June 30, 2017. 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 $437.8 million at June 30, 2107 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 June 30, 2017, the Borrower had an intercompany receivable of $189.6 million, which eliminates upon consolidation and an Other secured financing of $189.6 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 June 30, 2017. 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 June 30, 2017 and December 31, 2016 are as follows: June 30, 2017 FREMF Trusts Residential Mortgage Loan Trust MSR Silos (dollars in thousands) Assets Cash and cash equivalents $ - $ - $ 37,901 Commercial real estate debt investments 3,664,092 - - Residential mortgages loans - 150,859 13,979 Mortgage servicing rights - - 605,653 Accrued interest receivable 9,661 754 - Other assets - - 32,721 Total assets $ 3,673,753 $ 151,613 $ 690,254 Liabilities Securitized debt (non-recourse) at fair value $ 3,396,885 $ 41,790 $ - Other secured financing - - 7,659 Other derivatives, at fair value - - 11 Accrued interest payable 4,588 95 - Accounts payable and other liabilities - 71 4,017 Total liabilities $ 3,401,473 $ 41,956 $ 11,687 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 The statements of comprehensive income (loss) of the Company’s VIEs that are reflected in the Company’s Consolidated Statements of Comprehensive Income (Loss) for the three and six months ended June 30, 2017 are as For the Three Months Ended June 30, 2017 FREMF Trusts Residential Mortgage Loan Trust MSR Silos (dollars in thousands) Net interest income: Interest income $ 24,948 $ 1,171 $ 491 Interest expense 11,679 298 57 Net interest income 13,269 873 434 Realized gain (loss) on disposal of investments - (121 ) 24 Unrealized gain (loss) on investments at fair value (1) 4,387 720 (26,848 ) Other income (loss) (6,224 ) (94 ) 33,338 General and administration expenses 1 17 838 Net income (loss) $ 11,431 $ 1,361 $ 6,110 (1) Included in Net unrealized gains (losses) on investments measured at fair value through earnings. For the Six Months Ended June 30, 2017 FREMF Trusts Residential Mortgage Loan Trust MSR Silos (dollars in thousands) Net interest income: Interest income $ 52,667 $ 2,540 $ 491 Interest expense 26,255 572 122 Net interest income 26,412 1,968 369 Realized gain (loss) on disposal of investments - (382 ) (485 ) Unrealized gain (loss) on investments at fair value (1) 5,089 1,702 (47,112 ) Other income (loss) (12,522 ) (191 ) 67,926 General and administration expenses 1 37 1,940 Net income (loss) $ 18,978 $ 3,060 $ 18,758 (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 June 30, 2017 are as FREMF Trusts Residential Mortgage Loan Trust Property Location Principal Balance % of Balance Property Location Principal Balance % of Balance (dollars in thousands) Texas $ 622,589 17.3 % California $ 66,805 45.1 % North Carolina 537,375 15.0 % Texas 16,205 10.9 % Maryland 499,495 13.9 % Illinois 9,841 6.6 % Virginia 329,250 9.2 % Washington 9,742 6.6 % Florida 303,796 8.5 % Florida 8,772 5.9 % New York 280,925 7.8 % Other (1) 36,717 24.9 % Pennsylvania 225,810 6.3 % Ohio 197,455 5.5 % Other (1) 597,163 16.5 % Total $ 3,593,858 100.0 % $ 148,082 100.0 % (1) No individual state greater than 5% |
FAIR VALUE MEASUREMENTS
FAIR VALUE MEASUREMENTS | 6 Months Ended |
Jun. 30, 2017 | |
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 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 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. For the fair value of securitized debt of consolidated VIEs, refer to the Note titled “Variable Interest Entities” for additional information. 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 tables present 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 June 30, 2017 (dollars in thousands) Assets: Agency mortgage-backed securities $ - $ 73,963,998 $ - $ 73,963,998 Credit risk transfer securities - 605,826 - 605,826 Non-Agency mortgage-backed securities - 1,234,053 - 1,234,053 Residential mortgage loans - 779,685 - 779,685 Mortgage servicing rights - - 605,653 605,653 Commercial real estate debt investments - 3,972,560 - 3,972,560 Interest rate swaps - 10,472 - 10,472 Other derivatives 124,109 29,895 - 154,004 Total assets $ 124,109 $ 80,596,489 $ 605,653 $ 81,326,251 Liabilities: Securitized debt of consolidated VIEs $ - $ 3,438,675 $ - $ 3,438,675 Interest rate swaps - 614,589 - 614,589 Other derivatives 42,103 57,277 - 99,380 Total liabilities $ 42,103 $ 4,110,541 $ - $ 4,152,644 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 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. June 30, 2017 December 31, 2016 Range Range Valuation Technique Unobservable Input (1) (Weighted Average) Unobservable Input (1) (Weighted Average) Discounted cash flow Discount rate 10.0% -15.0% (10.4%) Discount rate 10.0% -15.0% (10.4%) Prepayment rate 5.7% - 23.6% (10.3%) Prepayment rate 5.1% - 18.8% (8.7%) Delinquency rate 0.0% - 8.0% (1.9%) Delinquency rate 0.0% - 10.0% (2.3%) Cost to service $84 - $152 ($101) Cost to service $83 - $152 ($100) (1) Represents rates, estimates and assumptions that the Company believes would be used by market participants when valuing these assets. 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 and December 31, 2016. June 30, 2017 December 31, 2016 Level in Fair Value Hierarchy Carrying Value Fair Value Carrying Value Fair Value Financial assets: (dollars in thousands) Cash and cash equivalents (1) 1 $ 700,692 $ 700,692 $ 1,539,746 $ 1,539,746 Agency mortgage-backed securities 2 73,963,998 73,963,998 75,589,873 75,589,873 Credit risk transfer securities 2 605,826 605,826 724,722 724,722 Non-Agency mortgage-backed securities 2 1,234,053 1,234,053 1,401,307 1,401,307 Residential mortgage loans 2 779,685 779,685 342,289 342,289 Mortgage servicing rights 3 605,653 605,653 652,216 652,216 Commercial real estate debt investments 2 3,972,560 3,972,560 4,321,739 4,321,739 Commercial real estate debt and preferred equity, held for investment 3 928,181 931,309 970,505 968,824 Commercial loans held for sale, net 3 - - 114,425 114,425 Corporate debt (2) 2 773,957 775,468 773,274 776,310 Interest rate swaps (1) 2 10,472 10,472 68,194 68,194 Other derivatives 1,2 154,004 154,004 171,266 171,266 Financial liabilities: Repurchase agreements 1,2 $ 62,497,400 $ 62,521,751 $ 65,215,810 $ 65,256,505 Other secured financing 1,2 3,785,543 3,798,234 3,884,708 3,885,430 Securitized debt of consolidated VIEs 2 3,438,675 3,438,675 3,655,802 3,655,802 Participation sold 2 - - 12,869 12,827 Mortgage payable 3 311,810 315,474 311,636 312,442 Interest rate swaps (1) 2 614,589 614,589 1,443,765 1,443,765 Other derivatives 1,2 99,380 99,380 86,437 86,437 (1) As a result of a change to a clearing organization’s rulebook effective January 3, 2017, beginning with the first quarter 2017 and in subsequent periods the Company is presenting the fair value of centrally cleared interest rate swaps net of variation margin pledged under such transactions. The variation margin was previously reported under cash and cash equivalents and is currently reported as a reduction to interest rate swaps, at fair value. (2) Includes a held-to-maturity debt security carried at amortized cost of $84.5 million, with a fair value of $87.8 million, as of December 31, 2016. The bond was paid down during the three months ended June 30, 2017. |
SECURED FINANCING
SECURED FINANCING | 6 Months Ended |
Jun. 30, 2017 | |
Debt Disclosure [Abstract] | |
SECURED FINANCING | 12. SECURED FINANCING The Company had outstanding $62.5 billion and $65.2 billion of repurchase agreements with weighted average borrowing rates of 1.91% and 1.64%, after giving effect to the Company’s interest rate swaps used to hedge cost of funds, and weighted average remaining maturities of 88 days and 96 days as of , respectively. At , the repurchase agreements had the following remaining maturities, collateral types and weighted average rates: June 30, 2017 Agency Mortgage- backed Securities CRTs Non-Agency Mortgage-backed Securities Commercial Loans Commercial Mortgage- backed Securities Total Repurchase Agreements Weighted Average Rate (dollars in thousands) 1 day $ - $ - $ - $ - $ - $ - - 2 to 29 days 25,866,226 306,812 434,128 - 19,409 26,626,575 1.40 % 30 to 59 days 7,930,744 49,657 136,613 - 6,032 8,123,046 1.33 % 60 to 89 days 9,111,191 36,014 129,094 - - 9,276,299 1.33 % 90 to 119 days 3,096,008 - 4,959 - - 3,100,967 1.20 % Over 120 days (1) 14,975,905 - - 394,608 - 15,370,513 1.45 % Total $ 60,980,074 $ 392,483 $ 704,794 $ 394,608 $ 25,441 $ 62,497,400 1.38 % 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) Approximately 5% and 7% of the total repurchase agreements had a remaining maturity over 1 year as of June 30, 2017 and December 31, 2016, respectively. Repurchase agreements and reverse repurchase agreements with the same counterparty and the same maturity are presented net in the Consolidated Statements of Financial Condition when the terms of the agreements permit netting. The following table summarizes the gross amounts of reverse repurchase agreements and repurchase agreements, amounts offset in accordance with netting arrangements and net amounts of repurchase agreements and reverse repurchase agreements as presented in the Consolidated Statements of Financial Condition as of . June 30, 2017 December 31, 2016 Reverse Repurchase Agreements Repurchase Agreements Reverse Repurchase Agreements Repurchase Agreements (dollars in thousands) Gross Amounts $ - $ 62,497,400 $ 400,000 $ 65,615,810 Amounts Offset - - (400,000 ) (400,000 ) Netted Amounts $ - $ 62,497,400 $ - $ 65,215,810 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 , $3.5 billion of the advances from the FHLB Des Moines extends beyond three years and $90.0 million matures between one to three years. As of December 31, 2016, $3.6 billion matured beyond three years. The weighted average rate of the advances from the FHLB Des Moines was 1.30% and 0.76% at and December 31, 2016, respectively. Financial instruments pledged as collateral under secured financing arrangements and interest rate swaps had an estimated fair value and accrued interest of $70.7 |
DERIVATIVE INSTRUMENTS
DERIVATIVE INSTRUMENTS | 6 Months Ended |
Jun. 30, 2017 | |
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 and terms of the derivative contract. In the event of a default by the counterparty, the Company could have difficulty obtaining its Residential The table below summarizes fair value information about our derivative assets and liabilities as of and December 31, 2016: Derivatives Instruments Balance Sheet Location June 30, 2017 December 31, 2016 Assets: (dollars in thousands) Interest rate swaps Interest rate swaps, at fair value $ 10,472 $ 68,194 Interest rate swaptions Other derivatives, at fair value 21,328 - TBA derivatives Other derivatives, at fair value 8,567 2,774 Futures contracts Other derivatives, at fair value 124,109 168,209 Purchase commitments Other derivatives, at fair value - 283 $ 164,476 $ 239,460 Liabilities: Interest rate swaps Interest rate swaps, at fair value $ 614,589 $ 1,443,765 TBA derivatives Other derivatives, at fair value 56,529 60,972 Futures contracts Other derivatives, at fair value 42,103 24,912 Purchase commitments Other derivatives, at fair value 11 553 Credit derivatives Other derivatives, at fair value 737 - $ 713,969 $ 1,530,202 The following table summarizes certain characteristics of the Company’s interest rate swaps at and December 31, 2016: June 30, 2017 Maturity Current Notional (1) Weighted Average Pay Rate Weighted Average Receive Rate Weighted Average Years to Maturity (dollars in thousands) 0 - 3 years $ 4,642,000 1.43 % 1.34 % 2.51 3 - 6 years 11,476,000 2.16 % 1.22 % 4.05 6 - 10 years 8,558,650 2.43 % 1.32 % 7.56 Greater than 10 years 3,926,400 3.62 % 1.20 % 18.75 Total / Weighted Average $ 28,603,050 2.26 % 1.28 % 6.58 December 31, 2016 Maturity Current Notional (1) Weighted Average Pay Rate Weighted Average Receive Rate Weighted Average Years to Maturity (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 (1) There were no forward starting swaps as of June 30, 2017 and December 31, 2016. The following table presents swaptions outstanding as of June 30, 2017. There were no swaptions as of December 31, 2016. June 30, 2017 Current Underlying Notional Weighted Average Underlying Pay Rate Weighted Average Underlying Receive Rate Weighted Average Underlying Years to Maturity Weighted Average Months to Expiration (dollars in thousands) Long $ 2,000,000 2.56 % 3M LIBOR 9.42 8.00 The following table summarizes certain characteristics of the Company’s TBA derivatives as of : June 30, 2017 Purchase and sale contracts for derivative TBAs Notional Implied Cost Basis Implied Market Value Net Carrying Value (dollars in thousands) Purchase contracts $ 13,251,000 $ 13,851,936 $ 13,803,974 $ (47,962 ) 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 ) The following table summarizes certain characteristics of the Company’s futures derivatives as of : June 30, 2017 Notional - Long Positions Notional - Short Positions Weighted Average Years to Maturity (dollars in thousands) 2-year swap equivalent Eurodollar contracts $ - $ (16,363,250 ) 2.00 U.S. Treasury futures - 5 year - (3,437,200 ) 4.42 U.S. Treasury futures - 10 year and greater - (3,275,000 ) 7.08 Total $ - $ (23,075,450 ) 3.08 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 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 , respectively. June 30, 2017 Amounts Eligible for Offset Gross Amounts Financial Instruments Cash Collateral Net Amounts Assets: (dollars in thousands) Interest rate swaps, at fair value (1) $ 10,472 $ (9,282 ) $ - $ 1,190 Interest rate swaptions, at fair value 21,328 - - 21,328 TBA derivatives, at fair value 8,567 (1,969 ) - 6,598 Futures contracts, at fair value 124,109 (42,103 ) - 82,006 Liabilities: Interest rate swaps, at fair value (1) $ 614,589 $ (9,282 ) $ - $ 605,307 TBA derivatives, at fair value 56,529 (1,969 ) - 54,560 Futures contracts, at fair value 42,103 (42,103 ) - - Purchase commitments 11 - - 11 Credit derivatives 737 - - 737 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 (1) As a result of a change to a clearing organization’s rulebook effective January 3, 2017, beginning with the first quarter 2017 and in subsequent periods the Company is presenting the fair value of centrally cleared interest rate swaps net of variation margin pledged under such transactions. The variation margin was previously reported under cash and cash equivalents and is currently reported as a reduction to interest rate swaps, at fair value. 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) Three Months Ended: June 30, 2017 $ (96,470 ) $ (58 ) $ (177,567 ) June 30, 2016 $ (130,762 ) $ (60,064 ) $ (373,220 ) Six Months Ended: June 30, 2017 $ (200,626 ) $ (58 ) $ (28,383 ) June 30, 2016 $ (278,237 ) $ (60,064 ) $ (1,404,940 ) (1) Interest expense related to the Company's interest rate swaps is recorded in Realized gains (losses) on interest rate swaps on the Consolidated Statements of Comprehensive Income (Loss). The effect of other derivative contracts on the Company’s Consolidated Statements of Comprehensive Income (Loss) is as follows: Three Months Ended June 30, 2017 Derivative Instruments Realized Gain (Loss) Unrealized Gain (Loss) Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Trading Assets (dollars in thousands) Net TBA derivatives (1) $ 165,777 $ (72,844 ) $ 92,933 Net interest rate swaptions - (10,438 ) (10,438 ) Futures (59,397 ) (37,588 ) (96,985 ) Purchase commitments - 8 8 Credit derivatives 136 (77 ) 59 $ (14,423 ) Three Months Ended June 30, 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 (1) $ 98,371 $ 60,758 $ 159,129 Futures 8,314 (85,563 ) (77,249 ) $ 81,880 Six Months Ended June 30, 2017 Derivative Instruments Realized Gain (Loss) Unrealized Gain (Loss) Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Trading Assets (dollars in thousands) Net TBA derivatives (1) $ 105,463 $ 10,237 $ 115,700 Net interest rate swaptions - (10,438 ) (10,438 ) Futures (58,424 ) (61,292 ) (119,716 ) Purchase commitments - 272 272 Credit derivatives 136 (77 ) 59 $ (14,123 ) Six Months Ended June 30, 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 (1) $ 318,363 $ 145,052 $ 463,415 Futures (122,680 ) (133,683 ) (256,363 ) $ 207,052 (1) Certain of the Company’s derivative contracts are subject to International Swaps and Derivatives Association Master Agreements or other similar agreements which may contain provisions that grant counterparties certain rights with respect to the applicable agreement upon the occurrence of certain events such as (i) a decline in stockholders’ equity in excess of specified thresholds or dollar amounts over set periods of time, (ii) the Company’s failure to maintain its REIT status, (iii) the Company’s failure to comply with limits on the amount of leverage, and (iv) the Company’s stock being delisted from the New York Stock Exchange (NYSE). Upon the occurrence of any one of items (i) through (iv), or another default under the agreement, the counterparty to the applicable agreement has a right to terminate the agreement in accordance with its provisions. The aggregate fair value of all derivative instruments with the aforementioned features that are in a net liability position at June 30, 2017 was approximately $537.7 million, which represents the maximum amount the Company would be required to pay upon termination. This amount is fully collateralized. |
COMMON STOCK AND PREFERRED STOC
COMMON STOCK AND PREFERRED STOCK | 6 Months Ended |
Jun. 30, 2017 | |
Equity [Abstract] | |
COMMON STOCK AND PREFERRED STOCK | 14. COMMON STOCK AND PREFERRED STOCK At June 30, 2017, the Company’s authorized shares of capital stock, par value of $0.01 per share, consisted 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 June 30, 2017 and December 31, 2016, the Company had issued and outstanding 1,019,027,880 and 1,018,913,249 shares of common stock, respectively, with a par value of $0.01 per share. No options were exercised during the six months ended June 30, 2017 and 2016. During the six months ended June 30, 2017, the Company raised $1.3 million, by issuing 113,000 shares of common stock, through the Direct Purchase and Dividend Reinvestment Program. During the six months ended June 30, 2016, the Company raised $1.2 million, by issuing 116,000 shares of common stock, 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 six months ended June 30, 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 shares of common stock 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 six months (B) Preferred Stock At June 30, 2017 and December 31, 2016, the Company had issued and outstanding 7,412,500 shares of Series A Cumulative Redeemable Preferred Stock (“Series A Preferred Stock”), with a par value of $0.01 per share and a liquidation preference of $25.00 per share plus accrued and unpaid dividends (whether or not declared). The Series A Preferred Stock is entitled to a dividend at a rate of 7.875% per year based on the $25.00 liquidation preference before the common stock is entitled to receive any dividends. The Series A Preferred Stock is redeemable at $25.00 per share plus accrued and unpaid dividends (whether or not declared) exclusively at the Company's option commencing on April 5, 2009 (subject to the Company's right under limited circumstances to redeem the Series A Preferred Stock earlier in order to preserve its qualification as a REIT). Through June 30, 2017, the Company had declared and paid all required quarterly dividends on the Series A Preferred Stock. At June 30, 2017 and December 31, 2016, the Company had issued and outstanding 12,000,000 shares of Series C Preferred Stock, with a par value of $0.01 per share and a liquidation preference of $25.00 per share plus accrued and unpaid dividends (whether or not declared). The Series C Preferred Stock is entitled to a dividend at a rate of 7.625% per year based on the $25.00 liquidation preference before the common stock is entitled to receive any dividends. The Series C Preferred Stock is redeemable at $25.00 per share plus accrued and unpaid dividends (whether or not declared) exclusively at the Company’s option commencing on May 16, 2017 (subject to the Company’s right under limited circumstances to redeem the Series C Preferred Stock earlier in order to preserve its qualification as a REIT or under limited circumstances related to a change of control of the Company). Through June 30, 2017, the Company had declared and paid all required quarterly dividends on the Series C Preferred Stock. At June 30, 2017 and December 31, 2016, the Company had issued and outstanding 18,400,000 shares of Series D Preferred Stock, with a par value of $0.01 per share and a liquidation preference of $25.00 per share plus accrued and unpaid dividends (whether or not declared). The Series D Preferred Stock is entitled to a dividend at a rate of 7.50% per year based on the $25.00 liquidation preference before the common stock is entitled to receive any dividends. The Series D Preferred Stock is redeemable at $25.00 per share plus accrued and unpaid dividends (whether or not declared) exclusively at the Company’s option commencing on September 13, 2017 (subject to the Company’s right under limited circumstances to redeem the Series D Preferred Stock earlier in order to preserve its qualification as a REIT or under limited circumstances related to a change of control of the Company). Through June 30, 2017, the Company had declared and paid all required quarterly dividends on the Series D Preferred Stock. At June 30, 2017 and 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 June 30, 2017, 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 Six Months Ended June 30, 2017 June 30, 2016 (dollars in thousands, except per share data) Distributions declared to common stockholders $ 611,400 $ 554,935 Distributions declared per common share $ 0.60 $ 0.60 Distributions paid to common stockholders after period end $ 305,709 $ 277,479 Distributions paid per common share after period end $ 0.30 $ 0.30 Date of distributions paid to common stockholders after period end July 31, 2017 July 29, 2016 Dividends declared to Series A Preferred stockholders $ 7,296 $ 7,296 Dividends declared per share of Series A Preferred Stock $ 0.984 $ 0.984 Dividends declared to Series C Preferred stockholders $ 11,438 $ 11,438 Dividends declared per share of Series C Preferred Stock $ 0.953 $ 0.953 Dividends declared to Series D Preferred stockholders $ 17,250 $ 17,250 Dividends declared per share of Series D Preferred Stock $ 0.938 $ 0.938 Dividends declared to Series E Preferred stockholders $ 10,962 $ - Dividends declared per share of Series E Preferred Stock $ 0.953 $ - |
INTEREST INCOME AND INTEREST EX
INTEREST INCOME AND INTEREST EXPENSE | 6 Months Ended |
Jun. 30, 2017 | |
Banking and Thrift, Interest [Abstract] | |
INTEREST INCOME AND INTEREST EXPENSE | 15. INTEREST INCOME AND INTEREST EXPENSE The table below presents the components of the Company’s interest income and interest expense for the three and six months ended and 2016. For the Three Months Ended For the Six Months Ended June 30, 2017 June 30, 2016 June 30, 2017 June 30, 2016 Interest income: (dollars in thousands) Residential Investment Securities $ 459,308 $ 394,850 $ 975,218 $ 710,567 Residential mortgage loans 7,417 - 11,281 - Commercial investment portfolio (1) 68,153 59,578 132,498 129,765 Reverse repurchase agreements 2,548 2,690 6,156 4,929 Total interest income 537,426 457,118 1,125,153 845,261 Interest expense: Repurchase agreements 197,151 136,176 370,241 269,067 Securitized debt of consolidated VIEs 11,977 11,226 26,827 20,259 Participation sold 42 157 195 315 Other 13,111 5,196 23,443 10,561 Total interest expense 222,281 152,755 420,706 300,202 Net interest income $ 315,145 $ 304,363 $ 704,447 $ 545,059 (1) Includes commercial real estate debt, preferred equity and corporate debt. |
GOODWILL
GOODWILL | 6 Months Ended |
Jun. 30, 2017 | |
Goodwill and Intangible Assets Disclosure [Abstract] | |
GOODWILL | 16. GOODWILL At June 30, 2017 and December 31, 2016, Goodwill totaled $71.8 million. |
NET INCOME (LOSS) PER COMMON SH
NET INCOME (LOSS) PER COMMON SHARE | 6 Months Ended |
Jun. 30, 2017 | |
Earnings Per Share [Abstract] | |
NET INCOME (LOSS) PER COMMON SHARE | 17. 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 three and six months ended and 2016. For the Three Months Ended For the Six Months Ended June 30, 2017 June 30, 2016 June 30, 2017 June 30, 2016 (dollars in thousands, except per share data) Net income (loss) $ 14,522 $ (278,497 ) $ 454,930 $ (1,146,577 ) Less: Net income (loss) attributable to noncontrolling interest (102 ) (385 ) (205 ) (547 ) Net income (loss) attributable to Annaly 14,624 (278,112 ) 455,135 (1,146,030 ) Less: Dividends on preferred stock 23,473 17,992 46,946 35,984 Net income (loss) available (related) to common stockholders $ (8,849 ) $ (296,104 ) $ 408,189 $ (1,182,014 ) Weighted average shares of common stock outstanding-basic 1,019,000,817 924,887,316 1,018,971,942 925,850,452 Add: Effect of stock awards, if dilutive - - 385,755 - Weighted average shares of common stock outstanding-diluted 1,019,000,817 924,887,316 1,019,357,697 925,850,452 Net income (loss) per share available (related) to common share: Basic $ (0.01 ) $ (0.32 ) $ 0.40 $ (1.28 ) Diluted $ (0.01 ) $ (0.32 ) $ 0.40 $ (1.28 ) Options to purchase 0.8 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 three and six months ended . Options to purchase 1.1 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 three and six months ended . |
LONG-TERM STOCK INCENTIVE PLAN
LONG-TERM STOCK INCENTIVE PLAN | 6 Months Ended |
Jun. 30, 2017 | |
Disclosure of Compensation Related Costs, Share-based Payments [Abstract] | |
LONG-TERM STOCK INCENTIVE PLAN | 18. LONG-TERM STOCK INCENTIVE PLAN 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 Six Months Ended June 30, 2017 June 30, 2016 Number of Shares Exercise Price Number of Shares Exercise Price Options outstanding at the beginning of period 1,125,625 $ 15.43 1,168,775 $ 15.34 Granted - - - - Exercised - - - - Forfeited (117,000 ) 15.85 (6,400 ) 14.69 Expired (199,500 ) 15.74 (36,750 ) 12.90 Options outstanding at the end of period 809,125 $ 15.29 1,125,625 $ 15.43 Options exercisable at the end of period 809,125 $ 15.29 1,125,625 $ 15.43 The weighted average remaining contractual term was approximately 1.2 years and 2.0 years for stock options outstanding and exercisable as of and 2016, respectively. As of , there was no unrecognized compensation cost related to nonvested share-based compensation awards. |
INCOME TAXES
INCOME TAXES | 6 Months Ended |
Jun. 30, 2017 | |
Income Tax Disclosure [Abstract] | |
INCOME TAXES | 19. INCOME TAXES For the three months ended 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 three and six months ended , the Company recorded $0.1 million and $0.9 million of income tax benefit, respectively, 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 | 6 Months Ended |
Jun. 30, 2017 | |
Commitments and Contingencies Disclosure [Abstract] | |
LEASE COMMITMENTS AND CONTINGENCIES | 20. LEASE COMMITMENTS AND CONTINGENCIES Commitments 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 each of the three months ended was $0.8 million. The Company’s aggregate future minimum lease payments totaled $31.0 million. The following table details the future lease payments: Years Ending December 31, Lease Commitments (dollars in thousands) 2017 (remaining) $ 1,849 2018 3,641 2019 3,565 2020 3,652 2021 3,862 Later years 14,480 $ 31,049 Contingencies From time to time, the Company is involved in various claims and legal actions arising in the ordinary course of business. In the opinion of management, the ultimate disposition of these matters will not have a material effect on the Company’s consolidated financial statements. There were no material contingencies as of June 30, 2017 and December 31, 2016. |
RISK MANAGEMENT
RISK MANAGEMENT | 6 Months Ended |
Jun. 30, 2017 | |
Text Block [Abstract] | |
RISK MANAGEMENT | 21. 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 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 | 6 Months Ended |
Jun. 30, 2017 | |
Brokers and Dealers [Abstract] | |
RCAP REGULATORY REQUIREMENTS | 22. 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 As a self-clearing, registered broker dealer, RCap is required to maintain minimum net capital by FINRA. As of 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 was $392.5 million with excess net capital of $392.2 million. |
RELATED PARTY TRANSACTIONS
RELATED PARTY TRANSACTIONS | 6 Months Ended |
Jun. 30, 2017 | |
Related Party Transactions [Abstract] | |
RELATED PARTY TRANSACTIONS | 23. RELATED PARTY TRANSACTIONS 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 (the management agreement, as amended and restated, is referred to as “Management Agreement”). 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. The Company does not pay the Manager any incentive fees. For the three months ended June 30, 2017 and 2016, the compensation and management fee was $38.9 million and $36.0 million, respectively. For the six months ended June 30, 2017 and 2016, the compensation and management fee was $78.2 million and $73.0 million, respectively. At June 30, 2017 and December 31, 2016, the Company had amounts payable to the Manager of $11.8 million and $11.2 million, 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. |
SUBSEQUENT EVENTS
SUBSEQUENT EVENTS | 6 Months Ended |
Jun. 30, 2017 | |
Subsequent Events [Abstract] | |
SUBSEQUENT EVENTS | 24. SUBSEQUENT EVENTS On July 10, 2017, the Company announced an agreement to sell an indirect wholly-owned subsidiary, Pingora Holdings, L.P., to Bayview Asset Management. The sale is subject to customary closing conditions, including requisite regulatory approvals, and is expected to close in the third quarter of 2017. On July 21, 2017, the Company closed the public offering of an original issuance of 60,000,000 shares of common stock for gross proceeds of approximately $710.0 million before deducting estimated offering expenses. In connection with the offering, the Company granted the underwriters a thirty-day option to purchase up to an additional 9,000,000 shares of common stock, which the underwriters exercised in full. On July 26, 2017, the Company closed the sale of the additional 9,000,000 shares of common stock pursuant to the underwriters’ option for addition gross proceeds of approximately $106.0 million before deducting estimated offering expenses. On July 26, 2017, the Company provided notice to the record holders of the Company’s Series A Preferred Stock of the redemption of all 7,412,500 of the issued and outstanding shares of Series A Preferred Stock. The cash redemption amount for each share of Series A Preferred Stock is $25.00 plus accrued and unpaid dividends to, and including, the redemption date of August 25, 2017. On July 26, 2017, a wholly-owned subsidiary of the Company, or Borrower, entered into a $150.0 million credit facility with a third party financial institution. As of August 3, 2017, the Borrower had not drawn on the credit facility. On July 27, 2017, the Company reclassified and designated 4,600,000 shares of its 6.00% Series B Cumulative Convertible Preferred Stock as shares of common stock. On July 31, 2017, the Company closed the public offering of an original issuance of 28,000,000 shares of its 6.95% Series F Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock (the “Series F Preferred Stock”), for gross proceeds of approximately $700.0 million before deducting the underwriting discount and other estimated offering expenses. In connection with the offering, the Company has granted the underwriters a thirty-day option to purchase up to an additional 4,200,000 shares of Series F Preferred Stock, solely to cover over-allotments which option will expire on August 25, 2017. |
SIGNIFICANT ACCOUNTING POLICI32
SIGNIFICANT ACCOUNTING POLICIES (Policies) | 6 Months Ended |
Jun. 30, 2017 | |
Accounting Policies [Abstract] | |
Principles of Consolidation | Principles of Consolidation |
Variable Interest Entities | Variable Interest Entities - The Company has evaluated all of its investments in legal entities in order to determine if they are variable interests in Variable Interest Entities ("VIEs"). A VIE is defined as an entity in which equity investors (i) do not have the characteristics of a controlling financial interest, and/or (ii) do not have sufficient equity at risk for the entity to finance its activities without additional subordinated financial support from other parties. A variable interest is an investment or other interest that will absorb portions of a VIE's expected losses or receive portions of the entity’s expected residual returns . A VIE is required to be consolidated by its primary beneficiary, which is defined as the party that (i) has the power to control the activities that most significantly impact the VIE’s economic performance and (ii) has the obligation to absorb losses of the VIE that could potentially be significant to the VIE or the right to receive benefits from the VIE that could potentially be significant to the VIE. To assess whether the Company has the power to direct the activities of a VIE that most significantly impact the VIE’s economic performance, the Company considers all facts and circumstances, including the Company’s role in establishing the VIE and the Company’s ongoing rights and responsibilities. This assessment includes first, identifying the activities that most significantly impact the VIE’s economic performance; and second, identifying which party, if any, has power over those activities. In general, the parties that make the most significant decisions affecting the VIE or have the right to unilaterally remove those decision makers are deemed to have the power to direct the activities of a VIE. To assess whether the Company has the obligation to absorb losses of the VIE or the right to receive benefits from the VIE that could potentially be significant to the VIE, the Company applies significant judgment and considers all of its economic interests, including debt and equity investments and other arrangements deemed to be variable interests, both explicit and implicit, in the VIE. This assessment requires that the Company apply judgment in determining whether these interests, in the aggregate, are considered potentially significant to the VIE. Factors considered in assessing significance include: the design of the VIE, including its capitalization structure; subordination of interests; payment priority; relative share of interests held across various classes within the VIE’s capital structure; and the reasons why the interests are held by the Company. The Company performs ongoing reassessments of whether changes in the facts and circumstances regarding the Company’s involvement with a VIE causes the Company’s consolidation conclusion regarding the VIE to change. |
Cash and Cash Equivalents | Cash and Cash Equivalents – |
Fair Value Measurements | Fair Value Measurements |
Revenue Recognition | Revenue Recognition – Agency Mortgage-Backed Securities, Agency Debentures, Non-Agency Mortgage-Backed Securities and CRT Securities Agency mortgage-backed securities, Agency debentures, non-Agency mortgage-backed securities and CRT securities are referred to herein as “ Residential Residential Residential Residential Residential Residential 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), taking into account estimates of future principal prepayments in the calculation of the effective yield. 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 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 Interest-only (2) Prospective Residential Credit CRT (2) Prospective Legacy (2) Prospective NPL/RPL (2) Prospective New issue (2) Prospective New issue interest-only (2) Prospective (1) (2) 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). (3) |
Residential Mortgage Loans | Residential Mortgage Loans – The Company’s residential mortgage loans are primarily comprised of new origination, performing adjustable-rate and fixed-rate whole loans acquired in connection with the Company’s acquisition of Hatteras Financial Corp. (“Hatteras” and such acquisition, the “Hatteras Acquisition”) and through subsequent purchases. Additionally, in connection with the Hatteras Acquisition, the Company consolidates a collateralized financing entity that securitized prime adjustable-rate jumbo 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 There was no real estate acquired in settlement of residential mortgage loans as of June 30, 2017 or December 31, 2016. 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. 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 of the 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). |
MSRs | 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 of the 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 swaps are the primary instrument used to mitigate interest rate risk. In particular, the Company uses interest rate swaps to manage its exposure to changing interest rates on its repurchase agreements by economically hedging cash flows associated with these borrowings. Swap agreements may or may not be cleared through a derivatives clearing organization (“DCO”). Uncleared swaps are fair valued using internal pricing models and compared to the counterparty market values. Centrally cleared swaps are fair valued using internal pricing models and compared to the DCO’s market values. Interest rate swaptions – 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. 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 |
Stock Based Compensation | Stock Based Compensation |
Income Taxes | Income Taxes The provisions of ASC 740, Income Taxes (“ASC 740”), clarify the accounting for uncertainty in income taxes recognized in financial statements and prescribe a recognition threshold and measurement attribute for uncertain tax positions taken or expected to be taken on a tax return. ASC 740 also requires that interest and penalties related to unrecognized tax benefits be recognized in the financial statements. The Company does not have any unrecognized tax benefits that would affect its financial position. |
Use of Estimates | |
Commercial Real Estate Investments | Commercial Real Estate Investments Commercial Real Estate Debt Investments – Commercial Real Estate Loans and Preferred Equity Interests (collectively referred to as “CRE Debt and Preferred Equity Investments”) 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. 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 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 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, or deed in lieu of foreclosure, (herein collectively referred to as a foreclosure) (“REO”) 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 - |
Corporate Debt | Corporate Debt Corporate Loans – Corporate Debt Securities – |
Other-Than-Temporary Impairment | Other-Than-Temporary Impairment When the fair value of an available-for-sale security is less than its amortized cost the security is considered impaired. For securities that are impaired, the Company determines if it (1) has the intent to sell the security, (2) is more likely than not that it will be required to sell the security before recovery of its amortized cost basis, or (3) does not expect to recover the entire amortized cost basis of the security. Further, the security is analyzed for credit loss (the difference between the present value of cash flows expected to be collected and the amortized cost basis). The credit loss, if any, will then be recognized in the Consolidated Statements of Comprehensive Income (Loss), while the balance of losses related to other factors will be recognized as a component of Other comprehensive income (loss). If the fair value is less than the cost of a held-to-maturity security, the Company performs an analysis to determine whether it expects to recover the entire cost basis of the security. There was no other-than-temporary impairment recognized for the three months ended June 30, 2017 and 2016. |
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. The loan risk ratings reflect guidance provided by the Office of the Comptroller 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 collateral of the Company’s CRE Debt and Preferred Equity Investments and based upon leverage and cash flow coverages of the borrowers’ debt and operating obligations. The 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 and approval by the respective committee. The 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 exhibit potential weakness that deserves 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. |
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 June 30, 2017 and December 31, 2016. There were no allowances for loan losses as of June 30, 2017 and December 31, 2016. |
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 2017-05 Other Income - Gains and Losses from the Derecognition of Nonfinancial Assets (Subtopic 610-20): Clarifying the Scope of Asset Derecognition Guidance and Accounting for Partial Sales of Nonfinancial Assets This update clarifies that a financial asset is within the scope of Subtopic 610-20 if it meets the definition of an in-substance nonfinancial asset, including nonfinancial assets transferred within a legal entity to a counterparty. The ASU requires the Company to derecognize a distinct nonfinancial asset or in-substance nonfinancial asset in a partial sale transaction when it ceases to have a controlling financial interest in a legal entity that holds the asset or transfers control of the asset, with any noncontrolling interest retained recognized at fair value. Transfers of ownership interest in a consolidated subsidiary with controlling financial interest retained are accounted for as equity transactions. January 1, 2018 (early adoption permitted). The Company is evaluating the expected impact of this ASU. 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 and has developed an implementation plan, which it has begun executing. While the Company 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. |
SIGNIFICANT ACCOUNTING POLICI33
SIGNIFICANT ACCOUNTING POLICIES (Tables) | 6 Months Ended |
Jun. 30, 2017 | |
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 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 Interest-only (2) Prospective Residential Credit CRT (2) Prospective Legacy (2) Prospective NPL/RPL (2) Prospective New issue (2) Prospective New issue interest-only (2) Prospective (1) (2) 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). (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 2017-05 Other Income - Gains and Losses from the Derecognition of Nonfinancial Assets (Subtopic 610-20): Clarifying the Scope of Asset Derecognition Guidance and Accounting for Partial Sales of Nonfinancial Assets This update clarifies that a financial asset is within the scope of Subtopic 610-20 if it meets the definition of an in-substance nonfinancial asset, including nonfinancial assets transferred within a legal entity to a counterparty. The ASU requires the Company to derecognize a distinct nonfinancial asset or in-substance nonfinancial asset in a partial sale transaction when it ceases to have a controlling financial interest in a legal entity that holds the asset or transfers control of the asset, with any noncontrolling interest retained recognized at fair value. Transfers of ownership interest in a consolidated subsidiary with controlling financial interest retained are accounted for as equity transactions. January 1, 2018 (early adoption permitted). The Company is evaluating the expected impact of this ASU. 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 and has developed an implementation plan, which it has begun executing. While the Company 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. |
ACQUISITION OF HATTERAS (Tables
ACQUISITION OF HATTERAS (Tables) | 6 Months Ended |
Jun. 30, 2017 | |
Business Combinations [Abstract] | |
Aggregate Consideration and Preliminary Fair Value of Assets Acquired and Liabilities Assumed | The following table summarizes the aggregate consideration and fair value of the assets acquired and liabilities assumed recognized at the acquisition date: 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 |
RESIDENTIAL INVESTMENT SECURI35
RESIDENTIAL INVESTMENT SECURITIES (Tables) | 6 Months Ended |
Jun. 30, 2017 | |
Text Block [Abstract] | |
Schedule of Available-for-sale Securities Reconciliation | The following tables present the Company’s Residential Investment Securities portfolio that was carried at fair value as of and December 31, 2016: June 30, 2017 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 $ 61,627,012 $ 3,671,722 $ (1,416 ) $ 65,297,318 $ 220,370 $ (1,045,902 ) $ 64,471,787 Adjustable-rate pass-through 8,092,902 307,181 (2,939 ) 8,397,144 26,753 (55,019 ) 8,368,878 Interest-only 7,051,876 1,305,067 - 1,305,067 3,351 (185,085 ) 1,123,333 Total Agency investments $ 76,771,790 $ 5,283,970 $ (4,355 ) $ 74,999,529 $ 250,474 $ (1,286,006 ) $ 73,963,998 Residential Credit CRT $ 550,302 $ 15,364 $ (5,915 ) $ 559,751 $ 46,077 $ (2 ) $ 605,826 Alt-A 215,364 1,255 (34,464 ) 182,155 11,475 (149 ) 193,481 Prime 198,358 264 (26,268 ) 172,355 16,497 - 188,852 Subprime 630,337 1,560 (80,889 ) 551,008 43,683 (65 ) 594,627 NPL/RPL 128,766 168 (92 ) 128,841 815 (36 ) 129,620 Prime Jumbo (>= 2010 Vintage) 110,465 675 - 111,140 1,356 - 112,496 Prime Jumbo (>= 2010 Vintage) Interest-Only 793,031 12,832 - 12,832 2,145 - 14,977 Total residential credit investments $ 2,626,623 $ 32,118 $ (147,628 ) $ 1,718,082 $ 122,048 $ (252 ) $ 1,839,879 Total Residential Investment Securities $ 79,398,413 $ 5,316,088 $ (151,983 ) $ 76,717,611 $ 372,522 $ (1,286,258 ) $ 75,803,877 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 (>= 2010 Vintage) 129,453 852 (345 ) 129,960 267 (308 ) 129,919 Prime Jumbo (>= 2010 Vintage) 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 (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 and December 31, 2016: Investment Type June 30, 2017 December 31, 2016 (dollars in thousands) Fannie Mae $ 51,216,573 $ 51,658,391 Freddie Mac 22,680,257 23,858,110 Ginnie Mae 67,168 73,372 Total $ 73,963,998 $ 75,589,873 |
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 June 30, 2017 and December 31, 2016 June 30, 2017 December 31, 2016 Weighted Average Life Estimated Fair Value Amortized Cost Estimated Fair Value Amortized Cost (dollars in thousands) Less than one year $ 158,935 $ 159,970 $ 63,510 $ 61,775 Greater than one year through five years 17,006,028 16,987,965 12,626,932 12,666,394 Greater than five years through ten years 58,139,230 59,089,002 56,785,601 57,738,588 Greater than ten years 499,684 480,674 8,239,859 8,473,058 Total $ 75,803,877 $ 76,717,611 $ 77,715,902 $ 78,939,815 |
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 and December 31, 2016. June 30, 2017 December 31, 2016 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 $ 50,551,597 $ (871,480 ) 1,432 $ 52,465,045 $ (1,094,957 ) 1,368 12 Months or More 5,823,250 (229,441 ) 55 6,277,814 (266,609 ) 54 Total $ 56,374,847 $ (1,100,921 ) 1,487 $ 58,742,859 $ (1,361,566 ) 1,422 (1) Excludes interest-only mortgage-backed securities. |
RESIDENTIAL MORTGAGE LOANS (Tab
RESIDENTIAL MORTGAGE LOANS (Tables) | 6 Months Ended |
Jun. 30, 2017 | |
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 June 30, 2017 and December 31, 2016: June 30, 2017 December 31, 2016 (dollars in thousands) Fair value $ 779,685 $ 342,289 Unpaid principal balance $ 763,850 $ 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 three and six months ended June 30, 2017 for these investments: For the Three Months Ended For the Six Months Ended June 30, 2017 June 30, 2017 (dollars in thousands) Net gains (losses) on disposal of investments $ (321 ) $ (1,314 ) Net unrealized gains (losses) on investments measured at fair value through earnings 5,310 6,125 Net interest income 7,120 10,709 Total included in net income (loss) $ 12,109 $ 15,520 |
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 June 30, 2017 are as FREMF Trusts Residential Mortgage Loan Trust Property Location Principal Balance % of Balance Property Location Principal Balance % of Balance (dollars in thousands) Texas $ 622,589 17.3 % California $ 66,805 45.1 % North Carolina 537,375 15.0 % Texas 16,205 10.9 % Maryland 499,495 13.9 % Illinois 9,841 6.6 % Virginia 329,250 9.2 % Washington 9,742 6.6 % Florida 303,796 8.5 % Florida 8,772 5.9 % New York 280,925 7.8 % Other (1) 36,717 24.9 % Pennsylvania 225,810 6.3 % Ohio 197,455 5.5 % Other (1) 597,163 16.5 % Total $ 3,593,858 100.0 % $ 148,082 100.0 % (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 June 30, 2017 and December 31, 2016: June 30, 2017 December 31, 2016 Portfolio Range Portfolio Weighted Average Portfolio Range Portfolio Weighted Average (dollars in thousands) (dollars in thousands) Unpaid principal balance $20 - $3,686 $709 $22 - $1,905 $691 Interest rate 2.50% - 6.88% 4.35% 2.50% - 6.75% 3.72% Maturity 8/1/2029 - 6/1/2047 10/20/2045 4/8/2044 - 11/1/2046 8/20/2045 FICO score at loan origination 620 - 823 753 665 - 814 761 Loan-to-value ratio at loan origination 20% - 90% 68% 24% - 90% 71% |
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 June 30, 2017 and December 31, 2016, for the residential mortgage loans, including loans held in a securitization trust: Geographic Concentrations of Residential Mortgage Loans June 30, 2017 December 31, 2016 Property Location % of Balance Property Location % of Balance California 57.9 % California 46.3 % New York 7.2 % Texas 9.6 % Texas 5.0 % Illinois 5.7 % All other (none individually greater than 5%) 29.9 % Florida 5.2 % Washington 5.1 % All other (none individually greater than 5%) 28.1 % Total 100.0 % Total 100.0 % |
MORTGAGE SERVICING RIGHTS (Tabl
MORTGAGE SERVICING RIGHTS (Tables) | 6 Months Ended |
Jun. 30, 2017 | |
Transfers and Servicing [Abstract] | |
Presentation of Activity Related to MSR | The following table presents activity related to MSRs for the three and six months ended June 30, 2017: For the Three Months Ended For the Six Months Ended June 30, 2017 June 30, 2017 (dollars in thousands) Fair value, beginning of period $ 632,166 $ 652,216 Purchases (1) (210 ) 3 Change in fair value due to: Changes in valuation inputs or assumptions (2) (9,205 ) (15,438 ) Other changes, including realization of expected cash flows (17,098 ) (31,128 ) Fair value, end of period $ 605,653 $ 605,653 (1) Includes adjustments to original purchase price from early payoffs, defaults, or loans that were delivered but were deemed to not be acceptable. (2) Principally represent changes in discount rates and prepayment speed inputs used in valuation model, primarily due to changes in interest rates |
COMMERCIAL REAL ESTATE INVEST38
COMMERCIAL REAL ESTATE INVESTMENTS (Tables) | 6 Months Ended |
Jun. 30, 2017 | |
Text Block [Abstract] | |
Commercial Real Estate Investments Held for Investment | CRE Debt and Preferred Equity Investments June 30, 2017 December 31, 2016 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 $ 528,659 $ 526,535 56.7 % $ 512,322 $ 510,071 52.6 % Mezzanine loans 393,810 392,670 42.3 % 453,693 451,467 46.5 % Preferred equity 9,000 8,976 1.0 % 9,000 8,967 0.9 % Total (3) $ 931,469 $ 928,181 100.0 % $ 975,015 $ 970,505 100.0 % (1) (2) (3) June 30, 2017 Senior Mortgages Mezzanine Loans Preferred Equity Total (dollars in thousands) Beginning balance $ 510,071 $ 451,467 $ 8,967 $ 970,505 Originations & advances (principal) 74,945 36,039 - 110,984 Principal payments (58,608 ) (95,923 ) - (154,531 ) Amortization & accretion of (premium) discounts (44 ) 30 - (14 ) Net (increase) decrease in origination fees (741 ) (217 ) - (958 ) Amortization of net origination fees 912 1,274 9 2,195 Net carrying value $ 526,535 $ 392,670 $ 8,976 $ 928,181 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) |
Internal Loan and Preferred Equity Ratings | June 30, 2017 Outstanding Principal Percentage of CRE Debt and Preferred Equity Portfolio Internal Ratings Investment Type Performing Performing - Closely Monitored Performing - Special Mention Substandard Doubtful Loss Total (dollars in thousands) Senior mortgages $ 528,659 56.7 % $ 175,394 $ 249,075 $ 104,190 $ - $ - $ - $ 528,659 Mezzanine loans 393,810 42.3 % 195,435 179,188 19,187 - - - 393,810 Preferred equity 9,000 1.0 % - - 9,000 - - - 9,000 $ 931,469 100.0 % $ 370,829 $ 428,263 $ 132,377 $ - $ - $ - $ 931,469 December 31, 2016 Outstanding Principal (1) Percentage of CRE Debt and Preferred Equity Portfolio Internal Ratings Investment Type 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) |
Total Commercial Real Estate Held for Investment | June 30, 2017 December 31, 2016 (dollars in thousands) Real estate held for investment, at amortized cost Land $ 111,012 $ 112,675 Buildings and improvements 330,837 335,945 Subtotal 441,849 448,620 Less: accumulated depreciation (41,062 ) (34,221 ) Total real estate held for investment, at amortized cost, net 400,787 414,399 Equity in unconsolidated joint ventures 73,723 60,168 Investments in commercial real estate, net $ 474,510 $ 474,567 |
Minimum Future Rentals on Non-cancelable Leases | Approximate future minimum rents to be received over the next five years and thereafter for non-cancelable operating leases in effect at June 30, 2017 for consolidated investments in real estate are as follows: June 30, 2017 (dollars in thousands) 2017 (remaining) $ 15,511 2018 28,240 2019 24,446 2020 19,749 2021 15,566 Later years 28,649 $ 132,161 |
Mortgage Loans Payable | Mortgage loans payable as of June 30, 2017 June 30, 2017 Property Mortgage Carrying Value Mortgage Principal Interest Rate Fixed/Floating Rate Maturity Date Priority (dollars in thousands) Joint Ventures $ 286,186 $ 289,125 4.03% - 4.61% Fixed 2024 and 2025 First liens Tennessee 12,278 12,350 4.01% Fixed 9/6/2019 First liens Virginia 11,017 11,025 3.58% Fixed 6/6/2019 First liens Nevada (1) 2,329 2,329 L+200 Floating 9/29/2017 First liens $ 311,810 $ 314,829 (1) The mortgage agreement contained an interest rate swap with an expiration date of March 29, 2017. Effective on March 29, 2017, the interest rate swap expired and the Company extended the maturity date of the mortgage debt to September 29, 2017. 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 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). |
Future Mortgage Loan Principal Payments | The following table details future mortgage loan principal payments as of June 30, 2017: Mortgage Loan Principal Payments (dollars in thousands) 2017 (remaining) $ 2,329 2018 - 2019 23,375 2020 - 2021 - Later years 289,125 $ 314,829 |
CORPORATE DEBT (Tables)
CORPORATE DEBT (Tables) | 6 Months Ended |
Jun. 30, 2017 | |
Investments, Debt and Equity Securities [Abstract] | |
Schedule of Industry and Rate Sensitivity | The industry and rate sensitivity dispersion of the portfolio as of are as follows: Industry Dispersion June 30, 2017 December 31, 2016 Fixed Rate Floating Rate Total Fixed Rate Floating Rate Total (dollars in thousands) Aircraft and Parts $ - $ 34,892 $ 34,892 $ - $ 32,067 $ 32,067 Commercial Fishing - 38,828 38,828 - 40,600 40,600 Computer Programming, Data Processing & Other Computer Related Services - 132,323 132,323 - 146,547 146,547 Drugs - 33,642 33,642 - 34,042 34,042 Groceries and Related Products - 14,838 14,838 - 14,856 14,856 Grocery Stores - 23,618 23,618 - 23,761 23,761 Home Health Care Services - 24,033 24,033 - 39,205 39,205 Insurance Agents, Brokers and services 4,414 72,973 77,387 4,391 73,267 77,658 Management and Public Relations Services - 94,481 94,481 - 16,493 16,493 Medical and Dental Laboratories - 26,039 26,039 - 17,292 17,292 Miscellaneous Business Services - 19,797 19,797 84,486 - 84,486 Miscellaneous Equipment Rental and Leasing - 19,630 19,630 - - - Miscellaneous Health and Allied Services, not elsewhere classified - 25,241 25,241 - 9,791 9,791 Miscellaneous Nonmetallic Minerals, except Fuels - 24,674 24,674 - 24,688 24,688 Miscellaneous Plastic Products - 9,914 9,914 - 27,036 27,036 Motor Vehicles and Motor Vehicle Parts and Supplies - 12,259 12,259 - 12,319 12,319 Offices and Clinics of Doctors of Medicine - 48,274 48,274 - 83,386 83,386 Offices and Clinics of Health Practitioners, not elsewhere classified - 7,444 7,444 - - - Personnel Supply Services - - - - 36,921 36,921 Public Warehousing and Storage - 37,121 37,121 - - - Research, Development and Testing Services - 17,717 17,717 - 17,744 17,744 Schools and Educational Services, not elsewhere classified - 20,890 20,890 - 20,979 20,979 Surgical, Medical, and Dental Instruments and Supplies - 13,041 13,041 - 13,403 13,403 Telephone Communications - 17,874 17,874 - - - Total $ 4,414 $ 769,543 $ 773,957 $ 88,877 $ 684,397 $ 773,274 |
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 June 30, 2017 and December 31, 2016. June 30, 2017 December 31, 2016 (dollars in thousands) First lien loans $ 496,953 $ 505,956 Second lien loans 272,590 178,441 Second lien notes - 84,486 Subordinated notes 4,414 4,391 Total $ 773,957 $ 773,274 |
VARIABLE INTEREST ENTITIES (Tab
VARIABLE INTEREST ENTITIES (Tables) | 6 Months Ended |
Jun. 30, 2017 | |
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 June 30, 2017 and December 31, 2016 are as follows: June 30, 2017 FREMF Trusts Residential Mortgage Loan Trust MSR Silos (dollars in thousands) Assets Cash and cash equivalents $ - $ - $ 37,901 Commercial real estate debt investments 3,664,092 - - Residential mortgages loans - 150,859 13,979 Mortgage servicing rights - - 605,653 Accrued interest receivable 9,661 754 - Other assets - - 32,721 Total assets $ 3,673,753 $ 151,613 $ 690,254 Liabilities Securitized debt (non-recourse) at fair value $ 3,396,885 $ 41,790 $ - Other secured financing - - 7,659 Other derivatives, at fair value - - 11 Accrued interest payable 4,588 95 - Accounts payable and other liabilities - 71 4,017 Total liabilities $ 3,401,473 $ 41,956 $ 11,687 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 |
Statement of Comprehensive Income (Loss) of VIEs Reflected in Consolidated Statements of Comprehensive Income (Loss) | The statements of comprehensive income (loss) of the Company’s VIEs that are reflected in the Company’s Consolidated Statements of Comprehensive Income (Loss) for the three and six months ended June 30, 2017 are as For the Three Months Ended June 30, 2017 FREMF Trusts Residential Mortgage Loan Trust MSR Silos (dollars in thousands) Net interest income: Interest income $ 24,948 $ 1,171 $ 491 Interest expense 11,679 298 57 Net interest income 13,269 873 434 Realized gain (loss) on disposal of investments - (121 ) 24 Unrealized gain (loss) on investments at fair value (1) 4,387 720 (26,848 ) Other income (loss) (6,224 ) (94 ) 33,338 General and administration expenses 1 17 838 Net income (loss) $ 11,431 $ 1,361 $ 6,110 (1) Included in Net unrealized gains (losses) on investments measured at fair value through earnings. For the Six Months Ended June 30, 2017 FREMF Trusts Residential Mortgage Loan Trust MSR Silos (dollars in thousands) Net interest income: Interest income $ 52,667 $ 2,540 $ 491 Interest expense 26,255 572 122 Net interest income 26,412 1,968 369 Realized gain (loss) on disposal of investments - (382 ) (485 ) Unrealized gain (loss) on investments at fair value (1) 5,089 1,702 (47,112 ) Other income (loss) (12,522 ) (191 ) 67,926 General and administration expenses 1 37 1,940 Net income (loss) $ 18,978 $ 3,060 $ 18,758 (1) Included in Net unrealized gains (losses) on investments measured at fair value through earnings. |
FAIR VALUE MEASUREMENTS (Tables
FAIR VALUE MEASUREMENTS (Tables) | 6 Months Ended |
Jun. 30, 2017 | |
Fair Value Disclosures [Abstract] | |
Schedule of Fair Values, Assets and Liabilities Measured on Recurring Basis | The following tables present 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 June 30, 2017 (dollars in thousands) Assets: Agency mortgage-backed securities $ - $ 73,963,998 $ - $ 73,963,998 Credit risk transfer securities - 605,826 - 605,826 Non-Agency mortgage-backed securities - 1,234,053 - 1,234,053 Residential mortgage loans - 779,685 - 779,685 Mortgage servicing rights - - 605,653 605,653 Commercial real estate debt investments - 3,972,560 - 3,972,560 Interest rate swaps - 10,472 - 10,472 Other derivatives 124,109 29,895 - 154,004 Total assets $ 124,109 $ 80,596,489 $ 605,653 $ 81,326,251 Liabilities: Securitized debt of consolidated VIEs $ - $ 3,438,675 $ - $ 3,438,675 Interest rate swaps - 614,589 - 614,589 Other derivatives 42,103 57,277 - 99,380 Total liabilities $ 42,103 $ 4,110,541 $ - $ 4,152,644 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 |
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. June 30, 2017 December 31, 2016 Range Range Valuation Technique Unobservable Input (1) (Weighted Average) Unobservable Input (1) (Weighted Average) Discounted cash flow Discount rate 10.0% -15.0% (10.4%) Discount rate 10.0% -15.0% (10.4%) Prepayment rate 5.7% - 23.6% (10.3%) Prepayment rate 5.1% - 18.8% (8.7%) Delinquency rate 0.0% - 8.0% (1.9%) Delinquency rate 0.0% - 10.0% (2.3%) Cost to service $84 - $152 ($101) Cost to service $83 - $152 ($100) (1) Represents rates, estimates and assumptions that the Company believes would be used by market participants when valuing these assets. |
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 and December 31, 2016. June 30, 2017 December 31, 2016 Level in Fair Value Hierarchy Carrying Value Fair Value Carrying Value Fair Value Financial assets: (dollars in thousands) Cash and cash equivalents (1) 1 $ 700,692 $ 700,692 $ 1,539,746 $ 1,539,746 Agency mortgage-backed securities 2 73,963,998 73,963,998 75,589,873 75,589,873 Credit risk transfer securities 2 605,826 605,826 724,722 724,722 Non-Agency mortgage-backed securities 2 1,234,053 1,234,053 1,401,307 1,401,307 Residential mortgage loans 2 779,685 779,685 342,289 342,289 Mortgage servicing rights 3 605,653 605,653 652,216 652,216 Commercial real estate debt investments 2 3,972,560 3,972,560 4,321,739 4,321,739 Commercial real estate debt and preferred equity, held for investment 3 928,181 931,309 970,505 968,824 Commercial loans held for sale, net 3 - - 114,425 114,425 Corporate debt (2) 2 773,957 775,468 773,274 776,310 Interest rate swaps (1) 2 10,472 10,472 68,194 68,194 Other derivatives 1,2 154,004 154,004 171,266 171,266 Financial liabilities: Repurchase agreements 1,2 $ 62,497,400 $ 62,521,751 $ 65,215,810 $ 65,256,505 Other secured financing 1,2 3,785,543 3,798,234 3,884,708 3,885,430 Securitized debt of consolidated VIEs 2 3,438,675 3,438,675 3,655,802 3,655,802 Participation sold 2 - - 12,869 12,827 Mortgage payable 3 311,810 315,474 311,636 312,442 Interest rate swaps (1) 2 614,589 614,589 1,443,765 1,443,765 Other derivatives 1,2 99,380 99,380 86,437 86,437 (1) As a result of a change to a clearing organization’s rulebook effective January 3, 2017, beginning with the first quarter 2017 and in subsequent periods the Company is presenting the fair value of centrally cleared interest rate swaps net of variation margin pledged under such transactions. The variation margin was previously reported under cash and cash equivalents and is currently reported as a reduction to interest rate swaps, at fair value. (2) Includes a held-to-maturity debt security carried at amortized cost of $84.5 million, with a fair value of $87.8 million, as of December 31, 2016. The bond was paid down during the three months ended June 30, 2017. |
SECURED FINANCING (Tables)
SECURED FINANCING (Tables) | 6 Months Ended |
Jun. 30, 2017 | |
Debt Disclosure [Abstract] | |
Schedule of Repurchase Agreements Remaining Maturity ,Collateral Types and Weighted Average Rates | At , the repurchase agreements had the following remaining maturities, collateral types and weighted average rates: June 30, 2017 Agency Mortgage- backed Securities CRTs Non-Agency Mortgage-backed Securities Commercial Loans Commercial Mortgage- backed Securities Total Repurchase Agreements Weighted Average Rate (dollars in thousands) 1 day $ - $ - $ - $ - $ - $ - - 2 to 29 days 25,866,226 306,812 434,128 - 19,409 26,626,575 1.40 % 30 to 59 days 7,930,744 49,657 136,613 - 6,032 8,123,046 1.33 % 60 to 89 days 9,111,191 36,014 129,094 - - 9,276,299 1.33 % 90 to 119 days 3,096,008 - 4,959 - - 3,100,967 1.20 % Over 120 days (1) 14,975,905 - - 394,608 - 15,370,513 1.45 % Total $ 60,980,074 $ 392,483 $ 704,794 $ 394,608 $ 25,441 $ 62,497,400 1.38 % 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) Approximately 5% and 7% of the total repurchase agreements had a remaining maturity over 1 year as of June 30, 2017 and December 31, 2016, respectively. |
Summary of Gross Amounts, Amounts Offset and net Amounts of Repurchase Agreement and Reverse Repurchase Agreement | The following table summarizes the gross amounts of reverse repurchase agreements and repurchase agreements, amounts offset in accordance with netting arrangements and net amounts of repurchase agreements and reverse repurchase agreements as presented in the Consolidated Statements of Financial Condition as of . June 30, 2017 December 31, 2016 Reverse Repurchase Agreements Repurchase Agreements Reverse Repurchase Agreements Repurchase Agreements (dollars in thousands) Gross Amounts $ - $ 62,497,400 $ 400,000 $ 65,615,810 Amounts Offset - - (400,000 ) (400,000 ) Netted Amounts $ - $ 62,497,400 $ - $ 65,215,810 |
DERIVATIVE INSTRUMENTS (Tables)
DERIVATIVE INSTRUMENTS (Tables) | 6 Months Ended |
Jun. 30, 2017 | |
Summarizes Fair Value Information about Derivative Assets Liabilities | The table below summarizes fair value information about our derivative assets and liabilities as of and December 31, 2016: Derivatives Instruments Balance Sheet Location June 30, 2017 December 31, 2016 Assets: (dollars in thousands) Interest rate swaps Interest rate swaps, at fair value $ 10,472 $ 68,194 Interest rate swaptions Other derivatives, at fair value 21,328 - TBA derivatives Other derivatives, at fair value 8,567 2,774 Futures contracts Other derivatives, at fair value 124,109 168,209 Purchase commitments Other derivatives, at fair value - 283 $ 164,476 $ 239,460 Liabilities: Interest rate swaps Interest rate swaps, at fair value $ 614,589 $ 1,443,765 TBA derivatives Other derivatives, at fair value 56,529 60,972 Futures contracts Other derivatives, at fair value 42,103 24,912 Purchase commitments Other derivatives, at fair value 11 553 Credit derivatives Other derivatives, at fair value 737 - $ 713,969 $ 1,530,202 |
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 , respectively. June 30, 2017 Amounts Eligible for Offset Gross Amounts Financial Instruments Cash Collateral Net Amounts Assets: (dollars in thousands) Interest rate swaps, at fair value (1) $ 10,472 $ (9,282 ) $ - $ 1,190 Interest rate swaptions, at fair value 21,328 - - 21,328 TBA derivatives, at fair value 8,567 (1,969 ) - 6,598 Futures contracts, at fair value 124,109 (42,103 ) - 82,006 Liabilities: Interest rate swaps, at fair value (1) $ 614,589 $ (9,282 ) $ - $ 605,307 TBA derivatives, at fair value 56,529 (1,969 ) - 54,560 Futures contracts, at fair value 42,103 (42,103 ) - - Purchase commitments 11 - - 11 Credit derivatives 737 - - 737 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 (1) As a result of a change to a clearing organization’s rulebook effective January 3, 2017, beginning with the first quarter 2017 and in subsequent periods the Company is presenting the fair value of centrally cleared interest rate swaps net of variation margin pledged under such transactions. The variation margin was previously reported under cash and cash equivalents and is currently reported as a reduction to interest rate swaps, at fair value. |
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) Three Months Ended: June 30, 2017 $ (96,470 ) $ (58 ) $ (177,567 ) June 30, 2016 $ (130,762 ) $ (60,064 ) $ (373,220 ) Six Months Ended: June 30, 2017 $ (200,626 ) $ (58 ) $ (28,383 ) June 30, 2016 $ (278,237 ) $ (60,064 ) $ (1,404,940 ) (1) Interest expense related to the Company's interest rate swaps is recorded in Realized gains (losses) on interest rate swaps on the Consolidated Statements of Comprehensive Income (Loss). |
Effect of Other Derivative Contracts on the Consolidated Statements of Operations and Comprehensive Income (Loss) | The effect of other derivative contracts on the Company’s Consolidated Statements of Comprehensive Income (Loss) is as follows: Three Months Ended June 30, 2017 Derivative Instruments Realized Gain (Loss) Unrealized Gain (Loss) Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Trading Assets (dollars in thousands) Net TBA derivatives (1) $ 165,777 $ (72,844 ) $ 92,933 Net interest rate swaptions - (10,438 ) (10,438 ) Futures (59,397 ) (37,588 ) (96,985 ) Purchase commitments - 8 8 Credit derivatives 136 (77 ) 59 $ (14,423 ) Three Months Ended June 30, 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 (1) $ 98,371 $ 60,758 $ 159,129 Futures 8,314 (85,563 ) (77,249 ) $ 81,880 Six Months Ended June 30, 2017 Derivative Instruments Realized Gain (Loss) Unrealized Gain (Loss) Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Trading Assets (dollars in thousands) Net TBA derivatives (1) $ 105,463 $ 10,237 $ 115,700 Net interest rate swaptions - (10,438 ) (10,438 ) Futures (58,424 ) (61,292 ) (119,716 ) Purchase commitments - 272 272 Credit derivatives 136 (77 ) 59 $ (14,123 ) Six Months Ended June 30, 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 (1) $ 318,363 $ 145,052 $ 463,415 Futures (122,680 ) (133,683 ) (256,363 ) $ 207,052 (1) |
Interest Rate Swaps | |
Summary of Certain Characteristics of Derivatives | The following table summarizes certain characteristics of the Company’s interest rate swaps at and December 31, 2016: June 30, 2017 Maturity Current Notional (1) Weighted Average Pay Rate Weighted Average Receive Rate Weighted Average Years to Maturity (dollars in thousands) 0 - 3 years $ 4,642,000 1.43 % 1.34 % 2.51 3 - 6 years 11,476,000 2.16 % 1.22 % 4.05 6 - 10 years 8,558,650 2.43 % 1.32 % 7.56 Greater than 10 years 3,926,400 3.62 % 1.20 % 18.75 Total / Weighted Average $ 28,603,050 2.26 % 1.28 % 6.58 December 31, 2016 Maturity Current Notional (1) Weighted Average Pay Rate Weighted Average Receive Rate Weighted Average Years to Maturity (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 (1) There were no forward starting swaps as of June 30, 2017 and December 31, 2016. |
Interest Rate Swaption | |
Summary of Certain Characteristics of Derivatives | The following table presents swaptions outstanding as of June 30, 2017. There were no swaptions as of December 31, 2016. June 30, 2017 Current Underlying Notional Weighted Average Underlying Pay Rate Weighted Average Underlying Receive Rate Weighted Average Underlying Years to Maturity Weighted Average Months to Expiration (dollars in thousands) Long $ 2,000,000 2.56 % 3M LIBOR 9.42 8.00 |
Futures Contracts | |
Summary of Certain Characteristics of Derivatives | The following table summarizes certain characteristics of the Company’s futures derivatives as of : June 30, 2017 Notional - Long Positions Notional - Short Positions Weighted Average Years to Maturity (dollars in thousands) 2-year swap equivalent Eurodollar contracts $ - $ (16,363,250 ) 2.00 U.S. Treasury futures - 5 year - (3,437,200 ) 4.42 U.S. Treasury futures - 10 year and greater - (3,275,000 ) 7.08 Total $ - $ (23,075,450 ) 3.08 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 |
TBA Derivatives | |
Summary of Certain Characteristics of Derivatives | The following table summarizes certain characteristics of the Company’s TBA derivatives as of : June 30, 2017 Purchase and sale contracts for derivative TBAs Notional Implied Cost Basis Implied Market Value Net Carrying Value (dollars in thousands) Purchase contracts $ 13,251,000 $ 13,851,936 $ 13,803,974 $ (47,962 ) 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 ) |
COMMON STOCK AND PREFERRED ST44
COMMON STOCK AND PREFERRED STOCK (Tables) | 6 Months Ended |
Jun. 30, 2017 | |
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 Six Months Ended June 30, 2017 June 30, 2016 (dollars in thousands, except per share data) Distributions declared to common stockholders $ 611,400 $ 554,935 Distributions declared per common share $ 0.60 $ 0.60 Distributions paid to common stockholders after period end $ 305,709 $ 277,479 Distributions paid per common share after period end $ 0.30 $ 0.30 Date of distributions paid to common stockholders after period end July 31, 2017 July 29, 2016 Dividends declared to Series A Preferred stockholders $ 7,296 $ 7,296 Dividends declared per share of Series A Preferred Stock $ 0.984 $ 0.984 Dividends declared to Series C Preferred stockholders $ 11,438 $ 11,438 Dividends declared per share of Series C Preferred Stock $ 0.953 $ 0.953 Dividends declared to Series D Preferred stockholders $ 17,250 $ 17,250 Dividends declared per share of Series D Preferred Stock $ 0.938 $ 0.938 Dividends declared to Series E Preferred stockholders $ 10,962 $ - Dividends declared per share of Series E Preferred Stock $ 0.953 $ - |
INTEREST INCOME AND INTEREST 45
INTEREST INCOME AND INTEREST EXPENSE (Tables) | 6 Months Ended |
Jun. 30, 2017 | |
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 three and six months ended and 2016. For the Three Months Ended For the Six Months Ended June 30, 2017 June 30, 2016 June 30, 2017 June 30, 2016 Interest income: (dollars in thousands) Residential Investment Securities $ 459,308 $ 394,850 $ 975,218 $ 710,567 Residential mortgage loans 7,417 - 11,281 - Commercial investment portfolio (1) 68,153 59,578 132,498 129,765 Reverse repurchase agreements 2,548 2,690 6,156 4,929 Total interest income 537,426 457,118 1,125,153 845,261 Interest expense: Repurchase agreements 197,151 136,176 370,241 269,067 Securitized debt of consolidated VIEs 11,977 11,226 26,827 20,259 Participation sold 42 157 195 315 Other 13,111 5,196 23,443 10,561 Total interest expense 222,281 152,755 420,706 300,202 Net interest income $ 315,145 $ 304,363 $ 704,447 $ 545,059 (1) Includes commercial real estate debt, preferred equity and corporate debt. |
NET INCOME (LOSS) PER COMMON 46
NET INCOME (LOSS) PER COMMON SHARE (Tables) | 6 Months Ended |
Jun. 30, 2017 | |
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 three and six months ended and 2016. For the Three Months Ended For the Six Months Ended June 30, 2017 June 30, 2016 June 30, 2017 June 30, 2016 (dollars in thousands, except per share data) Net income (loss) $ 14,522 $ (278,497 ) $ 454,930 $ (1,146,577 ) Less: Net income (loss) attributable to noncontrolling interest (102 ) (385 ) (205 ) (547 ) Net income (loss) attributable to Annaly 14,624 (278,112 ) 455,135 (1,146,030 ) Less: Dividends on preferred stock 23,473 17,992 46,946 35,984 Net income (loss) available (related) to common stockholders $ (8,849 ) $ (296,104 ) $ 408,189 $ (1,182,014 ) Weighted average shares of common stock outstanding-basic 1,019,000,817 924,887,316 1,018,971,942 925,850,452 Add: Effect of stock awards, if dilutive - - 385,755 - Weighted average shares of common stock outstanding-diluted 1,019,000,817 924,887,316 1,019,357,697 925,850,452 Net income (loss) per share available (related) to common share: Basic $ (0.01 ) $ (0.32 ) $ 0.40 $ (1.28 ) Diluted $ (0.01 ) $ (0.32 ) $ 0.40 $ (1.28 ) |
LONG-TERM STOCK INCENTIVE PLAN
LONG-TERM STOCK INCENTIVE PLAN (Tables) | 6 Months Ended |
Jun. 30, 2017 | |
Disclosure of Compensation Related Costs, Share-based Payments [Abstract] | |
Schedule of Issued and Outstanding Stock Options | For the Six Months Ended June 30, 2017 June 30, 2016 Number of Shares Exercise Price Number of Shares Exercise Price Options outstanding at the beginning of period 1,125,625 $ 15.43 1,168,775 $ 15.34 Granted - - - - Exercised - - - - Forfeited (117,000 ) 15.85 (6,400 ) 14.69 Expired (199,500 ) 15.74 (36,750 ) 12.90 Options outstanding at the end of period 809,125 $ 15.29 1,125,625 $ 15.43 Options exercisable at the end of period 809,125 $ 15.29 1,125,625 $ 15.43 |
LEASE COMMITMENTS AND CONTING48
LEASE COMMITMENTS AND CONTINGENCIES (Tables) | 6 Months Ended |
Jun. 30, 2017 | |
Commitments and Contingencies Disclosure [Abstract] | |
Lease Commitments and Contingencies | The following table details the future lease payments: Years Ending December 31, Lease Commitments (dollars in thousands) 2017 (remaining) $ 1,849 2018 3,641 2019 3,565 2020 3,652 2021 3,862 Later years 14,480 $ 31,049 |
Significant Accounting Polici49
Significant Accounting Policies - Additional Information (Detail) - USD ($) | 6 Months Ended | 12 Months Ended |
Jun. 30, 2017 | Dec. 31, 2016 | |
Schedule Of Significant Accounting Policies [Line Items] | ||
Real estate acquired in settlement of residential mortgage loans | $ 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 | $ 590,100,000 | $ 1,400,000,000 |
Centrally cleared interest rate swaps at fair value, reduction | $ 799,800,000 |
Summary of Interest Income Reco
Summary of Interest Income Recognition Methodology for Residential Investment Securities (Detail) | 6 Months Ended | |
Jun. 30, 2017 | ||
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 | Legacy | ||
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 | New Issue | ||
Mortgage-Backed Securities Portfolio: | ||
Interest Income Methodology | Prospective | [3] |
Residential Credit Securities Mortgage Backed Securities | New Issue Interest Only | ||
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) | 6 Months Ended |
Jun. 30, 2017 | |
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) | 6 Months Ended |
Jun. 30, 2017 | |
Accounting Standards Update 2017-05 | |
New Accounting Pronouncements or Change in Accounting Principle [Line Items] | |
Standard | ASU 2017-05 Other Income - Gains and Losses from the Derecognition of Nonfinancial Assets (Subtopic 610-20): Clarifying the Scope of Asset Derecognition Guidance and Accounting for Partial Sales of Nonfinancial Assets |
Description | This update clarifies that a financial asset is within the scope of Subtopic 610-20 if it meets the definition of an in-substance nonfinancial asset, including nonfinancial assets transferred within a legal entity to a counterparty. The ASU requires the Company to derecognize a distinct nonfinancial asset or in-substance nonfinancial asset in a partial sale transaction when it ceases to have a controlling financial interest in a legal entity that holds the asset or transfers control of the asset, with any noncontrolling interest retained recognized at fair value. Transfers of ownership interest in a consolidated subsidiary with controlling financial interest retained are accounted for as equity transactions. |
Effective Date | Jan. 1, 2018 |
Effect on the financial statements or other significant matters | Yes |
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 |
Acquisition of Hatteras - Addit
Acquisition of Hatteras - Additional Information (Detail) - USD ($) $ / shares in Units, $ in Thousands, shares in Millions | Jul. 12, 2016 | Jun. 30, 2017 |
7.625% Series E Cumulative Redeemable Preferred Stock | ||
Business Acquisition [Line Items] | ||
Cumulative redeemable preferred stock, par value | $ 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 | |
Hatteras | Common Stock | ||
Business Acquisition [Line Items] | ||
Business acquisition, equity consideration | $ 997,707 | |
Business acquisition, shares issued | 93.9 |
Aggregate Consideration and Pre
Aggregate Consideration and Preliminary Fair Value of Assets Acquired and Liabilities Assumed (Detail) - USD ($) $ in Thousands | Jul. 12, 2016 | Jun. 30, 2017 | [1] | Dec. 31, 2016 | [2] |
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 | ||||
[1] | As a result of a change to a clearing organization's rulebook effective January 3, 2017, beginning with the first quarter 2017 and in subsequent periods the Company is presenting the fair value of centrally cleared interest rate swaps net of variation margin pledged under such transactions. The variation margin was previously reported under cash and cash equivalents and is currently reported as a reduction to interest rate swaps, at fair value. Balances reported prior to the effective date balances will not be adjusted. | ||||
[2] | Derived from the audited consolidated financial statements at December 31, 2016. |
Residential Investment Securi55
Residential Investment Securities - Portfolio (Detail) - USD ($) $ in Thousands | Jun. 30, 2017 | Dec. 31, 2016 | |
Mortgage-Backed Securities Portfolio: | |||
Amortized Cost | $ 76,717,611 | $ 78,939,815 | |
Amortized Cost | 76,717,611 | 78,939,815 | |
Estimated Fair Value | 75,803,877 | 77,715,902 | |
Residential Credit Securities Mortgage Backed Securities | |||
Mortgage-Backed Securities Portfolio: | |||
Principal / Notional | 2,626,623 | 3,072,383 | |
Remaining Premium | 32,118 | 29,499 | |
Remaining Discount | (147,628) | (165,899) | |
Amortized Cost | 1,718,082 | 2,072,613 | |
Amortized Cost | 1,718,082 | 2,072,613 | |
Unrealized Gains | [1] | 122,048 | 58,666 |
Unrealized Losses | [1] | (252) | (5,250) |
Estimated Fair Value | 1,839,879 | 2,126,029 | |
Residential Credit Securities Mortgage Backed Securities | CRT | |||
Mortgage-Backed Securities Portfolio: | |||
Principal / Notional | 550,302 | 690,491 | |
Remaining Premium | 15,364 | 11,113 | |
Remaining Discount | (5,915) | (10,907) | |
Amortized Cost | 559,751 | 690,697 | |
Amortized Cost | 559,751 | 690,697 | |
Unrealized Gains | [1] | 46,077 | 34,046 |
Unrealized Losses | [1] | (2) | (21) |
Estimated Fair Value | 605,826 | 724,722 | |
Residential Credit Securities Mortgage Backed Securities | Alt-A | |||
Mortgage-Backed Securities Portfolio: | |||
Principal / Notional | 215,364 | 173,108 | |
Remaining Premium | 1,255 | 1,068 | |
Remaining Discount | (34,464) | (23,039) | |
Amortized Cost | 182,155 | 151,137 | |
Amortized Cost | 182,155 | 151,137 | |
Unrealized Gains | [1] | 11,475 | 3,721 |
Unrealized Losses | [1] | (149) | (685) |
Estimated Fair Value | 193,481 | 154,173 | |
Residential Credit Securities Mortgage Backed Securities | Prime | |||
Mortgage-Backed Securities Portfolio: | |||
Principal / Notional | 198,358 | 248,176 | |
Remaining Premium | 264 | 287 | |
Remaining Discount | (26,268) | (35,068) | |
Amortized Cost | 172,355 | 213,395 | |
Amortized Cost | 172,355 | 213,395 | |
Unrealized Gains | [1] | 16,497 | 7,050 |
Unrealized Losses | [1] | (253) | |
Estimated Fair Value | 188,852 | 220,192 | |
Residential Credit Securities Mortgage Backed Securities | Subprime | |||
Mortgage-Backed Securities Portfolio: | |||
Principal / Notional | 630,337 | 697,983 | |
Remaining Premium | 1,560 | 380 | |
Remaining Discount | (80,889) | (96,331) | |
Amortized Cost | 551,008 | 602,032 | |
Amortized Cost | 551,008 | 602,032 | |
Unrealized Gains | [1] | 43,683 | 12,578 |
Unrealized Losses | [1] | (65) | (1,061) |
Estimated Fair Value | 594,627 | 613,549 | |
Residential Credit Securities Mortgage Backed Securities | NPL/RPL | |||
Mortgage-Backed Securities Portfolio: | |||
Principal / Notional | 128,766 | 269,802 | |
Remaining Premium | 168 | 670 | |
Remaining Discount | (92) | (209) | |
Amortized Cost | 128,841 | 270,263 | |
Amortized Cost | 128,841 | 270,263 | |
Unrealized Gains | [1] | 815 | 1,004 |
Unrealized Losses | [1] | (36) | (429) |
Estimated Fair Value | 129,620 | 270,838 | |
Residential Credit Securities Mortgage Backed Securities | Prime Jumbo (>= 2010 Vintage) | |||
Mortgage-Backed Securities Portfolio: | |||
Principal / Notional | 110,465 | 129,453 | |
Remaining Premium | 675 | 852 | |
Remaining Discount | (345) | ||
Amortized Cost | 111,140 | 129,960 | |
Amortized Cost | 111,140 | 129,960 | |
Unrealized Gains | [1] | 1,356 | 267 |
Unrealized Losses | [1] | (308) | |
Estimated Fair Value | 112,496 | 129,919 | |
Residential Credit Securities Mortgage Backed Securities | Prime Jumbo (>= 2010 Vintage) Interest-Only | |||
Mortgage-Backed Securities Portfolio: | |||
Principal / Notional | 793,031 | 863,370 | |
Remaining Premium | 12,832 | 15,129 | |
Amortized Cost | 12,832 | 15,129 | |
Amortized Cost | 12,832 | 15,129 | |
Unrealized Gains | [1] | 2,145 | |
Unrealized Losses | [1] | (2,493) | |
Estimated Fair Value | 14,977 | 12,636 | |
Agency Securities | |||
Mortgage-Backed Securities Portfolio: | |||
Principal / Notional | 76,771,790 | 79,546,231 | |
Remaining Premium | 5,283,970 | 5,460,813 | |
Remaining Discount | (4,355) | (6,037) | |
Amortized Cost | 74,999,529 | 76,867,202 | |
Amortized Cost | 74,999,529 | 76,867,202 | |
Unrealized Gains | [1] | 250,474 | 279,905 |
Unrealized Losses | [1] | (1,286,006) | (1,557,234) |
Estimated Fair Value | 73,963,998 | 75,589,873 | |
Agency Securities | Fixed Rate Pass-through | |||
Mortgage-Backed Securities Portfolio: | |||
Principal / Notional | 61,627,012 | 60,759,317 | |
Remaining Premium | 3,671,722 | 3,633,354 | |
Remaining Discount | (1,416) | (1,956) | |
Amortized Cost | 65,297,318 | 64,390,715 | |
Amortized Cost | 65,297,318 | 64,390,715 | |
Unrealized Gains | [1] | 220,370 | 228,430 |
Unrealized Losses | [1] | (1,045,902) | (1,307,771) |
Estimated Fair Value | 64,471,787 | 63,311,373 | |
Agency Securities | Adjustable-rate Pass-through | |||
Mortgage-Backed Securities Portfolio: | |||
Principal / Notional | 8,092,902 | 10,653,109 | |
Remaining Premium | 307,181 | 391,267 | |
Remaining Discount | (2,939) | (4,081) | |
Amortized Cost | 8,397,144 | 11,040,295 | |
Amortized Cost | 8,397,144 | 11,040,295 | |
Unrealized Gains | [1] | 26,753 | 47,250 |
Unrealized Losses | [1] | (55,019) | (53,795) |
Estimated Fair Value | 8,368,878 | 11,033,751 | |
Agency Securities | Interest-only | |||
Mortgage-Backed Securities Portfolio: | |||
Principal / Notional | 7,051,876 | 8,133,805 | |
Remaining Premium | 1,305,067 | 1,436,192 | |
Amortized Cost | 1,305,067 | 1,436,192 | |
Amortized Cost | 1,305,067 | 1,436,192 | |
Unrealized Gains | [1] | 3,351 | 4,225 |
Unrealized Losses | [1] | (185,085) | (195,668) |
Estimated Fair Value | 1,123,333 | 1,244,749 | |
Residential Investments | |||
Mortgage-Backed Securities Portfolio: | |||
Principal / Notional | 79,398,413 | 82,618,614 | |
Remaining Premium | 5,316,088 | 5,490,312 | |
Remaining Discount | (151,983) | (171,936) | |
Amortized Cost | 76,717,611 | 78,939,815 | |
Amortized Cost | 76,717,611 | 78,939,815 | |
Unrealized Gains | [1] | 372,522 | 338,571 |
Unrealized Losses | [1] | (1,286,258) | (1,562,484) |
Estimated Fair Value | $ 75,803,877 | $ 77,715,902 | |
[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 | Jun. 30, 2017 | Dec. 31, 2016 | ||
Mortgage-Backed Securities Portfolio: | ||||
Estimated Fair Value | $ 75,803,877 | $ 77,715,902 | ||
Agency Mortgage-backed Securities | ||||
Mortgage-Backed Securities Portfolio: | ||||
Estimated Fair Value | 73,963,998 | [1] | 75,589,873 | [2] |
Agency Mortgage-backed Securities | Fannie Mae | ||||
Mortgage-Backed Securities Portfolio: | ||||
Estimated Fair Value | 51,216,573 | 51,658,391 | ||
Agency Mortgage-backed Securities | Freddie Mac | ||||
Mortgage-Backed Securities Portfolio: | ||||
Estimated Fair Value | 22,680,257 | 23,858,110 | ||
Agency Mortgage-backed Securities | Ginnie Mae | ||||
Mortgage-Backed Securities Portfolio: | ||||
Estimated Fair Value | $ 67,168 | $ 73,372 | ||
[1] | As a result of a change to a clearing organization's rulebook effective January 3, 2017, beginning with the first quarter 2017 and in subsequent periods the Company is presenting the fair value of centrally cleared interest rate swaps net of variation margin pledged under such transactions. The variation margin was previously reported under cash and cash equivalents and is currently reported as a reduction to interest rate swaps, at fair value. Balances reported prior to the effective date balances will not be adjusted. | |||
[2] | Derived from the audited consolidated financial statements at December 31, 2016. |
Residential Investment Securi57
Residential Investment Securities - Weighted Average Life (Detail) - USD ($) $ in Thousands | Jun. 30, 2017 | Dec. 31, 2016 |
Fair Value of Agency Mortgage-Backed Securities according to their estimated weighted-average life: | ||
Less than one year | $ 158,935 | $ 63,510 |
Greater than one year through five years | 17,006,028 | 12,626,932 |
Greater than five years through ten years | 58,139,230 | 56,785,601 |
Greater than ten years | 499,684 | 8,239,859 |
Total | 75,803,877 | 77,715,902 |
Amortized Cost of Agency Mortgage-Backed Securities according to their estimated weighted-average life: | ||
Less than one year | 159,970 | 61,775 |
Greater than one year through five years | 16,987,965 | 12,666,394 |
Greater than five years through ten years | 59,089,002 | 57,738,588 |
Greater than ten years | 480,674 | 8,473,058 |
Amortized Cost | $ 76,717,611 | $ 78,939,815 |
Residential Investment Securi58
Residential Investment Securities - Unrealized Loss Position (Detail) $ in Thousands | Jun. 30, 2017USD ($)Securities | Dec. 31, 2016USD ($)Securities | |
Unrealized Loss Position For: | |||
Estimated Fair Value | [1] | $ 56,374,847 | $ 58,742,859 |
Gross Unrealized Losses | [1] | $ (1,100,921) | $ (1,361,566) |
Number of Securities | Securities | [1] | 1,487 | 1,422 |
Available For Sale Securities, Continuous Unrealized Loss Positions, Less Than 12 Months | |||
Unrealized Loss Position For: | |||
Estimated Fair Value | [1] | $ 50,551,597 | $ 52,465,045 |
Gross Unrealized Losses | [1] | $ (871,480) | $ (1,094,957) |
Number of Securities | Securities | [1] | 1,432 | 1,368 |
Available For Sale Securities, Continuous Unrealized Loss Positions, Greater Than 12 Months | |||
Unrealized Loss Position For: | |||
Estimated Fair Value | [1] | $ 5,823,250 | $ 6,277,814 |
Gross Unrealized Losses | [1] | $ (229,441) | $ (266,609) |
Number of Securities | Securities | [1] | 55 | 54 |
[1] | Excludes interest-only mortgage-backed securities. |
Residential Investment Securi59
Residential Investment Securities - Narrative (Detail) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2017 | Jun. 30, 2016 | Jun. 30, 2017 | Jun. 30, 2016 | |
Investments, Debt and Equity Securities [Abstract] | ||||
Residential Investment securities sold, carrying value | $ 2,500,000 | $ 1,800,000 | $ 4,600,000 | $ 5,200,000 |
Net gains (losses) on sales of Residential Investment Securities | $ (5,200) | $ (4,014) | 10,271 | |
Residential Investment securities sold, net realized gain | $ 11,900 | $ 10,300 |
Fair Value and Unpaid Principal
Fair Value and Unpaid Principal of Residential Mortgage Loan Portfolio (Detail) - USD ($) $ in Thousands | Jun. 30, 2017 | Dec. 31, 2016 |
Mortgage Loans on Real Estate [Line Items] | ||
Fair value | $ 342,289 | |
Residential Mortgage | ||
Mortgage Loans on Real Estate [Line Items] | ||
Fair value | $ 779,685 | 342,289 |
Unpaid principal balance | $ 763,850 | $ 338,323 |
Summary of Comprehensive Income
Summary of Comprehensive Income (Loss) (Detail) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2017 | Jun. 30, 2016 | Jun. 30, 2017 | Jun. 30, 2016 | |
Mortgage Loans on Real Estate [Line Items] | ||||
Net gains (losses) on disposal of investments | $ (5,200) | $ (4,014) | $ 10,271 | |
Net interest income | 315,145 | $ 304,363 | 704,447 | 545,059 |
Net income (loss) attributable to Annaly | 14,624 | $ (278,112) | 455,135 | $ (1,146,030) |
Residential Mortgage | ||||
Mortgage Loans on Real Estate [Line Items] | ||||
Net gains (losses) on disposal of investments | (321) | (1,314) | ||
Net unrealized gains (losses) on investments measured at fair value through earnings | 5,310 | 6,125 | ||
Net interest income | 7,120 | 10,709 | ||
Net income (loss) attributable to Annaly | $ 12,109 | $ 15,520 |
Geographic Concentrations Based
Geographic Concentrations Based on Unpaid Principal Balances (Detail) - Residential Mortgage Loans - Geographic Concentration Risk | 6 Months Ended | 12 Months Ended |
Jun. 30, 2017 | Dec. 31, 2016 | |
Mortgage Loans on Real Estate [Line Items] | ||
Percent of Balance | 100.00% | 100.00% |
CALIFORNIA | ||
Mortgage Loans on Real Estate [Line Items] | ||
Percent of Balance | 57.90% | 46.30% |
NEW YORK | ||
Mortgage Loans on Real Estate [Line Items] | ||
Percent of Balance | 7.20% | |
TEXAS | ||
Mortgage Loans on Real Estate [Line Items] | ||
Percent of Balance | 5.00% | 9.60% |
Other | ||
Mortgage Loans on Real Estate [Line Items] | ||
Percent of Balance | 29.90% | 28.10% |
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% |
Residential Mortgage Loans (Det
Residential Mortgage Loans (Detail) - Residential Mortgage $ in Thousands | 6 Months Ended | 12 Months Ended |
Jun. 30, 2017USD ($)Point | Dec. 31, 2016USD ($)Point | |
Mortgage Loans on Real Estate [Line Items] | ||
Unpaid principal balance | $ 763,850 | $ 338,323 |
Minimum | ||
Mortgage Loans on Real Estate [Line Items] | ||
Unpaid principal balance | $ 20 | $ 22 |
Interest rate | 2.50% | 2.50% |
Maturity | Aug. 1, 2029 | Apr. 8, 2044 |
FICO score at loan origination | Point | 620 | 665 |
Loan-to-value ratio at loan origination | 20.00% | 24.00% |
Maximum | ||
Mortgage Loans on Real Estate [Line Items] | ||
Unpaid principal balance | $ 3,686 | $ 1,905 |
Interest rate | 6.88% | 6.75% |
Maturity | Jun. 1, 2047 | Nov. 1, 2046 |
FICO score at loan origination | Point | 823 | 814 |
Loan-to-value ratio at loan origination | 90.00% | 90.00% |
Weighted Average | ||
Mortgage Loans on Real Estate [Line Items] | ||
Unpaid principal balance | $ 709 | $ 691 |
Interest rate | 4.35% | 3.72% |
Maturity | Oct. 20, 2045 | Aug. 20, 2045 |
FICO score at loan origination | Point | 753 | 761 |
Loan-to-value ratio at loan origination | 68.00% | 71.00% |
Residential Mortgage Loans - Na
Residential Mortgage Loans - Narrative (Detail) | Jun. 30, 2017 | Dec. 31, 2016 |
Residential Mortgage | ||
Mortgage Loans on Real Estate [Line Items] | ||
Percent of adjustable-rate loans | 80.00% | 85.00% |
Presentation of Activity Relate
Presentation of Activity Related to MSR (Detail) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | |
Jun. 30, 2017 | Jun. 30, 2017 | ||
Servicing Assets at Fair Value [Line Items] | |||
Fair value, beginning of period | $ 632,166 | $ 652,216 | |
Change in fair value due to: | |||
Changes in valuation inputs or assumptions | [1] | (9,205) | (15,438) |
Other changes, including realization of expected cash flows | (17,098) | (31,128) | |
Fair value, end of period | 605,653 | 605,653 | |
Purchased Servicing Rights | |||
Servicing Assets at Fair Value [Line Items] | |||
Fair value, additions | [2] | $ (210) | $ 3 |
[1] | Principally represent changes in discount rates and prepayment speed inputs used in valuation model, primarily due to changes in interest rates. | ||
[2] | Includes adjustments to original purchase price from early payoffs, defaults, or loans that were delivered but were deemed to not be acceptable. |
Mortgage Servicing Rights - Add
Mortgage Servicing Rights - Additional Information (Detail) - USD ($) $ in Millions | 3 Months Ended | 6 Months Ended |
Jun. 30, 2017 | Jun. 30, 2017 | |
Transfers and Servicing [Abstract] | ||
Service income fee | $ 33.3 | $ 67.8 |
Commercial Real Estate Invest67
Commercial Real Estate Investments - Additional Information (Detail) - USD ($) | 3 Months Ended | 6 Months Ended | 12 Months Ended | |||
Jun. 30, 2017 | Jun. 30, 2016 | Jun. 30, 2017 | Jun. 30, 2016 | Dec. 31, 2016 | Dec. 11, 2015 | |
Real Estate Properties [Line Items] | ||||||
Gain or loss on sales of senior loan | $ (1,314,000) | |||||
Outstanding impaired loans, nonaccrual loans, and loans in default | $ 0 | 0 | $ 0 | |||
Allowance for loan losses | $ 0 | $ 0 | ||||
Loans receivable with variable rates of interest | 84.00% | 77.00% | ||||
Proceeds from sale of wholly-owned triple net leased properties | $ 12,000,000 | |||||
Gain on sale of wholly-owned triple net leased properties | $ 5,100,000 | |||||
Weighted average amortization period for intangible assets and liabilities | 4 years 1 month 6 days | |||||
Depreciation expense | $ 9,166,000 | $ 10,684,000 | ||||
Commercial Mortgage Loan | ||||||
Real Estate Properties [Line Items] | ||||||
Debt issued | 314,829,000 | 314,829,000 | $ 314,865,000 | |||
General and Administrative Expense | ||||||
Real Estate Properties [Line Items] | ||||||
Depreciation expense | 3,900,000 | $ 6,100,000 | 7,800,000 | $ 10,700,000 | ||
CALIFORNIA | Commercial Mortgage Loan | Eight Class AB Office Properties In Orange Country California | ||||||
Real Estate Properties [Line Items] | ||||||
Debt issued | $ 335,000,000 | |||||
Gain or loss on sales of senior loan | 0 | |||||
Senior Loans | CALIFORNIA | Commercial Mortgage Loan | Eight Class AB Office Properties In Orange Country California | ||||||
Real Estate Properties [Line Items] | ||||||
Remaining senior loans held for sale | 115,000,000 | 115,000,000 | ||||
Remaining senior loans held for sale, net of origination fees | $ 114,400,000 | $ 114,400,000 |
CRE Debt and Preferred Equity I
CRE Debt and Preferred Equity Investments (Detail) - USD ($) $ in Thousands | Jun. 30, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | |||
Real Estate [Line Items] | ||||||
Carrying Value | $ 928,181 | $ 970,505 | [1] | $ 1,348,817 | ||
Preferred Equity Interests | ||||||
Real Estate [Line Items] | ||||||
Carrying Value | 8,976 | 8,967 | [1] | 121,773 | ||
Commercial Mortgage | ||||||
Real Estate [Line Items] | ||||||
Outstanding Principal | [1] | 931,469 | 975,015 | |||
Carrying Value | [1],[2] | $ 928,181 | $ 970,505 | |||
Percentage of Loan Portfolio | [1],[3] | 100.00% | 100.00% | |||
Commercial Mortgage | Mezzanine Loans | ||||||
Real Estate [Line Items] | ||||||
Outstanding Principal | $ 393,810 | $ 453,693 | ||||
Carrying Value | $ 392,670 | [2] | $ 451,467 | [1],[2] | 578,503 | |
Percentage of Loan Portfolio | [3] | 42.30% | 46.50% | |||
Commercial Mortgage | Senior Mortgages | ||||||
Real Estate [Line Items] | ||||||
Outstanding Principal | $ 528,659 | $ 512,322 | ||||
Carrying Value | $ 526,535 | [2] | $ 510,071 | [1],[2] | $ 385,838 | |
Percentage of Loan Portfolio | [3] | 56.70% | 52.60% | |||
Commercial Mortgage | Preferred Equity Interests | ||||||
Real Estate [Line Items] | ||||||
Outstanding Principal | $ 9,000 | $ 9,000 | ||||
Carrying Value | [2] | $ 8,976 | $ 8,967 | |||
Percentage of Loan Portfolio | [3] | 1.00% | 0.90% | |||
[1] | Excludes Loans held for sale, net. | |||||
[2] | Carrying value includes unamortized origination fees of $3.3 million and $4.5 million as of June 30, 2017 and December 31, 2016, respectively. | |||||
[3] | Based on outstanding principal. |
CRE Debt and Preferred Equity69
CRE Debt and Preferred Equity Investments (Parenthetical) (Detail) - USD ($) $ in Millions | Jun. 30, 2017 | Dec. 31, 2016 |
Investment Company [Abstract] | ||
Carrying value, unamortized origination fees | $ 3.3 | $ 4.5 |
CRE Debt and Preferred Equity70
CRE Debt and Preferred Equity Investments -Based on Outstanding Principal (Detail) - USD ($) $ in Thousands | 6 Months Ended | 12 Months Ended | ||||
Jun. 30, 2017 | Jun. 30, 2016 | Dec. 31, 2016 | ||||
Real Estate [Line Items] | ||||||
Net carrying value, beginning balance | $ 970,505 | [1] | $ 1,348,817 | $ 1,348,817 | ||
Originations & advances (principal) | 110,984 | 273,708 | ||||
Principal payments | (154,531) | (654,117) | ||||
Amortization & accretion of (premium) discounts | (14) | (314) | ||||
Net (increase) decrease in origination fees | (958) | (2,558) | ||||
Amortization of net origination fees | 2,195 | 2,868 | 4,969 | |||
Net carrying value, ending balance | 928,181 | 970,505 | [1] | |||
Preferred Equity Interests | ||||||
Real Estate [Line Items] | ||||||
Net carrying value, beginning balance | 8,967 | [1] | 121,773 | 121,773 | ||
Principal payments | (113,444) | |||||
Amortization of net origination fees | 9 | 638 | ||||
Net carrying value, ending balance | 8,976 | 8,967 | [1] | |||
Commercial Mortgage | ||||||
Real Estate [Line Items] | ||||||
Net carrying value, beginning balance | [1],[2] | 970,505 | ||||
Net carrying value, ending balance | [1],[2] | 928,181 | 970,505 | |||
Commercial Mortgage | Mezzanine Loans | ||||||
Real Estate [Line Items] | ||||||
Net carrying value, beginning balance | 451,467 | [1],[2] | 578,503 | 578,503 | ||
Originations & advances (principal) | 36,039 | 62,390 | ||||
Principal payments | (95,923) | (191,291) | ||||
Amortization & accretion of (premium) discounts | 30 | (178) | ||||
Net (increase) decrease in origination fees | (217) | (472) | ||||
Amortization of net origination fees | 1,274 | 2,515 | ||||
Net carrying value, ending balance | [2] | 392,670 | 451,467 | [1] | ||
Commercial Mortgage | Senior Mortgages | ||||||
Real Estate [Line Items] | ||||||
Net carrying value, beginning balance | 510,071 | [1],[2] | 385,838 | 385,838 | ||
Originations & advances (principal) | 74,945 | 211,318 | ||||
Principal payments | (58,608) | (86,310) | ||||
Amortization & accretion of (premium) discounts | (44) | (136) | ||||
Net (increase) decrease in origination fees | (741) | (2,086) | ||||
Amortization of net origination fees | 912 | 1,447 | ||||
Net carrying value, ending balance | [2] | 526,535 | 510,071 | [1] | ||
Commercial Mortgage | Senior Securitized Mortgages | ||||||
Real Estate [Line Items] | ||||||
Net carrying value, beginning balance | [3] | $ 262,703 | 262,703 | |||
Principal payments | [3] | (263,072) | ||||
Amortization of net origination fees | [3] | 369 | ||||
Commercial Mortgage | Preferred Equity Interests | ||||||
Real Estate [Line Items] | ||||||
Net carrying value, beginning balance | [2] | 8,967 | ||||
Net carrying value, ending balance | [2] | $ 8,976 | $ 8,967 | |||
[1] | Excludes Loans held for sale, net. | |||||
[2] | Carrying value includes unamortized origination fees of $3.3 million and $4.5 million as of June 30, 2017 and December 31, 2016, respectively. | |||||
[3] | Assets of consolidated VIE. |
Internal CRE Debt and Preferred
Internal CRE Debt and Preferred Equity Ratings (Detail) - Commercial Mortgage - USD ($) $ in Thousands | Jun. 30, 2017 | Dec. 31, 2016 | |
Real Estate [Line Items] | |||
Percentage of Loan Portfolio | 100.00% | 100.00% | |
Performing | $ 370,829 | $ 398,771 | |
Performing Closely Monitored | 428,263 | 413,487 | |
Performing Special Mention | 132,377 | 162,757 | |
Internal Rating Substandard | 0 | 0 | |
Doubtful | 0 | 0 | |
Loss | 0 | 0 | |
Total | [1] | $ 931,469 | $ 975,015 |
Mezzanine Loans | |||
Real Estate [Line Items] | |||
Percentage of Loan Portfolio | 42.30% | 46.50% | |
Performing | $ 195,435 | $ 254,337 | |
Performing Closely Monitored | 179,188 | 170,039 | |
Performing Special Mention | 19,187 | 29,317 | |
Internal Rating Substandard | 0 | 0 | |
Doubtful | 0 | 0 | |
Loss | 0 | 0 | |
Total | $ 393,810 | $ 453,693 | |
Senior Mortgages | |||
Real Estate [Line Items] | |||
Percentage of Loan Portfolio | 56.70% | 52.60% | |
Performing | $ 175,394 | $ 144,434 | |
Performing Closely Monitored | 249,075 | 243,448 | |
Performing Special Mention | 104,190 | 124,440 | |
Internal Rating Substandard | 0 | 0 | |
Doubtful | 0 | 0 | |
Loss | 0 | 0 | |
Total | $ 528,659 | $ 512,322 | |
Preferred Equity Interests | |||
Real Estate [Line Items] | |||
Percentage of Loan Portfolio | 1.00% | 0.90% | |
Performing Special Mention | $ 9,000 | $ 9,000 | |
Internal Rating Substandard | 0 | 0 | |
Doubtful | 0 | 0 | |
Loss | 0 | 0 | |
Total | $ 9,000 | $ 9,000 | |
[1] | Excludes Loans held for sale, net. |
Total Commercial Real Estate He
Total Commercial Real Estate Held for Investments (Detail) - USD ($) $ in Thousands | Jun. 30, 2017 | Dec. 31, 2016 | ||
Real estate held for investment, at amortized cost | ||||
Real estate held for investment, at amortized cost | $ 441,849 | $ 448,620 | ||
Less: accumulated depreciation | (41,062) | (34,221) | ||
Total real estate held for investment, at amortized cost, net | 400,787 | 414,399 | ||
Equity in unconsolidated joint ventures | 73,723 | 60,168 | ||
Investments in commercial real estate, net | 474,510 | [1] | 474,567 | [2] |
Land | ||||
Real estate held for investment, at amortized cost | ||||
Real estate held for investment, at amortized cost | 111,012 | 112,675 | ||
Building Improvements | ||||
Real estate held for investment, at amortized cost | ||||
Real estate held for investment, at amortized cost | $ 330,837 | $ 335,945 | ||
[1] | As a result of a change to a clearing organization's rulebook effective January 3, 2017, beginning with the first quarter 2017 and in subsequent periods the Company is presenting the fair value of centrally cleared interest rate swaps net of variation margin pledged under such transactions. The variation margin was previously reported under cash and cash equivalents and is currently reported as a reduction to interest rate swaps, at fair value. Balances reported prior to the effective date balances will not be adjusted. | |||
[2] | Derived from the audited consolidated financial statements at December 31, 2016. |
Minimum Future Rentals to be Re
Minimum Future Rentals to be Received on Noncancelable Operating Leases (Detail) $ in Thousands | Jun. 30, 2017USD ($) |
Leases [Abstract] | |
2017 (remaining) | $ 15,511 |
2,018 | 28,240 |
2,019 | 24,446 |
2,020 | 19,749 |
2,021 | 15,566 |
Later years | 28,649 |
Operating Leases, Future Minimum Payments Receivable, Total | $ 132,161 |
Mortgage Loans Payable (Detail)
Mortgage Loans Payable (Detail) - Commercial Mortgage Loan - USD ($) $ in Thousands | 6 Months Ended | 12 Months Ended | ||
Jun. 30, 2017 | Dec. 31, 2016 | |||
Mortgage Loans on Real Estate [Line Items] | ||||
Mortgage Carrying Value | $ 311,810 | $ 311,636 | ||
Mortgage Principal | 314,829 | 314,865 | ||
Joint Venture | Minimum | ||||
Mortgage Loans on Real Estate [Line Items] | ||||
Mortgage Carrying Value | 286,186 | 285,993 | ||
Mortgage Principal | $ 289,125 | $ 289,125 | ||
Interest rate | 4.03% | 4.03% | ||
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 | 4.61% | 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 | $ 12,278 | $ 12,261 | ||
Mortgage Principal | $ 12,350 | $ 12,350 | ||
Interest rate | 4.01% | 4.01% | ||
Fixed/Floating Rate | Fixed | |||
Maturity Date | Sep. 6, 2019 | Jun. 9, 2019 | ||
Priority | First liens | |||
Twelve Thousand One Hundred Fifty-One Jefferson | ||||
Mortgage Loans on Real Estate [Line Items] | ||||
Mortgage Carrying Value | $ 11,017 | $ 11,015 | ||
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 | |||
NEVADA | ||||
Mortgage Loans on Real Estate [Line Items] | ||||
Interest Rate, Floating | L+200 | |||
Mortgage Carrying Value | $ 2,329 | [1] | $ 2,367 | |
Mortgage Principal | $ 2,329 | [1] | $ 2,365 | |
Fixed/Floating Rate | [1] | Floating | ||
Maturity Date | Sep. 29, 2019 | [1] | Mar. 29, 2017 | |
Priority | [1] | First liens | ||
[1] | The mortgage agreement contained an interest rate swap with an expiration date of March 29, 2017. Effective on March 29, 2017, the interest rate swap expired and the Company extended the maturity date of the mortgage debt to September 29, 2017. |
Future Mortgage Loan Principal
Future Mortgage Loan Principal Payments (Detail) $ in Thousands | Jun. 30, 2017USD ($) |
Debt Disclosure [Abstract] | |
2017 (remaining) | $ 2,329 |
2,018 | 0 |
2,019 | 23,375 |
2,020 | 0 |
2,021 | 0 |
Later years | 289,125 |
Long-term Debt, Total | $ 314,829 |
Schedule of Industry and Rate S
Schedule of Industry and Rate Sensitivity (Detail) - USD ($) $ in Thousands | Jun. 30, 2017 | Dec. 31, 2016 | ||
Schedule of Held-to-maturity Securities [Line Items] | ||||
Corporate debt | $ 773,957 | [1] | $ 773,274 | [2] |
Aircraft and Parts | ||||
Schedule of Held-to-maturity Securities [Line Items] | ||||
Corporate debt | 34,892 | 32,067 | ||
Commercial Fishing | ||||
Schedule of Held-to-maturity Securities [Line Items] | ||||
Corporate debt | 38,828 | 40,600 | ||
Computer Programming, Data Processing and Other Computer Related Services | ||||
Schedule of Held-to-maturity Securities [Line Items] | ||||
Corporate debt | 132,323 | 146,547 | ||
Drugs | ||||
Schedule of Held-to-maturity Securities [Line Items] | ||||
Corporate debt | 33,642 | 34,042 | ||
Groceries and Related Products | ||||
Schedule of Held-to-maturity Securities [Line Items] | ||||
Corporate debt | 14,838 | 14,856 | ||
Grocery Stores | ||||
Schedule of Held-to-maturity Securities [Line Items] | ||||
Corporate debt | 23,618 | 23,761 | ||
Home Health Care Services | ||||
Schedule of Held-to-maturity Securities [Line Items] | ||||
Corporate debt | 24,033 | 39,205 | ||
Insurance Agents, Brokers and Services | ||||
Schedule of Held-to-maturity Securities [Line Items] | ||||
Corporate debt | 77,387 | 77,658 | ||
Management and Public Relations | ||||
Schedule of Held-to-maturity Securities [Line Items] | ||||
Corporate debt | 94,481 | 16,493 | ||
Medical and Dental Laboratories | ||||
Schedule of Held-to-maturity Securities [Line Items] | ||||
Corporate debt | 26,039 | 17,292 | ||
Miscellaneous Business Services | ||||
Schedule of Held-to-maturity Securities [Line Items] | ||||
Corporate debt | 19,797 | 84,486 | ||
Miscellaneous Equipment Rental and Leasing | ||||
Schedule of Held-to-maturity Securities [Line Items] | ||||
Corporate debt | 19,630 | |||
Miscellaneous Health and Allied Services, Not Elsewhere Classified | ||||
Schedule of Held-to-maturity Securities [Line Items] | ||||
Corporate debt | 25,241 | 9,791 | ||
Miscellaneous Nonmetallic Minerals, Except Fuels | ||||
Schedule of Held-to-maturity Securities [Line Items] | ||||
Corporate debt | 24,674 | 24,688 | ||
Miscellaneous Plastic Products | ||||
Schedule of Held-to-maturity Securities [Line Items] | ||||
Corporate debt | 9,914 | 27,036 | ||
Motor Vehicles and Motor Vehicle Parts and Supplies | ||||
Schedule of Held-to-maturity Securities [Line Items] | ||||
Corporate debt | 12,259 | 12,319 | ||
Offices and Clinics of Doctors of Medicine | ||||
Schedule of Held-to-maturity Securities [Line Items] | ||||
Corporate debt | 48,274 | 83,386 | ||
Offices and Clinics of Health Practitioners, Not Elsewhere Classified | ||||
Schedule of Held-to-maturity Securities [Line Items] | ||||
Corporate debt | 7,444 | |||
Personnel Supply Services | ||||
Schedule of Held-to-maturity Securities [Line Items] | ||||
Corporate debt | 36,921 | |||
Public Warehousing and Storage | ||||
Schedule of Held-to-maturity Securities [Line Items] | ||||
Corporate debt | 37,121 | |||
Research, Development and Testing Services | ||||
Schedule of Held-to-maturity Securities [Line Items] | ||||
Corporate debt | 17,717 | 17,744 | ||
Schools and Educational Services, Not Elsewhere Classified | ||||
Schedule of Held-to-maturity Securities [Line Items] | ||||
Corporate debt | 20,890 | 20,979 | ||
Surgical, Medical, and Dental Instruments and Supplies | ||||
Schedule of Held-to-maturity Securities [Line Items] | ||||
Corporate debt | 13,041 | 13,403 | ||
Telephone Communications | ||||
Schedule of Held-to-maturity Securities [Line Items] | ||||
Corporate debt | 17,874 | |||
Fixed Rate | ||||
Schedule of Held-to-maturity Securities [Line Items] | ||||
Corporate debt | 4,414 | 88,877 | ||
Fixed Rate | Insurance Agents, Brokers and Services | ||||
Schedule of Held-to-maturity Securities [Line Items] | ||||
Corporate debt | 4,414 | 4,391 | ||
Fixed Rate | Miscellaneous Business Services | ||||
Schedule of Held-to-maturity Securities [Line Items] | ||||
Corporate debt | 84,486 | |||
Floating Rate | ||||
Schedule of Held-to-maturity Securities [Line Items] | ||||
Corporate debt | 769,543 | 684,397 | ||
Floating Rate | Aircraft and Parts | ||||
Schedule of Held-to-maturity Securities [Line Items] | ||||
Corporate debt | 34,892 | 32,067 | ||
Floating Rate | Commercial Fishing | ||||
Schedule of Held-to-maturity Securities [Line Items] | ||||
Corporate debt | 38,828 | 40,600 | ||
Floating Rate | Computer Programming, Data Processing and Other Computer Related Services | ||||
Schedule of Held-to-maturity Securities [Line Items] | ||||
Corporate debt | 132,323 | 146,547 | ||
Floating Rate | Drugs | ||||
Schedule of Held-to-maturity Securities [Line Items] | ||||
Corporate debt | 33,642 | 34,042 | ||
Floating Rate | Groceries and Related Products | ||||
Schedule of Held-to-maturity Securities [Line Items] | ||||
Corporate debt | 14,838 | 14,856 | ||
Floating Rate | Grocery Stores | ||||
Schedule of Held-to-maturity Securities [Line Items] | ||||
Corporate debt | 23,618 | 23,761 | ||
Floating Rate | Home Health Care Services | ||||
Schedule of Held-to-maturity Securities [Line Items] | ||||
Corporate debt | 24,033 | 39,205 | ||
Floating Rate | Insurance Agents, Brokers and Services | ||||
Schedule of Held-to-maturity Securities [Line Items] | ||||
Corporate debt | 72,973 | 73,267 | ||
Floating Rate | Management and Public Relations | ||||
Schedule of Held-to-maturity Securities [Line Items] | ||||
Corporate debt | 94,481 | 16,493 | ||
Floating Rate | Medical and Dental Laboratories | ||||
Schedule of Held-to-maturity Securities [Line Items] | ||||
Corporate debt | 26,039 | 17,292 | ||
Floating Rate | Miscellaneous Business Services | ||||
Schedule of Held-to-maturity Securities [Line Items] | ||||
Corporate debt | 19,797 | |||
Floating Rate | Miscellaneous Equipment Rental and Leasing | ||||
Schedule of Held-to-maturity Securities [Line Items] | ||||
Corporate debt | 19,630 | |||
Floating Rate | Miscellaneous Health and Allied Services, Not Elsewhere Classified | ||||
Schedule of Held-to-maturity Securities [Line Items] | ||||
Corporate debt | 25,241 | 9,791 | ||
Floating Rate | Miscellaneous Nonmetallic Minerals, Except Fuels | ||||
Schedule of Held-to-maturity Securities [Line Items] | ||||
Corporate debt | 24,674 | 24,688 | ||
Floating Rate | Miscellaneous Plastic Products | ||||
Schedule of Held-to-maturity Securities [Line Items] | ||||
Corporate debt | 9,914 | 27,036 | ||
Floating Rate | Motor Vehicles and Motor Vehicle Parts and Supplies | ||||
Schedule of Held-to-maturity Securities [Line Items] | ||||
Corporate debt | 12,259 | 12,319 | ||
Floating Rate | Offices and Clinics of Doctors of Medicine | ||||
Schedule of Held-to-maturity Securities [Line Items] | ||||
Corporate debt | 48,274 | 83,386 | ||
Floating Rate | Offices and Clinics of Health Practitioners, Not Elsewhere Classified | ||||
Schedule of Held-to-maturity Securities [Line Items] | ||||
Corporate debt | 7,444 | |||
Floating Rate | Personnel Supply Services | ||||
Schedule of Held-to-maturity Securities [Line Items] | ||||
Corporate debt | 36,921 | |||
Floating Rate | Public Warehousing and Storage | ||||
Schedule of Held-to-maturity Securities [Line Items] | ||||
Corporate debt | 37,121 | |||
Floating Rate | Research, Development and Testing Services | ||||
Schedule of Held-to-maturity Securities [Line Items] | ||||
Corporate debt | 17,717 | 17,744 | ||
Floating Rate | Schools and Educational Services, Not Elsewhere Classified | ||||
Schedule of Held-to-maturity Securities [Line Items] | ||||
Corporate debt | 20,890 | 20,979 | ||
Floating Rate | Surgical, Medical, and Dental Instruments and Supplies | ||||
Schedule of Held-to-maturity Securities [Line Items] | ||||
Corporate debt | 13,041 | $ 13,403 | ||
Floating Rate | Telephone Communications | ||||
Schedule of Held-to-maturity Securities [Line Items] | ||||
Corporate debt | $ 17,874 | |||
[1] | As a result of a change to a clearing organization's rulebook effective January 3, 2017, beginning with the first quarter 2017 and in subsequent periods the Company is presenting the fair value of centrally cleared interest rate swaps net of variation margin pledged under such transactions. The variation margin was previously reported under cash and cash equivalents and is currently reported as a reduction to interest rate swaps, at fair value. Balances reported prior to the effective date balances will not be adjusted. | |||
[2] | Derived from the audited consolidated financial statements at December 31, 2016. |
Aggregate Positions in Capital
Aggregate Positions in Capital Structure of Borrowers (Detail) - USD ($) $ in Thousands | Jun. 30, 2017 | Dec. 31, 2016 | ||
Schedule of Held-to-maturity Securities [Line Items] | ||||
Corporate debt, total | $ 773,957 | [1] | $ 773,274 | [2] |
Subordinated Debt | ||||
Schedule of Held-to-maturity Securities [Line Items] | ||||
Corporate debt, total | 4,414 | 4,391 | ||
First Lien | ||||
Schedule of Held-to-maturity Securities [Line Items] | ||||
Corporate debt, total | 496,953 | 505,956 | ||
Second Lien | ||||
Schedule of Held-to-maturity Securities [Line Items] | ||||
Corporate debt, total | $ 272,590 | 178,441 | ||
Corporate Debt Securities | ||||
Schedule of Held-to-maturity Securities [Line Items] | ||||
Corporate debt, total | $ 84,486 | |||
[1] | As a result of a change to a clearing organization's rulebook effective January 3, 2017, beginning with the first quarter 2017 and in subsequent periods the Company is presenting the fair value of centrally cleared interest rate swaps net of variation margin pledged under such transactions. The variation margin was previously reported under cash and cash equivalents and is currently reported as a reduction to interest rate swaps, at fair value. Balances reported prior to the effective date balances will not be adjusted. | |||
[2] | Derived from the audited consolidated financial statements at December 31, 2016. |
Variable Interest Entities - Ad
Variable Interest Entities - Additional Information (Detail) | 1 Months Ended | 6 Months Ended | ||||||
Feb. 29, 2016USD ($)Loan | Apr. 30, 2015USD ($)Loan | Feb. 28, 2015USD ($)Loan | Jun. 30, 2017USD ($) | Dec. 31, 2016USD ($) | [2] | Jun. 30, 2016USD ($) | ||
Variable Interest Entity [Line Items] | ||||||||
Payments to purchase mortgage loans | $ 49,599,000 | |||||||
Exposure to obligations of VIEs | 1,100,000,000 | |||||||
Gain (Loss) recognized upon initial consolidation | 0 | |||||||
Other secured financings | $ 3,785,543,000 | [1] | $ 3,884,708,000 | |||||
Pingora | ||||||||
Variable Interest Entity [Line Items] | ||||||||
Variable interest entity, ownership percentage | 100.00% | |||||||
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 2016-KLH1 | ||||||||
Variable Interest Entity [Line Items] | ||||||||
Number of loans in the underlying portfolio | Loan | 28 | |||||||
Face value | $ 1,500,000,000 | |||||||
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 | |||||||
Consolidated VIEs | FREMF Trusts | ||||||||
Variable Interest Entity [Line Items] | ||||||||
Exposure to obligations of VIEs | $ 267,200,000 | |||||||
Gain (Loss) recognized upon initial consolidation | 0 | |||||||
Debt issue costs expensed | 800,000 | |||||||
Mortgage loans, unpaid principal balance | 3,600,000,000 | |||||||
Loans 90 days or more past due or on nonaccrual status | 0 | |||||||
Gain (Loss) attributable to instrument- specific credit risk | 0 | |||||||
Consolidated VIEs | Residential Mortgage Loan Trust | ||||||||
Variable Interest Entity [Line Items] | ||||||||
Mortgage loans, unpaid principal balance | 147,900,000 | |||||||
Consolidated VIEs | Borrower | ||||||||
Variable Interest Entity [Line Items] | ||||||||
Credit facility, maximum borrowing capacity | $ 300,000,000 | |||||||
Other secured financings | 189,600,000 | |||||||
Consolidated VIEs | Borrower | Consolidation, Eliminations | ||||||||
Variable Interest Entity [Line Items] | ||||||||
Intercompany receivable | 189,600,000 | |||||||
Consolidated VIEs | Corporate Debt Securities | Borrower | ||||||||
Variable Interest Entity [Line Items] | ||||||||
Transferred loans pledged as collateral for credit facility | 437,800,000 | |||||||
Consolidated VIEs | Freddie Mac | FREMF 2015-KLSF | ||||||||
Variable Interest Entity [Line Items] | ||||||||
Variable interest entity, consolidated, carrying amount, assets | 1,300,000,000 | |||||||
Variable interest entity, consolidated, carrying amount, liabilities | 1,200,000,000 | |||||||
Payments to purchase mortgage loans | $ 102,100,000 | |||||||
Consolidated VIEs | 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 | |||||||
Variable interest entity, consolidated, carrying amount, liabilities | 1,400,000,000 | |||||||
Payments to purchase mortgage loans | 107,600,000 | |||||||
Discounted value | $ 4,400,000 | |||||||
Consolidated VIEs | Freddie Mac | FREMF 2015-KF07 | ||||||||
Variable Interest Entity [Line Items] | ||||||||
Variable interest entity, consolidated, carrying amount, assets | 800,000,000 | |||||||
Variable interest entity, consolidated, carrying amount, liabilities | $ 800,000,000 | |||||||
Payments to purchase mortgage loans | $ 89,400,000 | |||||||
[1] | As a result of a change to a clearing organization's rulebook effective January 3, 2017, beginning with the first quarter 2017 and in subsequent periods the Company is presenting the fair value of centrally cleared interest rate swaps net of variation margin pledged under such transactions. The variation margin was previously reported under cash and cash equivalents and is currently reported as a reduction to interest rate swaps, at fair value. Balances reported prior to the effective date balances will not be adjusted. | |||||||
[2] | Derived from the audited consolidated financial statements at December 31, 2016. |
Statement of Financial Conditio
Statement of Financial Condition of VIEs Reflected in Consolidated Statements of Financial Condition (Detail) - USD ($) $ in Thousands | Jun. 30, 2017 | Dec. 31, 2016 | Jun. 30, 2016 | Dec. 31, 2015 | |||
ASSETS | |||||||
Cash and cash equivalents | $ 700,692 | [1],[2] | $ 1,539,746 | [2],[3] | $ 2,735,250 | $ 1,769,258 | |
Commercial real estate debt investments | [4] | 3,972,560 | [1] | 4,321,739 | [3] | ||
Residential mortgages loans | [5] | 779,685 | [1] | 342,289 | [3] | ||
Mortgage servicing rights | 605,653 | [1] | 652,216 | [3] | |||
Other assets | 399,456 | [1] | 333,063 | [3] | |||
Total assets | 84,976,578 | [1] | 87,905,046 | [3] | |||
Liabilities | |||||||
Other secured financing | 3,785,543 | [1] | 3,884,708 | [3] | |||
Other derivatives, at fair value | 99,380 | 86,437 | |||||
Accrued interest payable | 185,720 | [1] | 163,013 | [3] | |||
Total liabilities | 72,367,153 | [1] | 75,329,074 | [3] | |||
Consolidated VIEs | |||||||
ASSETS | |||||||
Cash and cash equivalents | 37,900 | [1] | 23,200 | [3] | |||
Residential mortgages loans | 150,900 | [1] | 165,900 | [3] | |||
Consolidated VIEs | FREMF Trusts | |||||||
ASSETS | |||||||
Commercial real estate debt investments | 3,664,092 | 3,890,807 | |||||
Accrued interest receivable | 9,661 | 8,690 | |||||
Other assets | 138 | ||||||
Total assets | 3,673,753 | 3,899,635 | |||||
Liabilities | |||||||
Securitized debt (non-recourse) at fair value | 3,396,885 | 3,609,164 | |||||
Accrued interest payable | 4,588 | 4,350 | |||||
Total liabilities | 3,401,473 | 3,613,514 | |||||
Consolidated VIEs | Residential Mortgage Loan Trust | |||||||
ASSETS | |||||||
Residential mortgages loans | 150,859 | 165,869 | |||||
Accrued interest receivable | 754 | 836 | |||||
Total assets | 151,613 | 166,705 | |||||
Liabilities | |||||||
Securitized debt (non-recourse) at fair value | 41,790 | 46,638 | |||||
Accrued interest payable | 95 | 107 | |||||
Accounts payable and other liabilities | 71 | 662 | |||||
Total liabilities | 41,956 | 47,407 | |||||
Consolidated VIEs | Mortgage Servicing Rights Silos | |||||||
ASSETS | |||||||
Cash and cash equivalents | 37,901 | 23,198 | |||||
Residential mortgages loans | 13,979 | 8,309 | |||||
Mortgage servicing rights | 605,653 | 652,216 | |||||
Other derivatives, at fair value | 9 | ||||||
Other assets | 32,721 | 35,540 | |||||
Total assets | 690,254 | 719,272 | |||||
Liabilities | |||||||
Other secured financing | 7,659 | 3,825 | |||||
Other derivatives, at fair value | 11 | 9 | |||||
Accounts payable and other liabilities | 4,017 | 14,007 | |||||
Total liabilities | $ 11,687 | $ 17,841 | |||||
[1] | As a result of a change to a clearing organization's rulebook effective January 3, 2017, beginning with the first quarter 2017 and in subsequent periods the Company is presenting the fair value of centrally cleared interest rate swaps net of variation margin pledged under such transactions. The variation margin was previously reported under cash and cash equivalents and is currently reported as a reduction to interest rate swaps, at fair value. Balances reported prior to the effective date balances will not be adjusted. | ||||||
[2] | Includes cash of consolidated VIEs of $37.9 million and $23.2 million at June 30, 2017 and December 31, 2016, respectively. | ||||||
[3] | Derived from the audited consolidated financial statements at December 31, 2016. | ||||||
[4] | Includes senior securitized commercial mortgage loans of consolidated VIEs carried at fair value of $3.7 billion and $3.9 billion at June 30, 2017 and December 31, 2016, respectively. | ||||||
[5] | Includes securitized residential mortgage loans of a consolidated VIE carried at fair value of $150.9 million and $165.9 million at June 30, 2017 and December 31, 2016, respectively. |
Statement of Comprehensive Inco
Statement of Comprehensive Income (Loss) of VIEs Reflected in Consolidated Statements of Comprehensive Income (Loss) (Detail) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2017 | Jun. 30, 2016 | Jun. 30, 2017 | Jun. 30, 2016 | ||
Net interest income: | |||||
Interest income | $ 537,426 | $ 457,118 | $ 1,125,153 | $ 845,261 | |
Interest expense | 222,281 | 152,755 | 420,706 | 300,202 | |
Net interest income | 315,145 | 304,363 | 704,447 | 545,059 | |
Other income (loss) | 30,865 | (9,930) | 62,511 | (16,045) | |
General and administration expenses | 54,023 | 49,221 | 107,851 | 97,166 | |
Net income (loss) | 14,522 | $ (278,497) | 454,930 | $ (1,146,577) | |
Consolidated VIEs | FREMF Trusts | |||||
Net interest income: | |||||
Interest income | 24,948 | 52,667 | |||
Interest expense | 11,679 | 26,255 | |||
Net interest income | 13,269 | 26,412 | |||
Unrealized gain (loss) on investments at fair value | [1] | 4,387 | 5,089 | ||
Other income (loss) | (6,224) | (12,522) | |||
General and administration expenses | 1 | 1 | |||
Net income (loss) | 11,431 | 18,978 | |||
Consolidated VIEs | Residential Mortgage Loan Trust | |||||
Net interest income: | |||||
Interest income | 1,171 | 2,540 | |||
Interest expense | 298 | 572 | |||
Net interest income | 873 | 1,968 | |||
Realized gain (loss) on disposal of investments | (121) | (382) | |||
Unrealized gain (loss) on investments at fair value | [1] | 720 | 1,702 | ||
Other income (loss) | (94) | (191) | |||
General and administration expenses | 17 | 37 | |||
Net income (loss) | 1,361 | 3,060 | |||
Consolidated VIEs | Mortgage Servicing Rights Silos | |||||
Net interest income: | |||||
Interest income | 491 | 491 | |||
Interest expense | 57 | 122 | |||
Net interest income | 434 | 369 | |||
Realized gain (loss) on disposal of investments | 24 | (485) | |||
Unrealized gain (loss) on investments at fair value | [1] | (26,848) | (47,112) | ||
Other income (loss) | 33,338 | 67,926 | |||
General and administration expenses | 838 | 1,940 | |||
Net income (loss) | $ 6,110 | $ 18,758 | |||
[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) - Consolidated VIEs $ in Thousands | 6 Months Ended | |
Jun. 30, 2017USD ($) | ||
Residential Mortgage Loan Trust | ||
Concentration Risk [Line Items] | ||
Principal Balance | $ 148,082 | |
Residential Mortgage Loan Trust | CALIFORNIA | ||
Concentration Risk [Line Items] | ||
Principal Balance | 66,805 | |
Residential Mortgage Loan Trust | TEXAS | ||
Concentration Risk [Line Items] | ||
Principal Balance | 16,205 | |
Residential Mortgage Loan Trust | ILLINOIS | ||
Concentration Risk [Line Items] | ||
Principal Balance | 9,841 | |
Residential Mortgage Loan Trust | WASHINGTON | ||
Concentration Risk [Line Items] | ||
Principal Balance | 9,742 | |
Residential Mortgage Loan Trust | FLORIDA | ||
Concentration Risk [Line Items] | ||
Principal Balance | 8,772 | |
Residential Mortgage Loan Trust | Other | ||
Concentration Risk [Line Items] | ||
Principal Balance | 36,717 | [1] |
FREMF Trusts | ||
Concentration Risk [Line Items] | ||
Principal Balance | 3,593,858 | |
FREMF Trusts | TEXAS | ||
Concentration Risk [Line Items] | ||
Principal Balance | 622,589 | |
FREMF Trusts | FLORIDA | ||
Concentration Risk [Line Items] | ||
Principal Balance | 303,796 | |
FREMF Trusts | Other | ||
Concentration Risk [Line Items] | ||
Principal Balance | 597,163 | [1] |
FREMF Trusts | NORTH CAROLINA | ||
Concentration Risk [Line Items] | ||
Principal Balance | 537,375 | |
FREMF Trusts | MARYLAND | ||
Concentration Risk [Line Items] | ||
Principal Balance | 499,495 | |
FREMF Trusts | VIRGINIA | ||
Concentration Risk [Line Items] | ||
Principal Balance | 329,250 | |
FREMF Trusts | NEW YORK | ||
Concentration Risk [Line Items] | ||
Principal Balance | 280,925 | |
FREMF Trusts | PENNSYLVANIA | ||
Concentration Risk [Line Items] | ||
Principal Balance | 225,810 | |
FREMF Trusts | OHIO | ||
Concentration Risk [Line Items] | ||
Principal Balance | $ 197,455 | |
Securitized Loans | Residential Mortgage Loan Trust | Geographic Concentration Risk | ||
Concentration Risk [Line Items] | ||
Percent of Balance | 100.00% | |
Securitized Loans | Residential Mortgage Loan Trust | Geographic Concentration Risk | CALIFORNIA | ||
Concentration Risk [Line Items] | ||
Percent of Balance | 45.10% | |
Securitized Loans | Residential Mortgage Loan Trust | Geographic Concentration Risk | TEXAS | ||
Concentration Risk [Line Items] | ||
Percent of Balance | 10.90% | |
Securitized Loans | Residential Mortgage Loan Trust | Geographic Concentration Risk | ILLINOIS | ||
Concentration Risk [Line Items] | ||
Percent of Balance | 6.60% | |
Securitized Loans | Residential Mortgage Loan Trust | Geographic Concentration Risk | WASHINGTON | ||
Concentration Risk [Line Items] | ||
Percent of Balance | 6.60% | |
Securitized Loans | Residential Mortgage Loan Trust | Geographic Concentration Risk | FLORIDA | ||
Concentration Risk [Line Items] | ||
Percent of Balance | 5.90% | |
Securitized Loans | Residential Mortgage Loan Trust | Geographic Concentration Risk | Other | ||
Concentration Risk [Line Items] | ||
Percent of Balance | 24.90% | [1] |
Securitized Loans | FREMF Trusts | Geographic Concentration Risk | ||
Concentration Risk [Line Items] | ||
Percent of Balance | 100.00% | |
Securitized Loans | FREMF Trusts | Geographic Concentration Risk | TEXAS | ||
Concentration Risk [Line Items] | ||
Percent of Balance | 17.30% | |
Securitized Loans | FREMF Trusts | Geographic Concentration Risk | FLORIDA | ||
Concentration Risk [Line Items] | ||
Percent of Balance | 8.50% | |
Securitized Loans | FREMF Trusts | Geographic Concentration Risk | Other | ||
Concentration Risk [Line Items] | ||
Percent of Balance | 16.50% | [1] |
Securitized Loans | FREMF Trusts | Geographic Concentration Risk | NORTH CAROLINA | ||
Concentration Risk [Line Items] | ||
Percent of Balance | 15.00% | |
Securitized Loans | FREMF Trusts | Geographic Concentration Risk | MARYLAND | ||
Concentration Risk [Line Items] | ||
Percent of Balance | 13.90% | |
Securitized Loans | FREMF Trusts | Geographic Concentration Risk | VIRGINIA | ||
Concentration Risk [Line Items] | ||
Percent of Balance | 9.20% | |
Securitized Loans | FREMF Trusts | Geographic Concentration Risk | NEW YORK | ||
Concentration Risk [Line Items] | ||
Percent of Balance | 7.80% | |
Securitized Loans | FREMF Trusts | Geographic Concentration Risk | PENNSYLVANIA | ||
Concentration Risk [Line Items] | ||
Percent of Balance | 6.30% | |
Securitized Loans | FREMF Trusts | Geographic Concentration Risk | OHIO | ||
Concentration Risk [Line Items] | ||
Percent of Balance | 5.50% | |
[1] | No individual state greater than 5% |
Fair Value Measurements - Addit
Fair Value Measurements - Additional Information (Detail) - USD ($) | Jun. 30, 2017 | Dec. 31, 2016 |
Fair Value Disclosures [Abstract] | ||
Debt instrument, fair value disclosure | $ 0 | $ 0 |
Fair Value Measurements (Detail
Fair Value Measurements (Detail) - USD ($) $ in Thousands | Jun. 30, 2017 | Mar. 31, 2017 | Dec. 31, 2016 | |||
Liabilities: | ||||||
Securitized debt of consolidated VIEs | $ 3,438,675 | [1] | $ 3,655,802 | [2] | ||
Interest rate swaps | 614,589 | [1] | 1,443,765 | [2] | ||
Other derivatives | 99,380 | 86,437 | ||||
Total liabilities | 4,152,644 | 5,186,004 | ||||
Assets: | ||||||
Non-Agency mortgage-backed securities | 75,803,877 | 77,715,902 | ||||
Residential mortgage loans | 342,289 | |||||
Mortgage servicing rights | 605,653 | $ 632,166 | 652,216 | |||
Commercial real estate debt investments | [3] | 3,972,560 | [1] | 4,321,739 | [2] | |
Interest rate swaps | 10,472 | [1] | 68,194 | [2] | ||
Other derivatives | 154,004 | 171,266 | ||||
Total assets | 81,326,251 | 83,271,606 | ||||
Agency mortgage-backed securities | 73,963,998 | 75,589,873 | ||||
Credit risk transfer securities | 605,826 | [1] | 724,722 | [2] | ||
Non-Agency mortgage-backed securities | 1,234,053 | |||||
Non-Agency Mortgage-backed Securities | ||||||
Assets: | ||||||
Non-Agency mortgage-backed securities | [4] | 1,234,053 | [1] | 1,401,307 | [2] | |
Residential Mortgage | ||||||
Assets: | ||||||
Residential mortgage loans | 779,685 | 342,289 | ||||
Level 1 | ||||||
Liabilities: | ||||||
Other derivatives | 42,103 | 24,912 | ||||
Total liabilities | 42,103 | 24,912 | ||||
Assets: | ||||||
Other derivatives | 124,109 | 168,209 | ||||
Total assets | 124,109 | 168,209 | ||||
Level 2 | ||||||
Liabilities: | ||||||
Securitized debt of consolidated VIEs | 3,438,675 | 3,655,802 | ||||
Interest rate swaps | 614,589 | 1,443,765 | ||||
Other derivatives | 57,277 | 61,525 | ||||
Total liabilities | 4,110,541 | 5,161,092 | ||||
Assets: | ||||||
Residential mortgage loans | 342,289 | |||||
Commercial real estate debt investments | 3,972,560 | 4,321,739 | ||||
Interest rate swaps | 10,472 | 68,194 | ||||
Other derivatives | 29,895 | 3,057 | ||||
Total assets | 80,596,489 | 82,451,181 | ||||
Agency mortgage-backed securities | 73,963,998 | 75,589,873 | ||||
Credit risk transfer securities | 605,826 | 724,722 | ||||
Non-Agency mortgage-backed securities | 1,234,053 | |||||
Level 2 | Non-Agency Mortgage-backed Securities | ||||||
Assets: | ||||||
Non-Agency mortgage-backed securities | 1,401,307 | |||||
Level 2 | Residential Mortgage | ||||||
Assets: | ||||||
Residential mortgage loans | 779,685 | |||||
Level 3 | ||||||
Assets: | ||||||
Mortgage servicing rights | 605,653 | 652,216 | ||||
Total assets | $ 605,653 | $ 652,216 | ||||
[1] | As a result of a change to a clearing organization's rulebook effective January 3, 2017, beginning with the first quarter 2017 and in subsequent periods the Company is presenting the fair value of centrally cleared interest rate swaps net of variation margin pledged under such transactions. The variation margin was previously reported under cash and cash equivalents and is currently reported as a reduction to interest rate swaps, at fair value. Balances reported prior to the effective date balances will not be adjusted. | |||||
[2] | Derived from the audited consolidated financial statements at December 31, 2016. | |||||
[3] | Includes senior securitized commercial mortgage loans of consolidated VIEs carried at fair value of $3.7 billion and $3.9 billion at June 30, 2017 and December 31, 2016, respectively. | |||||
[4] | Includes $78.9 million and $88.6 million at June 30, 2017 and December 31, 2016, respectively, of non-Agency mortgage-backed securities in a consolidated VIE pledged as collateral and eliminated from the Company's Consolidated Statements of Financial Condition. |
Information about Significant U
Information about Significant Unobservable Inputs Used for Recurring Fair Value Measurements for Level 3 MSRs (Detail) - Fair Value, Measurements, Recurring - Level 3 - Mortgage Servicing Rights - USD ($) | 6 Months Ended | 12 Months Ended | |
Jun. 30, 2017 | Dec. 31, 2016 | ||
Minimum | |||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||
Unobservable input, discount rate | [1] | 10.00% | 10.00% |
Unobservable input, prepayment rate | [1] | 5.70% | 5.10% |
Unobservable input, delinquency rate | [1] | 0.00% | 0.00% |
Unobservable input, cost to service | [1] | $ 84 | $ 83 |
Maximum | |||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||
Unobservable input, discount rate | [1] | 15.00% | 15.00% |
Unobservable input, prepayment rate | [1] | 23.60% | 18.80% |
Unobservable input, delinquency rate | [1] | 8.00% | 10.00% |
Unobservable input, cost to service | [1] | $ 152 | $ 152 |
Weighted Average | |||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||
Unobservable input, discount rate | [1] | 10.40% | 10.40% |
Unobservable input, prepayment rate | [1] | 10.30% | 8.70% |
Unobservable input, delinquency rate | [1] | 1.90% | 2.30% |
Unobservable input, cost to service | [1] | $ 101 | $ 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 | Jun. 30, 2017 | Dec. 31, 2016 | |||
Financial assets: | |||||
Agency mortgage-backed securities | $ 73,963,998 | $ 75,589,873 | |||
Credit risk transfer securities | 605,826 | [1] | 724,722 | [2] | |
Non-Agency mortgage-backed securities | 1,234,053 | ||||
Residential mortgage loans | [3] | 779,685 | [1] | 342,289 | [2] |
Residential mortgage loans | 342,289 | ||||
Mortgage servicing rights | 605,653 | [1] | 652,216 | [2] | |
Commercial real estate debt investments | [4] | 3,972,560 | [1] | 4,321,739 | [2] |
Interest rate swaps | 10,472 | [1] | 68,194 | [2] | |
Other derivatives | 154,004 | 171,266 | |||
Financial liabilities: | |||||
Other secured financing | 3,785,543 | [1] | 3,884,708 | [2] | |
Securitized debt of consolidated VIEs | [5] | 3,438,675 | [1] | 3,655,802 | [2] |
Other derivatives | 99,380 | 86,437 | |||
Interest rate swaps | 614,589 | [1] | 1,443,765 | [2] | |
Level 1 | |||||
Financial assets: | |||||
Other derivatives | 124,109 | 168,209 | |||
Financial liabilities: | |||||
Other derivatives | 42,103 | 24,912 | |||
Level 2 | |||||
Financial assets: | |||||
Agency mortgage-backed securities | 73,963,998 | 75,589,873 | |||
Credit risk transfer securities | 605,826 | 724,722 | |||
Non-Agency mortgage-backed securities | 1,234,053 | ||||
Residential mortgage loans | 342,289 | ||||
Commercial real estate debt investments | 3,972,560 | 4,321,739 | |||
Interest rate swaps | 10,472 | 68,194 | |||
Other derivatives | 29,895 | 3,057 | |||
Financial liabilities: | |||||
Other derivatives | 57,277 | 61,525 | |||
Interest rate swaps | 614,589 | 1,443,765 | |||
Estimate of Fair Value, Fair Value Disclosure | |||||
Financial assets: | |||||
Commercial loans held for sale, net | 114,425 | ||||
Estimate of Fair Value, Fair Value Disclosure | Level 1 | |||||
Financial assets: | |||||
Cash and cash equivalents | [6] | 700,692 | 1,539,746 | ||
Other derivatives | 154,004 | 171,266 | |||
Financial liabilities: | |||||
Repurchase agreements | 62,506,986 | 65,256,505 | |||
Other secured financing | 3,798,234 | 3,885,430 | |||
Other derivatives | 99,380 | 86,437 | |||
Estimate of Fair Value, Fair Value Disclosure | Level 2 | |||||
Financial assets: | |||||
Agency mortgage-backed securities | 73,963,998 | 75,589,873 | |||
Credit risk transfer securities | 605,826 | 724,722 | |||
Non-Agency mortgage-backed securities | 1,234,053 | 1,401,307 | |||
Residential mortgage loans | 779,685 | 342,289 | |||
Commercial real estate debt investments | 3,972,560 | 4,321,739 | |||
Corporate debt | [7] | 775,468 | 776,310 | ||
Interest rate swaps | [6] | 10,472 | 68,194 | ||
Other derivatives | 154,004 | 171,266 | |||
Financial liabilities: | |||||
Repurchase agreements | 62,521,751 | 65,256,505 | |||
Other secured financing | 3,798,234 | 3,885,430 | |||
Securitized debt of consolidated VIEs | 3,438,675 | 3,655,802 | |||
Other derivatives | 99,380 | 86,437 | |||
Participation sold | 12,827 | ||||
Interest rate swaps | [7] | 614,589 | 1,443,765 | ||
Estimate of Fair Value, Fair Value Disclosure | Level 3 | |||||
Financial assets: | |||||
Mortgage servicing rights | 605,653 | 652,216 | |||
Commercial real estate debt and preferred equity, held for investment | 931,309 | 968,824 | |||
Financial liabilities: | |||||
Mortgage payable | 315,474 | 312,442 | |||
Carrying (Reported) Amount, Fair Value Disclosure | |||||
Financial assets: | |||||
Commercial loans held for sale, net | 114,425 | ||||
Carrying (Reported) Amount, Fair Value Disclosure | Level 1 | |||||
Financial assets: | |||||
Cash and cash equivalents | [6] | 700,692 | 1,539,746 | ||
Other derivatives | 154,004 | 171,266 | |||
Financial liabilities: | |||||
Repurchase agreements | 62,497,400 | 65,215,810 | |||
Other secured financing | 3,785,543 | 3,884,708 | |||
Other derivatives | 99,380 | 86,437 | |||
Carrying (Reported) Amount, Fair Value Disclosure | Level 2 | |||||
Financial assets: | |||||
Agency mortgage-backed securities | 73,963,998 | 75,589,873 | |||
Credit risk transfer securities | 605,826 | 724,722 | |||
Non-Agency mortgage-backed securities | 1,234,053 | 1,401,307 | |||
Residential mortgage loans | 779,685 | 342,289 | |||
Commercial real estate debt investments | 3,972,560 | 4,321,739 | |||
Corporate debt | [6] | 773,957 | 773,274 | ||
Interest rate swaps | [7] | 10,472 | 68,194 | ||
Other derivatives | 154,004 | 171,266 | |||
Financial liabilities: | |||||
Repurchase agreements | 62,497,400 | 65,215,810 | |||
Other secured financing | 3,785,543 | 3,884,708 | |||
Securitized debt of consolidated VIEs | 3,438,675 | 3,655,802 | |||
Other derivatives | 99,380 | 86,437 | |||
Participation sold | 12,869 | ||||
Interest rate swaps | [6] | 614,589 | 1,443,765 | ||
Carrying (Reported) Amount, Fair Value Disclosure | Level 3 | |||||
Financial assets: | |||||
Mortgage servicing rights | 605,653 | 652,216 | |||
Commercial real estate debt and preferred equity, held for investment | 928,181 | 970,505 | |||
Financial liabilities: | |||||
Mortgage payable | $ 311,810 | $ 311,636 | |||
[1] | As a result of a change to a clearing organization's rulebook effective January 3, 2017, beginning with the first quarter 2017 and in subsequent periods the Company is presenting the fair value of centrally cleared interest rate swaps net of variation margin pledged under such transactions. The variation margin was previously reported under cash and cash equivalents and is currently reported as a reduction to interest rate swaps, at fair value. Balances reported prior to the effective date balances will not be adjusted. | ||||
[2] | Derived from the audited consolidated financial statements at December 31, 2016. | ||||
[3] | Includes securitized residential mortgage loans of a consolidated VIE carried at fair value of $150.9 million and $165.9 million at June 30, 2017 and December 31, 2016, respectively. | ||||
[4] | Includes senior securitized commercial mortgage loans of consolidated VIEs carried at fair value of $3.7 billion and $3.9 billion at June 30, 2017 and December 31, 2016, respectively. | ||||
[5] | Includes securitized debt of consolidated VIEs carried at fair value of $3.4 billion and $3.7 billion at June 30, 2017 and December 31, 2016, respectively. | ||||
[6] | As a result of a change to a clearing organization's rulebook effective January 3, 2017, beginning with the first quarter 2017 and in subsequent periods the Company is presenting the fair value of centrally cleared interest rate swaps net of variation margin pledged under such transactions. The variation margin was previously reported under cash and cash equivalents and is currently reported as a reduction to interest rate swaps, at fair value. | ||||
[7] | Includes a held-to-maturity debt security carried at amortized cost of $84.5 million, with a fair value of $87.8 million, as of December 31, 2016. The bond was paid down during the three months ended June 30, 2017. |
Estimated Fair Values for All86
Estimated Fair Values for All Financial Assets and Liabilities (Parenthetical) (Detail) $ in Millions | Dec. 31, 2016USD ($) |
Fair Value Disclosures [Abstract] | |
Held-to-maturity debt security, amortized cost | $ 84.5 |
Held-to-maturity debt security, fair value | $ 87.8 |
Secured Financing - Additional
Secured Financing - Additional Information (Detail) - USD ($) $ in Thousands | 6 Months Ended | 12 Months Ended | ||
Jun. 30, 2017 | Dec. 31, 2016 | |||
Repurchase Agreements: | ||||
Repurchase agreements - outstanding | $ 62,497,400 | [1] | $ 65,215,810 | [2] |
Repurchase agreements - weighted average effective borrowing rates | 1.91% | 1.64% | ||
Repurchase agreements - weighted average remaining maturities (in days) | 88 days | 96 days | ||
Other secured financing long term, amount | $ 3,785,543 | [1] | $ 3,884,708 | [2] |
Secured financings and interest rate swaps - collateral held, estimated fair value | 70,700,000 | 212,000,000 | ||
Secured financings and interest rate swaps - collateral held, accrued interest | $ 209,100 | 229,200 | ||
Minimum | ||||
Repurchase Agreements: | ||||
Other secured financing amount, long term, expiration period | 3 years | |||
Maximum | ||||
Repurchase Agreements: | ||||
Other secured financing amount, long term, expiration period | 8 years | |||
Maturity Period Beyond Three Years | ||||
Repurchase Agreements: | ||||
Other secured financing long term, amount | $ 90,000 | $ 3,600,000 | ||
Other secured financing amount, long term, expiration period | 3 years | 3 years | ||
Maturity Period Beyond Three Years | Minimum | ||||
Repurchase Agreements: | ||||
Other secured financing amount, long term, expiration period | 1 year | |||
Maturity Period Beyond Three Years | Maximum | ||||
Repurchase Agreements: | ||||
Other secured financing amount, long term, expiration period | 3 years | |||
FHLB De Moines | ||||
Repurchase Agreements: | ||||
Debt weighted average interest rate | 1.30% | 0.76% | ||
FHLB De Moines | Maturity Period Beyond Three Years | ||||
Repurchase Agreements: | ||||
Other secured financing long term, amount | $ 3,500,000 | |||
[1] | As a result of a change to a clearing organization's rulebook effective January 3, 2017, beginning with the first quarter 2017 and in subsequent periods the Company is presenting the fair value of centrally cleared interest rate swaps net of variation margin pledged under such transactions. The variation margin was previously reported under cash and cash equivalents and is currently reported as a reduction to interest rate swaps, at fair value. Balances reported prior to the effective date balances will not be adjusted. | |||
[2] | Derived from the audited consolidated financial statements at December 31, 2016. |
Repurchase Agreements - Remaini
Repurchase Agreements - Remaining Maturities, Collateral Types and Weighted Average Rate (Detail) - USD ($) $ in Thousands | Jun. 30, 2017 | Dec. 31, 2016 | |||
Repurchase Agreements: | |||||
Repurchase agreements | $ 62,497,400 | [1] | $ 65,215,810 | [2] | |
Weighted average rate | 1.38% | 1.07% | |||
Credit Risk Transfer Securities | |||||
Repurchase Agreements: | |||||
Repurchase agreements | $ 392,483 | $ 453,025 | |||
Non Agency MBS | |||||
Repurchase Agreements: | |||||
Repurchase agreements | 704,794 | 720,217 | |||
Commercial Loan | |||||
Repurchase Agreements: | |||||
Repurchase agreements | 394,608 | 334,867 | |||
Agency Mortgage-backed Securities | |||||
Repurchase Agreements: | |||||
Repurchase agreements | 60,980,074 | 63,707,701 | |||
Commercial Mortgage-backed Securities | |||||
Repurchase Agreements: | |||||
Repurchase agreements | 25,441 | ||||
2 to 29 days | |||||
Repurchase Agreements: | |||||
Repurchase agreements | $ 26,626,575 | $ 30,394,043 | |||
Weighted average rate | 1.40% | 0.87% | |||
2 to 29 days | Credit Risk Transfer Securities | |||||
Repurchase Agreements: | |||||
Repurchase agreements | $ 306,812 | $ 358,972 | |||
2 to 29 days | Non Agency MBS | |||||
Repurchase Agreements: | |||||
Repurchase agreements | 434,128 | 377,366 | |||
2 to 29 days | Agency Mortgage-backed Securities | |||||
Repurchase Agreements: | |||||
Repurchase agreements | 25,866,226 | 29,657,705 | |||
2 to 29 days | Commercial Mortgage-backed Securities | |||||
Repurchase Agreements: | |||||
Repurchase agreements | 19,409 | ||||
30 to 59 days | |||||
Repurchase Agreements: | |||||
Repurchase agreements | $ 8,123,046 | $ 11,694,799 | |||
Weighted average rate | 1.33% | 1.10% | |||
30 to 59 days | Credit Risk Transfer Securities | |||||
Repurchase Agreements: | |||||
Repurchase agreements | $ 49,657 | $ 80,139 | |||
30 to 59 days | Non Agency MBS | |||||
Repurchase Agreements: | |||||
Repurchase agreements | 136,613 | 241,360 | |||
30 to 59 days | Agency Mortgage-backed Securities | |||||
Repurchase Agreements: | |||||
Repurchase agreements | 7,930,744 | 11,373,300 | |||
30 to 59 days | Commercial Mortgage-backed Securities | |||||
Repurchase Agreements: | |||||
Repurchase agreements | 6,032 | ||||
60 to 89 days | |||||
Repurchase Agreements: | |||||
Repurchase agreements | $ 9,276,299 | $ 7,082,232 | |||
Weighted average rate | 1.33% | 1.14% | |||
60 to 89 days | Credit Risk Transfer Securities | |||||
Repurchase Agreements: | |||||
Repurchase agreements | $ 36,014 | $ 13,914 | |||
60 to 89 days | Non Agency MBS | |||||
Repurchase Agreements: | |||||
Repurchase agreements | 129,094 | 101,491 | |||
60 to 89 days | Agency Mortgage-backed Securities | |||||
Repurchase Agreements: | |||||
Repurchase agreements | 9,111,191 | 6,966,827 | |||
90 to 119 days | |||||
Repurchase Agreements: | |||||
Repurchase agreements | $ 3,100,967 | $ 2,063,561 | |||
Weighted average rate | 1.20% | 0.89% | |||
90 to 119 days | Non Agency MBS | |||||
Repurchase Agreements: | |||||
Repurchase agreements | $ 4,959 | ||||
90 to 119 days | Agency Mortgage-backed Securities | |||||
Repurchase Agreements: | |||||
Repurchase agreements | 3,096,008 | $ 2,063,561 | |||
Over 120 days | |||||
Repurchase Agreements: | |||||
Repurchase agreements | [3] | $ 15,370,513 | $ 13,981,175 | ||
Weighted average rate | [3] | 1.45% | 1.47% | ||
Over 120 days | Commercial Loan | |||||
Repurchase Agreements: | |||||
Repurchase agreements | [3] | $ 394,608 | $ 334,867 | ||
Over 120 days | Agency Mortgage-backed Securities | |||||
Repurchase Agreements: | |||||
Repurchase agreements | [3] | $ 14,975,905 | $ 13,646,308 | ||
[1] | As a result of a change to a clearing organization's rulebook effective January 3, 2017, beginning with the first quarter 2017 and in subsequent periods the Company is presenting the fair value of centrally cleared interest rate swaps net of variation margin pledged under such transactions. The variation margin was previously reported under cash and cash equivalents and is currently reported as a reduction to interest rate swaps, at fair value. Balances reported prior to the effective date balances will not be adjusted. | ||||
[2] | Derived from the audited consolidated financial statements at December 31, 2016. | ||||
[3] | Approximately 5% and 7% of the total repurchase agreements had a remaining maturity over 1 year as of March 31, 2017 and December 31, 2016, respectively. |
Summary of Gross Amounts, Amoun
Summary of Gross Amounts, Amounts Offset and Net Amounts of Repurchase Agreement and Reverse Repurchase Agreement (Detail) - USD ($) $ in Thousands | 6 Months Ended | 12 Months Ended | ||
Jun. 30, 2017 | Dec. 31, 2016 | |||
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 | 62,497,400 | 65,615,810 | ||
Amounts offset -repurchase agreement | (400,000) | |||
Netted amounts -repurchase agreement | $ 62,497,400 | [1] | $ 65,215,810 | [2] |
[1] | As a result of a change to a clearing organization's rulebook effective January 3, 2017, beginning with the first quarter 2017 and in subsequent periods the Company is presenting the fair value of centrally cleared interest rate swaps net of variation margin pledged under such transactions. The variation margin was previously reported under cash and cash equivalents and is currently reported as a reduction to interest rate swaps, at fair value. Balances reported prior to the effective date balances will not be adjusted. | |||
[2] | Derived from the audited consolidated financial statements at December 31, 2016. |
Summary of Fair Value Informati
Summary of Fair Value Information about Derivative Assets and Liabilities (Detail) - USD ($) $ in Thousands | Jun. 30, 2017 | Dec. 31, 2016 | ||
Derivatives, Fair Value [Line Items] | ||||
Interest rate swaps, at fair value | $ 10,472 | [1] | $ 68,194 | [2] |
Other derivatives, at fair value | 154,004 | [1] | 171,266 | [2] |
Derivative assets | 164,476 | 239,460 | ||
Other derivatives, at fair value | 99,380 | [1] | 86,437 | [2] |
Interest rate swaps, at fair value | 614,589 | [1] | 1,443,765 | [2] |
Derivative liabilities | 713,969 | 1,530,202 | ||
Futures Contracts | ||||
Derivatives, Fair Value [Line Items] | ||||
Other derivatives, at fair value | 124,109 | 168,209 | ||
Derivative assets | 124,109 | 168,209 | ||
Other derivatives, at fair value | 42,103 | 24,912 | ||
Derivative liabilities | 42,103 | 24,912 | ||
Purchase Commitments | ||||
Derivatives, Fair Value [Line Items] | ||||
Other derivatives, at fair value | 283 | |||
Derivative assets | 283 | |||
Other derivatives, at fair value | 11 | 553 | ||
Derivative liabilities | 11 | 553 | ||
Interest Rate Swaption | ||||
Derivatives, Fair Value [Line Items] | ||||
Other derivatives, at fair value | 21,328 | |||
Derivative assets | 21,328 | |||
TBA Derivatives | ||||
Derivatives, Fair Value [Line Items] | ||||
Other derivatives, at fair value | 8,567 | 2,774 | ||
Derivative assets | 8,567 | 2,774 | ||
Other derivatives, at fair value | 56,529 | 60,972 | ||
Derivative liabilities | 56,529 | $ 60,972 | ||
Credit Derivatives | ||||
Derivatives, Fair Value [Line Items] | ||||
Other derivatives, at fair value | 737 | |||
Derivative liabilities | $ 737 | |||
[1] | As a result of a change to a clearing organization's rulebook effective January 3, 2017, beginning with the first quarter 2017 and in subsequent periods the Company is presenting the fair value of centrally cleared interest rate swaps net of variation margin pledged under such transactions. The variation margin was previously reported under cash and cash equivalents and is currently reported as a reduction to interest rate swaps, at fair value. Balances reported prior to the effective date balances will not be adjusted. | |||
[2] | Derived from the audited consolidated financial statements at December 31, 2016. |
Summary of Characteristics of I
Summary of Characteristics of Interest Rate Swaps (Detail) - Interest Rate Swaps - USD ($) $ in Thousands | 6 Months Ended | 12 Months Ended |
Jun. 30, 2017 | Dec. 31, 2016 | |
Derivative Instruments: | ||
Current Notional | $ 28,603,050 | $ 25,875,665 |
Weighted Average Pay Rate | 2.26% | 2.22% |
Weighted Average Receive Rate | 1.28% | 1.02% |
Weighted Average Years to Maturity | 6 years 6 months 29 days | 6 years 10 months 13 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 | $ 4,642,000 | $ 3,444,365 |
Weighted Average Pay Rate | 1.43% | 1.37% |
Weighted Average Receive Rate | 1.34% | 1.00% |
Weighted Average Years to Maturity | 2 years 6 months 3 days | 2 years 8 months 16 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 | $ 11,476,000 | $ 10,590,000 |
Weighted Average Pay Rate | 2.16% | 1.92% |
Weighted Average Receive Rate | 1.22% | 0.99% |
Weighted Average Years to Maturity | 4 years 18 days | 3 years 11 months 9 days |
6 - 10 years | ||
Derivative Instruments: | ||
Derivative Instruments minimum maturity period | 6 years | 6 years |
Derivative Instruments maximum maturity period | 10 years | 10 years |
Current Notional | $ 8,558,650 | $ 8,206,900 |
Weighted Average Pay Rate | 2.43% | 2.35% |
Weighted Average Receive Rate | 1.32% | 1.10% |
Weighted Average Years to Maturity | 7 years 6 months 21 days | 7 years 9 months 26 days |
Greater than 10 years | ||
Derivative Instruments: | ||
Derivative Instruments minimum maturity period | 10 years | 10 years |
Current Notional | $ 3,926,400 | $ 3,634,400 |
Weighted Average Pay Rate | 3.62% | 3.70% |
Weighted Average Receive Rate | 1.20% | 0.83% |
Weighted Average Years to Maturity | 18 years 9 months | 18 years 4 months 10 days |
Summary of Swaptions Outstandin
Summary of Swaptions Outstanding (Detail) - Interest Rate Swaption - Long $ in Thousands | 6 Months Ended |
Jun. 30, 2017USD ($) | |
Derivative Instruments and Hedging Activities Disclosures [Line Items] | |
Current Underlying Notional | $ 2,000,000 |
Weighted Average Underlying Pay Rate | 2.56% |
Weighted Average Underlying Receive Rate | 3M LIBOR |
Weighted Average Underlying Years to Maturity | 9 years 5 months 1 day |
Weighted Average Months to Expiration | 8 months |
Summary of Characteristics of T
Summary of Characteristics of TBA Derivatives (Detail) - TBA Derivatives - Long - USD ($) | 6 Months Ended | 12 Months Ended |
Jun. 30, 2017 | Dec. 31, 2016 | |
Derivative Instruments: | ||
Notional | $ 13,251,000,000 | $ 11,223,000,000 |
Implied Cost Basis | 13,851,936,000 | 11,495,514,000 |
Implied Market Value | 13,803,974,000 | 11,437,316,000 |
Carrying Value | $ (47,962,000) | $ (58,198,000) |
Summary of Certain Characterist
Summary of Certain Characteristics of Futures Derivatives (Detail) - USD ($) $ in Thousands | 6 Months Ended | 12 Months Ended |
Jun. 30, 2017 | Dec. 31, 2016 | |
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 | $ 16,363,250 | $ 14,968,250 |
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 | 7 years 29 days | 8 years 4 months 21 days |
U.S. Treasury Futures | Short | 5 Year | ||
Derivative Instruments: | ||
Notional | $ 3,437,200 | $ 1,697,200 |
U.S. Treasury Futures | Short | 10 Year and Greater | ||
Derivative Instruments: | ||
Notional | $ 3,275,000 | $ 2,250,000 |
Futures Contracts | ||
Derivative Instruments: | ||
Weighted Average Years to Maturity | 3 years 29 days | 2 years 11 months 23 days |
Futures Contracts | Short | ||
Derivative Instruments: | ||
Notional | $ 23,075,450 | $ 18,915,450 |
Offsetting of Derivative Assets
Offsetting of Derivative Assets and Liabilities (Detail) - USD ($) $ in Thousands | Jun. 30, 2017 | Dec. 31, 2016 |
Offsetting Assets [Line Items] | ||
Gross Amounts, Assets | $ 164,476 | $ 239,460 |
Gross Amounts, Liabilities | 713,969 | 1,530,202 |
Futures Contracts | ||
Offsetting Assets [Line Items] | ||
Gross Amounts, Assets | 124,109 | 168,209 |
Amounts Eligible for Offset -Financial Instruments, Assets | (42,103) | (24,912) |
Amounts Eligible for Offset-Cash Collateral, Assets | 0 | 0 |
Net Amounts, Assets | 82,006 | 143,297 |
Gross Amounts, Liabilities | 42,103 | 24,912 |
Amounts Eligible for Offset-Financial Instruments, Liabilities | (42,103) | (24,912) |
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 | 11 | 553 |
Net Amounts, Liabilities | 11 | 553 |
Interest Rate Swaps | ||
Offsetting Assets [Line Items] | ||
Gross Amounts, Assets | 10,472 | 68,194 |
Amounts Eligible for Offset -Financial Instruments, Assets | (9,282) | (68,194) |
Amounts Eligible for Offset-Cash Collateral, Assets | 0 | 0 |
Net Amounts, Assets | 1,190 | |
Gross Amounts, Liabilities | 614,589 | 1,443,765 |
Amounts Eligible for Offset-Financial Instruments, Liabilities | (9,282) | (68,194) |
Amounts Eligible for Offset -Cash Collateral, Liabilities | (768,877) | |
Net Amounts, Liabilities | 605,307 | 606,694 |
Interest Rate Swaption | ||
Offsetting Assets [Line Items] | ||
Gross Amounts, Assets | 21,328 | |
Amounts Eligible for Offset-Cash Collateral, Assets | 0 | |
Net Amounts, Assets | 21,328 | |
TBA Derivatives | ||
Offsetting Assets [Line Items] | ||
Gross Amounts, Assets | 8,567 | 2,774 |
Amounts Eligible for Offset -Financial Instruments, Assets | (1,969) | (2,172) |
Amounts Eligible for Offset-Cash Collateral, Assets | 0 | 0 |
Net Amounts, Assets | 6,598 | 602 |
Gross Amounts, Liabilities | 56,529 | 60,972 |
Amounts Eligible for Offset-Financial Instruments, Liabilities | (1,969) | (2,172) |
Net Amounts, Liabilities | 54,560 | $ 58,800 |
Credit Derivatives | ||
Offsetting Assets [Line Items] | ||
Gross Amounts, Liabilities | 737 | |
Net Amounts, Liabilities | $ 737 |
Derivative Instruments - Effect
Derivative Instruments - Effect of Interest Rate Swaps on Consolidated Statements of Comprehensive Income (Loss) (Detail) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2017 | Jun. 30, 2016 | Jun. 30, 2017 | Jun. 30, 2016 | ||
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |||||
Realized gains (losses) on interest rate swaps | [1] | $ (96,470) | $ (130,762) | $ (200,626) | $ (278,237) |
Realized gain (losses) on termination of interest rate swaps | (58) | (60,064) | (58) | (60,064) | |
Unrealized gains (losses) on interest rate swaps | $ (177,567) | $ (373,220) | $ (28,383) | $ (1,404,940) | |
[1] | Consists of interest expense on interest rate swaps. |
Effect of Other Derivative Cont
Effect of Other Derivative Contracts on the Consolidated Statements of Operations and Comprehensive Income (Loss) (Detail) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2017 | Jun. 30, 2016 | Jun. 30, 2017 | Jun. 30, 2016 | ||
Derivative Instruments: | |||||
Unrealized Gain (Loss) | $ (177,567) | $ (373,220) | $ (28,383) | $ (1,404,940) | |
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Trading Assets | (14,423) | 81,880 | (14,123) | 207,052 | |
U.S. Treasury Futures | |||||
Derivative Instruments: | |||||
Realized Gain (Loss) | (59,397) | 8,314 | (58,424) | (122,680) | |
Unrealized Gain (Loss) | (37,588) | (85,563) | (61,292) | (133,683) | |
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Trading Assets | (96,985) | (77,249) | (119,716) | (256,363) | |
Purchase Commitments | |||||
Derivative Instruments: | |||||
Unrealized Gain (Loss) | 8 | 272 | |||
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Trading Assets | 8 | 272 | |||
TBA Derivatives | |||||
Derivative Instruments: | |||||
Realized Gain (Loss) | [1] | 165,777 | 98,371 | 105,463 | 318,363 |
Unrealized Gain (Loss) | [1] | (72,844) | 60,758 | 10,237 | 145,052 |
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Trading Assets | [1] | 92,933 | $ 159,129 | 115,700 | $ 463,415 |
Interest Rate Swaption | |||||
Derivative Instruments: | |||||
Unrealized Gain (Loss) | (10,438) | (10,438) | |||
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Trading Assets | (10,438) | (10,438) | |||
Credit Derivatives | |||||
Derivative Instruments: | |||||
Realized Gain (Loss) | 136 | 136 | |||
Unrealized Gain (Loss) | (77) | (77) | |||
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Trading Assets | $ 59 | $ 59 | |||
[1] | Includes options on TBA contracts. |
Derivative Instruments - Additi
Derivative Instruments - Additional Information (Detail) $ in Millions | Jun. 30, 2017USD ($) |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Derivative instruments, net liability position, aggregate fair value | $ 537.7 |
Common Stock and Preferred St99
Common Stock and Preferred Stock - Additional Information (Detail) - USD ($) | 6 Months Ended | 12 Months Ended | |||||
Jun. 30, 2017 | Jun. 30, 2016 | Dec. 31, 2016 | Jul. 12, 2016 | Aug. 31, 2015 | |||
Class of Stock [Line Items] | |||||||
Common Stock, par value | $ 0.01 | [1] | $ 0.01 | [2] | |||
Common Stock, shares authorized | 1,945,437,500 | [1] | 1,945,437,500 | [2] | |||
Common Stock, shares issued | 1,019,027,880 | [1] | 1,018,913,249 | [2] | |||
Common Stock, shares outstanding | 1,019,027,880 | [1] | 1,018,913,249 | [2] | |||
Options exercised under incentive plans, shares | 0 | 0 | |||||
Direct purchase and dividend reinvestment program - value raised | $ 1,270,000 | $ 1,176,000 | |||||
Direct purchase and dividend reinvestment program - issued shares of common stock | 113,000 | 116,000 | |||||
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 | |||||
7.875% Series A Cumulative Redeemable Preferred Stock | |||||||
Class of Stock [Line Items] | |||||||
Preferred Stock, shares authorized | 7,412,500 | [1] | 7,412,500 | [2] | |||
Preferred Stock, shares issued | 7,412,500 | [1] | 7,412,500 | [2] | |||
Preferred Stock, shares outstanding | 7,412,500 | [1] | 7,412,500 | [2] | |||
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 | [1] | 12,650,000 | [2] | |||
Preferred Stock, shares issued | 12,000,000 | [1] | 12,000,000 | [2] | |||
Preferred Stock, shares outstanding | 12,000,000 | [1] | 12,000,000 | [2] | |||
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 | [1] | 18,400,000 | [2] | |||
Preferred Stock, shares issued | 18,400,000 | [1] | 18,400,000 | [2] | |||
Preferred Stock, shares outstanding | 18,400,000 | [1] | 18,400,000 | [2] | |||
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 | [1] | 11,500,000 | [2] | |||
Preferred Stock, shares issued | 11,500,000 | [1] | 11,500,000 | [2] | |||
Preferred Stock, shares outstanding | 11,500,000 | [1] | 11,500,000 | [2] | |||
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 | ||||||
[1] | As a result of a change to a clearing organization's rulebook effective January 3, 2017, beginning with the first quarter 2017 and in subsequent periods the Company is presenting the fair value of centrally cleared interest rate swaps net of variation margin pledged under such transactions. The variation margin was previously reported under cash and cash equivalents and is currently reported as a reduction to interest rate swaps, at fair value. Balances reported prior to the effective date balances will not be adjusted. | ||||||
[2] | Derived from the audited consolidated financial statements at December 31, 2016. |
Summary of Dividend Distributio
Summary of Dividend Distribution Activity (Detail) - USD ($) $ / shares in Units, $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2017 | Jun. 30, 2016 | Jun. 30, 2017 | Jun. 30, 2016 | |
Dividends Payable [Line Items] | ||||
Distributions declared to common stockholders | $ 611,400 | $ 554,935 | ||
Distributions declared per common share | $ 0.30 | $ 0.30 | $ 0.60 | $ 0.60 |
Distributions paid to common stockholders after period end | $ 305,709 | $ 277,479 | ||
Distributions paid per common share after period end | $ 0.30 | $ 0.30 | ||
Date of distributions paid to common stockholders after period end | Jul. 31, 2017 | Jul. 29, 2016 | ||
7.875% Series A Cumulative Redeemable Preferred Stock | ||||
Dividends Payable [Line Items] | ||||
Preferred dividends declared | $ 7,296 | $ 7,296 | ||
Preferred series dividends declared, per share | $ 0.984 | $ 0.984 | ||
7.625% Series C Cumulative Redeemable Preferred Stock | ||||
Dividends Payable [Line Items] | ||||
Preferred dividends declared | $ 11,438 | $ 11,438 | ||
Preferred series dividends declared, per share | $ 0.953 | $ 0.953 | ||
7.50% Series D Cumulative Redeemable Preferred Stock | ||||
Dividends Payable [Line Items] | ||||
Preferred dividends declared | $ 17,250 | $ 17,250 | ||
Preferred series dividends declared, per share | $ 0.938 | $ 0.938 | ||
7.625% Series E Cumulative Redeemable Preferred Stock | ||||
Dividends Payable [Line Items] | ||||
Preferred dividends declared | $ 10,962 | |||
Preferred series dividends declared, per share | $ 0.953 |
Components of Company's Interes
Components of Company's Interest Income and Interest Expense (Detail) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2017 | Jun. 30, 2016 | Jun. 30, 2017 | Jun. 30, 2016 | ||
Interest income: | |||||
Residential Investment Securities | $ 459,308 | $ 394,850 | $ 975,218 | $ 710,567 | |
Residential mortgage loans | 7,417 | 11,281 | |||
Commercial investment portfolio | [1] | 68,153 | 59,578 | 132,498 | 129,765 |
Reverse repurchase agreements | 2,548 | 2,690 | 6,156 | 4,929 | |
Total interest income | 537,426 | 457,118 | 1,125,153 | 845,261 | |
Interest expense: | |||||
Repurchase agreements | 197,151 | 136,176 | 370,241 | 269,067 | |
Securitized debt of consolidated VIEs | 11,977 | 11,226 | 26,827 | 20,259 | |
Participation sold | 42 | 157 | 195 | 315 | |
Other | 13,111 | 5,196 | 23,443 | 10,561 | |
Total interest expense | 222,281 | 152,755 | 420,706 | 300,202 | |
Net interest income | $ 315,145 | $ 304,363 | $ 704,447 | $ 545,059 | |
[1] | Includes commercial real estate debt, preferred equity and corporate debt. |
Goodwill - Additional Informati
Goodwill - Additional Information (Detail) - USD ($) $ in Thousands | Jun. 30, 2017 | Dec. 31, 2016 | ||
Goodwill and Intangible Assets Disclosure [Abstract] | ||||
Goodwill | $ 71,815 | [1] | $ 71,815 | [2] |
[1] | As a result of a change to a clearing organization's rulebook effective January 3, 2017, beginning with the first quarter 2017 and in subsequent periods the Company is presenting the fair value of centrally cleared interest rate swaps net of variation margin pledged under such transactions. The variation margin was previously reported under cash and cash equivalents and is currently reported as a reduction to interest rate swaps, at fair value. Balances reported prior to the effective date balances will not be adjusted. | |||
[2] | Derived from the audited consolidated financial statements at December 31, 2016. |
Schedule of Net Income (Loss) p
Schedule of Net Income (Loss) per Share Reconciliation (Detail) - USD ($) $ / shares in Units, $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2017 | Jun. 30, 2016 | Jun. 30, 2017 | Jun. 30, 2016 | |
Earnings Per Share [Abstract] | ||||
Net income (loss) | $ 14,522 | $ (278,497) | $ 454,930 | $ (1,146,577) |
Less: Net income (loss) attributable to noncontrolling interest | (102) | (385) | (205) | (547) |
Net income (loss) attributable to Annaly | 14,624 | (278,112) | 455,135 | (1,146,030) |
Less: Dividends on preferred stock | 23,473 | 17,992 | 46,946 | 35,984 |
Net income (loss) available (related) to common stockholders | $ (8,849) | $ (296,104) | $ 408,189 | $ (1,182,014) |
Weighted average shares of common stock outstanding-basic | 1,019,000,817 | 924,887,316 | 1,018,971,942 | 925,850,452 |
Add: Effect of stock awards, if dilutive | 385,755 | |||
Weighted average shares of common stock outstanding-diluted | 1,019,000,817 | 924,887,316 | 1,019,357,697 | 925,850,452 |
Net income (loss) per share available (related) to common share: | ||||
Basic | $ (0.01) | $ (0.32) | $ 0.40 | $ (1.28) |
Diluted | $ (0.01) | $ (0.32) | $ 0.40 | $ (1.28) |
Net Income Per Common Share - A
Net Income Per Common Share - Additional Information (Detail) - shares shares in Millions | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2017 | Jun. 30, 2016 | Jun. 30, 2017 | Jun. 30, 2016 | |
Earnings Per Share [Abstract] | ||||
Options to purchase common stock outstanding that would be considered anti-dilutive | 0.8 | 1.1 | 0.8 | 1.1 |
Long-Term Stock Incentive Plans
Long-Term Stock Incentive Plans - Additional Information (Detail) | 6 Months Ended | |
Jun. 30, 2017USD ($)Installmentshares | Jun. 30, 2016USD ($) | |
Long-Term Stock Incentive Plans: | ||
Weighted average remaining contractual term of stock options outstanding, years | 1 year 2 months 12 days | 2 years |
Weighted average remaining contractual term of stock options exercisable, years | 1 year 2 months 12 days | 2 years |
Unrecognized compensation cost | $ | $ 0 | $ 0 |
Equity Incentive Plan 2010 | ||
Long-Term Stock Incentive Plans: | ||
Long-term stock compensation - ceiling shares | 25,000,000 | |
The Prior Plan | Minimum | ||
Long-Term Stock Incentive Plans: | ||
Long-term stock compensation - ceiling shares | 500,000 | |
Long-term stock compensation - granting of options authorized, percent of diluted outstanding common stock | 9.50% | |
The Prior Plan | Maximum | ||
Long-Term Stock Incentive Plans: | ||
Long-term stock compensation - ceiling shares | 8,932,921 | |
Stock Options | ||
Long-Term Stock Incentive Plans: | ||
Long-term stock compensation - vesting period | 4 years | |
Long-term stock compensation - vesting installments | Installment | 4 | |
Stock Options | Minimum | ||
Long-Term Stock Incentive Plans: | ||
Long-term stock compensation - contractual term | 5 years | |
Stock Options | Maximum | ||
Long-Term Stock Incentive Plans: | ||
Long-term stock compensation - contractual term | 10 years |
Issued and Outstanding Stock Op
Issued and Outstanding Stock Options (Detail) - $ / shares | 6 Months Ended | |
Jun. 30, 2017 | Jun. 30, 2016 | |
Disclosure of Compensation Related Costs, Share-based Payments [Abstract] | ||
Options outstanding at the beginning of period | 1,125,625 | 1,168,775 |
Granted | 0 | 0 |
Exercised | 0 | 0 |
Forfeited | (117,000) | (6,400) |
Expired | (199,500) | (36,750) |
Options outstanding at the end of period | 809,125 | 1,125,625 |
Options exercisable at the end of period | 809,125 | 1,125,625 |
Options outstanding at the beginning of period, weighted average exercise price | $ 15.43 | $ 15.34 |
Granted | 0 | 0 |
Exercised | 0 | 0 |
Forfeited | 15.85 | 14.69 |
Expired | 15.74 | 12.90 |
Options outstanding at the end of period, weighted average exercise price | 15.29 | 15.43 |
Options exercisable at the end of period, exercise price | $ 15.29 | $ 15.43 |
Income Taxes - Additional Infor
Income Taxes - Additional Information (Detail) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2017 | Jun. 30, 2016 | Jun. 30, 2017 | Jun. 30, 2016 | |
Income Taxes: | ||||
REIT Taxable income distributed | 100.00% | |||
Income tax expense (benefit) attributable to TRSs | $ (329) | $ (76) | $ 648 | $ (913) |
Years federal and state tax returns remain open for examination | 2,013 | |||
Taxable REIT Subsidiary | ||||
Income Taxes: | ||||
Income tax expense (benefit) attributable to TRSs | $ (329) | $ (76) | $ 648 | $ (913) |
Lease Commitments and Contin108
Lease Commitments and Contingencies - Additional Information (Detail) - USD ($) $ in Thousands | 3 Months Ended | |
Jun. 30, 2017 | Jun. 30, 2016 | |
Leases [Abstract] | ||
Lease expense | $ 800 | $ 800 |
Aggregate future minimum lease payments | $ 31,049 |
Lease Commitments and Contin109
Lease Commitments and Contingencies (Detail) $ in Thousands | Jun. 30, 2017USD ($) |
Commitments and Contingencies Disclosure [Abstract] | |
Lease Commitment - 2017 remaining | $ 1,849 |
Lease Commitment - 2018 | 3,641 |
Lease Commitment - 2019 | 3,565 |
Lease Commitment - 2020 | 3,652 |
Lease Commitment - 2021 | 3,862 |
Lease Commitment - Later years | 14,480 |
Aggregate future minimum lease payments | $ 31,049 |
RCap Regulatory Requirements -
RCap Regulatory Requirements - Additional Information (Detail) - RCap | Jun. 30, 2017USD ($) |
RCAP Regulatory Requirements: | |
Minimum net capital requirement | $ 300,000 |
Regulatory net capital | 392,500,000 |
Regulatory net capital, excess net capital | $ 392,200,000 |
Related Party Transactions - Ad
Related Party Transactions - Additional Information (Detail) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2017 | Jun. 30, 2016 | Jun. 30, 2017 | Jun. 30, 2016 | Dec. 31, 2016 | |
Compensation and management fee | $ 38,938 | $ 36,048 | $ 78,200 | $ 73,045 | |
Management Agreement | |||||
Basis for management fee | Amount equal to 1/12th of 1.05% of our stockholders' equity | ||||
Compensation and management fee | 38,938 | $ 36,048 | $ 78,200 | $ 73,045 | |
Management fee payable | $ 11,800 | $ 11,800 | $ 11,200 | ||
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. | ||||
Management Agreement | Minimum | |||||
Management agreement, required period to terminate from the date of the notice | 1 year |
Subsequent Events - Additional
Subsequent Events - Additional Information (Detail) - USD ($) | Jul. 31, 2017 | Jul. 27, 2017 | Jul. 26, 2017 | Jul. 21, 2017 | Jun. 30, 2017 | Aug. 03, 2017 | Dec. 31, 2016 |
7.875% Series A Cumulative Redeemable Preferred Stock | |||||||
Subsequent Event [Line Items] | |||||||
Preferred stock, redemption price | $ 25 | $ 25 | |||||
Redemption date | Apr. 5, 2009 | ||||||
Pingora Holdings, L.P. | |||||||
Subsequent Event [Line Items] | |||||||
Date of disposal agreement | Jul. 10, 2017 | ||||||
Subsequent Event | |||||||
Subsequent Event [Line Items] | |||||||
Common stock shares issued | 60,000,000 | ||||||
Gross proceeds on sale of common stock | $ 710,000,000 | ||||||
Credit facility agreement by a wholly owned subsidiary | $ 150,000,000 | ||||||
Credit facility agreement by a wholly owned subsidiary, outstanding balance | $ 0 | ||||||
Subsequent Event | 7.875% Series A Cumulative Redeemable Preferred Stock | |||||||
Subsequent Event [Line Items] | |||||||
Number of shares for which notice is provided for redemptions | 7,412,500 | ||||||
Preferred stock, redemption price | $ 25 | ||||||
Redemption date | Aug. 25, 2017 | ||||||
Subsequent Event | 6.00% Series B Cumulative Convertible Preferred Stock | |||||||
Subsequent Event [Line Items] | |||||||
Number of shares reclassified and designated as common stock | 4,600,000 | ||||||
Subsequent Event | 6.95% Series F Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | |||||||
Subsequent Event [Line Items] | |||||||
Gross proceeds on sale of common stock | $ 700,000,000 | ||||||
Preferred stock shares issued | $ 28,000,000 | ||||||
Subsequent Event | Over-Allotment Option | |||||||
Subsequent Event [Line Items] | |||||||
Gross proceeds on sale of common stock | $ 106,000,000 | ||||||
Stock Issued for underwriter | 9,000,000 | ||||||
Subsequent Event | Over-Allotment Option | 6.95% Series F Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | |||||||
Subsequent Event [Line Items] | |||||||
Preferred stock to be issued by the option of underwriter | 4,200,000 | ||||||
Expiration date | Aug. 25, 2017 |