Document and Entity Information
Document and Entity Information - USD ($) $ in Billions | 12 Months Ended | ||
Dec. 31, 2017 | Jan. 31, 2018 | Jun. 30, 2017 | |
Document And Entity Information [Abstract] | |||
Document Type | 10-K | ||
Amendment Flag | false | ||
Document Period End Date | Dec. 31, 2017 | ||
Document Fiscal Year Focus | 2,017 | ||
Document Fiscal Period Focus | FY | ||
Trading Symbol | NLY | ||
Entity Registrant Name | ANNALY CAPITAL MANAGEMENT INC | ||
Entity Central Index Key | 1,043,219 | ||
Current Fiscal Year End Date | --12-31 | ||
Entity Well-known Seasoned Issuer | Yes | ||
Entity Current Reporting Status | Yes | ||
Entity Voluntary Filers | No | ||
Entity Filer Category | Large Accelerated Filer | ||
Entity Common Stock, Shares Outstanding | 1,159,623,410 | ||
Entity Public Float | $ 12.2 |
CONSOLIDATED STATEMENTS OF FINA
CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION - USD ($) $ in Thousands | Dec. 31, 2017 | Dec. 31, 2016 | ||
ASSETS | ||||
Cash and cash equivalents (including cash pledged as collateral of $620,681 and $1,584,686, respectively) | [2] | $ 706,589 | [1] | $ 1,539,746 |
Investments, at fair value: | ||||
Credit risk transfer securities (including pledged assets of $363,944 and $608,707, respectively) | 651,764 | [1] | 724,722 | |
Residential mortgage loans (including pledged assets of$1,169,496 and $314,746, respectively) | [3] | 1,438,322 | [1] | 342,289 |
Mortgage servicing rights (including pledged assets of $5,224 and $5,464, respectively) | 580,860 | [1] | 652,216 | |
Commercial real estate debt investments (including pledged assets of $3,079,993 and $4,321,739, respectively) | [4] | 3,089,108 | [1] | 4,321,739 |
Commercial real estate debt and preferred equity, held for investment (including pledged assets of $520,329 and $506,997, respectively) | 1,029,327 | [1] | 970,505 | |
Commercial loans held for sale, net | 0 | [1] | 114,425 | |
Investments in commercial real estate | 485,953 | [1] | 474,567 | |
Corporate debt (including pledged assets of $600,049 and $592,871, respectively) | 1,011,275 | [1] | 773,274 | |
Interest rate swaps, at fair value | 30,272 | [1] | 68,194 | |
Other derivatives, at fair value | 283,613 | [1] | 171,266 | |
Receivable for investments sold | 1,232 | [1] | 51,461 | |
Accrued interest and dividends receivable | 323,526 | [1] | 270,400 | |
Other assets | 384,117 | [1] | 333,063 | |
Goodwill | 71,815 | [1] | 71,815 | |
Intangible assets, net | 23,220 | [1] | 34,184 | |
Total assets | 101,760,050 | [1] | 87,905,046 | |
Liabilities: | ||||
Repurchase agreements | 77,696,343 | [1] | 65,215,810 | |
Other secured financing | 3,837,528 | [1] | 3,884,708 | |
Securitized debt of consolidated VIEs | [5] | 2,971,771 | [1] | 3,655,802 |
Participation sold | 0 | [1] | 12,869 | |
Mortgages payable | 309,686 | [1] | 311,636 | |
Interest rate swaps, at fair value | 569,129 | [1] | 1,443,765 | |
Other derivatives, at fair value | 38,725 | [1] | 86,437 | |
Dividends payable | 347,876 | [1] | 305,674 | |
Payable for investments purchased | 656,581 | [1] | 65,041 | |
Accrued interest payable | 253,068 | [1] | 163,013 | |
Accounts payable and other liabilities | 207,770 | [1] | 184,319 | |
Total liabilities | 86,888,477 | [1] | 75,329,074 | |
Stockholders’ Equity: | ||||
Common stock, par value $0.01 per share, 1,929,300,000 and 1,945,437,500 authorized, 1,159,585,078 and 1,018,913,249 issued and outstanding, respectively | 11,596 | [1] | 10,189 | |
Additional paid-in capital | 17,221,265 | [1] | 15,579,342 | |
Accumulated other comprehensive income (loss) | (1,126,020) | [1] | (1,085,893) | |
Accumulated deficit | (2,961,749) | [1] | (3,136,017) | |
Total stockholders’ equity | 14,865,473 | [1] | 12,568,180 | |
Noncontrolling interest | 6,100 | [1] | 7,792 | |
Total equity | 14,871,573 | [1] | 12,575,972 | |
Total liabilities and equity | 101,760,050 | [1] | 87,905,046 | |
Senior securitized commercial mortgage loans | 2,800,000 | 3,900,000 | ||
Securitized debt of consolidated VIEs | 2,971,771 | 3,655,802 | ||
7.875% Series A Cumulative Redeemable Preferred Stock | ||||
Stockholders’ Equity: | ||||
Cumulative redeemable preferred stock | 0 | [1] | 177,088 | |
7.625% Series C Cumulative Redeemable Preferred Stock | ||||
Stockholders’ Equity: | ||||
Cumulative redeemable preferred stock | 290,514 | [1] | 290,514 | |
7.50% Series D Cumulative Redeemable Preferred Stock | ||||
Stockholders’ Equity: | ||||
Cumulative redeemable preferred stock | 445,457 | [1] | 445,457 | |
7.625% Series E Cumulative Redeemable Preferred Stock | ||||
Stockholders’ Equity: | ||||
Cumulative redeemable preferred stock | 287,500 | [1] | 287,500 | |
6.95% Series F Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | ||||
Stockholders’ Equity: | ||||
Cumulative redeemable preferred stock | 696,910 | [1] | 0 | |
Non-Agency Mortgage-backed Securities | ||||
Investments, at fair value: | ||||
Mortgage-backed securities, including pledged assets | [6] | 1,097,294 | [1] | 1,401,307 |
Agency mortgage-backed securities, at fair value | ||||
Investments, at fair value: | ||||
Mortgage-backed securities, including pledged assets | 90,551,763 | [1] | 75,589,873 | |
Liabilities: | ||||
Repurchase agreements | 76,703,981 | 63,707,701 | ||
Consolidated VIEs | ||||
ASSETS | ||||
Cash and cash equivalents (including cash pledged as collateral of $620,681 and $1,584,686, respectively) | 42,300 | 23,200 | ||
Investments, at fair value: | ||||
Residential mortgage loans (including pledged assets of$1,169,496 and $314,746, respectively) | 478,800 | 165,900 | ||
Consolidated VIEs | Non-Agency Mortgage-backed Securities | ||||
Investments, at fair value: | ||||
Mortgage-backed securities, including pledged assets | $ 66,300 | $ 88,600 | ||
[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 will not be adjusted. | |||
[2] | Includes cash of consolidated VIEs of $42.3 million and $23.2 million at December 31, 2017 and 2016, respectively. | |||
[3] | Includes securitized residential mortgage loans of a consolidated VIE carried at fair value of $478.8 million and $165.9 million at December 31, 2017 and 2016, respectively | |||
[4] | Includes senior securitized commercial mortgage loans of consolidated VIEs carried at fair value of $2.8 billion and $3.9 billion at December 31, 2017 and 2016, respectively. | |||
[5] | Includes securitized debt of consolidated VIEs carried at fair value of $3.0 billion and $3.7 billion at December 31, 2017 and 2016, respectively. | |||
[6] | Includes $66.3 million and $88.6 million at December 31, 2017 and 2016, respectively, of non-Agency mortgage-backed securities in a consolidated VIE pledged as collateral and eliminated from the Company’s Consolidated Statements of Financial Condition. |
CONSOLIDATED STATEMENTS OF FIN3
CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION (Parenthetical) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2017 | Dec. 31, 2016 | |
Cash pledged as collateral | $ 579,213 | $ 1,428,475 |
Credit risk transfer securities, pledged assets | 363,944 | 608,707 |
Residential mortgage loans, pledged assets | 1,169,496 | 314,746 |
Mortgage servicing rights, pledged assets | 5,224 | 5,464 |
Commercial real estate debt investments, pledged assets | 3,070,993 | 4,321,739 |
Commercial real estate debt and preferred equity, held for investment, pledged assets | 520,329 | 506,997 |
Corporate debt, pledged assets | $ 600,049 | $ 592,871 |
Common stock, par value (in dollars per share) | $ 0.01 | $ 0.01 |
Common stock, shares authorized (in shares) | 1,929,300,000 | 1,945,437,500 |
Common stock, shares issued (in shares) | 1,159,585,078 | 1,018,913,249 |
Common stock, shares outstanding (in shares) | 1,159,585,078 | 1,018,913,249 |
7.875% Series A Cumulative Redeemable Preferred Stock | ||
Preferred stock dividend rate, percentage | 7.875% | 7.875% |
Cumulative redeemable preferred stock, shares authorized (in shares) | 0 | 7,412,500 |
Cumulative redeemable preferred stock, shares issued (in shares) | 0 | 7,412,500 |
Cumulative redeemable preferred stock, shares outstanding (in shares) | 0 | 7,412,500 |
7.625% Series C Cumulative Redeemable Preferred Stock | ||
Preferred stock dividend rate, percentage | 7.625% | 7.625% |
Cumulative redeemable preferred stock, shares authorized (in shares) | 12,000,000 | 12,650,000 |
Cumulative redeemable preferred stock, shares issued (in shares) | 12,000,000 | 12,000,000 |
Cumulative redeemable preferred stock, shares outstanding (in shares) | 12,000,000 | 12,000,000 |
7.50% Series D Cumulative Redeemable Preferred Stock | ||
Preferred stock dividend rate, percentage | 7.50% | 7.50% |
Cumulative redeemable preferred stock, shares authorized (in shares) | 18,400,000 | 18,400,000 |
Cumulative redeemable preferred stock, shares issued (in shares) | 18,400,000 | 18,400,000 |
Cumulative redeemable preferred stock, shares outstanding (in shares) | 18,400,000 | 18,400,000 |
7.625% Series E Cumulative Redeemable Preferred Stock | ||
Preferred stock dividend rate, percentage | 7.625% | 7.625% |
Cumulative redeemable preferred stock, shares authorized (in shares) | 11,500,000 | 11,500,000 |
Cumulative redeemable preferred stock, shares issued (in shares) | 11,500,000 | 11,500,000 |
Cumulative redeemable preferred stock, shares outstanding (in shares) | 11,500,000 | 11,500,000 |
6.95% Series F Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | ||
Preferred stock dividend rate, percentage | 6.95% | 6.95% |
Cumulative redeemable preferred stock, shares authorized (in shares) | 28,800,000 | 0 |
Cumulative redeemable preferred stock, shares issued (in shares) | 28,800,000 | 0 |
Cumulative redeemable preferred stock, shares outstanding (in shares) | 28,800,000 | 0 |
Non-Agency Mortgage-backed Securities | ||
Mortgage-backed securities, pledged assets | $ 516,078 | $ 1,064,603 |
Agency mortgage-backed securities, at fair value | ||
Mortgage-backed securities, pledged assets | $ 83,628,132 | $ 70,796,872 |
CONSOLIDATED STATEMENTS OF COMP
CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS) - USD ($) $ in Thousands | 12 Months Ended | |||
Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | ||
Net interest income: | ||||
Interest income | $ 2,493,126 | $ 2,210,951 | $ 2,170,697 | |
Interest expense | 1,008,354 | 657,752 | 471,596 | |
Net interest income | 1,484,772 | 1,553,199 | 1,699,101 | |
Realized and unrealized gains (losses): | ||||
Realized gains (losses) on interest rate swaps | [1] | (371,108) | (506,681) | (624,495) |
Realized gains (losses) on termination of interest rate swaps | (160,133) | (113,941) | (226,462) | |
Unrealized gains (losses) on interest rate swaps | 512,918 | 282,190 | (124,869) | |
Subtotal | (18,323) | (338,432) | (975,826) | |
Net gains (losses) on disposal of investments | (3,938) | 33,089 | 50,987 | |
Net gains (losses) on trading assets | 261,438 | 230,580 | 29,623 | |
Net unrealized gains (losses) on investments measured at fair value through earnings | (39,684) | 86,391 | (103,169) | |
Bargain purchase gain | 0 | 72,576 | 0 | |
Impairment of goodwill | 0 | 0 | (22,966) | |
Subtotal | 217,816 | 422,636 | (45,525) | |
Total realized and unrealized gains (losses) | 199,493 | 84,204 | (1,021,351) | |
Other income (loss): | ||||
Investment advisory income | 0 | 0 | 24,848 | |
Dividend income from affiliate | 0 | 0 | 8,636 | |
Other income (loss) | 115,857 | 44,144 | (47,201) | |
Total other income (loss) | 115,857 | 44,144 | (13,717) | |
General and administrative expenses: | ||||
Compensation and management fee | 164,322 | 151,599 | 150,286 | |
Other general and administrative expenses | 59,802 | 98,757 | 49,954 | |
Total general and administrative expenses | 224,124 | 250,356 | 200,240 | |
Income (loss) before income taxes | 1,575,998 | 1,431,191 | 463,793 | |
Income taxes | 6,982 | (1,595) | (1,954) | |
Net income (loss) | 1,569,016 | 1,432,786 | 465,747 | |
Net income (loss) attributable to noncontrolling interest | (588) | (970) | (809) | |
Net income (loss) attributable to Annaly | 1,569,604 | 1,433,756 | 466,556 | |
Dividends on preferred stock | 109,635 | 82,260 | 71,968 | |
Net income (loss) available (related) to common stockholders | $ 1,459,969 | $ 1,351,496 | $ 394,588 | |
Net income (loss) per share available (related) to common stockholders: | ||||
Basic (in dollars per share) | $ 1.37 | $ 1.39 | $ 0.42 | |
Diluted (in dollars per share) | $ 1.37 | $ 1.39 | $ 0.42 | |
Weighted average number of common shares outstanding: | ||||
Basic (in shares) | 1,065,923,652 | 969,787,583 | 947,062,099 | |
Diluted (in shares) | 1,066,351,616 | 970,102,353 | 947,276,742 | |
Net income (loss) | $ 1,569,016 | $ 1,432,786 | $ 465,747 | |
Other comprehensive income (loss): | ||||
Unrealized gains (losses) on available-for-sale securities | (89,997) | (686,414) | (531,952) | |
Reclassification adjustment for net (gains) losses included in net income (loss) | 49,870 | (21,883) | (50,527) | |
Other comprehensive income (loss) | (40,127) | (708,297) | (582,479) | |
Comprehensive income (loss) | 1,528,889 | 724,489 | (116,732) | |
Comprehensive income (loss) attributable to noncontrolling interest | (588) | (970) | (809) | |
Comprehensive income (loss) attributable to Annaly | 1,529,477 | 725,459 | (115,923) | |
Dividends on preferred stock | 109,635 | 82,260 | 71,968 | |
Comprehensive income (loss) attributable to common stockholders | $ 1,419,842 | $ 643,199 | $ (187,891) | |
[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 | 6.95% Series F Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | Preferred Stock | Preferred Stock7.875% Series A Cumulative Redeemable Preferred Stock | Preferred Stock7.625% Series C Cumulative Redeemable Preferred Stock | Preferred Stock7.50% Series D Cumulative Redeemable Preferred Stock | Preferred Stock7.625% Series E Cumulative Redeemable Preferred Stock | Preferred Stock6.95% Series F Fixed-to-Floating Rate 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 | Accumulated Deficit6.95% Series F Fixed-to-Floating Rate 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 | Total Stockholders’ Equity6.95% Series F Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | Noncontrolling Interest | |
Beginning balance at Dec. 31, 2014 | $ 13,333,781 | $ 177,088 | $ 290,514 | $ 445,457 | $ 0 | $ 0 | $ 9,476 | $ 14,786,509 | $ 204,883 | $ (2,585,436) | $ 13,328,491 | $ 5,290 | |||||||||||||||||
Net income (loss) attributable to Annaly | 466,556 | 466,556 | 466,556 | ||||||||||||||||||||||||||
Net income (loss) attributable to noncontrolling interest | (809) | (809) | |||||||||||||||||||||||||||
Unrealized gains (losses) on available-for-sale securities | (531,952) | (531,952) | (531,952) | ||||||||||||||||||||||||||
Reclassification adjustment for net (gains) losses included in net income (loss) | (50,527) | (50,527) | (50,527) | ||||||||||||||||||||||||||
Stock compensation expense | 1,156 | 1,156 | 1,156 | ||||||||||||||||||||||||||
Net proceeds from direct purchase and dividend reinvestment | 2,246 | 2 | 2,244 | 2,246 | |||||||||||||||||||||||||
Buyback of common stock | (114,260) | (119) | (114,141) | (114,260) | |||||||||||||||||||||||||
Equity contributions from (distributions to) noncontrolling interest | 5,467 | 5,467 | |||||||||||||||||||||||||||
Preferred dividends declared | $ (14,593) | $ (22,875) | $ (34,500) | $ (14,593) | $ (22,875) | $ (34,500) | $ (14,593) | $ (22,875) | $ (34,500) | ||||||||||||||||||||
Common dividends declared | (1,133,768) | (1,133,768) | (1,133,768) | ||||||||||||||||||||||||||
Ending balance at Dec. 31, 2015 | 11,905,922 | 177,088 | 290,514 | 445,457 | 0 | 0 | 9,359 | 14,675,768 | (377,596) | (3,324,616) | 11,895,974 | 9,948 | |||||||||||||||||
Net income (loss) attributable to Annaly | 1,433,756 | 1,433,756 | 1,433,756 | ||||||||||||||||||||||||||
Net income (loss) attributable to noncontrolling interest | (970) | (970) | |||||||||||||||||||||||||||
Unrealized gains (losses) on available-for-sale securities | (686,414) | (686,414) | (686,414) | ||||||||||||||||||||||||||
Reclassification adjustment for net (gains) losses included in net income (loss) | (21,883) | (21,883) | (21,883) | ||||||||||||||||||||||||||
Stock compensation expense | 7,047 | 7,047 | 7,047 | ||||||||||||||||||||||||||
Net proceeds from direct purchase and dividend reinvestment | 2,362 | 2 | 2,360 | 2,362 | |||||||||||||||||||||||||
Buyback of common stock | (102,712) | (111) | (102,601) | (102,712) | |||||||||||||||||||||||||
Acquisition of subsidiary | 1,285,207 | 287,500 | 939 | 996,768 | 1,285,207 | ||||||||||||||||||||||||
Equity contributions from (distributions to) noncontrolling interest | (1,186) | (1,186) | |||||||||||||||||||||||||||
Preferred dividends declared | (14,593) | (22,875) | (34,500) | $ (10,292) | $ 0 | (14,593) | (22,875) | (34,500) | $ (10,292) | (14,593) | (22,875) | (34,500) | $ (10,292) | ||||||||||||||||
Common dividends declared | (1,162,897) | (1,162,897) | (1,162,897) | ||||||||||||||||||||||||||
Ending balance at Dec. 31, 2016 | 12,575,972 | 177,088 | 290,514 | 445,457 | 287,500 | 0 | 10,189 | 15,579,342 | (1,085,893) | (3,136,017) | 12,568,180 | 7,792 | |||||||||||||||||
Net income (loss) attributable to Annaly | 1,569,604 | 1,569,604 | 1,569,604 | ||||||||||||||||||||||||||
Net income (loss) attributable to noncontrolling interest | (588) | (588) | |||||||||||||||||||||||||||
Unrealized gains (losses) on available-for-sale securities | (89,997) | (89,997) | (89,997) | ||||||||||||||||||||||||||
Reclassification adjustment for net (gains) losses included in net income (loss) | 49,870 | 49,870 | 49,870 | ||||||||||||||||||||||||||
Stock compensation expense | 1,406 | 1,406 | 1,406 | ||||||||||||||||||||||||||
Redemption of preferred stock | (185,312) | $ (177,088) | (8,224) | (185,312) | |||||||||||||||||||||||||
Net proceeds from direct purchase and dividend reinvestment | 2,542 | 2 | 2,540 | 2,542 | |||||||||||||||||||||||||
Net proceeds from issuance of stock | 1,647,606 | 696,910 | 696,910 | 1,405 | 1,646,201 | 1,647,606 | $ 696,910 | ||||||||||||||||||||||
Equity contributions from (distributions to) noncontrolling interest | (1,104) | (1,104) | |||||||||||||||||||||||||||
Preferred dividends declared | $ (9,527) | $ (22,875) | $ (34,500) | $ (21,922) | $ (20,811) | $ (9,527) | $ (22,875) | $ (34,500) | $ (21,922) | $ (20,811) | $ (9,527) | $ (22,875) | $ (34,500) | $ (21,922) | $ (20,811) | ||||||||||||||
Common dividends declared | (1,285,701) | (1,285,701) | (1,285,701) | ||||||||||||||||||||||||||
Ending balance at Dec. 31, 2017 | $ 14,871,573 | [1] | $ 0 | $ 290,514 | $ 445,457 | $ 287,500 | $ 696,910 | $ 11,596 | $ 17,221,265 | $ (1,126,020) | $ (2,961,749) | $ 14,865,473 | $ 6,100 | ||||||||||||||||
[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 will not be adjusted. |
CONSOLIDATED STATEMENTS OF STO6
CONSOLIDATED STATEMENTS OF STOCKHOLDERS' EQUITY (Parenthetical) - $ / shares | Jul. 12, 2016 | Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 |
Dividends declared per share of common stock (in dollars per share) | $ 1.2 | $ 1.2 | $ 1.2 | |
7.875% Series A Cumulative Redeemable Preferred Stock | ||||
Preferred series dividends declared (in dollars per share) | $ 1.285 | $ 1.969 | $ 1.969 | |
Preferred stock dividend rate, percentage | 7.875% | 7.875% | 7.875% | |
7.625% Series C Cumulative Redeemable Preferred Stock | ||||
Preferred series dividends declared (in dollars per share) | $ 1.906 | $ 1.906 | $ 1.906 | |
Preferred stock dividend rate, percentage | 7.625% | 7.625% | 7.625% | |
7.50% Series D Cumulative Redeemable Preferred Stock | ||||
Preferred series dividends declared (in dollars per share) | $ 1.875 | $ 1.875 | $ 1.875 | |
Preferred stock dividend rate, percentage | 7.50% | 7.50% | 7.50% | |
7.625% Series E Cumulative Redeemable Preferred Stock | ||||
Preferred series dividends declared (in dollars per share) | $ 1.906 | $ 0.953 | ||
Preferred stock dividend rate, percentage | 7.625% | 7.625% | 7.625% | 7.625% |
6.95% Series F Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | ||||
Preferred series dividends declared (in dollars per share) | $ 0.724 | $ 0 | ||
Preferred stock dividend rate, percentage | 6.95% | 6.95% | 6.95% |
CONSOLIDATED STATEMENTS OF CASH
CONSOLIDATED STATEMENTS OF CASH FLOWS $ in Thousands | 12 Months Ended | ||||
Dec. 31, 2017USD ($) | Dec. 31, 2016USD ($) | Dec. 31, 2015USD ($) | |||
Cash flows from operating activities: | |||||
Net income (loss) | $ 1,569,016 | $ 1,432,786 | $ 465,747 | ||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | |||||
Amortization of Residential Investment Securities premiums and discounts, net | 879,305 | 814,575 | 793,657 | ||
Amortization of residential mortgage loans premiums and discounts, net | 1,523 | 942 | 0 | ||
Amortization of securitized debt premiums and discounts, net | (5,604) | 24 | 0 | ||
Amortization of commercial real estate investment premiums and discounts, net | (3,865) | (2,978) | (1,321) | ||
Amortization of intangibles | 9,214 | 12,893 | 7,309 | ||
Amortization of deferred financing costs | 2,008 | 1,609 | 5,419 | ||
Amortization of net origination fees and costs, net | (4,617) | (4,967) | (4,263) | ||
Amortization of contingent beneficial conversion feature and equity component of Convertible Senior Notes | 0 | 0 | 12,246 | ||
Depreciation expense | 17,336 | 21,868 | 12,661 | ||
Bargain purchase gain | 0 | (72,576) | 0 | ||
Net (gains) losses on sale of commercial real estate | (5,050) | (2,865) | 0 | ||
Net (gains) losses on sales of commercial loans held for sale | 3 | 74 | (120) | ||
Net (gains) losses on sales of Residential Investment Securities | 6,352 | (31,039) | (63,317) | ||
Net (gains) losses on sales of residential mortgage loans | 4,704 | 921 | 0 | ||
Net (gain) on sale of subsidiary | (904) | 0 | 0 | ||
Net (gains) losses on sales of MSRs | (3) | 0 | 0 | ||
Net (gains) losses on sales of corporate debt | 0 | (180) | 0 | ||
Net (gains) losses on sales of other investments | (1,164) | 0 | 0 | ||
Net (gain) loss on sale of investment in affiliate | 0 | 0 | 12,450 | ||
Stock compensation expense | 1,406 | 7,047 | 1,156 | ||
Impairment of goodwill | 0 | 0 | 22,966 | ||
Unrealized (gains) losses on interest rate swaps | (512,918) | (282,190) | 124,869 | ||
Net unrealized (gains) losses on investments measured at fair value through earnings | 39,684 | (86,391) | 103,169 | ||
Equity in net income from unconsolidated joint venture | 1,594 | 4,592 | 2,782 | ||
Distributions of cumulative earnings from unconsolidated joint venture | 1,270 | 0 | 1,384 | ||
Net (gains) losses on trading assets | (261,438) | (230,580) | (29,623) | ||
Originations of loans held for sale, net | 0 | 0 | (1,231,400) | ||
Proceeds from sale of commercial loans held for sale | 114,422 | 164,101 | 458,270 | ||
Payments on purchases of residential mortgage loans | (289,979) | (99,590) | 0 | ||
Proceeds from repayments from residential mortgage loans | 276,258 | 134,959 | 0 | ||
Payments on purchases of corporate debt held for sale | (19,494) | 0 | 0 | ||
Proceeds from sales of corporate debt held for sale | 19,605 | 0 | 0 | ||
Proceeds from repurchase agreements of RCap | 3,395,222,385 | 2,270,520,000 | 2,029,822,000 | ||
Payments on repurchase agreements of RCap | (3,389,922,385) | (2,265,245,000) | (2,034,322,000) | ||
Proceeds from reverse repurchase agreements | 67,675,100 | 60,990,000 | 52,950,000 | ||
Payments on reverse repurchase agreements | (67,675,100) | (60,990,000) | (52,850,000) | ||
Net payments on derivatives | (233,915) | (168,812) | 55,214 | ||
Net change in: | |||||
Due to / from brokers | (16) | (12) | 0 | ||
Other assets | (58,715) | (110,417) | (24,339) | ||
Accrued interest and dividends receivable | (52,202) | 27,712 | 47,893 | ||
Receivable for investment advisory income | 0 | 0 | 10,402 | ||
Accrued interest payable | 89,777 | 6,337 | (28,658) | ||
Accounts payable and other liabilities | 48,646 | 43,020 | 2,028 | ||
Net cash provided by (used in) operating activities | 6,932,239 | 6,855,863 | (3,643,419) | ||
Cash flows from investing activities: | |||||
Payments on purchases of Residential Investment Securities | (40,287,765) | (25,529,322) | (19,703,098) | ||
Proceeds from sales of Residential Investment Securities | 13,402,428 | 12,488,907 | 24,801,165 | ||
Principal payments on Residential Investment Securities | 12,016,190 | 12,470,168 | 9,926,030 | ||
Purchases of MSRs | (11,493) | (174,167) | 0 | ||
Sales of MSRs | 33 | 0 | 0 | ||
Proceeds from sale of investment in affiliate | 0 | 0 | 126,402 | ||
Purchases of corporate debt | (693,095) | (399,713) | (397,639) | ||
Principal payments on corporate debt | 462,622 | 117,282 | 76,568 | ||
Purchases of commercial real estate debt investments | (56,650) | (151,862) | (411,511) | ||
Sales of commercial real estate debt investments | 0 | 0 | 41,016 | ||
Purchases of securitized loans at fair value | 0 | (1,489,268) | (2,574,353) | ||
Originations of commercial real estate investments, net | (403,441) | (271,152) | (4,050) | ||
Proceeds from sale of commercial real estate investments | 11,960 | 39,530 | 227,450 | ||
Principal payments on commercial real estate debt investments | 226,592 | 80,441 | 10,820 | ||
Principal payments on securitized loans at fair value | 1,094,088 | 182,440 | 78 | ||
Principal payments on commercial real estate investments | 349,220 | 654,117 | 444,998 | ||
Purchases of investments in real estate | (1,265) | (2,918) | (274,856) | ||
Investments in unconsolidated joint ventures | (43,596) | (3,645) | (69,902) | ||
Distributions in excess of cumulative earnings from unconsolidated joint ventures | 7,998 | 4,620 | 0 | ||
Purchases of residential mortgage loans held for investment | (928,512) | (65,623) | 0 | ||
Principal payments on residential mortgage loans held for investment | 185,391 | 18,268 | 0 | ||
Purchases of equity securities | (2,104) | (88,062) | (102,198) | ||
Proceeds from sales of equity securities | 0 | 16,112 | 28,395 | ||
Cash acquired in business combinations | 0 | 41,698 | 0 | ||
Net proceeds from disposal of subsidiary | 5,451 | 0 | 0 | ||
Net cash provided by (used in) investing activities | (14,665,948) | (2,062,149) | 12,145,315 | ||
Cash flows from financing activities: | |||||
Proceeds from repurchase agreements | 211,420,622 | 179,641,180 | 202,273,148 | ||
Principal payments on repurchase agreements | (204,240,089) | (186,353,987) | (212,904,214) | ||
Payments on maturity of convertible senior notes | 0 | 0 | (857,541) | ||
Proceeds from other secured financing | 272,734 | 2,438,641 | 2,554,913 | ||
Payments on other secured financing | (319,945) | (438,169) | (709,865) | ||
Proceeds from issuances of securitized debt | 0 | 1,381,640 | 2,382,810 | ||
Principal repayments on securitized debt | (1,022,994) | (343,071) | (86,648) | ||
Principal repayments on securitized loans | 0 | 0 | 201 | ||
Payments of deferred financing cost | (2,054) | (3,076) | (2,608) | ||
Net proceeds from issuances of preferred stock | 696,910 | 0 | 0 | ||
Redemptions of preferred stock | (185,312) | 0 | 0 | ||
Net proceeds from direct purchases and dividend reinvestments | 2,542 | 2,362 | 2,246 | ||
Net proceeds from issuances of common stock | 1,647,606 | 0 | 0 | ||
Proceeds from mortgages payable | 0 | 0 | 192,375 | ||
Principal payments on participation sold | (12,827) | (336) | (296) | ||
Principal payments on mortgages payable | (2,365) | (23,581) | (360) | ||
Contributions from noncontrolling interests | 31 | 14 | 6,116 | ||
Distributions to noncontrolling interests | (1,135) | (1,200) | (649) | ||
Net payments on share repurchases | 0 | (102,712) | (114,260) | ||
Dividends paid | (1,353,172) | (1,220,931) | (1,209,250) | ||
Net cash provided by (used in) financing activities | 6,900,552 | (5,023,226) | (8,473,882) | ||
Net (decrease) increase in cash and cash equivalents | (833,157) | (229,512) | 28,014 | ||
Cash and cash equivalents, beginning of period | 1,539,746 | [1] | 1,769,258 | 1,741,244 | |
Cash and cash equivalents, end of period | 706,589 | [1],[2] | 1,539,746 | [1] | 1,769,258 |
Supplemental disclosure of cash flow information: | |||||
Interest received | 3,447,308 | 2,968,161 | 2,965,887 | ||
Dividends received | 5,238 | 2,520 | 12,684 | ||
Fees received | 0 | 4,266 | 0 | ||
Investment advisory income received | 0 | 0 | 35,250 | ||
Interest paid (excluding interest paid on interest rate swaps) | 987,958 | 624,784 | 427,632 | ||
Net interest paid on interest rate swaps | 369,660 | 536,674 | 612,111 | ||
Taxes paid | (1,502) | 934 | 1,929 | ||
Noncash investing activities: | |||||
Receivable for investments sold | 1,232 | [2] | 51,461 | 121,625 | |
Payable for investments purchased | 656,581 | [2] | 65,041 | 1,530,631 | |
Net change in unrealized gains (losses) on available-for-sale securities, net of reclassification adjustment | (40,127) | (708,297) | (582,479) | ||
Reclassification of loans held for sale to investments in commercial real estate | 0 | 0 | 18,500 | ||
Residential mortgage loans acquired through consolidation of VIEs | 349,200 | 0 | 0 | ||
Noncash financing activities: | |||||
Dividends declared, not yet paid | 347,876 | [2] | 305,674 | 280,779 | |
Securitized debt assumed through consolidation of VIEs | $ 315,111 | $ 0 | $ 0 | ||
[1] | Includes cash of consolidated VIEs of $42.3 million and $23.2 million at December 31, 2017 and 2016, respectively. | ||||
[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 will not be adjusted. |
DESCRIPTION OF BUSINESS
DESCRIPTION OF BUSINESS | 12 Months Ended |
Dec. 31, 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 and finances 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 and to preserve capital through 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 primarily comprised of the following: • The Annaly Agency Group invests in Agency mortgage-backed securities collateralized by residential mortgages which are guaranteed by Fannie Mae, Freddie Mac or Ginnie Mae. • The Annaly Residential Credit Group invests primarily in non-Agency residential mortgage assets within securitized product and residential mortgage loan markets. • The Annaly Commercial Real Estate Group (“ACREG”) originates and invests in commercial mortgage loans, securities and other commercial real estate debt and equity investments. • The Annaly Middle Market Lending Group (“AMML”) provides financing to private equity-backed middle-market businesses across the capital structure. The Company has elected to be taxed as a Real Estate Investment Trust (“REIT”) as defined under the Internal Revenue Code of 1986, as amended, and regulations promulgated thereunder (the “Code”). |
BASIS OF PRESENTATION
BASIS OF PRESENTATION | 12 Months Ended |
Dec. 31, 2017 | |
Accounting Policies [Abstract] | |
BASIS OF PRESENTATION | 2. BASIS OF PRESENTATION The accompanying consolidated financial statements and related notes of the Company have been prepared in accordance with U.S. generally accepted accounting principles (“GAAP”). |
SIGNIFICANT ACCOUNTING POLICIES
SIGNIFICANT ACCOUNTING POLICIES | 12 Months Ended |
Dec. 31, 2017 | |
Accounting Policies [Abstract] | |
SIGNIFICANT ACCOUNTING POLICIES | 3. SIGNIFICANT ACCOUNTING POLICIES Principles of Consolidation – The consolidated financial statements include the accounts of the Company and its wholly-owned subsidiaries and consolidated variable interest entities. All intercompany balances and transactions have been eliminated in consolidation. The Company reclassified previously presented financial information so that amounts previously presented conform to the current presentation. 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 include cash on hand, cash held in money market funds on an overnight basis and cash pledged as collateral with counterparties. Cash deposited with clearing organizations are carried at cost, which approximates fair value. The Company also maintains collateral in the form of cash on margin with counterparties to its interest rate swaps and other derivatives. As a result of a change to a clearing organization’s rulebook effective January 3, 2017, beginning with the first quarter of 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. At December 31, 2017 , $218.3 million of variation margin was reported as a reduction to interest rate swaps, at fair value. RCap Securities, Inc., the Company’s wholly-owned broker-dealer (“RCap”) is a member of various clearing organizations with which it maintains cash required to conduct its day-to-day clearance activities. Cash and securities deposited with clearing organizations and collateral held in the form of cash on margin with counterparties to the Company’s interest rate swaps and other derivatives totaled approximately $579.2 million and $1.4 billion at December 31, 2017 and December 31, 2016 . Fair Value Measurements – The Company reports various financial instruments at fair value. A complete discussion of the methodology utilized by the Company to estimate the fair value of certain financial instruments is included in these Notes to Consolidated Financial Statements. Revenue Recognition – The revenue recognition policy by asset class is discussed below. Agency Mortgage-Backed Securities, Agency Debentures, Non-Agency Mortgage-Backed Securities and Credit Risk Transfer Securities – The Company invests in mortgage pass-through certificates, collateralized mortgage obligations and other mortgage-backed securities representing interests in or obligations backed by pools of residential or multifamily mortgage loans and certificates guaranteed by the Government National Mortgage Association (“Ginnie Mae”), the Federal Home Loan Mortgage Corporation (“Freddie Mac”) or the Federal National Mortgage Association (“Fannie Mae”) (collectively, “Agency mortgage-backed securities”). These Agency mortgage-backed securities may include forward contracts for Agency mortgage-backed securities purchases or sales of a generic pool, on a to-be-announced basis (“TBA securities”). The Company also invests in Agency debentures issued by the Federal Home Loan Banks, Freddie Mac and Fannie Mae, as well as CRT securities. CRT securities are risk sharing instruments issued by Fannie Mae and Freddie Mac, and similarly structured transactions arranged by third party market participants. CRT securities are designed to synthetically transfer mortgage credit risk from Fannie Mae and Freddie Mac to private investors. The Company also invests in non-Agency mortgage-backed securities such as those issued in non-performing loan (“NPL”) and re-performing loan (“RPL”) securitizations. Agency mortgage-backed securities, Agency debentures, non-Agency mortgage-backed securities and CRT securities are referred to herein as “Residential Investment Securities.” Although the Company generally intends to hold most of its Residential Investment Securities until maturity, it may, from time to time, sell any of its Residential Investment Securities as part of the overall management of its portfolio. Residential Investment Securities classified as available-for-sale are reported at fair value with unrealized gains and losses reported as a component of Other comprehensive income (loss) unless the Company has elected the fair value option, where the unrealized gains and losses on these financial instruments are recorded through earnings (e.g., interest-only securities). The fair value of Residential Investment Securities classified as available-for-sale are estimated by management and are compared to independent sources for reasonableness. Residential Investment Securities transactions are recorded on trade date, including TBA securities that meet the regular-way securities scope exception from derivative accounting. Gains and losses on sales of Residential Investment Securities are recorded on trade date based on the specific identification method. The Company elected the fair value option for interest-only mortgage-backed securities, non-Agency mortgage-backed securities, reverse mortgages and 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, reverse mortgages and 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 debentures and multifamily 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 information to project future cash flows and expected remaining lives of securities, the effective interest rate determined for each security is applied as if it had been in place from the date of the security’s acquisition. The amortized cost of the security is then adjusted to the amount that would have existed had the new effective yield been applied since the acquisition date, which results in a cumulative premium amortization adjustment in each period. The adjustment to amortized cost is offset with a charge or credit to interest income. Changes in interest rates and other market factors will impact prepayment speed projections and the amount of premium amortization recognized in any given period. Premiums or discounts associated with the purchase of Agency interest-only securities, reverse mortgages 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 and multifamily securities is recognized by applying the interest method using contractual cash flows without estimating prepayments. The table below summarizes the interest income recognition methodology for Residential Investment Securities: Interest Income Methodology Agency Fixed-rate pass-through (1) Effective yield (3) Adjustable-rate pass-through (1) Effective yield (3) Multifamily (1) Contractual cash flows Collateralized Mortgage Obligation (“CMO”) (1) Effective yield (3) Debentures (1) Contractual cash flows Reverse mortgages (2) Prospective Interest-only (2) Prospective Residential Credit CRT (2) Prospective Alt-A (2) Prospective Prime (2) Prospective Subprime (2) Prospective NPL/RPL (2) Prospective Prime Jumbo (2) Prospective Prime Jumbo interest-only (2) Prospective (1) Changes in fair value are recognized in Other comprehensive income (loss) on the accompanying Consolidated Statements of Comprehensive Income (Loss). (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) 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. 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 residential mortgage loans. The Company also consolidates securitization trusts in which it had purchased subordinated securities. Please refer to the “Variable Interest Entities” Note for further information related to the Company’s consolidated Residential Mortgage Loan Trusts. The Company made elections to account for the investments in residential mortgage loans held in its portfolio and in the securitization trusts at fair value as these elections simplify the accounting. Residential mortgage loans are recognized at fair value on the accompanying Consolidated Statements of Financial Condition. Changes in the estimated fair value are presented in Net unrealized gains (losses) on investments measured at fair value through earnings in the Consolidated Statements of Comprehensive Income (Loss). Premiums and discounts associated with the purchase of residential mortgage loans and with those held in the securitization trusts are primarily amortized or accreted into interest income over their estimated remaining lives using the effective interest rates inherent in the estimated cash flows from the mortgage loans. Amortization of premiums and accretion of discounts are presented in Interest income in the Consolidated Statements of Comprehensive Income (Loss). There was no real estate acquired in settlement of residential mortgage loans at December 31, 2017 or December 31, 2016 other than that held by securitization trusts that the Company was required to consolidate in the fourth quarter of 2017. 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, these activities are carried out by duly licensed subservicers who perform substantially all servicing functions for the loans underlying the MSRs. The Company elected to account for all of its investments in MSRs at fair value. As such, they are recognized at fair value on the accompanying Consolidated Statements of Financial Condition with changes in the estimated fair value presented as a component of Net unrealized gains (losses) on investments measured at fair value through earnings in the Consolidated Statements of Comprehensive Income (Loss). Servicing income, net of servicing expenses, is reported in Other income (loss) in the Consolidated Statements of Comprehensive Income (Loss). Equity Securities – The Company may invest in equity securities that are classified as available-for-sale or trading. Equity securities classified as available-for-sale are reported at fair value, based on market quotes, with unrealized gains and losses reported as a component of Other comprehensive income (loss). Equity securities classified as trading are reported at fair value, based on market quotes, with unrealized gains and losses reported in the Consolidated Statements of Comprehensive Income (Loss) as Net gains (losses) on trading assets. Dividends are recorded in earnings based on the declaration date. Equity securities that do not have readily determinable fair values, do not result in consolidation of the investee and are not required to be accounted for under the equity method are carried at cost. Dividends from cost method equity securities are recognized as income when received to the extent they are distributed from net accumulated earnings. Derivative Instruments – The Company may use a variety of derivative instruments to economically hedge some of its exposure to market risks, including interest rate and prepayment risk. These instruments include, but are not limited to, interest rate swaps, options to enter into interest rate swaps (“swaptions”), TBA securities without intent to accept delivery (“TBA derivatives”), options on TBA securities (“MBS options”), U.S. Treasury and Eurodollar futures contracts and certain forward purchase commitments. The Company may also enter into other types of mortgage derivatives such as interest-only securities, credit derivatives referencing the commercial mortgage-backed securities index and synthetic total return swaps. Derivatives are accounted for in accordance with the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) 815, Derivatives and Hedging , which requires recognition of all derivatives as either assets or liabilities at fair value in the Consolidated Statements of Financial Condition with changes in fair value recognized in the Consolidated Statements of Comprehensive Income (Loss). None of the Company’s derivative transactions have been designated as hedging instruments for accounting purposes. Some derivative agreements contain provisions that allow for netting or setting off by counterparty; however, the Company elected to present related assets and liabilities on a gross basis in the Consolidated Statements of Financial Condition. Interest Rate Swap Agreements - Interest rate swap agreements are the primary instruments used to mitigate interest rate risk. In particular, the Company uses interest rate swap agreements to manage its exposure to changing interest rates on its repurchase agreements by economically hedging cash flows associated with these borrowings. Interest rate swap agreements may or may not be cleared through a derivatives clearing organization (“DCO”). Uncleared interest rate swaps are fair valued using internal pricing models and compared to the counterparty market values. Centrally cleared interest rate swaps are fair valued using internal pricing models and compared to the DCO’s market values. We may use market agreed coupon (“MAC”) interest rate swaps in which we may receive or make a payment at the time of entering into the swap to compensate for the out of the market nature of such interest rate swap. MAC interest rate swaps are also centrally cleared and fair valued using internal pricing models and compared to the DCO’s market value. Swaptions - Swaptions are purchased or sold to mitigate the potential impact of increases or decreases in interest rates. Interest rate swaptions provide the option to enter into an interest rate swap agreement for a predetermined notional amount, stated term and pay and receive interest rates in the future. They are not centrally cleared. The premium paid or received for swaptions is reported as an asset or liability in the Consolidated Statement of Financial Condition. The difference between the premium and the fair value of the swaption is reported in Net gains (losses) on trading assets in the Consolidated Statements of Comprehensive Income (Loss). If a swaption expires unexercised, the realized gain (loss) on the swaption would be equal to the premium received or paid. If the Company sells or exercises a swaption, the realized gain or loss on the swaption would be equal to the difference between the cash received or the fair value of the underlying interest rate swap received and the premium paid. The fair value of swaptions is estimated using internal pricing models and compared to the counterparty market value. TBA Dollar Rolls - TBA dollar roll transactions are accounted for as a series of derivative transactions. The fair value of TBA derivatives is based on methods similar to those used to value Agency mortgage-backed securities with gains and losses recorded in Net gains (losses) on trading assets in the Consolidated Statements of Comprehensive Income (Loss). MBS Options – MBS options are generally options on TBA contracts, which help manage mortgage market risks and volatility while providing the potential to enhance returns. MBS options are over-the-counter traded instruments and those written on current-coupon mortgage-backed securities are typically the most liquid. MBS options are measured at fair value using internal pricing models and compared to the counterparty market value at the valuation date with gains and losses recorded in Net gains (losses) on trading assets in the Consolidated Statements of Comprehensive Income (Loss). Futures Contracts – Futures contracts are derivatives that track the prices of specific assets or benchmark rates. Short sales of futures contracts help to mitigate the potential impact of changes in interest rates on the portfolio performance. The Company maintains margin accounts which are settled daily with Futures Commission Merchants (“FCMs”). The margin requirement varies based on the market value of the open positions and the equity retained in the account. Futures contracts are fair valued based on exchange pricing with gains and losses recorded in Net gains (losses) on trading assets in the Consolidated Statements of Comprehensive Income (Loss). Forward purchase commitments – The Company may enter into forward purchase commitments with counterparties whereby the Company commits to purchasing residential mortgage loans at a particular price, provided the residential mortgage loans close with the counterparties. The counterparties are required to deliver the committed loans on a “best efforts” basis. Gains and losses are recorded in Net gains (losses) on trading assets in the Consolidated Statements of Comprehensive Income (Loss). Goodwill and Intangible Assets – The Company’s acquisitions are accounted for using the acquisition method. Under the acquisition method, net assets and results of operations of acquired companies are included in the consolidated financial statements from the date of acquisition. The purchase prices are allocated to the assets acquired, including identifiable intangible assets, and the liabilities assumed based on their estimated fair values at the date of acquisition. The excess of purchase price over the fair value of the net assets acquired is recognized as goodwill. Conversely, any excess of the fair value of the net assets acquired over the purchase price is recognized as a bargain purchase gain. The Company tests goodwill for impairment on an annual basis and at interim periods when events or circumstances may make it more likely than not that an impairment has occurred. If a qualitative analysis indicates that there may be an impairment, a quantitative analysis is performed. The quantitative impairment test for goodwill utilizes a two-step approach, whereby the Company compares the carrying value of each identified reporting unit to its fair value. If the carrying value of the reporting unit is greater than its fair value, the second step is performed, where the implied fair value of goodwill is compared to its carrying value. The Company recognizes an impairment charge for the amount by which the carrying amount of goodwill exceeds its fair value. An impairment of the goodwill associated with the Company’s acquisition of Fixed Income Discount Advisory Company (“FIDAC”) was recorded in the year ended December 31, 2015 . Finite life intangible assets are amortized over their expected useful lives. Repurchase Agreements – The Company finances the acquisition of a significant portion of its assets with repurchase agreements. At the inception of each transaction, the Company assesses each of the specified criteria in ASC 860, Transfers and Servicing , and has determined that each of the financing agreements meet the specified criteria in this guidance. Reverse repurchase agreements and repurchase agreements with the same counterparty and the same maturity are presented net in the Consolidated Statements of Financial Condition when the terms of the agreements meet the criteria to permit netting. The Company reports cash flows on repurchase agreements as financing activities in the Consolidated Statements of Cash Flows. The Company reports cash flows on reverse repurchase and repurchase agreements entered into by RCap as operating activities in the Consolidated Statements of Cash Flows. Convertible Senior Notes – The Company recorded the 4% Convertible Senior Notes and 5% Convertible Senior Notes (collectively, the “Convertible Senior Notes”) at their contractual amounts, adjusted by the effects of a beneficial conversion feature and a contingent beneficial conversion feature (collectively, the “Conversion Features”). The Conversion Features’ intrinsic value is included in “Additional paid-in capital” on the Company’s Consolidated Statements of Financial Condition and reduces the recorded liability amount associated with the Convertible Senior Notes. A Conversion Feature may be recognized as a result of adjustments to the conversion price for dividends declared to common stockholders. The 4% and 5% Convertible Senior Notes matured in February 2015 and May 2015, respectively. Stock Based Compensation – The Company is required to measure and recognize in the consolidated financial statements the compensation cost relating to share-based payment transactions. The Company recognizes compensation expense on a straight-line basis over the requisite service period for the entire award. Income Taxes – The Company has elected to be taxed as a REIT and intends to comply with the provisions of the Code, with respect thereto. Accordingly, the Company will not be subject to federal income tax to the extent of its distributions to stockholders and as long as certain asset, income and stock ownership tests are met. The Company and certain of its direct and indirect subsidiaries, including RCap and certain subsidiaries of ACREG and Hatteras, have made separate joint elections to treat these subsidiaries as taxable REIT subsidiaries (“TRSs”). As such, each of these TRSs is taxable as a domestic C corporation and subject to federal, state and local income taxes based upon their taxable income. The provisions of ASC 740, Income Taxes (“ASC 740”), clarify the accounting for uncertainty in income taxes recognized in financial statements and prescribe a recognition threshold and measurement attribute for uncertain tax positions taken or expected to be taken on a tax return. ASC 740 also requires that interest and penalties related to unrecognized tax benefits be recognized in the financial statements. The Company does not have any unrecognized tax benefits that would affect its financial position. Thus, no accruals for penalties and interest were necessary at December 31, 2017 and 2016 . Use of Estimates – The preparation of the consolidated financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ materially from those estimates. Commercial Real Estate Investments Commercial Real Estate Debt Investments – The Company’s commercial real estate debt investments are comprised of commercial mortgage backed securities and loans held by consolidated collateralized financing entities. Commercial mortgage backed securities are classified as available-for-sale and reported at fair value with unrealized gains and losses reported as a component of Other comprehensive income (loss), except for conduit commercial mortgage-backed securities for which the Company has elected to fair value through earnings to simplify the accounting. Management evaluates commercial mortgage backed securities, excluding conduit commercial mortgage-backed securities, for other-than-temporary impairment at least quarterly. See the “Commercial Real Estate Investments” Note for additional information regarding the consolidated collateralized financing entities. Commercial Real Estate Loans and Preferred Equity Interests (collectively referred to as “CRE Debt and Preferred Equity Investments”) – The Company’s commercial real estate loans are comprised of fixed-rate and adjustable-rate loans. The Company designates loans as held for investment if it has the intent and ability to hold the loans until maturity or payoff. The difference between the principal amount of a loan and proceeds at acquisition is recorded as either a discount or premium. Commercial real estate loans that are designated as held for investment and are originated or purchased by the Company are carried at their outstanding principal balance, net of unamortized origination fees and costs, premiums or discounts, less an allowance for losses if necessary. Origination fees and costs, premiums or discounts are amortized into interest income over the life of the loan. 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 carried at historical cost less accumulated depreciation. Historical cost includes all costs necessary to bring the asset to the condition and location necessary for its intended use, including financing during the construction period. Costs directly related to acquisitions deemed to be business combinations are expensed. Ordinary repairs and maintenance which are not reimbursed by tenants are expensed as incurred. Major replacements and improvements that extend the useful life of the asset are capitalized and depreciated over their useful life. Investments in commercial real estate are depreciated using the straight-line method over the estimated useful lives of the assets, summarized as follows: Category Term Building 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 investm |
ACQUISITION OF HATTERAS
ACQUISITION OF HATTERAS | 12 Months Ended |
Dec. 31, 2017 | |
Business Combinations [Abstract] | |
ACQUISITION OF HATTERAS | 4. ACQUISITION OF HATTERAS As previously disclosed in the Company’s filings with the SEC, on July 12, 2016 the Company completed its acquisition of Hatteras, an externally managed mortgage REIT that invested primarily in single-family residential mortgage real estate assets, for aggregate consideration to Hatteras common stockholders of $1.5 billion , consisting of $1.0 billion in equity consideration and $521.1 million in cash consideration. The Company issued 93.9 million shares of common 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 (the “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 Preferred Stock. 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 stock 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 Securities and Exchange Commission (“SEC”) that were made in connection with the Hatteras Acquisition, including the Prospectus/Offer to Exchange filed with the SEC pursuant to Rule 424(b)(3) on July 8, 2016 and the Current Report on Form 8-K filed with the SEC on July 12, 2016. |
RESIDENTIAL INVESTMENT SECURITI
RESIDENTIAL INVESTMENT SECURITIES | 12 Months Ended |
Dec. 31, 2017 | |
Investments, Debt and Equity Securities [Abstract] | |
RESIDENTIAL INVESTMENT SECURITIES | 5. RESIDENTIAL INVESTMENT SECURITIES The following tables present the Company’s Residential Investment Securities portfolio that was carried at their fair value at December 31, 2017 and 2016 : December 31, 2017 Principal / Remaining Premium Remaining Discount Amortized Unrealized (1) Unrealized (1) Estimated Fair Value Agency (dollars in thousands) Fixed-rate pass-through $ 78,509,335 $ 4,514,815 $ (1,750 ) $ 83,022,400 $ 140,115 $ (1,178,673 ) $ 81,983,842 Adjustable-rate pass-through 6,760,991 277,212 (1,952 ) 7,036,251 15,776 (103,121 ) 6,948,906 Interest-only 6,804,715 1,326,761 — 1,326,761 1,863 (242,862 ) 1,085,762 Multifamily 490,753 5,038 (341 ) 495,450 84 (1,845 ) 493,689 Reverse mortgages 35,000 4,527 — 39,527 37 — 39,564 Total Agency investments $ 92,600,794 $ 6,128,353 $ (4,043 ) $ 91,920,389 $ 157,875 $ (1,526,501 ) $ 90,551,763 Residential Credit CRT $ 593,027 $ 25,463 $ (3,456 ) $ 615,034 $ 36,730 $ — $ 651,764 Alt-A 204,213 499 (34,000 ) 170,712 13,976 (802 ) 183,886 Prime 197,756 358 (24,158 ) 173,956 18,804 — 192,760 Subprime 554,470 2,037 (78,561 ) 477,946 56,024 (90 ) 533,880 NPL/RPL 42,585 14 (117 ) 42,482 506 — 42,988 Prime Jumbo (>=2010 Vintage) 130,025 627 (3,956 ) 126,696 1,038 (1,112 ) 126,622 Prime Jumbo (>=2010 Vintage) Interest-Only 989,052 15,287 — 15,287 1,871 — 17,158 Total residential credit investments $ 2,711,128 $ 44,285 $ (144,248 ) $ 1,622,113 $ 128,949 $ (2,004 ) $ 1,749,058 Total Residential Investment Securities $ 95,311,922 $ 6,172,638 $ (148,291 ) $ 93,542,502 $ 286,824 $ (1,528,505 ) $ 92,300,821 December 31, 2016 Principal / Remaining Premium Remaining Discount Amortized Unrealized (1) Unrealized (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 and reverse mortgages, are reported as a component of Other comprehensive income (loss). Unrealized gains and losses on residential credit securities, reverse mortgages 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 at December 31, 2017 and 2016 : Investment Type December 31, 2017 December 31, 2016 (dollars in thousands) Fannie Mae $ 63,361,415 $ 51,658,391 Freddie Mac 27,091,978 23,858,110 Ginnie Mae 98,370 73,372 Total $ 90,551,763 $ 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 at December 31, 2017 and 2016 , according to their estimated weighted average life classifications: December 31, 2017 December 31, 2016 Weighted Average Life Estimated Fair Value Amortized Estimated Fair Value Amortized (dollars in thousands) Less than one year $ 471,977 $ 476,538 $ 63,510 $ 61,775 Greater than one year through five years 13,838,890 13,925,749 12,626,932 12,666,394 Greater than five years through ten years 77,273,833 78,431,852 56,785,601 57,738,588 Greater than ten years 716,121 708,363 8,239,859 8,473,058 Total $ 92,300,821 $ 93,542,502 $ 77,715,902 $ 78,939,815 The weighted average lives of the Agency mortgage-backed securities at December 31, 2017 and 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 where the fair value option has not been elected, by length of time that such securities have been in a continuous unrealized loss position at December 31, 2017 and 2016 . December 31, 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 $ 39,878,158 $ (272,234 ) 1,114 $ 52,465,045 $ (1,094,957 ) 1,368 12 Months or More 39,491,238 (1,011,405 ) 911 6,277,814 (266,609 ) 54 Total $ 79,369,396 $ (1,283,639 ) 2,025 $ 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 year ended December 31, 2017 , the Company disposed of $12.9 billion of Residential Investment Securities, resulting in a net realized loss of $6.4 million . During the year ended December 31, 2016 , the Company disposed of $12.3 billion of Residential Investment Securities, resulting in a net realized gain of $31.0 million . During the year ended December 31, 2015 , the Company disposed of $23.9 billion of Residential Investment Securities, resulting in a net realized gain of $63.3 million . |
RESIDENTIAL MORTGAGE LOANS
RESIDENTIAL MORTGAGE LOANS | 12 Months Ended |
Dec. 31, 2017 | |
Mortgage Loans on Real Estate [Abstract] | |
RESIDENTIAL MORTGAGE LOANS | 6. RESIDENTIAL MORTGAGE LOANS The following table presents the fair value and the unpaid principal balances of the residential mortgage loan portfolio at December 31, 2017 and 2016 : December 31, 2017 December 31, 2016 (dollars in thousands) Fair value $ 1,438,322 $ 342,289 Unpaid principal balance $ 1,419,807 $ 338,323 The following table provides information regarding the line items and amounts recognized in the Consolidated Statements of Comprehensive Income (Loss) for the years ended December 31, 2017 and 2016 for these investments: For the Years Ended: December 31, 2017 December 31, 2016 (dollars in thousands) Net interest income $ 28,817 $ 3,452 Net gains (losses) on disposal of investments (4,704 ) (922 ) Net unrealized gains (losses) on investments measured at fair value through earnings 8,468 (5,614 ) Total included in net income (loss) $ 32,581 $ (3,084 ) The following table provides the geographic concentrations based on the unpaid principal balances at December 31, 2017 and 2016 for the residential mortgage loans, including loans held in securitization trusts: Geographic Concentrations of Residential Mortgage Loans December 31, 2017 December 31, 2016 Property Location % of Balance Property Location % of Balance California 49.8% California 46.3% Florida 9.3% Texas 9.6% New York 7.1% Illinois 5.7% All other (none individually greater than 5%) 33.8% Florida 5.2% Washington 5.1% All other (none individually greater than 5%) 28.1% Total 100.0% 100.0% The table below provides additional data on the Company’s residential mortgage loans, including loans held in securitization trusts, at December 31, 2017 and 2016 : December 31, 2017 December 31, 2016 Portfolio Range Portfolio Weighted Portfolio Range Portfolio Weighted (dollars in thousands) Unpaid principal balance $1 - $3,663 $ 514 $22 - $1,905 $ 691 Interest rate 1.63% - 7.50% 4.25 % 2.50% - 6.75% 3.72 % Maturity 1/1/2028 - 5/1/2057 2/1/2043 4/8/2044 - 11/1/2046 8/20/2045 FICO score at loan origination 468 - 823 748 665 - 814 761 Loan-to-value ratio at loan origination 11% - 100% 68 % 24% - 90% 71 % At December 31, 2017 and 2016 , approximately 78% and 85% of the carrying value of the Company’s residential mortgage loans, including loans held in securitization trusts, were adjustable-rate. The following table presents the activity related to residential mortgage loans for the years ended December 31, 2017 and 2016 : December 31, 2017 December 31, 2016 (dollars in thousands) Fair value, beginning of period $ 342,289 $ — Obtained through Hatteras Acquisition — 360,447 Purchases 1,218,491 165,213 Consolidation of VIEs 349,200 — Sales (278,305 ) (134,203 ) Principal repayments (189,465 ) (42,612 ) Amortization of premiums (1,523 ) (942 ) Change in fair value (2,365 ) (5,614 ) Fair value, end of period $ 1,438,322 $ 342,289 Schedule IV - Mortgage Loans on Commercial Real Estate December 31, 2017 (dollars in thousands) Description Location Prior Liens (1) Face Amount Carrying Amount Interest Rate (2) Libor Floor Payment Terms Maturity Date (3) Mezzanine Debt Investments: Hotel CA $ 50,000 $ 10,000 $ 10,000 10.25% N/A Interest Only 2/6/2019 Hotel Various 103,800 25,000 25,000 LIBOR+9.95% 0.20% Interest Only 2/9/2018 Hotel Various 26,223 10,335 10,335 LIBOR+8.65% N/A Interest Only 8/9/2019 Hotel Various 26,223 1,691 1,691 LIBOR+8.65% N/A Interest Only 8/9/2019 Hotel Various 103,800 6,500 6,500 LIBOR+8.75% 0.20% Interest Only 2/9/2018 Hotel LA 85,370 13,133 13,010 LIBOR+9.50% N/A Interest Only 9/9/2022 Mixed OH 124,671 36,603 36,603 9.50% N/A Interest Only 12/1/2023 Multi-Family NY 393,717 47,775 47,775 LIBOR+7.81% N/A Interest Only 10/1/2020 Multi-Family NY 393,717 65,386 65,385 LIBOR+6.38% N/A Interest Only 10/1/2020 Office CO 13,201 6,000 6,000 10.86% N/A Interest Only 8/6/2018 Office TX 43,500 9,187 9,176 9.50% N/A Interest Only 9/1/2018 Office LA 64,000 8,700 8,700 10.75% N/A Interest Only 10/1/2023 Office Various 90,907 10,169 10,169 LIBOR+7.50% 0.25% Interest Only 1/20/2018 Office CA 46,151 8,559 8,575 LIBOR+9.50% 0.25% Interest Only 3/31/2019 Office TX 51,159 7,000 7,000 10.10% N/A Interest Only 12/1/2024 Office CA 280,000 49,509 49,509 LIBOR+6.41% N/A Interest Only 1/2/2021 Office CA 280,000 27,500 27,500 LIBOR+6.54% N/A Interest Only 1/2/2021 Office FL 52,000 11,303 11,192 LIBOR+4.20% 0.50% Interest Only 10/9/2021 Retail MA 63,877 10,000 10,000 10.14% N/A Interest Only 9/6/2023 Retail NY 23,750 4,890 4,857 LIBOR+3.95% N/A Interest Only 2/5/2022 Retail DC 50,325 16,775 16,665 LIBOR+4.45% 0.50% Interest Only 1/9/2022 Retail CO 21,000 9,000 8,800 LIBOR+5.00% 1.20% Interest Only 10/1/2022 Preferred Equity Investments: Mixed PA 26,000 9,000 8,985 11.00% N/A Interest Only 11/27/2018 First Mortgages: Hotel NY — 55,000 54,588 LIBOR+4.50% 0.85% Interest Only 8/9/2022 Multi-Family FL — 34,161 34,161 LIBOR+4.05% 0.20% Interest Only 6/5/2020 Multi-Family TX — 15,090 15,079 4.45% N/A Interest Only 10/1/2020 Multi-Family NC — 36,800 36,749 4.25% N/A Interest Only 11/1/2020 Multi-Family TX — 33,000 32,679 LIBOR+3.25% N/A Interest Only 12/9/2022 Office NJ — 67,390 67,334 LIBOR+4.50% 0.25% Interest Only 5/9/2020 Office AZ — 51,027 50,911 LIBOR+4.35% 0.20% Interest Only 10/5/2018 Office VA — 41,000 41,000 LIBOR+4.25% 0.20% Interest Only 12/9/2020 Office FL — 52,000 51,697 LIBOR+4.20% 0.50% Interest Only 10/9/2021 Office CO — 112,400 111,513 LIBOR+3.60% 1.00% Interest Only 8/9/2022 Retail NY — 23,750 23,592 LIBOR+3.95% N/A Interest Only 2/5/2022 Retail DC — 50,325 49,990 LIBOR+4.45% 0.50% Interest Only 1/9/2022 Retail CO — 21,000 20,825 LIBOR+5.00% 1.20% Interest Only 10/1/2022 Retail TN — 36,200 35,782 LIBOR+4.50% N/A Interest Only 6/6/2022 $ 1,033,158 $ 1,029,327 (1) Represents third-party priority liens. (2) LIBOR represents the one month London Interbank Offer Rate. (3) Assumes all extension options are exercised. |
MORTGAGE SERVICING RIGHTS
MORTGAGE SERVICING RIGHTS | 12 Months Ended |
Dec. 31, 2017 | |
Transfers and Servicing [Abstract] | |
MORTGAGE SERVICING RIGHTS | 7. MORTGAGE SERVICING RIGHTS The Company invests in MSRs and has elected to carry them at fair value. The following table presents activity related to MSRs for the years ended December 31, 2017 and 2016 : December 31, 2017 December 31, 2016 (dollars in thousands) Fair value, beginning of period $ 652,216 $ — Obtained through Hatteras Acquisition — 355,820 Purchases — 166,585 Sales (33 ) — Other (27 ) — Change in fair value due to: Changes in valuation inputs or assumptions (1) (4,629 ) 178,463 Other changes, including realization of expected cash flows (66,667 ) (48,652 ) Fair value, end of period $ 580,860 $ 652,216 (1) Principally represents changes in discount rates and prepayment speed inputs used in valuation model, primarily due to changes in interest rates. For the years ended December 31, 2017 and 2016 , the Company recognized $129.4 million and $60.5 million of net servicing income from MSRs in Other income (loss) in the Consolidated Statements of Comprehensive Income (Loss). |
COMMERCIAL REAL ESTATE INVESTME
COMMERCIAL REAL ESTATE INVESTMENTS | 12 Months Ended |
Dec. 31, 2017 | |
Real Estate Properties Base Purchase Price [Abstract] | |
COMMERCIAL REAL ESTATE INVESTMENTS | 8. COMMERCIAL REAL ESTATE INVESTMENTS CRE Debt and Preferred Equity Investments At December 31, 2017 and 2016 , commercial real estate investments held for investment were comprised of the following: December 31, 2017 December 31, 2016 Outstanding Principal Carrying (1) Percentage (2) Outstanding Principal Carrying (1) Percentage (2) (dollars in thousands) Senior mortgages $ 629,143 $ 625,900 60.9 % $ 512,322 $ 510,071 52.6 % Mezzanine loans 395,015 394,442 38.2 % 453,693 451,467 46.5 % Preferred equity 9,000 8,985 0.9 % 9,000 8,967 0.9 % Total (3) $ 1,033,158 $ 1,029,327 100.0 % $ 975,015 $ 970,505 100.0 % (1) Carrying value includes unamortized origination fees of $3.8 million and $4.5 million at December 31, 2017 and 2016 , respectively. (2) Based on outstanding principal. (3) Excludes loans held for sale, net. December 31, 2017 Senior Mezzanine Preferred Total (dollars in thousands) Beginning balance $ 510,071 $ 451,467 $ 8,967 $ 970,505 Originations & advances (principal) 338,242 69,121 — 407,363 Principal payments (221,421 ) (127,799 ) — (349,220 ) Amortization & accretion of (premium) discounts (44 ) 28 — (16 ) Net (increase) decrease in origination fees (3,317 ) (605 ) — (3,922 ) Amortization of net origination fees 2,369 2,230 18 4,617 Net carrying value $ 625,900 $ 394,442 $ 8,985 $ 1,029,327 December 31, 2016 Senior Senior (1) Mezzanine Preferred 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) Assets of consolidated VIE. (2) Excludes loans held for sale, net. Internal CRE Debt and Preferred Equity Investment Ratings The Company’s internal loan risk ratings are based on the guidance provided by the Office of the Comptroller of the Currency for commercial real estate lending. The Company’s internal risk rating categories include “Performing”, “Performing - Closely Monitored”, “Performing - Special Mention”, “Substandard”, “Doubtful” or “Loss”. Performing loans meet all present contractual obligations. Performing - Closely Monitored loans meet all present contractual obligations, but are transitional or could be exhibiting some weakness in both leverage and liquidity. Performing - Special Mention loans meet all present contractual obligations, but exhibit potential weakness that 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 at December 31, 2017 and 2016 . As such, no provision for loan loss was deemed necessary at December 31, 2017 and 2016 . December 31, 2017 Internal Ratings Investment Type Outstanding Principal Percentage of CRE Debt and Preferred Equity Portfolio Performing Performing - Closely Monitored Performing - Special Mention Substandard (1) Doubtful Loss Total (dollars in thousands) Senior mortgages $ 629,143 60.9 % $ 409,878 $ 115,075 $ 36,800 $ 67,390 $ — $ — $ 629,143 Mezzanine loans 395,015 38.2 % 206,169 66,498 122,348 — — — 395,015 Preferred equity 9,000 0.9 % — — 9,000 — — — 9,000 Total $ 1,033,158 100.0 % $ 616,047 $ 181,573 $ 168,148 $ 67,390 $ — $ — $ 1,033,158 December 31, 2016 Internal Ratings Investment Type Outstanding Principal (2) Percentage of CRE Debt and Preferred Equity Portfolio Performing Performing - Closely Monitored Performing - Special Mention Substandard Doubtful Loss Total (dollars in thousands) Senior mortgages $ 512,322 52.6 % $ 144,434 $ 243,448 $ 124,440 $ — $ — $ — $ 512,322 Mezzanine loans 453,693 46.5 % 254,337 170,039 29,317 — — — 453,693 Preferred equity 9,000 0.9 % — — 9,000 — — — 9,000 Total $ 975,015 100.0 % $ 398,771 $ 413,487 $ 162,757 $ — $ — $ — $ 975,015 (1) The Company transferred one loan to Substandard during the year ended December 31, 2017 . The downgrade in risk rating was based on the borrower’s failure to meet originally projected performance targets. The Company evaluated whether an impairment exists and determined that, based on quantitative and qualitative factors, including that the borrower is current, the Company expects timely repayment of contractual amounts due. (2) Excludes Loans held for sale, net. At December 31, 2017 , and 2016 , approximately 86% 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 new real estate holdings during the year ended December 31, 2017 . The company sold one of its wholly-owned triple net leased properties during the year ended December 31, 2017 for $12.0 million and recognized a gain on sale of $5.1 million . The weighted average amortization period for intangible assets and liabilities at December 31, 2017 is 4.5 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. December 31, 2017 December 31, 2016 (dollars in thousands) Real estate held for investment, at amortized cost Land $ 111,012 $ 112,675 Buildings and improvements 330,959 335,945 Subtotal 441,971 448,620 Less: accumulated depreciation (48,920 ) (34,221 ) Total real estate held for investment, at amortized cost, net 393,051 414,399 Equity in unconsolidated joint ventures 92,902 60,168 Investments in commercial real estate, net $ 485,953 $ 474,567 Depreciation expense was $15.8 million and $20.4 million for the years ended December 31, 2017 and 2016 , respectively and 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 the Company for certain operating costs. Approximate future minimum rents to be received over the next five years and thereafter for non-cancelable operating leases in effect at December 31, 2017 for consolidated investments in real estate are as follows: December 31, 2017 (dollars in thousands) 2018 $ 29,245 2019 25,845 2020 21,192 2021 17,029 2022 12,141 Later years 20,552 Total $ 126,004 Mortgage loans payable at December 31, 2017 and 2016 , were as follows: December 31, 2017 Property Mortgage Mortgage Interest Rate Fixed/Floating Maturity Date Priority (dollars in thousands) Joint Ventures $ 286,373 $ 289,125 4.03% - 4.61% Fixed 2024 and 2025 First liens Tennessee 12,294 12,350 4.01 % Fixed 9/6/2019 First liens Virginia 11,019 11,025 3.58 % Fixed 6/6/2019 First liens Total $ 309,686 $ 312,500 December 31, 2016 Property Mortgage Mortgage Interest Rate Fixed/Floating 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 Total $ 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 at December 31, 2017 : Mortgage Loan Principal Payments (dollars in thousands) 2018 $ — 2019 23,375 2020 — 2021 — 2022 — Later years 289,125 Total $ 312,500 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. The balance of the senior loan held for sale at December 31, 2016 was $115.0 million ( $114.4 million , net origination fees). During the year ended December 31, 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 the sale. |
CORPORATE DEBT
CORPORATE DEBT | 12 Months Ended |
Dec. 31, 2017 | |
Investments, Debt and Equity Securities [Abstract] | |
CORPORATE DEBT | 9. CORPORATE DEBT The Company invests in corporate loans and corporate debt securities through AMML. The industry and rate sensitivity dispersion of the portfolio at December 31, 2017 and 2016 are as follows: Industry Dispersion December 31, 2017 December 31, 2016 Fixed Rate Floating Rate Total Fixed Rate Floating Rate Total (dollars in thousands) Aircraft and Parts $ — $ 34,814 $ 34,814 $ — $ 32,067 $ 32,067 Coating, Engraving and Allied Services — 64,034 64,034 — — — Commercial Fishing — — — — 40,600 40,600 Computer Programming, Data Processing & Other Computer — 192,946 192,946 — 146,547 146,547 Drugs — 38,708 38,708 — 34,042 34,042 Electronic Components & Accessories — 23,916 23,916 — — — Groceries and Related Products — 14,794 14,794 — 14,856 14,856 Grocery Stores — 23,531 23,531 — 23,761 23,761 Home Health Care Services — 23,779 23,779 — 39,205 39,205 Insurance Agents, Brokers and Services — 28,872 28,872 4,391 73,267 77,658 Management and Public Relations Services — 94,871 94,871 — 16,493 16,493 Medical and Dental Laboratories — 26,956 26,956 — 17,292 17,292 Miscellaneous Business Services — 19,723 19,723 84,486 — 84,486 Miscellaneous Equipment Rental and Leasing — 49,129 49,129 — — — Miscellaneous Health and Allied Services, not elsewhere classified — 25,963 25,963 — 9,791 9,791 Miscellaneous Nonmetallic Minerals, except Fuels — 25,992 25,992 — 24,688 24,688 Miscellaneous Plastic Products — 9,879 9,879 — 27,036 27,036 Motor Vehicles and Motor Vehicle Parts and Supplies — 12,212 12,212 — 12,319 12,319 Offices and Clinics of Doctors of Medicine — 76,678 76,678 — 83,386 83,386 Offices of Clinics and Other Health Practitioners — 18,979 18,979 — — — Personnel Supply Services — — — — 36,921 36,921 Public Warehousing and Storage — 48,890 48,890 — — — Research, Development and Testing Services — 33,155 33,155 — 17,744 17,744 Schools and Educational Services, not elsewhere classified — 20,625 20,625 — 20,979 20,979 Services Allied with the Exchange of Securities — 13,960 13,960 — — — Surgical, Medical, and Dental Instruments and Supplies — 29,687 29,687 — 13,403 13,403 Telephone Communications — 59,182 59,182 — — — Total $ — $ 1,011,275 $ 1,011,275 $ 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 at December 31, 2017 and 2016 . December 31, 2017 December 31, 2016 (dollars in thousands) First lien loans $ 582,724 $ 505,956 Second lien loans 428,551 178,441 Second lien notes — 84,486 Subordinated notes — 4,391 Total $ 1,011,275 $ 773,274 |
VARIABLE INTEREST ENTITIES
VARIABLE INTEREST ENTITIES | 12 Months Ended |
Dec. 31, 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 . The Company was required to consolidate the FREMF 2015-KLSF Trust’s assets and liabilities of $574.1 million and $532.2 million , respectively, at December 31, 2017 . In April 2015, the Company purchased the junior-most tranche, Class C Certificate of the Freddie Mac securitization, FREMF Mortgage Trust 2015-KF7 (“FREMF 2015-KF7”) for $89.4 million . The underlying portfolio is a pool of 40 floating rate multifamily mortgage loans with a cut-off principal balance of $1.2 billion . The Company was required to consolidate the FREMF 2015-KF7 Trust’s assets and liabilities of $712.3 million and $661.7 million , respectively, at December 31, 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 . The Company is required to consolidate the FREMF 2016-KLH1 Trust’s assets and liabilities of $1.5 billion and $1.4 billion , respectively, at December 31, 2017 . FREMF 2015-KLSF, FREMF 2015-KF7 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 $205.4 million . Assets of the FREMF Trusts may only be used to settle obligations of the FREMF Trusts. Creditors of the FREMF Trusts have no recourse to the general credit of the Company. The Company is not contractually required to provide and has not provided any form of financial support to the FREMF Trusts. No gain or loss was recognized upon initial consolidation of the FREMF Trusts, but $0.8 million of related costs were expensed. The FREMF Trusts’ assets are included in Commercial real estate debt investments and the FREMF Trusts’ liabilities are included in Securitized debt of consolidated VIEs in the accompanying Consolidated Statements of Financial Condition. Upon consolidation, the Company elected the fair value option for the financial assets and liabilities of the FREMF Trusts in order to avoid an accounting mismatch, and to more faithfully represent the economics of its interest in the entities. The fair value option requires that changes in fair value be reflected in the Company’s Consolidated Statements of Comprehensive Income (Loss). The Company early adopted ASU 2014-13 and applied the practical expedient fair value measurement whereby the Company determines whether the fair value of the financial assets or financial liabilities is more observable as a basis for measuring the less observable financial instruments. The Company has determined that the fair value of the financial liabilities of the FREMF Trusts are more observable, since the prices for these liabilities are primarily available from third-party pricing services utilized for multifamily mortgage-backed securities, while the individual assets of the trusts are inherently less capable of precise measurement given their illiquid nature and the limitations on available information related to these assets. Given that the Company’s methodology for valuing the financial assets of the FREMF Trusts are an aggregate fair value derived from the fair value of the financial liabilities, the Company has determined that the fair value of each of the financial assets in their entirety should be classified in Level 2 of the fair value measurement hierarchy. The FREMF Trusts mortgage loans had an unpaid principal balance of $2.8 billion at December 31, 2017 . At December 31, 2017 there are no loans 90 days or more past due or on nonaccrual status. There is no gain or loss attributable to instrument-specific credit risk of the underlying loans or securitized debt securities at December 31, 2017 based upon the Company’s process of monitoring events of default on the underlying mortgage loans. The Company consolidates a residential mortgage trust that issued residential mortgage-backed securities that are collateralized by residential mortgage loans that had been transferred to the trust by one of the Company’s subsidiaries. The Company owns most of the mortgage-backed securities issued by this VIE, including the subordinate securities, and a subsidiary of the Company continues to be the servicer. As such, the Company is deemed to be the primary beneficiary of the residential mortgage trust and consolidates the entity. The Company has elected the fair value option for the financial assets and liabilities of this VIE, but has elected not to apply the practical expedient under ASU 2014-13 as prices of both the financial liabilities and financial assets of the residential mortgage trust are available from third-party pricing services. The contractual principal amount of the residential mortgage trust’s debt held by third parties was $35.8 million at December 31, 2017 . In December 2017, the Company was required to consolidate residential securitization trusts in which it had purchased subordinated securities because its liquidation rights over the trusts became exercisable. The Company has elected the fair value option for the financial assets and liabilities of these VIEs, 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 held by third parties was $312.9 million at December 31, 2017 . In June 2016, a consolidated subsidiary of the Company entered into a $300.0 million credit facility with a third party financial institution. The subsidiary was deemed 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 pledged corporate loans with a carrying amount of $415.6 million at December 31, 2017 as collateral for this credit facility. The transfers did not qualify for sale accounting and are reflected as an intercompany secured borrowing that is eliminated upon consolidation. At December 31, 2017 , the subsidiary had an intercompany receivable of $138.2 million , which eliminates upon consolidation and an Other secured financing of $138.2 million to the third party financial institution. In July 2017, a consolidated subsidiary of the Company entered into a $150.0 million credit facility with a third party financial institution. The subsidiary was deemed to be a VIE and the Company was determined to be the primary beneficiary due to its role as servicer and because it holds a variable interest in the entity that could potentially be significant to the entity. The Company has transferred corporate loans to the subsidiary with a carrying amount of $184.5 million at December 31, 2017 , which continue to be reflected in the Company’s Consolidated Statements of Financial Condition in Corporate debt. At December 31, 2017 , the subsidiary had an Other secured financing of $100.5 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, each referred to as a “silo.” 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 previously held 100% of the voting interests in this entity, in August 2017, the Company sold 100% of such interests, and entered into an agreement with the entity’s affiliated portfolio manager giving the Company power over the silo in which it owns all of the beneficial interests. As a result, the Company is considered to be the primary beneficiary and consolidates that silo. The Company’s exposure to the obligations of its VIEs is generally limited to the Company’s investment in the VIEs of $1.0 billion at December 31, 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. A $7.1 million gain was recognized upon initial consolidation of the securitization trust entities in the fourth quarter of 2017; no other gains or losses were recognized upon consolidation of other VIEs. Interest income and expense are recognized using the effective interest method. The statements of financial condition of the Company’s VIEs that are reflected in the Company’s Consolidated Statements of Financial Condition at December 31, 2017 and 2016 are as follows: December 31, 2017 FREMF Trusts Residential Mortgage Loan Trusts MSR Silo (dollars in thousands) Assets Cash and cash equivalents $ — $ — $ 42,293 Commercial real estate debt investments 2,826,357 — — Residential mortgages loans — 478,811 19,667 Mortgage servicing rights — — 580,860 Accrued interest receivable 10,339 1,599 — Other derivatives, at fair value — — 1 Other assets — 1,418 32,354 Total assets $ 2,836,696 $ 481,828 $ 675,175 Liabilities Securitized debt (non-recourse) at fair value $ 2,620,952 $ 350,819 $ — Other secured financing — — 10,496 Accrued interest payable 4,554 931 — Accounts payable and other liabilities — 112 4,856 Total liabilities $ 2,625,506 $ 351,862 $ 15,352 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 mortgage 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 statement of comprehensive income (loss) of the Company’s VIEs that is reflected in the Company’s Consolidated Statements of Comprehensive Income (Loss) at December 31, 2017 is as follows: For the Year Ended December 31, 2017 FREMF Trusts Residential Mortgage Loan Trusts MSR Silo (dollars in thousands) Net interest income: Interest income $ 110,712 $ 5,436 $ 1,500 Interest expense 58,583 1,723 374 Net interest income 52,129 3,713 1,126 Realized gain (loss) on disposal of investments — (831 ) (2,044 ) Net gains (losses) on trading assets — — 14 Unrealized gain (loss) on investments at fair value (1) 4,273 7,865 (71,613 ) Other income (loss) (24,541 ) (361 ) 129,325 General and administration expenses 1 97 2,567 Net income (loss) $ 31,860 $ 10,289 $ 54,241 (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 at December 31, 2017 are as follows: Securitized Loans at Fair Value Geographic Concentration of Credit Risk FREMF Trusts Residential Mortgage Loan Trusts Property Principal % of Property Principal % of (dollars in thousands) Maryland $ 494,885 17.9 % California $ 191,804 40.3 % Texas 362,898 13.1 % Florida 36,159 7.6 % Virginia 329,250 11.9 % Illinois 24,446 5.1 % New York 280,925 10.1 % Virginia 24,437 5.1 % North Carolina 242,707 8.8 % Other (1) 199,516 41.9 % Pennsylvania 225,810 8.1 % Massachusetts 179,440 6.5 % Ohio 168,746 6.1 % Florida 146,960 5.3 % Other (1) 339,203 12.2 % Total $ 2,770,824 100.0 % Total $ 476,362 100.0 % (1) No individual state greater than 5% |
FAIR VALUE MEASUREMENTS
FAIR VALUE MEASUREMENTS | 12 Months Ended |
Dec. 31, 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 securities as trading, available-for-sale or held-to-maturity depending upon the type of security and the Company’s intent and ability to hold such security to maturity. Securities classified as available-for-sale and trading are reported at fair value on a recurring basis. The following is a description of the valuation methodologies used for instruments carried at fair value. These methodologies are applied to assets and liabilities across the three-level fair value hierarchy, with the observability of inputs determining the appropriate level. Residential Investment Securities, interest rate swaps, swaptions and other derivatives are valued using quoted prices or internally estimated prices for similar assets using internal models. The Company incorporates common market pricing methods, including a spread measurement to the Treasury curve as well as underlying characteristics of the particular security including coupon, prepayment speeds, periodic and life caps, rate reset period and expected life of the security in its estimates of fair value. Fair value estimates for residential mortgage loans are generated by a discounted cash flow model and are primarily based on observable market-based inputs including discount rates, prepayment speeds, delinquency levels, and credit losses. Management reviews and indirectly corroborates its estimates of the fair value derived using internal models by comparing its results to independent prices provided by dealers in the securities and/or third party pricing services. Certain liquid asset classes, such as Agency fixed-rate pass-throughs, may be priced using independent sources such as quoted prices for TBA securities. Futures contracts are valued using quoted prices for identical instruments in active markets and are classified as Level 1. 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 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 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. December 31, 2017 Level 1 Level 2 Level 3 Total (dollars in thousands) Assets: Agency mortgage-backed securities $ — $ 90,551,763 $ — $ 90,551,763 Credit risk transfer securities — 651,764 — 651,764 Non-Agency mortgage-backed securities — 1,097,294 — 1,097,294 Residential mortgage loans — 1,438,322 — 1,438,322 Mortgage servicing rights — — 580,860 580,860 Commercial real estate debt investments — 3,089,108 — 3,089,108 Interest rate swaps — 30,272 — 30,272 Other derivatives 218,361 65,252 — 283,613 Total assets $ 218,361 $ 96,923,775 $ 580,860 $ 97,722,996 Liabilities: Securitized debt of consolidated VIEs $ — $ 2,971,771 $ — $ 2,971,771 Interest rate swaps — 569,129 — 569,129 Other derivatives 12,285 26,440 — 38,725 Total liabilities $ 12,285 $ 3,567,340 $ — $ 3,579,625 December 31, 2016 Level 1 Level 2 Level 3 Total (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. December 31, 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 4.6% - 22.3% (9.4%) Prepayment rate 5.1% - 18.8% (8.7%) Delinquency rate 0.0% - 13.0% (2.2%) Delinquency rate 0.0% - 10.0% (2.3%) Cost to service $84 - $181 ($102) 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 fixed-rate 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 values for financial assets and liabilities at December 31, 2017 and 2016 . December 31, 2017 December 31, 2016 Level in Carrying Fair Carrying Fair Financial assets: (dollars in thousands) Cash and cash equivalents (1) 1 $ 706,589 $ 706,589 $ 1,539,746 $ 1,539,746 Agency mortgage-backed securities 2 90,551,763 90,551,763 75,589,873 75,589,873 Credit risk transfer securities 2 651,764 651,764 724,722 724,722 Non-Agency mortgage-backed securities 2 1,097,294 1,097,294 1,401,307 1,401,307 Residential mortgage loans 2 1,438,322 1,438,322 342,289 342,289 Mortgage servicing rights 3 580,860 580,860 652,216 652,216 Commercial real estate debt investments 2 3,089,108 3,089,108 4,321,739 4,321,739 Commercial real estate debt and preferred equity, held for investment 3 1,029,327 1,035,095 970,505 968,824 Commercial loans held for sale, net 3 — — 114,425 114,425 Corporate debt (2) 2 1,011,275 1,014,139 773,274 776,310 Interest rate swaps (1) 2 30,272 30,272 68,194 68,194 Other derivatives 1,2 283,613 283,613 171,266 171,266 Financial liabilities: Repurchase agreements 1,2 $ 77,696,343 $ 77,697,828 $ 65,215,810 $ 65,256,505 Other secured financing 1,2 3,837,528 3,837,595 3,884,708 3,885,430 Securitized debt of consolidated VIEs 2 2,971,771 2,971,771 3,655,802 3,655,802 Participation sold 2 — — 12,869 12,827 Mortgage payable 3 309,686 310,218 311,636 312,442 Interest rate swaps (1) 2 569,129 569,129 1,443,765 1,443,765 Other derivatives 1,2 38,725 38,725 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 , at December 31, 2016 . The bond was repaid in April 2017 . |
SECURED FINANCING
SECURED FINANCING | 12 Months Ended |
Dec. 31, 2017 | |
Debt Disclosure [Abstract] | |
SECURED FINANCING | 12. SECURED FINANCING The Company had outstanding $77.7 billion and $65.2 billion of repurchase agreements with weighted average borrowing rates of 1.89% 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 58 days and 96 days at December 31, 2017 and 2016 , respectively. At December 31, 2017 and 2016 , the repurchase agreements had the following remaining maturities, collateral types and weighted average rates: December 31, 2017 Agency Mortgage-Backed Securities CRTs Non-Agency Mortgage-Backed Securities Commercial Commercial Mortgage-Backed Securities Total Repurchase Agreements Weighted Average Rate (dollars in thousands) 1 day $ — $ — $ — $ — $ — $ — — 2 to 29 days 33,421,609 263,528 253,290 — 18,125 33,956,552 1.69 % 30 to 59 days 10,811,515 7,229 3,658 — 6,375 10,828,777 1.44 % 60 to 89 days 13,800,743 7,214 47,830 — — 13,855,787 1.59 % 90 to 119 days 10,128,006 — — — — 10,128,006 1.39 % Over 120 days (1) 8,542,108 — — 385,113 — 8,927,221 1.77 % Total $ 76,703,981 $ 277,971 $ 304,778 $ 385,113 $ 24,500 $ 77,696,343 1.61 % December 31, 2016 Agency Mortgage-Backed Securities CRTs Non-Agency Mortgage-Backed Securities Commercial 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 1% and 7% of the total repurchase agreements had a remaining maturity over 1 year at December 31, 2017 and 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 at December 31, 2017 and 2016 . Refer to the “Derivative Instruments” Note for information related to the effect of netting arrangements on the Company’s derivative instruments. December 31, 2017 December 31, 2016 Reverse Repurchase Agreements Repurchase Agreements Reverse Repurchase Agreements Repurchase Agreements (dollars in thousands) Gross Amounts $ 1,250,000 $ 78,946,343 $ 400,000 $ 65,615,810 Amounts Offset (1,250,000 ) (1,250,000 ) (400,000 ) (400,000 ) Netted Amounts $ — $ 77,696,343 $ — $ 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. At December 31, 2017 , $2.1 billion of advances from the FHLB Des Moines matures beyond three years and $1.4 billion matures between one to three years . At December 31, 2016 , $3.6 billion of advances from the FHLB Des Moines matured beyond three years . The weighted average rate of the advances from the FHLB Des Moines was 1.49% and 0.76% at December 31, 2017 and 2016 , respectively. The Company held $147.9 million and $145.8 million of membership and activity-based stock in the FHLB Des Moines at December 31, 2017 and 2016, respectively, which is reported at cost and included in Other assets on the Company’s Consolidated Statements of Financial Condition. Financial instruments pledged as collateral under secured financing arrangements and interest rate swaps had an estimated fair value and accrued interest of $87.0 billion and $267.3 million , respectively, at December 31, 2017 and $74.3 billion and $229.2 million , respectively, at December 31, 2016 . |
DERIVATIVE INSTRUMENTS
DERIVATIVE INSTRUMENTS | 12 Months Ended |
Dec. 31, 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 case of MAC interest rate swaps, the Company may make or receive a payment at the time of entering into such interest rate swap to compensate for the out of market nature of such interest rate swap. Similar to other interest rate swaps, the Company may have to pledge cash or assets as collateral for the MAC interest rate swap transactions. In the event of a default by the counterparty, the Company could have difficulty obtaining its Residential Investment Securities pledged as collateral as well as receiving payments in accordance with the terms of the derivative contracts. The table below summarizes fair value information about our derivative assets and liabilities at December 31, 2017 and 2016 : Derivatives Instruments Balance Sheet Location December 31, 2017 December 31, 2016 Assets: (dollars in thousands) Interest rate swaps Interest rate swaps, at fair value $ 30,272 $ 68,194 Interest rate swaptions Other derivatives, at fair value 36,150 — TBA derivatives Other derivatives, at fair value 29,067 2,774 Futures contracts Other derivatives, at fair value 218,361 168,209 Purchase commitments Other derivatives, at fair value 35 283 $ 313,885 $ 239,460 Liabilities: Interest rate swaps Interest rate swaps, at fair value $ 569,129 $ 1,443,765 TBA derivatives Other derivatives, at fair value 21,776 60,972 Futures contracts Other derivatives, at fair value 12,285 24,912 Purchase commitments Other derivatives, at fair value 157 553 Credit derivatives (1) Other derivatives, at fair value 4,507 — $ 607,854 $ 1,530,202 (1) The maximum potential amount of future payments is the notional amount of $125.0 million at December 31, 2017 . The following table summarizes certain characteristics of the Company’s interest rate swaps at December 31, 2017 and 2016 : December 31, 2017 Maturity Current Notional (1) Weighted Average Pay Rate (2) (3) Weighted Average Receive Rate (2) Weighted Average Years to Maturity (2) (dollars in thousands) 0 - 3 years $ 6,532,000 1.56 % 1.62 % 2.08 3 - 6 years 14,791,800 2.12 % 1.57 % 4.51 6 - 10 years 10,179,000 2.35 % 1.58 % 8.04 Greater than 10 years 3,826,400 3.65 % 1.51 % 18.47 Total / Weighted Average $ 35,329,200 2.22 % 1.58 % 6.72 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) Notional amount includes $8.1 billion forward starting pay fixed swaps at December 31, 2017 . There were no forward starting swaps at December 31, 2016 . (2) Excludes forward starting swaps. (3) Weighted average fixed rate on forward starting pay swaps was 1.86% at December 31, 2017 . The following table presents swaptions outstanding at December 31, 2017 . There were no swaptions outstanding at December 31, 2016 . December 31, 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 $ 6,000,000 2.62 % 3M LIBOR 9.97 4.49 The following table summarizes certain characteristics of the Company’s TBA derivatives at December 31, 2017 and 2016 : December 31, 2017 Purchase and sale contracts for Notional Implied Cost Basis Implied Market Value Net Carrying Value (dollars in thousands) Purchase contracts $ 15,828,000 $ 16,381,826 $ 16,390,251 $ 8,425 Sale contracts (250,000 ) (254,804 ) (255,938 ) (1,134 ) Net TBA derivatives 15,578,000 16,127,022 16,134,313 7,291 December 31, 2016 Purchase and sale contracts for 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 at December 31, 2017 and 2016 : December 31, 2017 Notional - Long Notional - Short Weighted Average (dollars in thousands) 2-year swap equivalent Eurodollar contracts $ — $ (17,161,000 ) 2.00 U.S. Treasury futures - 5 year — (4,217,400 ) 4.41 U.S. Treasury futures - 10 year and greater — (4,914,500 ) 7.01 Total $ — $ (26,292,900 ) 3.32 December 31, 2016 Notional - Long Notional - Short Weighted Average (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 at December 31, 2017 and 2016 , respectively. December 31, 2017 Amounts Eligible for Offset Gross Amounts Financial Instruments Cash Net Amounts Assets: (dollars in thousands) Interest rate swaps, at fair value $ 30,272 $ (27,379 ) $ — $ 2,893 Interest rate swaptions, at fair value 36,150 — — 36,150 TBA derivatives, at fair value 29,067 (12,551 ) — 16,516 Futures contracts, at fair value 218,361 (12,285 ) — 206,076 Purchase commitments 35 — — 35 Liabilities: Interest rate swaps, at fair value $ 569,129 $ (27,379 ) $ — $ 541,750 TBA derivatives, at fair value 21,776 (12,551 ) — 9,225 Futures contracts, at fair value 12,285 (12,285 ) — — Purchase commitments 157 — — 157 Credit Derivatives 4,507 — (3,520 ) 987 December 31, 2016 Amounts Eligible for Offset Gross Amounts Financial Instruments Cash 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 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 (1) Realized Gains (Losses) on Termination of Interest Rate Swaps Unrealized Gains (Losses) on (dollars in thousands) For the Years Ended: December 31, 2017 $ (371,108 ) $ (160,133 ) $ 512,918 December 31, 2016 $ (506,681 ) $ (113,941 ) $ 282,190 December 31, 2015 $ (624,495 ) $ (226,462 ) $ (124,869 ) (1) Interest expense related to interest rate swaps is recorded in Realized gains (losses) on interest rate swaps on the Consolidated Statements of Comprehensive Income (Loss). The effect of other derivative contracts on the Company’s Consolidated Statements of Comprehensive Income (Loss) is as follows: Year Ended December 31, 2017 Derivative Instruments Realized Gain (Loss) Unrealized Gain (Loss) Amount of Gain/(Loss) Recognized in (dollars in thousands) Net TBA derivatives $ 154,575 $ 65,490 $ 220,065 Net interest rate swaptions (935 ) (42,660 ) (43,595 ) Futures 20,459 62,778 83,237 Purchase commitments — 162 162 Credit derivatives 1,521 28 1,549 $ 261,418 Year Ended December 31, 2016 Derivative Instruments Realized Gain (Loss) Unrealized Gain (Loss) Amount of Gain/(Loss) Recognized in (dollars in thousands) Net TBA derivatives $ 164,008 $ (50,636 ) $ 113,372 Net interest rate swaptions 4,850 — 4,850 Futures (51,148 ) 163,631 112,483 Purchase commitments — (123 ) (123 ) $ 230,582 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. Upon the occurrence of any one of items (i) through (iv), or another default under the agreement, the counterparty to the applicable agreement has a right to terminate the agreement in accordance with its provisions. The aggregate fair value of all derivative instruments with the aforementioned features that are in a net liability position at December 31, 2017 was approximately $302.0 million , which represents the maximum amount the Company would be required to pay upon termination. This amount is fully collateralized. |
CONVERTIBLE SENIOR NOTES
CONVERTIBLE SENIOR NOTES | 12 Months Ended |
Dec. 31, 2017 | |
Text Block [Abstract] | |
CONVERTIBLE SENIOR NOTES | 14. CONVERTIBLE SENIOR NOTES In 2010, the Company issued $600.0 million in aggregate principal amount of its 4% Convertible Senior Notes for net proceeds of approximately $582.0 million . In 2012, the Company repurchased $492.5 million in aggregate principal amount of its 4% Convertible Senior Notes. In February 2015 , the 4% Convertible Senior Notes matured and the Company repaid the remaining 4% Convertible Senior Notes for the face amount of $107.5 million . In May 2012, the Company issued $750.0 million in aggregate principal amount of its 5% Convertible Senior Notes due 2015 for net proceeds of approximately $727.5 million . In May 2015, the 5% Convertible Senior Notes matured and the Company repaid the 5% Convertible Senior Notes for the face amount of $750.0 million . |
COMMON STOCK AND PREFERRED STOC
COMMON STOCK AND PREFERRED STOCK | 12 Months Ended |
Dec. 31, 2017 | |
Equity [Abstract] | |
COMMON STOCK AND PREFERRED STOCK | 15. COMMON STOCK AND PREFERRED STOCK At December 31, 2017 , the Company’s authorized shares of capital stock, par value of $0.01 per share, consists of 1,929,300,000 shares classified as common stock, 12,000,000 shares classified as 7.625% Series C Cumulative Redeemable Preferred Stock (“Series C Preferred Stock”), 18,400,000 shares classified as 7.50% Series D Cumulative Redeemable Preferred Stock (“Series D Preferred Stock”), 11,500,000 shares classified as 7.625% Series E Cumulative Redeemable Preferred Stock (“Series E Preferred Stock”), and 28,800,000 shares classified as 6.95% Series F Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock (“Series F Preferred Stock”). (A) Common Stock At December 31, 2017 and 2016 , the Company had issued and outstanding 1,159,585,078 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 years ended December 31, 2017 , 2016 , and 2015 . During the year ended December 31, 2017 , the Company issued 140,450,700 shares of common stock for gross proceeds of approximately $1.7 billion before deducting offering expenses. During the years ended December 31, 2017 , 2016 and 2015 the Company raised $2.5 million (by issuing 219,000 shares), $2.4 million (by issuing 228,000 shares) and $2.2 million (by issuing 221,000 shares), respectively, through the Direct Purchase and Dividend Reinvestment Program. In August 2015, the Company announced that its board of directors (“Board”) had authorized the repurchase of up to $1.0 billion of its outstanding common shares through December 31, 2017 (“Repurchase Program”). During the year ended December 31, 2016 , the Company repurchased 11,132,226 shares of its common stock under the Repurchase Program for an aggregate amount of $102.7 million . All common shares purchased were part of a publicly announced plan in open-market transactions. There were no common shares repurchased during the year ended December 31, 2017 . In March 2012 , the Company entered into six separate Distribution Agency Agreements (“Distribution Agency Agreements”) with each of Merrill Lynch, Pierce, Fenner & Smith Incorporated, Credit Suisse Securities (USA) LLC, Goldman, Sachs & Co., J.P. Morgan Securities LLC, Morgan Stanley & Co. LLC and RCap Securities, Inc. (together, the Agents). Pursuant to the terms of the Distribution Agency Agreements, the Company may sell from time to time through the Agents, as its sales agents, up to 125,000,000 shares of the Company’s common stock. The Company did not make any sales under the Distribution Agency Agreements during the years ended December 31, 2017 , 2016 and 2015 . (B) Preferred Stock During the year ended December 31, 2012, 1.3 million shares of 6.00% Series B Cumulative Convertible Preferred Stock (“Series B Preferred Stock”) were converted into 4.0 million shares of the Company’s common stock. Following such conversion, there were no shares of Series B Preferred Stock issued or outstanding. On July 27, 2017, the Company filed articles supplementary to its charter reclassifying 4,600,000 shares of Series B Preferred Stock as shares of undesignated common stock of the Company. On August 25, 2017, the Company redeemed all 7,412,500 of its issued and outstanding shares of 7.875% Series A Cumulative Redeemable Preferred Stock (“Series A Preferred Stock”) for $187.5 million . The cash redemption amount for each share of Series A Preferred Stock was $25.00 plus accrued and unpaid dividends up to, and including, the redemption date of August 25, 2017. At December 31, 2016, the Company had issued and outstanding 7,412,500 shares of 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 was 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. At December 31, 2017 and 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 December 31, 2017 , the Company had declared and paid all required quarterly dividends on the Series C Preferred Stock. At December 31, 2017 and 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 December 31, 2017 , the Company had declared and paid all required quarterly dividends on the Series D Preferred Stock. At December 31, 2017 , the Company had issued and outstanding 11,500,000 shares of Series E Preferred Stock, with a par value of $0.01 per share and a liquidation preference of $25.00 per share plus accrued and unpaid dividends (whether or not declared). The Series E Preferred Stock is entitled to a dividend at a rate of 7.625% per year based on the $25.00 liquidation preference before the common stock is entitled to receive any dividends. The Series E Preferred Stock is redeemable at $25.00 per share plus accrued and unpaid dividends (whether or not declared) exclusively at the Company’s option commencing on August 27, 2017 (subject to the Company’s right under limited circumstances to redeem the Series E Preferred Stock earlier in order to preserve its qualification as a REIT or under limited circumstances related to a change of control of the Company). The Series E Preferred Stock was issued in July 2016 as part of the Hatteras Acquisition. Refer to the “Acquisition of Hatteras” Note for additional information. Through December 31, 2017 , the Company had declared and paid all required quarterly dividends on the Series E Preferred Stock. During the year ended December 31, 2017 , the Company issued 28,800,000 shares of its 6.95% Series F Preferred Stock, liquidation preference of $25.00 per share, for gross proceeds of $720.0 million before deducting the underwriting discount and other offering expenses. The Series F 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 from and including the original issue date to, but excluding September 30, 2022, at a fixed rate equal to 6.95% per annum of the $25.00 liquidation preference, and from an including September 30, 2022, at a floating rate equal to three-month LIBOR plus a spread of 4.993% per annum. The Series A Preferred Stock, Series C Preferred Stock, Series D Preferred Stock, Series E Preferred Stock and Series F Preferred Stock rank senior to the common stock of the Company. (C) Distributions to Stockholders The following table provides a summary of the Company’s dividend distribution activity for the periods presented: For the Years Ended December 31, 2017 December 31, 2016 (dollars in thousands, except per share data) Distributions declared to common stockholders $ 1,285,701 $ 1,162,897 Distributions declared per common share $ 1.20 $ 1.20 Distributions paid to common stockholders after period end $ 347,876 $ 305,674 Distributions paid per common share after period end $ 0.30 $ 0.30 Date of distributions paid to common stockholders after period end January 31, 2018 January 31, 2017 Dividends declared to Series A Preferred stockholders $ 9,527 $ 14,593 Dividends declared per share of Series A Preferred Stock $ 1.285 $ 1.969 Dividends declared to Series C Preferred stockholders $ 22,875 $ 22,875 Dividends declared per share of Series C Preferred Stock $ 1.906 $ 1.906 Dividends declared to Series D Preferred stockholders $ 34,500 $ 34,500 Dividends declared per share of Series D Preferred Stock $ 1.875 $ 1.875 Dividends declared to Series E Preferred stockholders $ 21,922 $ 10,292 Dividends declared per share of Series E Preferred Stock $ 1.906 $ 0.953 Dividends declared to Series F Preferred stockholders $ 20,811 $ — Dividends declared per share of Series F Preferred Stock $ 0.724 $ — |
INTEREST INCOME AND INTEREST EX
INTEREST INCOME AND INTEREST EXPENSE | 12 Months Ended |
Dec. 31, 2017 | |
Banking and Thrift, Interest [Abstract] | |
INTEREST INCOME AND INTEREST EXPENSE | 16. INTEREST INCOME AND INTEREST EXPENSE The following presents the components of the Company’s interest income and interest expense for the years ended December 31, 2017 , 2016 and 2015 . For the Years Ended December 31, 2017 2016 2015 Interest income: (dollars in thousands) Residential Investment Securities $ 2,170,041 $ 1,944,457 $ 1,963,629 Residential mortgage loans 30,540 4,147 — Commercial investment portfolio (1) 273,884 252,436 203,804 Reverse repurchase agreements 18,661 9,911 3,264 Total interest income 2,493,126 2,210,951 2,170,697 Interest expense: Repurchase agreements 891,819 585,826 420,325 Convertible Senior Notes — — 29,740 Securitized debt of consolidated VIEs 60,304 44,392 20,065 Participation sold 195 627 639 Other 56,036 26,907 827 Total interest expense 1,008,354 657,752 471,596 Net interest income $ 1,484,772 $ 1,553,199 $ 1,699,101 (1) Includes commercial real estate debt, preferred equity and corporate debt. |
GOODWILL
GOODWILL | 12 Months Ended |
Dec. 31, 2017 | |
Goodwill and Intangible Assets Disclosure [Abstract] | |
GOODWILL | 17. GOODWILL At December 31, 2017 and 2016 , Goodwill totaled $71.8 million . An impairment to Goodwill of $23.0 million related to FIDAC was recognized in 2015 as a result of the Company’s intention to wind down FIDAC’s investment advisory operations. |
NET INCOME (LOSS) PER COMMON SH
NET INCOME (LOSS) PER COMMON SHARE | 12 Months Ended |
Dec. 31, 2017 | |
Earnings Per Share [Abstract] | |
NET INCOME (LOSS) PER COMMON SHARE | 18. NET INCOME (LOSS) PER COMMON SHARE The following table presents a reconciliation of net income (loss) and shares used in calculating basic and diluted net income (loss) per share for the years ended December 31, 2017 , 2016 and 2015 . For the Years Ended December 31, 2017 December 31, 2016 December 31, 2015 (dollars in thousands, except per share data) Net income (loss) $ 1,569,016 $ 1,432,786 $ 465,747 Less: Net income (loss) attributable to noncontrolling interest (588 ) (970 ) (809 ) Net income (loss) attributable to Annaly 1,569,604 1,433,756 466,556 Less: Dividends on preferred stock 109,635 82,260 71,968 Net income (loss) per share available (related) to common stockholders, prior to adjustment for dilutive potential common shares, if necessary 1,459,969 1,351,496 394,588 Add: Interest on Convertible Senior Notes, if dilutive — — — Net income (loss) available to common stockholders, as adjusted $ 1,459,969 $ 1,351,496 $ 394,588 Weighted average shares of common stock outstanding-basic 1,065,923,652 969,787,583 947,062,099 Add: Effect of stock awards and Convertible Senior Notes, if dilutive 427,964 314,770 214,643 Weighted average shares of common stock outstanding-diluted 1,066,351,616 970,102,353 947,276,742 Net income (loss) per share available (related) to common share: Basic $ 1.37 $ 1.39 $ 0.42 Diluted $ 1.37 $ 1.39 $ 0.42 Options to purchase 0.8 million shares, 1.1 million shares and 1.2 million shares of common stock were outstanding and considered anti-dilutive as their exercise price and option expense exceeded the average stock price for the years ended December 31, 2017 , 2016 and 2015 , respectively. |
LONG-TERM STOCK INCENTIVE PLAN
LONG-TERM STOCK INCENTIVE PLAN | 12 Months Ended |
Dec. 31, 2017 | |
Disclosure of Compensation Related Costs, Share-based Payments [Abstract] | |
LONG-TERM STOCK INCENTIVE PLAN | 19. LONG-TERM STOCK INCENTIVE PLAN The Company maintains the 2010 Equity Incentive Plan (the “Plan”), which authorizes the Compensation Committee of the Board to grant options, stock appreciation rights, dividend equivalent rights, or other share-based awards, including restricted shares up to an aggregate of 25,000,000 shares, subject to adjustments as provided in the 2010 Equity Incentive Plan. The Company had previously adopted a long term stock incentive plan for executive officers, key employees and non-employee directors (the “Prior Plan”). The Prior Plan authorized the Compensation Committee of the Board to grant awards, including non-qualified options as well as incentive stock options as defined under Section 422 of the Code. The Prior Plan authorized the granting of options or other awards for an aggregate of the greater of 500,000 shares or 9.5% of the diluted outstanding shares of the Company’s common stock, up to a ceiling of 8,932,921 shares. No further awards will be made under the Prior Plan, although existing awards remain effective. Stock options were issued at the market price on the date of grant, subject to an immediate or four year vesting in four equal installments with a contractual term of 5 or 10 years. The following table sets forth activity related to the Company’s stock options awarded under the Plan: For the Years Ended December 31, 2017 December 31, 2016 Number of Shares Weighted Average Number of Shares Weighted Average Options outstanding at the beginning of year 1,125,625 $ 15.43 1,168,775 $ 15.34 Granted — — — — Exercised — — — — Forfeited (132,000 ) 15.74 (6,400 ) 14.69 Expired (199,500 ) 15.74 (36,750 ) 12.90 Options outstanding at the end of period 794,125 $ 15.30 1,125,625 $ 15.43 Options exercisable at the end of the period 794,125 $ 15.30 1,125,625 $ 15.43 The weighted average remaining contractual term was approximately 0.7 years and 1.5 years for stock options outstanding and exercisable at December 31, 2017 and 2016 , respectively. At December 31, 2017 and 2016 , there was no unrecognized compensation cost related to nonvested share-based compensation awards. |
INCOME TAXES
INCOME TAXES | 12 Months Ended |
Dec. 31, 2017 | |
Income Tax Disclosure [Abstract] | |
INCOME TAXES | 20. INCOME TAXES For the year ended December 31, 2017 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 that relate to, among other things, 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 year ended December 31, 2017 , the Company recorded a net income tax expense of $7.0 million , $2.7 million of which was current expenses related to its TRS operations and $4.3 million of deferred tax expense attributable to the unrealized gain on its MSR investments. During the year ended December 31, 2016, the Company recorded a net income tax benefit of ($1.8) million attributable to tax losses at its TRS entities. During the year ended December 31, 2015, the Company recorded a net income tax benefit of ($1.9) million attributable to tax losses at its TRS entities. The Company’s federal, state and local tax returns from 2014 and forward remain open for examination. On December 22, 2017, tax legislation was enacted, informally known as the Tax Cuts and Jobs Act (the “TCJA”), that significantly changes the U.S. federal income tax laws applicable to businesses and their owners, including REITs and their stockholders. While technical corrections or other amendments to the TCJA or administrative guidance interpreting the TCJA may be forthcoming at any time, GAAP requires the Company to apply the TCJA provisions, as written, to the Company’s consolidated financial statements in terms of recording and measuring deferred tax assets and liabilities that will be recognized in 2018 or further. Due to the timing of the enacted legislation as well as the technical corrections, amendments or administrative guidance that could clarify the treatment of certain provisions, the SEC issued guidance that allows for entities without the necessary information to complete the accounting analysis to determine a reasonable estimate of the effects of the TCJA. These amounts can then be revised once further clarity can be reached over the course of the coming year. The provisions of the TCJA, as written, which includes the change to the federal corporate income tax rate from 35% to 21%, was applied and did not have a material impact on the Company’s consolidated financial statements. To the extent technical corrections or other amendments to the TCJA or administrative guidance interpreting the TCJA are released, the Company will revisit its analysis and conclusions, if relevant. |
LEASE COMMITMENTS AND CONTINGEN
LEASE COMMITMENTS AND CONTINGENCIES | 12 Months Ended |
Dec. 31, 2017 | |
Commitments and Contingencies Disclosure [Abstract] | |
LEASE COMMITMENTS AND CONTINGENCIES | 21. 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 the years ended December 31, 2017 , 2016 , and 2015 was $3.1 million , $3.1 million and $2.9 million , respectively. The Company’s aggregate future minimum lease payments total $29.1 million . The following table details the future lease payments: Years Ending December 31, Lease Commitments (dollars in thousands) 2018 $ 3,565 2019 3,565 2020 3,652 2021 3,862 2022 3,862 Later years 10,618 Total $ 29,124 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 at December 31, 2017 and 2016 . |
RISK MANAGEMENT
RISK MANAGEMENT | 12 Months Ended |
Dec. 31, 2017 | |
Risk Management [Abstract] | |
RISK MANAGEMENT | 22. RISK MANAGEMENT The primary risks to the Company are liquidity, investment/market risk and credit risk. Interest rates are highly sensitive to many factors, including governmental monetary and tax policies, domestic and international economic and political considerations and other factors beyond the Company’s control. Changes in the general level of interest rates can affect net interest income, which is the difference between the interest income earned on interest earning assets and the interest expense incurred in connection with the interest bearing liabilities, by affecting the spread between the interest earning assets and interest bearing liabilities. Changes in the level of interest rates can also affect the value of the interest earning assets and the Company’s ability to realize gains from the sale of these assets. A decline in the value of the interest earning assets pledged as collateral for borrowings under repurchase agreements and derivative contracts could result in the counterparties demanding additional collateral pledges or liquidation of some of the existing collateral to reduce borrowing levels. The Company may seek to mitigate the potential financial impact by entering into interest rate agreements such as interest rate swaps, interest rate swaptions and other hedges. Weakness in the mortgage market, the shape of the yield curve and changes in the expectations for the volatility of future interest rates may adversely affect the performance and market value of the Company’s investments. This could negatively impact the Company’s book value. Furthermore, if many of the Company’s lenders are unwilling or unable to provide additional financing, the Company could be forced to sell its investments at an inopportune time when prices are depressed. The Company has established policies and procedures for mitigating risks, including conducting scenario and sensitivity analyses and utilizing a range of hedging strategies. The payment of principal and interest on the Freddie Mac and Fannie Mae Agency mortgage-backed securities, excluding CRT securities issued by Freddie Mac and Fannie Mae, is 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 is guaranteed by the Agency issuing the debenture. The majority of the Company’s Agency mortgage-backed securities have an actual or implied “AAA” rating. The Company faces credit risk on the portions of its portfolio which is 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, residential mortgage loans, CRT securities, other non-Agency mortgage-backed securities and corporate debt. MSR values may also be adversely impacted if overall costs to service the underlying mortgage loans increase due to borrower performance. The Company is exposed to risk of loss if an issuer, borrower, tenant or counterparty fails to perform its obligations under contractual terms. The Company has established policies and procedures for mitigating credit risk, including reviewing and establishing limits for credit exposure, limiting transactions with specific counterparties, maintaining qualifying collateral and continually assessing the creditworthiness of issuers, borrowers, tenants and counterparties. |
RCAP REGULATORY REQUIREMENTS
RCAP REGULATORY REQUIREMENTS | 12 Months Ended |
Dec. 31, 2017 | |
Regulatory Capital Requirements [Abstract] | |
RCAP REGULATORY REQUIREMENTS | 23. RCAP REGULATORY REQUIREMENTS RCap is subject to regulations of the securities business that include but are not limited to trade practices, use and safekeeping of funds and securities, capital structure, recordkeeping and conduct of directors, officers and employees. As a self-clearing, registered broker dealer, RCap is required to maintain minimum net capital by FINRA. At December 31, 2017 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, at December 31, 2017 was $397.5 million with excess net capital of $397.2 million . |
RELATED PARTY TRANSACTIONS
RELATED PARTY TRANSACTIONS | 12 Months Ended |
Dec. 31, 2017 | |
Related Party Transactions [Abstract] | |
RELATED PARTY TRANSACTIONS | 24. 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 stockholder's 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 years ended December 31, 2017 , 2016 and 2015 , the compensation and management fee was $164.3 million (includes $7.2 million related to compensation expense for the employees of the Company’s subsidiaries), $151.6 million (includes $8.4 million related to compensation expense for the employees of the Company’s subsidiaries), and $150.3 million (includes $7.5 million related to compensation expense for the employees of the Company’s subsidiaries), respectively. At December 31, 2017 and 2016 , the Company had amounts payable to the Manager of $13.8 million and $11.2 million , respectively, which is included in Accounts payable and other liabilities in the Consolidated Statements of Financial Condition. 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. Investment in Affiliate and Advisory Fees In August 2015, FIDAC entered into an agreement with Chimera Investment Corporation (“Chimera”) to internalize the management of Chimera. As part of the agreement, the companies agreed to terminate the management agreement between FIDAC and Chimera effective August 5, 2015. In connection with the transaction, Annaly and Chimera entered into a share repurchase agreement pursuant to which Chimera purchased the Company’s approximately 9.0 million shares of Chimera at an aggregate price of $126.4 million . The share repurchase agreement closed in August 2015 . For the year ended December 31, 2017 and 2016 , the Company did not record any advisory fees. For the year ended December 31, 2015 , the Company recorded advisory fees from Chimera totaling $24.8 million . |
SUBSEQUENT EVENTS
SUBSEQUENT EVENTS | 12 Months Ended |
Dec. 31, 2017 | |
Subsequent Events [Abstract] | |
Subsequent Events | SUBSEQUENT EVENTS On January 3, 2018, the Company entered into an at-the-market sales program for sales of the Company’s common stock having an aggregate offering price of up to $1.5 billion , which can be sold from time to time pursuant to separate Distribution Agency Agreements with each of the agents under the program. On January 9, 2018, the Company provided notice to the record holders of the Company’s Series E Preferred Stock of the redemption of all 11,500,000 of the issued and outstanding shares of Series E Preferred Stock. The cash redemption amount for each redeemed share of Series E Preferred Stock is $25.00 plus accrued and unpaid dividends to, but not including, the redemption date of February 8, 2018. On January 9, 2018, the Company also provided notice to the record holders of the Company’s Series C Preferred Stock of the redemption of 5,000,000 of the issued and outstanding shares of Series C Preferred Stock. The cash redemption amount for each redeemed share of Series C Preferred Stock is $25.00 plus accrued and unpaid dividends to, but not including, the redemption date of February 8, 2018. On January 12, 2018, the Company closed the public offering of 17,000,000 shares of its 6.50% Series G Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock for gross proceeds of approximately $425.0 million before deducting the underwriting discount and other estimated offering expenses. |
SUMMARIZED QUARTERLY RESULTS (U
SUMMARIZED QUARTERLY RESULTS (UNAUDITED) | 12 Months Ended |
Dec. 31, 2017 | |
Quarterly Financial Information Disclosure [Abstract] | |
SUMMARIZED QUARTERLY RESULTS (UNAUDITED) | 26. SUMMARIZED QUARTERLY RESULTS (UNAUDITED) The following is a presentation of summarized quarterly results of operations for the years ended December 31, 2017 and 2016 . For the Quarters Ended December 31, 2017 September 30, June 30, March 31, (dollars in thousands, expect per share data) Interest income $ 745,423 $ 622,550 $ 537,426 $ 587,727 Interest expense 318,711 268,937 222,281 198,425 Net interest income 426,712 353,613 315,145 389,302 Total realized and unrealized gains (losses) 359,215 43,807 (277,794 ) 74,265 Total other income (loss) 25,064 28,282 30,865 31,646 Less: Total general and administrative expenses 59,257 57,016 54,023 53,828 Income (loss) before income taxes 751,734 368,686 14,193 441,385 Less: Income taxes 4,963 1,371 (329 ) 977 Net income (loss) 746,771 367,315 14,522 440,408 Less: Net income attributable to noncontrolling interest (151 ) (232 ) (102 ) (103 ) Less: Dividends on preferred stock (1) 32,334 30,355 23,473 23,473 Net income (loss) available (related) to common stockholders $ 714,588 $ 337,192 $ (8,849 ) $ 417,038 Net income (loss) available (related) per share to common stockholders: Basic $ 0.62 $ 0.31 $ (0.01 ) $ 0.41 Diluted $ 0.62 $ 0.31 $ (0.01 ) $ 0.41 For the Quarters Ended December 31, 2016 September 30, June 30, March 31, (dollars in thousands, expect per share data) Interest income $ 807,022 $ 558,668 $ 457,118 $ 388,143 Interest expense 183,396 174,154 152,755 147,447 Net interest income 623,626 384,514 304,363 240,696 Total realized and unrealized gains (losses) 1,250,636 412,906 (523,785 ) (1,055,553 ) Total other income (loss) 30,918 29,271 (9,930 ) (6,115 ) Less: Total general and administrative expenses 55,453 97,737 49,221 47,945 Income (loss) before income taxes 1,849,727 728,954 (278,573 ) (868,917 ) Less: Income taxes 1,244 (1,926 ) (76 ) (837 ) Net income (loss) 1,848,483 730,880 (278,497 ) (868,080 ) Less: Net income attributable to noncontrolling interest (87 ) (336 ) (385 ) (162 ) Less: Dividends on preferred stock 23,473 22,803 17,992 17,992 Net income (loss) available (related) to common stockholders $ 1,825,097 $ 708,413 $ (296,104 ) $ (885,910 ) Net income (loss) available (related) per share to common stockholders: Basic $ 1.79 $ 0.70 $ (0.32 ) $ (0.96 ) Diluted $ 1.79 $ 0.70 $ (0.32 ) $ (0.96 ) (1) The quarter ended December 31, 2017 excludes, and the quarter ended September 30, 2017 includes, cumulative and undeclared dividends of $8.3 million on the Company's Series F Preferred Stock as of September 30, 2017 . |
Schedule III - Real Estate and
Schedule III - Real Estate and Accumulated Depreciation | 12 Months Ended |
Dec. 31, 2017 | |
SEC Schedule III, Real Estate and Accumulated Depreciation Disclosure [Abstract] | |
Schedule III - Real Estate and Accumulated Depreciation | Schedule III - Real Estate and Accumulated Depreciation December 31, 2017 (dollars in thousands) Initial Cost to Company Cost Capitalized Subsequent to Property Gross Amounts Carried at Location Number of Properties Encumbrances Land Buildings and Improvements Improvements Purchase Price Allocation Adjustments Capitalized Costs Property Land Buildings and Improvements Total Accumulated Depreciation Year of Construction Date Acquired Weighted-Average Depreciable Life (in years) Retail - Carrollton, TX 1 $ 12,875 $ 3,970 $ 14,672 $ — $ — $ — $ — $ 3,970 $ 14,672 $ 18,642 $ (1,553 ) 1996 11/25/2015 38 Retail - Plano, TX 1 11,817 4,615 12,692 59 — — — 4,615 12,751 17,366 (1,535 ) 1994 11/25/2015 38 Retail - Grapevine, TX 1 12,692 4,713 13,888 — — — — 4,713 13,888 18,601 (1,373 ) 1998 11/25/2015 38 Retail - Flower Mound, TX 1 13,085 4,963 14,477 9 — — — 4,963 14,486 19,449 (1,525 ) 1999 11/25/2015 38 Retail - Grapevine, TX 1 9,797 3,931 9,972 — — — — 3,931 9,972 13,903 (1,120 ) 1994 11/25/2015 38 Retail - Flower Mound, TX 1 7,492 2,696 7,351 66 — — — 2,696 7,417 10,113 (1,146 ) 1992 11/25/2015 38 Retail - Flower Mound, TX 1 8,929 3,571 8,280 8 — — — 3,571 8,287 11,858 (858 ) 1996 11/25/2015 38 Retail - Plano, TX 1 4,638 1,459 4,533 31 — — — 1,459 4,564 6,023 (1,468 ) 1995 11/25/2015 38 Retail - Largo, FL 1 12,750 4,973 12,832 (1 ) — — — 4,973 12,831 17,804 (1,582 ) 1988 8/14/2015 27 Retail - Grass Valley, CA 1 25,900 9,872 28,680 284 — — — 9,872 28,965 38,837 (3,916 ) 1988 10/27/2015 25 Multifamily - Washington, DC 1 57,500 31,999 42,651 (308 ) — — — 31,999 42,342 74,341 (3,546 ) 1978, 2008 10/20/2015 28 Retail - Penfield, NY 1 23,558 4,122 22,670 757 — — — 4,122 23,427 27,549 (5,124 ) 1957 11/10/2014 24 Retail - Orchard Park, NY 1 12,888 4,189 20,658 71 — — — 4,189 20,729 24,918 (3,765 ) 1997, 2000 11/10/2014 32 Retail - Cheektowaga, NY 1 9,447 1,939 12,514 5 — — — 1,939 12,519 14,458 (2,005 ) 1978 11/10/2014 25 Retail - Amherst, NY 1 8,270 2,132 9,807 96 — — — 2,132 9,903 12,035 (1,889 ) 1986 11/10/2014 28 Retail - Ontario, NY 1 5,406 574 6,839 1 — — — 574 6,841 7,415 (1,369 ) 1998 11/10/2014 31 Retail - Irondequoit, NY 1 15,000 2,438 14,836 143 — — — 2,438 14,980 17,418 (3,158 ) 1972 11/10/2014 27 Retail - LeRoy, NY 1 3,492 343 4,950 10 — — — 343 4,959 5,302 (1,126 ) 1997 11/10/2014 29 Retail - Jamestown, NY 1 7,356 820 4,915 — — — — 820 4,915 5,735 (1,342 ) 1997 11/10/2014 29 Retail - Warsaw, NY 1 3,415 407 4,123 — — — — 407 4,122 4,529 (803 ) 1998 11/10/2014 31 Retail - Chillicothe, OH 1 7,888 1,262 10,819 — — — — 1,262 10,819 12,081 (1,897 ) 1981, 1998 11/10/2014 26 Retail - Loganville, GA 1 7,230 3,217 8,386 — — — — 3,217 8,386 11,603 (1,748 ) 1996 11/10/2014 28 Retail - Chillicothe, OH 1 7,700 2,282 9,775 — — — — 2,282 9,775 12,057 (1,293 ) 1995 7/22/2015 25 Retail - Newport News, VA 1 11,025 6,394 12,046 — — — — 6,394 12,046 18,440 (1,562 ) 1994 6/2/2014 35 Retail - Knoxville, TN 1 12,350 3,504 13,309 — — — — 3,503 13,310 16,813 (1,657 ) 2002 4/9/2014 34 Industrial - Las Vegas, NV 1 — 628 4,053 — — — — 628 4,053 4,681 (560 ) 1988, 2009 3/29/2012 37 Industrial - Phoenix, AZ 1 — 1,662 6,217 — — — (7,880 ) — — — — 1999 11/28/2011 26 27 $ 312,500 $ 112,675 $ 335,945 $ 1,231 $ — $ — $ (7,880 ) $ 111,012 $ 330,959 $ 441,971 $ (48,920 ) The following table presents our real estate activity during the year ended December 31, 2017 (in thousands): Real Estate: Beginning balance, January 1, 2017 $ 448,620 Acquisitions and improvements 1,231 Property sold (7,880 ) Ending balance, December 31, 2017 $ 441,971 Accumulated Depreciation: Beginning balance, January 1, 2017 $ 34,221 Property sold (1,052 ) Depreciation 15,751 Ending balance, December 31, 2017 $ 48,920 |
Schedule IV - Mortgage Loans on
Schedule IV - Mortgage Loans on Commercial Real Estate | 12 Months Ended |
Dec. 31, 2017 | |
Mortgage Loans on Real Estate [Abstract] | |
Schedule IV - Mortgage Loans on Commercial Real Estate | 6. RESIDENTIAL MORTGAGE LOANS The following table presents the fair value and the unpaid principal balances of the residential mortgage loan portfolio at December 31, 2017 and 2016 : December 31, 2017 December 31, 2016 (dollars in thousands) Fair value $ 1,438,322 $ 342,289 Unpaid principal balance $ 1,419,807 $ 338,323 The following table provides information regarding the line items and amounts recognized in the Consolidated Statements of Comprehensive Income (Loss) for the years ended December 31, 2017 and 2016 for these investments: For the Years Ended: December 31, 2017 December 31, 2016 (dollars in thousands) Net interest income $ 28,817 $ 3,452 Net gains (losses) on disposal of investments (4,704 ) (922 ) Net unrealized gains (losses) on investments measured at fair value through earnings 8,468 (5,614 ) Total included in net income (loss) $ 32,581 $ (3,084 ) The following table provides the geographic concentrations based on the unpaid principal balances at December 31, 2017 and 2016 for the residential mortgage loans, including loans held in securitization trusts: Geographic Concentrations of Residential Mortgage Loans December 31, 2017 December 31, 2016 Property Location % of Balance Property Location % of Balance California 49.8% California 46.3% Florida 9.3% Texas 9.6% New York 7.1% Illinois 5.7% All other (none individually greater than 5%) 33.8% Florida 5.2% Washington 5.1% All other (none individually greater than 5%) 28.1% Total 100.0% 100.0% The table below provides additional data on the Company’s residential mortgage loans, including loans held in securitization trusts, at December 31, 2017 and 2016 : December 31, 2017 December 31, 2016 Portfolio Range Portfolio Weighted Portfolio Range Portfolio Weighted (dollars in thousands) Unpaid principal balance $1 - $3,663 $ 514 $22 - $1,905 $ 691 Interest rate 1.63% - 7.50% 4.25 % 2.50% - 6.75% 3.72 % Maturity 1/1/2028 - 5/1/2057 2/1/2043 4/8/2044 - 11/1/2046 8/20/2045 FICO score at loan origination 468 - 823 748 665 - 814 761 Loan-to-value ratio at loan origination 11% - 100% 68 % 24% - 90% 71 % At December 31, 2017 and 2016 , approximately 78% and 85% of the carrying value of the Company’s residential mortgage loans, including loans held in securitization trusts, were adjustable-rate. The following table presents the activity related to residential mortgage loans for the years ended December 31, 2017 and 2016 : December 31, 2017 December 31, 2016 (dollars in thousands) Fair value, beginning of period $ 342,289 $ — Obtained through Hatteras Acquisition — 360,447 Purchases 1,218,491 165,213 Consolidation of VIEs 349,200 — Sales (278,305 ) (134,203 ) Principal repayments (189,465 ) (42,612 ) Amortization of premiums (1,523 ) (942 ) Change in fair value (2,365 ) (5,614 ) Fair value, end of period $ 1,438,322 $ 342,289 Schedule IV - Mortgage Loans on Commercial Real Estate December 31, 2017 (dollars in thousands) Description Location Prior Liens (1) Face Amount Carrying Amount Interest Rate (2) Libor Floor Payment Terms Maturity Date (3) Mezzanine Debt Investments: Hotel CA $ 50,000 $ 10,000 $ 10,000 10.25% N/A Interest Only 2/6/2019 Hotel Various 103,800 25,000 25,000 LIBOR+9.95% 0.20% Interest Only 2/9/2018 Hotel Various 26,223 10,335 10,335 LIBOR+8.65% N/A Interest Only 8/9/2019 Hotel Various 26,223 1,691 1,691 LIBOR+8.65% N/A Interest Only 8/9/2019 Hotel Various 103,800 6,500 6,500 LIBOR+8.75% 0.20% Interest Only 2/9/2018 Hotel LA 85,370 13,133 13,010 LIBOR+9.50% N/A Interest Only 9/9/2022 Mixed OH 124,671 36,603 36,603 9.50% N/A Interest Only 12/1/2023 Multi-Family NY 393,717 47,775 47,775 LIBOR+7.81% N/A Interest Only 10/1/2020 Multi-Family NY 393,717 65,386 65,385 LIBOR+6.38% N/A Interest Only 10/1/2020 Office CO 13,201 6,000 6,000 10.86% N/A Interest Only 8/6/2018 Office TX 43,500 9,187 9,176 9.50% N/A Interest Only 9/1/2018 Office LA 64,000 8,700 8,700 10.75% N/A Interest Only 10/1/2023 Office Various 90,907 10,169 10,169 LIBOR+7.50% 0.25% Interest Only 1/20/2018 Office CA 46,151 8,559 8,575 LIBOR+9.50% 0.25% Interest Only 3/31/2019 Office TX 51,159 7,000 7,000 10.10% N/A Interest Only 12/1/2024 Office CA 280,000 49,509 49,509 LIBOR+6.41% N/A Interest Only 1/2/2021 Office CA 280,000 27,500 27,500 LIBOR+6.54% N/A Interest Only 1/2/2021 Office FL 52,000 11,303 11,192 LIBOR+4.20% 0.50% Interest Only 10/9/2021 Retail MA 63,877 10,000 10,000 10.14% N/A Interest Only 9/6/2023 Retail NY 23,750 4,890 4,857 LIBOR+3.95% N/A Interest Only 2/5/2022 Retail DC 50,325 16,775 16,665 LIBOR+4.45% 0.50% Interest Only 1/9/2022 Retail CO 21,000 9,000 8,800 LIBOR+5.00% 1.20% Interest Only 10/1/2022 Preferred Equity Investments: Mixed PA 26,000 9,000 8,985 11.00% N/A Interest Only 11/27/2018 First Mortgages: Hotel NY — 55,000 54,588 LIBOR+4.50% 0.85% Interest Only 8/9/2022 Multi-Family FL — 34,161 34,161 LIBOR+4.05% 0.20% Interest Only 6/5/2020 Multi-Family TX — 15,090 15,079 4.45% N/A Interest Only 10/1/2020 Multi-Family NC — 36,800 36,749 4.25% N/A Interest Only 11/1/2020 Multi-Family TX — 33,000 32,679 LIBOR+3.25% N/A Interest Only 12/9/2022 Office NJ — 67,390 67,334 LIBOR+4.50% 0.25% Interest Only 5/9/2020 Office AZ — 51,027 50,911 LIBOR+4.35% 0.20% Interest Only 10/5/2018 Office VA — 41,000 41,000 LIBOR+4.25% 0.20% Interest Only 12/9/2020 Office FL — 52,000 51,697 LIBOR+4.20% 0.50% Interest Only 10/9/2021 Office CO — 112,400 111,513 LIBOR+3.60% 1.00% Interest Only 8/9/2022 Retail NY — 23,750 23,592 LIBOR+3.95% N/A Interest Only 2/5/2022 Retail DC — 50,325 49,990 LIBOR+4.45% 0.50% Interest Only 1/9/2022 Retail CO — 21,000 20,825 LIBOR+5.00% 1.20% Interest Only 10/1/2022 Retail TN — 36,200 35,782 LIBOR+4.50% N/A Interest Only 6/6/2022 $ 1,033,158 $ 1,029,327 (1) Represents third-party priority liens. (2) LIBOR represents the one month London Interbank Offer Rate. (3) Assumes all extension options are exercised. |
SIGNIFICANT ACCOUNTING POLICI36
SIGNIFICANT ACCOUNTING POLICIES (Policies) | 12 Months Ended |
Dec. 31, 2017 | |
Accounting Policies [Abstract] | |
Basis of Presentation | The accompanying consolidated financial statements and related notes of the Company have been prepared in accordance with U.S. generally accepted accounting principles (“GAAP”). |
Principles of Consolidation | Principles of Consolidation – The consolidated financial statements include the accounts of the Company and its wholly-owned subsidiaries and consolidated variable interest entities. All intercompany balances and transactions have been eliminated in consolidation. The Company reclassified previously presented financial information so that amounts previously presented conform to the current presentation. |
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. 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 $205.4 million . Assets of the FREMF Trusts may only be used to settle obligations of the FREMF Trusts. Creditors of the FREMF Trusts have no recourse to the general credit of the Company. The Company is not contractually required to provide and has not provided any form of financial support to the FREMF Trusts. No gain or loss was recognized upon initial consolidation of the FREMF Trusts, but $0.8 million of related costs were expensed. The FREMF Trusts’ assets are included in Commercial real estate debt investments and the FREMF Trusts’ liabilities are included in Securitized debt of consolidated VIEs in the accompanying Consolidated Statements of Financial Condition. Upon consolidation, the Company elected the fair value option for the financial assets and liabilities of the FREMF Trusts in order to avoid an accounting mismatch, and to more faithfully represent the economics of its interest in the entities. The fair value option requires that changes in fair value be reflected in the Company’s Consolidated Statements of Comprehensive Income (Loss). The Company early adopted ASU 2014-13 and applied the practical expedient fair value measurement whereby the Company determines whether the fair value of the financial assets or financial liabilities is more observable as a basis for measuring the less observable financial instruments. The Company has determined that the fair value of the financial liabilities of the FREMF Trusts are more observable, since the prices for these liabilities are primarily available from third-party pricing services utilized for multifamily mortgage-backed securities, while the individual assets of the trusts are inherently less capable of precise measurement given their illiquid nature and the limitations on available information related to these assets. Given that the Company’s methodology for valuing the financial assets of the FREMF Trusts are an aggregate fair value derived from the fair value of the financial liabilities, the Company has determined that the fair value of each of the financial assets in their entirety should be classified in Level 2 of the fair value measurement hierarchy. The 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 held by third parties was $35.8 million at December 31, 2017 . In December 2017, the Company was required to consolidate residential securitization trusts in which it had purchased subordinated securities because its liquidation rights over the trusts became exercisable. The Company has elected the fair value option for the financial assets and liabilities of these VIEs, 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. |
Cash and Cash Equivalents | Cash and Cash Equivalents – Cash and cash equivalents include cash on hand, cash held in money market funds on an overnight basis and cash pledged as collateral with counterparties. Cash deposited with clearing organizations are carried at cost, which approximates fair value. The Company also maintains collateral in the form of cash on margin with counterparties to its interest rate swaps and other derivatives. As a result of a change to a clearing organization’s rulebook effective January 3, 2017, beginning with the first quarter of 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. At December 31, 2017 , $218.3 million of variation margin was reported as a reduction to interest rate swaps, at fair value. RCap Securities, Inc., the Company’s wholly-owned broker-dealer (“RCap”) is a member of various clearing organizations with which it maintains cash required to conduct its day-to-day clearance activities. |
Fair Value Measurements | Fair Value Measurements – The Company reports various financial instruments at fair value. A complete discussion of the methodology utilized by the Company to estimate the fair value of certain financial instruments is included in these Notes to Consolidated Financial Statements. 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. |
Revenue Recognition | Revenue Recognition – The revenue recognition policy by asset class is discussed below. Agency Mortgage-Backed Securities, Agency Debentures, Non-Agency Mortgage-Backed Securities and Credit Risk Transfer Securities – The Company invests in mortgage pass-through certificates, collateralized mortgage obligations and other mortgage-backed securities representing interests in or obligations backed by pools of residential or multifamily mortgage loans and certificates guaranteed by the Government National Mortgage Association (“Ginnie Mae”), the Federal Home Loan Mortgage Corporation (“Freddie Mac”) or the Federal National Mortgage Association (“Fannie Mae”) (collectively, “Agency mortgage-backed securities”). These Agency mortgage-backed securities may include forward contracts for Agency mortgage-backed securities purchases or sales of a generic pool, on a to-be-announced basis (“TBA securities”). The Company also invests in Agency debentures issued by the Federal Home Loan Banks, Freddie Mac and Fannie Mae, as well as CRT securities. CRT securities are risk sharing instruments issued by Fannie Mae and Freddie Mac, and similarly structured transactions arranged by third party market participants. CRT securities are designed to synthetically transfer mortgage credit risk from Fannie Mae and Freddie Mac to private investors. The Company also invests in non-Agency mortgage-backed securities such as those issued in non-performing loan (“NPL”) and re-performing loan (“RPL”) securitizations. Agency mortgage-backed securities, Agency debentures, non-Agency mortgage-backed securities and CRT securities are referred to herein as “Residential Investment Securities.” Although the Company generally intends to hold most of its Residential Investment Securities until maturity, it may, from time to time, sell any of its Residential Investment Securities as part of the overall management of its portfolio. Residential Investment Securities classified as available-for-sale are reported at fair value with unrealized gains and losses reported as a component of Other comprehensive income (loss) unless the Company has elected the fair value option, where the unrealized gains and losses on these financial instruments are recorded through earnings (e.g., interest-only securities). The fair value of Residential Investment Securities classified as available-for-sale are estimated by management and are compared to independent sources for reasonableness. Residential Investment Securities transactions are recorded on trade date, including TBA securities that meet the regular-way securities scope exception from derivative accounting. Gains and losses on sales of Residential Investment Securities are recorded on trade date based on the specific identification method. The Company elected the fair value option for interest-only mortgage-backed securities, non-Agency mortgage-backed securities, reverse mortgages and 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, reverse mortgages and 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 debentures and multifamily 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 information to project future cash flows and expected remaining lives of securities, the effective interest rate determined for each security is applied as if it had been in place from the date of the security’s acquisition. The amortized cost of the security is then adjusted to the amount that would have existed had the new effective yield been applied since the acquisition date, which results in a cumulative premium amortization adjustment in each period. The adjustment to amortized cost is offset with a charge or credit to interest income. Changes in interest rates and other market factors will impact prepayment speed projections and the amount of premium amortization recognized in any given period. Premiums or discounts associated with the purchase of Agency interest-only securities, reverse mortgages 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 and multifamily securities is recognized by applying the interest method using contractual cash flows without estimating prepayments. The table below summarizes the interest income recognition methodology for Residential Investment Securities: Interest Income Methodology Agency Fixed-rate pass-through (1) Effective yield (3) Adjustable-rate pass-through (1) Effective yield (3) Multifamily (1) Contractual cash flows Collateralized Mortgage Obligation (“CMO”) (1) Effective yield (3) Debentures (1) Contractual cash flows Reverse mortgages (2) Prospective Interest-only (2) Prospective Residential Credit CRT (2) Prospective Alt-A (2) Prospective Prime (2) Prospective Subprime (2) Prospective NPL/RPL (2) Prospective Prime Jumbo (2) Prospective Prime Jumbo interest-only (2) Prospective (1) Changes in fair value are recognized in Other comprehensive income (loss) on the accompanying Consolidated Statements of Comprehensive Income (Loss). (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) 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. |
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 residential mortgage loans. The Company also consolidates securitization trusts in which it had purchased subordinated securities. Please refer to the “Variable Interest Entities” Note for further information related to the Company’s consolidated Residential Mortgage Loan Trusts. The Company made elections to account for the investments in residential mortgage loans held in its portfolio and in the securitization trusts at fair value as these elections simplify the accounting. Residential mortgage loans are recognized at fair value on the accompanying Consolidated Statements of Financial Condition. Changes in the estimated fair value are presented in Net unrealized gains (losses) on investments measured at fair value through earnings in the Consolidated Statements of Comprehensive Income (Loss). Premiums and discounts associated with the purchase of residential mortgage loans and with those held in the securitization trusts are primarily amortized or accreted into interest income over their estimated remaining lives using the effective interest rates inherent in the estimated cash flows from the mortgage loans. Amortization of premiums and accretion of discounts are presented in Interest income in the Consolidated Statements of Comprehensive Income (Loss). There was no real estate acquired in settlement of residential mortgage loans at December 31, 2017 or December 31, 2016 other than that held by securitization trusts that the Company was required to consolidate in the fourth quarter of 2017. 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 – 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, these activities are carried out by duly licensed subservicers who perform substantially all servicing functions for the loans underlying the MSRs. The Company elected to account for all of its investments in MSRs at fair value. As such, they are recognized at fair value on the accompanying Consolidated Statements of Financial Condition with changes in the estimated fair value presented as a component of Net unrealized gains (losses) on investments measured at fair value through earnings in the Consolidated Statements of Comprehensive Income (Loss). Servicing income, net of servicing expenses, is reported in Other income (loss) in the Consolidated Statements of Comprehensive Income (Loss). |
Equity Securities | Equity Securities – The Company may invest in equity securities that are classified as available-for-sale or trading. Equity securities classified as available-for-sale are reported at fair value, based on market quotes, with unrealized gains and losses reported as a component of Other comprehensive income (loss). Equity securities classified as trading are reported at fair value, based on market quotes, with unrealized gains and losses reported in the Consolidated Statements of Comprehensive Income (Loss) as Net gains (losses) on trading assets. Dividends are recorded in earnings based on the declaration date. Equity securities that do not have readily determinable fair values, do not result in consolidation of the investee and are not required to be accounted for under the equity method are carried at cost. Dividends from cost method equity securities are recognized as income when received to the extent they are distributed from net accumulated earnings. |
Derivative Instruments | Derivative Instruments – The Company may use a variety of derivative instruments to economically hedge some of its exposure to market risks, including interest rate and prepayment risk. These instruments include, but are not limited to, interest rate swaps, options to enter into interest rate swaps (“swaptions”), TBA securities without intent to accept delivery (“TBA derivatives”), options on TBA securities (“MBS options”), U.S. Treasury and Eurodollar futures contracts and certain forward purchase commitments. The Company may also enter into other types of mortgage derivatives such as interest-only securities, credit derivatives referencing the commercial mortgage-backed securities index and synthetic total return swaps. Derivatives are accounted for in accordance with the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) 815, Derivatives and Hedging , which requires recognition of all derivatives as either assets or liabilities at fair value in the Consolidated Statements of Financial Condition with changes in fair value recognized in the Consolidated Statements of Comprehensive Income (Loss). None of the Company’s derivative transactions have been designated as hedging instruments for accounting purposes. Some derivative agreements contain provisions that allow for netting or setting off by counterparty; however, the Company elected to present related assets and liabilities on a gross basis in the Consolidated Statements of Financial Condition. Interest Rate Swap Agreements - Interest rate swap agreements are the primary instruments used to mitigate interest rate risk. In particular, the Company uses interest rate swap agreements to manage its exposure to changing interest rates on its repurchase agreements by economically hedging cash flows associated with these borrowings. Interest rate swap agreements may or may not be cleared through a derivatives clearing organization (“DCO”). Uncleared interest rate swaps are fair valued using internal pricing models and compared to the counterparty market values. Centrally cleared interest rate swaps are fair valued using internal pricing models and compared to the DCO’s market values. We may use market agreed coupon (“MAC”) interest rate swaps in which we may receive or make a payment at the time of entering into the swap to compensate for the out of the market nature of such interest rate swap. MAC interest rate swaps are also centrally cleared and fair valued using internal pricing models and compared to the DCO’s market value. Swaptions - Swaptions are purchased or sold to mitigate the potential impact of increases or decreases in interest rates. Interest rate swaptions provide the option to enter into an interest rate swap agreement for a predetermined notional amount, stated term and pay and receive interest rates in the future. They are not centrally cleared. The premium paid or received for swaptions is reported as an asset or liability in the Consolidated Statement of Financial Condition. The difference between the premium and the fair value of the swaption is reported in Net gains (losses) on trading assets in the Consolidated Statements of Comprehensive Income (Loss). If a swaption expires unexercised, the realized gain (loss) on the swaption would be equal to the premium received or paid. If the Company sells or exercises a swaption, the realized gain or loss on the swaption would be equal to the difference between the cash received or the fair value of the underlying interest rate swap received and the premium paid. The fair value of swaptions is estimated using internal pricing models and compared to the counterparty market value. TBA Dollar Rolls - TBA dollar roll transactions are accounted for as a series of derivative transactions. The fair value of TBA derivatives is based on methods similar to those used to value Agency mortgage-backed securities with gains and losses recorded in Net gains (losses) on trading assets in the Consolidated Statements of Comprehensive Income (Loss). MBS Options – MBS options are generally options on TBA contracts, which help manage mortgage market risks and volatility while providing the potential to enhance returns. MBS options are over-the-counter traded instruments and those written on current-coupon mortgage-backed securities are typically the most liquid. MBS options are measured at fair value using internal pricing models and compared to the counterparty market value at the valuation date with gains and losses recorded in Net gains (losses) on trading assets in the Consolidated Statements of Comprehensive Income (Loss). Futures Contracts – Futures contracts are derivatives that track the prices of specific assets or benchmark rates. Short sales of futures contracts help to mitigate the potential impact of changes in interest rates on the portfolio performance. The Company maintains margin accounts which are settled daily with Futures Commission Merchants (“FCMs”). The margin requirement varies based on the market value of the open positions and the equity retained in the account. Futures contracts are fair valued based on exchange pricing with gains and losses recorded in Net gains (losses) on trading assets in the Consolidated Statements of Comprehensive Income (Loss). Forward purchase commitments – The Company may enter into forward purchase commitments with counterparties whereby the Company commits to purchasing residential mortgage loans at a particular price, provided the residential mortgage loans close with the counterparties. The counterparties are required to deliver the committed loans on a “best efforts” basis. Gains and losses are recorded in Net gains (losses) on trading assets in the Consolidated Statements of Comprehensive Income (Loss). |
Goodwill and Intangible Assets | Goodwill and Intangible Assets – The Company’s acquisitions are accounted for using the acquisition method. Under the acquisition method, net assets and results of operations of acquired companies are included in the consolidated financial statements from the date of acquisition. The purchase prices are allocated to the assets acquired, including identifiable intangible assets, and the liabilities assumed based on their estimated fair values at the date of acquisition. The excess of purchase price over the fair value of the net assets acquired is recognized as goodwill. Conversely, any excess of the fair value of the net assets acquired over the purchase price is recognized as a bargain purchase gain. The Company tests goodwill for impairment on an annual basis and at interim periods when events or circumstances may make it more likely than not that an impairment has occurred. If a qualitative analysis indicates that there may be an impairment, a quantitative analysis is performed. The quantitative impairment test for goodwill utilizes a two-step approach, whereby the Company compares the carrying value of each identified reporting unit to its fair value. If the carrying value of the reporting unit is greater than its fair value, the second step is performed, where the implied fair value of goodwill is compared to its carrying value. The Company recognizes an impairment charge for the amount by which the carrying amount of goodwill exceeds its fair value. An impairment of the goodwill associated with the Company’s acquisition of Fixed Income Discount Advisory Company (“FIDAC”) was recorded in the year ended December 31, 2015 . Finite life intangible assets are amortized over their expected useful lives. |
Repurchase Agreements | Repurchase Agreements – The Company finances the acquisition of a significant portion of its assets with repurchase agreements. At the inception of each transaction, the Company assesses each of the specified criteria in ASC 860, Transfers and Servicing , and has determined that each of the financing agreements meet the specified criteria in this guidance. Reverse repurchase agreements and repurchase agreements with the same counterparty and the same maturity are presented net in the Consolidated Statements of Financial Condition when the terms of the agreements meet the criteria to permit netting. The Company reports cash flows on repurchase agreements as financing activities in the Consolidated Statements of Cash Flows. The Company reports cash flows on reverse repurchase and repurchase agreements entered into by RCap as operating activities in the Consolidated Statements of Cash Flows. |
Convertible Senior Notes | Convertible Senior Notes – The Company recorded the 4% Convertible Senior Notes and 5% Convertible Senior Notes (collectively, the “Convertible Senior Notes”) at their contractual amounts, adjusted by the effects of a beneficial conversion feature and a contingent beneficial conversion feature (collectively, the “Conversion Features”). The Conversion Features’ intrinsic value is included in “Additional paid-in capital” on the Company’s Consolidated Statements of Financial Condition and reduces the recorded liability amount associated with the Convertible Senior Notes. A Conversion Feature may be recognized as a result of adjustments to the conversion price for dividends declared to common stockholders. |
Stock Based Compensation | Stock Based Compensation – The Company is required to measure and recognize in the consolidated financial statements the compensation cost relating to share-based payment transactions. The Company recognizes compensation expense on a straight-line basis over the requisite service period for the entire award. |
Income Taxes | Income Taxes – The Company has elected to be taxed as a REIT and intends to comply with the provisions of the Code, with respect thereto. Accordingly, the Company will not be subject to federal income tax to the extent of its distributions to stockholders and as long as certain asset, income and stock ownership tests are met. The Company and certain of its direct and indirect subsidiaries, including RCap and certain subsidiaries of ACREG and Hatteras, have made separate joint elections to treat these subsidiaries as taxable REIT subsidiaries (“TRSs”). As such, each of these TRSs is taxable as a domestic C corporation and subject to federal, state and local income taxes based upon their taxable income. The provisions of ASC 740, Income Taxes (“ASC 740”), clarify the accounting for uncertainty in income taxes recognized in financial statements and prescribe a recognition threshold and measurement attribute for uncertain tax positions taken or expected to be taken on a tax return. ASC 740 also requires that interest and penalties related to unrecognized tax benefits be recognized in the financial statements. The Company does not have any unrecognized tax benefits that would affect its financial position. |
Use of Estimates | Use of Estimates – The preparation of the consolidated financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ materially from those estimates. |
Commercial Real Estate Investments | Commercial Real Estate Investments Commercial Real Estate Debt Investments – The Company’s commercial real estate debt investments are comprised of commercial mortgage backed securities and loans held by consolidated collateralized financing entities. Commercial mortgage backed securities are classified as available-for-sale and reported at fair value with unrealized gains and losses reported as a component of Other comprehensive income (loss), except for conduit commercial mortgage-backed securities for which the Company has elected to fair value through earnings to simplify the accounting. Management evaluates commercial mortgage backed securities, excluding conduit commercial mortgage-backed securities, for other-than-temporary impairment at least quarterly. See the “Commercial Real Estate Investments” Note for additional information regarding the consolidated collateralized financing entities. Commercial Real Estate Loans and Preferred Equity Interests (collectively referred to as “CRE Debt and Preferred Equity Investments”) – The Company’s commercial real estate loans are comprised of fixed-rate and adjustable-rate loans. The Company designates loans as held for investment if it has the intent and ability to hold the loans until maturity or payoff. The difference between the principal amount of a loan and proceeds at acquisition is recorded as either a discount or premium. Commercial real estate loans that are designated as held for investment and are originated or purchased by the Company are carried at their outstanding principal balance, net of unamortized origination fees and costs, premiums or discounts, less an allowance for losses if necessary. Origination fees and costs, premiums or discounts are amortized into interest income over the life of the loan. 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 carried at historical cost less accumulated depreciation. Historical cost includes all costs necessary to bring the asset to the condition and location necessary for its intended use, including financing during the construction period. Costs directly related to acquisitions deemed to be business combinations are expensed. Ordinary repairs and maintenance which are not reimbursed by tenants are expensed as incurred. Major replacements and improvements that extend the useful life of the asset are capitalized and depreciated over their useful life. Investments in commercial real estate are depreciated using the straight-line method over the estimated useful lives of the assets, summarized as follows: Category Term Building 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 - Interest income is accrued based on the outstanding principal amount of CRE Debt and Preferred Equity Investments and their contractual terms. Origination fees and costs, premiums or discounts associated with the purchase of CRE Debt and Preferred Equity Investments are amortized or accreted into interest income over the lives of the CRE Debt and Preferred Equity Investments using the interest method. |
Corporate Debt | Corporate Debt Corporate Loans – The Company’s investments in corporate loans are designated as held for investment when the Company has the intent and ability to hold the investment until maturity or payoff. These investments are carried at their principal balance outstanding plus any premiums or discounts less allowances for loan losses. Interest income from coupon payments is accrued based upon the outstanding principal amounts of the debt and its contractual terms. Premiums and discounts are amortized or accreted into interest income using the interest method. These investments typically take the form of senior secured loans primarily in first or second lien positions. The Company’s senior secured loans generally have stated maturities of three to eight years . In connection with these senior secured loans the Company receives a security interest in certain of the assets of the borrower and such assets support repayment of such loans. Senior secured loans are generally exposed to less amount of credit risk than more junior loans given their seniority to scheduled principal and interest and priority of security in the assets of the borrower. To date, the significant majority of the Company’s investments in corporate debt have been funded term loans versus bonds. Corporate Debt Securities – The Company’s investments in corporate debt that are debt securities are designated as held-to-maturity when the Company has the intent and ability to hold the investment until maturity. These investments are carried at their principal balance outstanding plus any premiums or discounts less other-than-temporary impairment. Interest income from coupon payments is accrued based upon the outstanding principal amounts of the debt and its contractual terms. Premiums and discounts are amortized or accreted into interest income using the interest method. |
Other-Than-Temporary Impairment | Other-Than-Temporary Impairment – Management evaluates available-for-sale securities and held-to-maturity debt securities for other-than-temporary impairment at least quarterly, and more frequently when economic or market conditions warrant such evaluation. When the fair value of an available-for-sale security is less than its amortized cost, the security is considered impaired. For securities that are impaired, the Company determines if it (1) has the intent to sell the security, (2) is more likely than not that it will be required to sell the 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. |
Allowance for Losses | Allowance for Losses – The Company evaluates the need for a loss reserve on its CRE Debt and Preferred Equity Investments and its corporate loans. A provision for losses related to CRE Debt and Preferred Equity Investments and corporate loans, including those accounted for under ASC 310-30, Loans and Debt Securities Acquired with Deteriorated Credit Quality , may be established when it is probable the Company will not collect amounts contractually due or all amounts previously estimated to be collectible. Management assesses the credit quality of the portfolio and adequacy of loan loss reserves on a quarterly basis, or more frequently as necessary. Significant judgment is required in this analysis. Depending on the expected recovery of its investment, the Company considers the estimated net recoverable value of the CRE Debt and Preferred Equity Investments as well as other factors, including but not limited to the fair value of any collateral, the amount and the status of any senior debt, the prospects for the borrower and the competitive landscape where the borrower conducts business. To determine if loan loss allowances are required on investments in corporate debt, the Company reviews the monthly and/or quarterly financial statements of the borrowers, verifies loan compliance packages, if applicable, and analyzes current results relative to budgets and sensitivities performed at inception of the investment. Because these determinations are based upon projections of future economic events, which are inherently subjective, the amounts ultimately realized may differ materially from the carrying value as of the reporting date. The Company may be exposed to various levels of credit risk depending on the nature of its investments and 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, 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. The Company evaluates the need for a loss reserve on at least a quarterly basis through its surveillance review process. In connection with the surveillance review process, the Company’s CRE Debt and Preferred Equity Investments are assigned an internal risk rating. The loan risk ratings were updated to conform to 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 net operating income, debt service coverage ratios, property debt yields, loan per unit, rent rolls and other factors management deems important. A provision for loan losses may occur when it is probable the Company will not collect amounts contractually due or all amounts previously estimated to be collectible 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 – If collection of a loan’s principal or interest is in doubt or the loan is 90 days or more past due, interest income is not accrued. For nonaccrual status loans carried at fair value or held for sale, interest is not accrued, but is recognized on a cash basis. For nonaccrual status loans carried at amortized cost, if collection of principal is not in doubt, but collection of interest is in doubt, interest income is recognized on a cash basis. If collection of principal is in doubt, any interest received is applied against principal until collectability of the remaining balance is no longer in doubt; at that point, any interest income is recognized on a cash basis. Generally, a loan is returned to accrual status when the borrower has resumed paying the full amount of the scheduled contractual obligation, if all principal and interest amounts contractually due are reasonably assured of repayment within a reasonable period of time and there is a sustained period of repayment performance by the borrower. |
Broker Dealer Activities | Broker Dealer Activities Reverse Repurchase Agreements – RCap enters into reverse repurchase agreements and repurchase agreements as part of its matched book trading activity. Reverse repurchase agreements are recorded on settlement date at the contractual amount and are collateralized by mortgage-backed or other securities. Margin calls are made by RCap as necessary based on the daily valuation of the underlying collateral as compared to the contract price. RCap generates income from the spread between what is earned on the reverse repurchase agreements and what is paid on the matched repurchase agreements. RCap’s policy is to obtain possession of collateral with a market value in excess of the principal amount loaned under reverse repurchase agreements. To ensure that the market value of the underlying collateral remains sufficient, collateral is valued daily, and RCap will require counterparties to deposit additional collateral, when necessary. All reverse repurchase activities are transacted under master repurchase agreements that give RCap the right, in the event of default, to liquidate collateral held and in some instances, to offset receivables and payables with the same counterparty. Substantially all of RCap’s reverse repurchase activity is with affiliated entities. |
Recent Accounting Pronouncements | Recent Accounting Pronouncements The Company considers the applicability and impact of all Accounting Standards Updates (“ASUs”). ASUs not listed below were determined to be either not applicable, are not expected to have a significant impact on our consolidated financial statements when adopted, or did not have a significant impact on our consolidated financial statements upon adoption. Standard Description Effective Date Effect on the financial statements or other significant matters Standards that are not yet adopted ASU 2017-01 Business Combinations (Topic 805) Clarifying the Definition of a Business This update provides a screen to determine and a framework to evaluate when a set of assets and activities is a business. January 1, 2018 (early adoption permitted) The amendments are expected to result in fewer transactions being accounted for as business combinations. ASU 2016-13 Financial Instruments - Credit Losses (Topic 326): Measurement of Credit Losses on Financial Instruments This ASU updates the existing incurred loss model to a current expected credit loss (“CECL”) model for financial assets and net investments in leases that are not accounted for at fair value through earnings. The amendments affect loans, held-to-maturity debt securities, trade receivables, net investments in leases, off-balance sheet credit exposures and any other financial assets not excluded from the scope. There are also limited amendments to the impairment model for available-for-sale debt securities. January 1, 2020 (early adoption permitted) The Company currently plans to adopt the new standard on its effective date. While 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. |
Fair Value of Financial Instruments | The Company designates its securities as trading, available-for-sale or held-to-maturity depending upon the type of security and the Company’s intent and ability to hold such security to maturity. Securities classified as available-for-sale and trading are reported at fair value on a recurring basis. The following is a description of the valuation methodologies used for instruments carried at fair value. These methodologies are applied to assets and liabilities across the three-level fair value hierarchy, with the observability of inputs determining the appropriate level. Residential Investment Securities, interest rate swaps, swaptions and other derivatives are valued using quoted prices or internally estimated prices for similar assets using internal models. The Company incorporates common market pricing methods, including a spread measurement to the Treasury curve as well as underlying characteristics of the particular security including coupon, prepayment speeds, periodic and life caps, rate reset period and expected life of the security in its estimates of fair value. Fair value estimates for residential mortgage loans are generated by a discounted cash flow model and are primarily based on observable market-based inputs including discount rates, prepayment speeds, delinquency levels, and credit losses. Management reviews and indirectly corroborates its estimates of the fair value derived using internal models by comparing its results to independent prices provided by dealers in the securities and/or third party pricing services. Certain liquid asset classes, such as Agency fixed-rate pass-throughs, may be priced using independent sources such as quoted prices for TBA securities. Futures contracts are valued using quoted prices for identical instruments in active markets and are classified as Level 1. 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 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 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. |
Derivatives Hedges | 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 case of MAC interest rate swaps, the Company may make or receive a payment at the time of entering into such interest rate swap to compensate for the out of market nature of such interest rate swap. Similar to other interest rate swaps, the Company may have to pledge cash or assets as collateral for the MAC interest rate swap transactions. In the event of a default by the counterparty, the Company could have difficulty obtaining its Residential Investment Securities pledged as collateral as well as receiving payments in accordance with the terms of the derivative contracts. |
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. |
SIGNIFICANT ACCOUNTING POLICI37
SIGNIFICANT ACCOUNTING POLICIES (Tables) | 12 Months Ended |
Dec. 31, 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 Methodology Agency Fixed-rate pass-through (1) Effective yield (3) Adjustable-rate pass-through (1) Effective yield (3) Multifamily (1) Contractual cash flows Collateralized Mortgage Obligation (“CMO”) (1) Effective yield (3) Debentures (1) Contractual cash flows Reverse mortgages (2) Prospective Interest-only (2) Prospective Residential Credit CRT (2) Prospective Alt-A (2) Prospective Prime (2) Prospective Subprime (2) Prospective NPL/RPL (2) Prospective Prime Jumbo (2) Prospective Prime Jumbo interest-only (2) Prospective (1) Changes in fair value are recognized in Other comprehensive income (loss) on the accompanying Consolidated Statements of Comprehensive Income (Loss). (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) 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. |
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 | ASUs not listed below were determined to be either not applicable, are not expected to have a significant impact on our consolidated financial statements when adopted, or did not have a significant impact on our consolidated financial statements upon adoption. Standard Description Effective Date Effect on the financial statements or other significant matters Standards that are not yet adopted ASU 2017-01 Business Combinations (Topic 805) Clarifying the Definition of a Business This update provides a screen to determine and a framework to evaluate when a set of assets and activities is a business. January 1, 2018 (early adoption permitted) The amendments are expected to result in fewer transactions being accounted for as business combinations. ASU 2016-13 Financial Instruments - Credit Losses (Topic 326): Measurement of Credit Losses on Financial Instruments This ASU updates the existing incurred loss model to a current expected credit loss (“CECL”) model for financial assets and net investments in leases that are not accounted for at fair value through earnings. The amendments affect loans, held-to-maturity debt securities, trade receivables, net investments in leases, off-balance sheet credit exposures and any other financial assets not excluded from the scope. There are also limited amendments to the impairment model for available-for-sale debt securities. January 1, 2020 (early adoption permitted) The Company currently plans to adopt the new standard on its effective date. While 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) | 12 Months Ended |
Dec. 31, 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 stock 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 SECURI39
RESIDENTIAL INVESTMENT SECURITIES (Tables) | 12 Months Ended |
Dec. 31, 2017 | |
Investments, Debt and Equity Securities [Abstract] | |
Schedule of Available-for-sale Securities Reconciliation | The following tables present the Company’s Residential Investment Securities portfolio that was carried at their fair value at December 31, 2017 and 2016 : December 31, 2017 Principal / Remaining Premium Remaining Discount Amortized Unrealized (1) Unrealized (1) Estimated Fair Value Agency (dollars in thousands) Fixed-rate pass-through $ 78,509,335 $ 4,514,815 $ (1,750 ) $ 83,022,400 $ 140,115 $ (1,178,673 ) $ 81,983,842 Adjustable-rate pass-through 6,760,991 277,212 (1,952 ) 7,036,251 15,776 (103,121 ) 6,948,906 Interest-only 6,804,715 1,326,761 — 1,326,761 1,863 (242,862 ) 1,085,762 Multifamily 490,753 5,038 (341 ) 495,450 84 (1,845 ) 493,689 Reverse mortgages 35,000 4,527 — 39,527 37 — 39,564 Total Agency investments $ 92,600,794 $ 6,128,353 $ (4,043 ) $ 91,920,389 $ 157,875 $ (1,526,501 ) $ 90,551,763 Residential Credit CRT $ 593,027 $ 25,463 $ (3,456 ) $ 615,034 $ 36,730 $ — $ 651,764 Alt-A 204,213 499 (34,000 ) 170,712 13,976 (802 ) 183,886 Prime 197,756 358 (24,158 ) 173,956 18,804 — 192,760 Subprime 554,470 2,037 (78,561 ) 477,946 56,024 (90 ) 533,880 NPL/RPL 42,585 14 (117 ) 42,482 506 — 42,988 Prime Jumbo (>=2010 Vintage) 130,025 627 (3,956 ) 126,696 1,038 (1,112 ) 126,622 Prime Jumbo (>=2010 Vintage) Interest-Only 989,052 15,287 — 15,287 1,871 — 17,158 Total residential credit investments $ 2,711,128 $ 44,285 $ (144,248 ) $ 1,622,113 $ 128,949 $ (2,004 ) $ 1,749,058 Total Residential Investment Securities $ 95,311,922 $ 6,172,638 $ (148,291 ) $ 93,542,502 $ 286,824 $ (1,528,505 ) $ 92,300,821 December 31, 2016 Principal / Remaining Premium Remaining Discount Amortized Unrealized (1) Unrealized (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 and reverse mortgages, are reported as a component of Other comprehensive income (loss). Unrealized gains and losses on residential credit securities, reverse mortgages 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 at December 31, 2017 and 2016 : Investment Type December 31, 2017 December 31, 2016 (dollars in thousands) Fannie Mae $ 63,361,415 $ 51,658,391 Freddie Mac 27,091,978 23,858,110 Ginnie Mae 98,370 73,372 Total $ 90,551,763 $ 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 at December 31, 2017 and 2016 , according to their estimated weighted average life classifications: December 31, 2017 December 31, 2016 Weighted Average Life Estimated Fair Value Amortized Estimated Fair Value Amortized (dollars in thousands) Less than one year $ 471,977 $ 476,538 $ 63,510 $ 61,775 Greater than one year through five years 13,838,890 13,925,749 12,626,932 12,666,394 Greater than five years through ten years 77,273,833 78,431,852 56,785,601 57,738,588 Greater than ten years 716,121 708,363 8,239,859 8,473,058 Total $ 92,300,821 $ 93,542,502 $ 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 where the fair value option has not been elected, by length of time that such securities have been in a continuous unrealized loss position at December 31, 2017 and 2016 . December 31, 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 $ 39,878,158 $ (272,234 ) 1,114 $ 52,465,045 $ (1,094,957 ) 1,368 12 Months or More 39,491,238 (1,011,405 ) 911 6,277,814 (266,609 ) 54 Total $ 79,369,396 $ (1,283,639 ) 2,025 $ 58,742,859 $ (1,361,566 ) 1,422 (1) Excludes interest-only mortgage-backed securities. |
RESIDENTIAL MORTGAGE LOANS (Tab
RESIDENTIAL MORTGAGE LOANS (Tables) | 12 Months Ended |
Dec. 31, 2017 | |
Mortgage Loans on Real Estate [Abstract] | |
Fair Value and Unpaid Principal of Residential Mortgage Loan Portfolio | The following table presents the fair value and the unpaid principal balances of the residential mortgage loan portfolio at December 31, 2017 and 2016 : December 31, 2017 December 31, 2016 (dollars in thousands) Fair value $ 1,438,322 $ 342,289 Unpaid principal balance $ 1,419,807 $ 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 years ended December 31, 2017 and 2016 for these investments: For the Years Ended: December 31, 2017 December 31, 2016 (dollars in thousands) Net interest income $ 28,817 $ 3,452 Net gains (losses) on disposal of investments (4,704 ) (922 ) Net unrealized gains (losses) on investments measured at fair value through earnings 8,468 (5,614 ) Total included in net income (loss) $ 32,581 $ (3,084 ) |
Geographic Concentrations Based on Unpaid Principal Balances | The following table provides the geographic concentrations based on the unpaid principal balances at December 31, 2017 and 2016 for the residential mortgage loans, including loans held in securitization trusts: Geographic Concentrations of Residential Mortgage Loans December 31, 2017 December 31, 2016 Property Location % of Balance Property Location % of Balance California 49.8% California 46.3% Florida 9.3% Texas 9.6% New York 7.1% Illinois 5.7% All other (none individually greater than 5%) 33.8% Florida 5.2% Washington 5.1% All other (none individually greater than 5%) 28.1% Total 100.0% 100.0% The geographic concentrations of credit risk exceeding 5% of the total loan unpaid principal balances related to the Company’s VIEs at December 31, 2017 are as follows: Securitized Loans at Fair Value Geographic Concentration of Credit Risk FREMF Trusts Residential Mortgage Loan Trusts Property Principal % of Property Principal % of (dollars in thousands) Maryland $ 494,885 17.9 % California $ 191,804 40.3 % Texas 362,898 13.1 % Florida 36,159 7.6 % Virginia 329,250 11.9 % Illinois 24,446 5.1 % New York 280,925 10.1 % Virginia 24,437 5.1 % North Carolina 242,707 8.8 % Other (1) 199,516 41.9 % Pennsylvania 225,810 8.1 % Massachusetts 179,440 6.5 % Ohio 168,746 6.1 % Florida 146,960 5.3 % Other (1) 339,203 12.2 % Total $ 2,770,824 100.0 % Total $ 476,362 100.0 % (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 securitization trusts, at December 31, 2017 and 2016 : December 31, 2017 December 31, 2016 Portfolio Range Portfolio Weighted Portfolio Range Portfolio Weighted (dollars in thousands) Unpaid principal balance $1 - $3,663 $ 514 $22 - $1,905 $ 691 Interest rate 1.63% - 7.50% 4.25 % 2.50% - 6.75% 3.72 % Maturity 1/1/2028 - 5/1/2057 2/1/2043 4/8/2044 - 11/1/2046 8/20/2045 FICO score at loan origination 468 - 823 748 665 - 814 761 Loan-to-value ratio at loan origination 11% - 100% 68 % 24% - 90% 71 % |
Schedule of Residential Mortgage Loans | The following table presents the activity related to residential mortgage loans for the years ended December 31, 2017 and 2016 : December 31, 2017 December 31, 2016 (dollars in thousands) Fair value, beginning of period $ 342,289 $ — Obtained through Hatteras Acquisition — 360,447 Purchases 1,218,491 165,213 Consolidation of VIEs 349,200 — Sales (278,305 ) (134,203 ) Principal repayments (189,465 ) (42,612 ) Amortization of premiums (1,523 ) (942 ) Change in fair value (2,365 ) (5,614 ) Fair value, end of period $ 1,438,322 $ 342,289 |
MORTGAGE SERVICING RIGHTS (Tabl
MORTGAGE SERVICING RIGHTS (Tables) | 12 Months Ended |
Dec. 31, 2017 | |
Transfers and Servicing [Abstract] | |
Presentation of Activity Related to MSR | The Company invests in MSRs and has elected to carry them at fair value. The following table presents activity related to MSRs for the years ended December 31, 2017 and 2016 : December 31, 2017 December 31, 2016 (dollars in thousands) Fair value, beginning of period $ 652,216 $ — Obtained through Hatteras Acquisition — 355,820 Purchases — 166,585 Sales (33 ) — Other (27 ) — Change in fair value due to: Changes in valuation inputs or assumptions (1) (4,629 ) 178,463 Other changes, including realization of expected cash flows (66,667 ) (48,652 ) Fair value, end of period $ 580,860 $ 652,216 (1) Principally represents changes in discount rates and prepayment speed inputs used in valuation model, primarily due to changes in interest rates. |
COMMERCIAL REAL ESTATE INVEST42
COMMERCIAL REAL ESTATE INVESTMENTS (Tables) | 12 Months Ended |
Dec. 31, 2017 | |
Real Estate Properties Base Purchase Price [Abstract] | |
Commercial Real Estate Investments Held for Investment | At December 31, 2017 and 2016 , commercial real estate investments held for investment were comprised of the following: December 31, 2017 December 31, 2016 Outstanding Principal Carrying (1) Percentage (2) Outstanding Principal Carrying (1) Percentage (2) (dollars in thousands) Senior mortgages $ 629,143 $ 625,900 60.9 % $ 512,322 $ 510,071 52.6 % Mezzanine loans 395,015 394,442 38.2 % 453,693 451,467 46.5 % Preferred equity 9,000 8,985 0.9 % 9,000 8,967 0.9 % Total (3) $ 1,033,158 $ 1,029,327 100.0 % $ 975,015 $ 970,505 100.0 % (1) Carrying value includes unamortized origination fees of $3.8 million and $4.5 million at December 31, 2017 and 2016 , respectively. (2) Based on outstanding principal. (3) Excludes loans held for sale, net. December 31, 2017 Senior Mezzanine Preferred Total (dollars in thousands) Beginning balance $ 510,071 $ 451,467 $ 8,967 $ 970,505 Originations & advances (principal) 338,242 69,121 — 407,363 Principal payments (221,421 ) (127,799 ) — (349,220 ) Amortization & accretion of (premium) discounts (44 ) 28 — (16 ) Net (increase) decrease in origination fees (3,317 ) (605 ) — (3,922 ) Amortization of net origination fees 2,369 2,230 18 4,617 Net carrying value $ 625,900 $ 394,442 $ 8,985 $ 1,029,327 December 31, 2016 Senior Senior (1) Mezzanine Preferred 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) Assets of consolidated VIE. (2) Excludes loans held for sale, net. |
Internal Loan and Preferred Equity Ratings | December 31, 2017 Internal Ratings Investment Type Outstanding Principal Percentage of CRE Debt and Preferred Equity Portfolio Performing Performing - Closely Monitored Performing - Special Mention Substandard (1) Doubtful Loss Total (dollars in thousands) Senior mortgages $ 629,143 60.9 % $ 409,878 $ 115,075 $ 36,800 $ 67,390 $ — $ — $ 629,143 Mezzanine loans 395,015 38.2 % 206,169 66,498 122,348 — — — 395,015 Preferred equity 9,000 0.9 % — — 9,000 — — — 9,000 Total $ 1,033,158 100.0 % $ 616,047 $ 181,573 $ 168,148 $ 67,390 $ — $ — $ 1,033,158 December 31, 2016 Internal Ratings Investment Type Outstanding Principal (2) Percentage of CRE Debt and Preferred Equity Portfolio Performing Performing - Closely Monitored Performing - Special Mention Substandard Doubtful Loss Total (dollars in thousands) Senior mortgages $ 512,322 52.6 % $ 144,434 $ 243,448 $ 124,440 $ — $ — $ — $ 512,322 Mezzanine loans 453,693 46.5 % 254,337 170,039 29,317 — — — 453,693 Preferred equity 9,000 0.9 % — — 9,000 — — — 9,000 Total $ 975,015 100.0 % $ 398,771 $ 413,487 $ 162,757 $ — $ — $ — $ 975,015 (1) The Company transferred one loan to Substandard during the year ended December 31, 2017 . The downgrade in risk rating was based on the borrower’s failure to meet originally projected performance targets. The Company evaluated whether an impairment exists and determined that, based on quantitative and qualitative factors, including that the borrower is current, the Company expects timely repayment of contractual amounts due. (2) Excludes Loans held for sale, net. |
Total Commercial Real Estate Held for Investment | December 31, 2017 December 31, 2016 (dollars in thousands) Real estate held for investment, at amortized cost Land $ 111,012 $ 112,675 Buildings and improvements 330,959 335,945 Subtotal 441,971 448,620 Less: accumulated depreciation (48,920 ) (34,221 ) Total real estate held for investment, at amortized cost, net 393,051 414,399 Equity in unconsolidated joint ventures 92,902 60,168 Investments in commercial real estate, net $ 485,953 $ 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 December 31, 2017 for consolidated investments in real estate are as follows: December 31, 2017 (dollars in thousands) 2018 $ 29,245 2019 25,845 2020 21,192 2021 17,029 2022 12,141 Later years 20,552 Total $ 126,004 |
Mortgage Loans Payable | Mortgage loans payable at December 31, 2017 and 2016 , were as follows: December 31, 2017 Property Mortgage Mortgage Interest Rate Fixed/Floating Maturity Date Priority (dollars in thousands) Joint Ventures $ 286,373 $ 289,125 4.03% - 4.61% Fixed 2024 and 2025 First liens Tennessee 12,294 12,350 4.01 % Fixed 9/6/2019 First liens Virginia 11,019 11,025 3.58 % Fixed 6/6/2019 First liens Total $ 309,686 $ 312,500 December 31, 2016 Property Mortgage Mortgage Interest Rate Fixed/Floating 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 Total $ 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 at December 31, 2017 : Mortgage Loan Principal Payments (dollars in thousands) 2018 $ — 2019 23,375 2020 — 2021 — 2022 — Later years 289,125 Total $ 312,500 |
CORPORATE DEBT (Tables)
CORPORATE DEBT (Tables) | 12 Months Ended |
Dec. 31, 2017 | |
Investments, Debt and Equity Securities [Abstract] | |
Schedule of Industry and Rate Sensitivity | The industry and rate sensitivity dispersion of the portfolio at December 31, 2017 and 2016 are as follows: Industry Dispersion December 31, 2017 December 31, 2016 Fixed Rate Floating Rate Total Fixed Rate Floating Rate Total (dollars in thousands) Aircraft and Parts $ — $ 34,814 $ 34,814 $ — $ 32,067 $ 32,067 Coating, Engraving and Allied Services — 64,034 64,034 — — — Commercial Fishing — — — — 40,600 40,600 Computer Programming, Data Processing & Other Computer — 192,946 192,946 — 146,547 146,547 Drugs — 38,708 38,708 — 34,042 34,042 Electronic Components & Accessories — 23,916 23,916 — — — Groceries and Related Products — 14,794 14,794 — 14,856 14,856 Grocery Stores — 23,531 23,531 — 23,761 23,761 Home Health Care Services — 23,779 23,779 — 39,205 39,205 Insurance Agents, Brokers and Services — 28,872 28,872 4,391 73,267 77,658 Management and Public Relations Services — 94,871 94,871 — 16,493 16,493 Medical and Dental Laboratories — 26,956 26,956 — 17,292 17,292 Miscellaneous Business Services — 19,723 19,723 84,486 — 84,486 Miscellaneous Equipment Rental and Leasing — 49,129 49,129 — — — Miscellaneous Health and Allied Services, not elsewhere classified — 25,963 25,963 — 9,791 9,791 Miscellaneous Nonmetallic Minerals, except Fuels — 25,992 25,992 — 24,688 24,688 Miscellaneous Plastic Products — 9,879 9,879 — 27,036 27,036 Motor Vehicles and Motor Vehicle Parts and Supplies — 12,212 12,212 — 12,319 12,319 Offices and Clinics of Doctors of Medicine — 76,678 76,678 — 83,386 83,386 Offices of Clinics and Other Health Practitioners — 18,979 18,979 — — — Personnel Supply Services — — — — 36,921 36,921 Public Warehousing and Storage — 48,890 48,890 — — — Research, Development and Testing Services — 33,155 33,155 — 17,744 17,744 Schools and Educational Services, not elsewhere classified — 20,625 20,625 — 20,979 20,979 Services Allied with the Exchange of Securities — 13,960 13,960 — — — Surgical, Medical, and Dental Instruments and Supplies — 29,687 29,687 — 13,403 13,403 Telephone Communications — 59,182 59,182 — — — Total $ — $ 1,011,275 $ 1,011,275 $ 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 at December 31, 2017 and 2016 . December 31, 2017 December 31, 2016 (dollars in thousands) First lien loans $ 582,724 $ 505,956 Second lien loans 428,551 178,441 Second lien notes — 84,486 Subordinated notes — 4,391 Total $ 1,011,275 $ 773,274 |
VARIABLE INTEREST ENTITIES (Tab
VARIABLE INTEREST ENTITIES (Tables) | 12 Months Ended |
Dec. 31, 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 December 31, 2017 and 2016 are as follows: December 31, 2017 FREMF Trusts Residential Mortgage Loan Trusts MSR Silo (dollars in thousands) Assets Cash and cash equivalents $ — $ — $ 42,293 Commercial real estate debt investments 2,826,357 — — Residential mortgages loans — 478,811 19,667 Mortgage servicing rights — — 580,860 Accrued interest receivable 10,339 1,599 — Other derivatives, at fair value — — 1 Other assets — 1,418 32,354 Total assets $ 2,836,696 $ 481,828 $ 675,175 Liabilities Securitized debt (non-recourse) at fair value $ 2,620,952 $ 350,819 $ — Other secured financing — — 10,496 Accrued interest payable 4,554 931 — Accounts payable and other liabilities — 112 4,856 Total liabilities $ 2,625,506 $ 351,862 $ 15,352 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 mortgage 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 statement of comprehensive income (loss) of the Company’s VIEs that is reflected in the Company’s Consolidated Statements of Comprehensive Income (Loss) at December 31, 2017 is as follows: For the Year Ended December 31, 2017 FREMF Trusts Residential Mortgage Loan Trusts MSR Silo (dollars in thousands) Net interest income: Interest income $ 110,712 $ 5,436 $ 1,500 Interest expense 58,583 1,723 374 Net interest income 52,129 3,713 1,126 Realized gain (loss) on disposal of investments — (831 ) (2,044 ) Net gains (losses) on trading assets — — 14 Unrealized gain (loss) on investments at fair value (1) 4,273 7,865 (71,613 ) Other income (loss) (24,541 ) (361 ) 129,325 General and administration expenses 1 97 2,567 Net income (loss) $ 31,860 $ 10,289 $ 54,241 (1) Included in Net unrealized gains (losses) on investments measured at fair value through earnings. |
Geographic Concentrations Based on Unpaid Principal Balances | The following table provides the geographic concentrations based on the unpaid principal balances at December 31, 2017 and 2016 for the residential mortgage loans, including loans held in securitization trusts: Geographic Concentrations of Residential Mortgage Loans December 31, 2017 December 31, 2016 Property Location % of Balance Property Location % of Balance California 49.8% California 46.3% Florida 9.3% Texas 9.6% New York 7.1% Illinois 5.7% All other (none individually greater than 5%) 33.8% Florida 5.2% Washington 5.1% All other (none individually greater than 5%) 28.1% Total 100.0% 100.0% The geographic concentrations of credit risk exceeding 5% of the total loan unpaid principal balances related to the Company’s VIEs at December 31, 2017 are as follows: Securitized Loans at Fair Value Geographic Concentration of Credit Risk FREMF Trusts Residential Mortgage Loan Trusts Property Principal % of Property Principal % of (dollars in thousands) Maryland $ 494,885 17.9 % California $ 191,804 40.3 % Texas 362,898 13.1 % Florida 36,159 7.6 % Virginia 329,250 11.9 % Illinois 24,446 5.1 % New York 280,925 10.1 % Virginia 24,437 5.1 % North Carolina 242,707 8.8 % Other (1) 199,516 41.9 % Pennsylvania 225,810 8.1 % Massachusetts 179,440 6.5 % Ohio 168,746 6.1 % Florida 146,960 5.3 % Other (1) 339,203 12.2 % Total $ 2,770,824 100.0 % Total $ 476,362 100.0 % (1) No individual state greater than 5% |
FAIR VALUE MEASUREMENTS (Tables
FAIR VALUE MEASUREMENTS (Tables) | 12 Months Ended |
Dec. 31, 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. December 31, 2017 Level 1 Level 2 Level 3 Total (dollars in thousands) Assets: Agency mortgage-backed securities $ — $ 90,551,763 $ — $ 90,551,763 Credit risk transfer securities — 651,764 — 651,764 Non-Agency mortgage-backed securities — 1,097,294 — 1,097,294 Residential mortgage loans — 1,438,322 — 1,438,322 Mortgage servicing rights — — 580,860 580,860 Commercial real estate debt investments — 3,089,108 — 3,089,108 Interest rate swaps — 30,272 — 30,272 Other derivatives 218,361 65,252 — 283,613 Total assets $ 218,361 $ 96,923,775 $ 580,860 $ 97,722,996 Liabilities: Securitized debt of consolidated VIEs $ — $ 2,971,771 $ — $ 2,971,771 Interest rate swaps — 569,129 — 569,129 Other derivatives 12,285 26,440 — 38,725 Total liabilities $ 12,285 $ 3,567,340 $ — $ 3,579,625 December 31, 2016 Level 1 Level 2 Level 3 Total (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. December 31, 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 4.6% - 22.3% (9.4%) Prepayment rate 5.1% - 18.8% (8.7%) Delinquency rate 0.0% - 13.0% (2.2%) Delinquency rate 0.0% - 10.0% (2.3%) Cost to service $84 - $181 ($102) 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 values for financial assets and liabilities at December 31, 2017 and 2016 . December 31, 2017 December 31, 2016 Level in Carrying Fair Carrying Fair Financial assets: (dollars in thousands) Cash and cash equivalents (1) 1 $ 706,589 $ 706,589 $ 1,539,746 $ 1,539,746 Agency mortgage-backed securities 2 90,551,763 90,551,763 75,589,873 75,589,873 Credit risk transfer securities 2 651,764 651,764 724,722 724,722 Non-Agency mortgage-backed securities 2 1,097,294 1,097,294 1,401,307 1,401,307 Residential mortgage loans 2 1,438,322 1,438,322 342,289 342,289 Mortgage servicing rights 3 580,860 580,860 652,216 652,216 Commercial real estate debt investments 2 3,089,108 3,089,108 4,321,739 4,321,739 Commercial real estate debt and preferred equity, held for investment 3 1,029,327 1,035,095 970,505 968,824 Commercial loans held for sale, net 3 — — 114,425 114,425 Corporate debt (2) 2 1,011,275 1,014,139 773,274 776,310 Interest rate swaps (1) 2 30,272 30,272 68,194 68,194 Other derivatives 1,2 283,613 283,613 171,266 171,266 Financial liabilities: Repurchase agreements 1,2 $ 77,696,343 $ 77,697,828 $ 65,215,810 $ 65,256,505 Other secured financing 1,2 3,837,528 3,837,595 3,884,708 3,885,430 Securitized debt of consolidated VIEs 2 2,971,771 2,971,771 3,655,802 3,655,802 Participation sold 2 — — 12,869 12,827 Mortgage payable 3 309,686 310,218 311,636 312,442 Interest rate swaps (1) 2 569,129 569,129 1,443,765 1,443,765 Other derivatives 1,2 38,725 38,725 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 , at December 31, 2016 . The bond was repaid in April 2017 . |
SECURED FINANCING (Tables)
SECURED FINANCING (Tables) | 12 Months Ended |
Dec. 31, 2017 | |
Debt Disclosure [Abstract] | |
Schedule of Repurchase Agreements Remaining Maturity ,Collateral Types and Weighted Average Rates | At December 31, 2017 and 2016 , the repurchase agreements had the following remaining maturities, collateral types and weighted average rates: December 31, 2017 Agency Mortgage-Backed Securities CRTs Non-Agency Mortgage-Backed Securities Commercial Commercial Mortgage-Backed Securities Total Repurchase Agreements Weighted Average Rate (dollars in thousands) 1 day $ — $ — $ — $ — $ — $ — — 2 to 29 days 33,421,609 263,528 253,290 — 18,125 33,956,552 1.69 % 30 to 59 days 10,811,515 7,229 3,658 — 6,375 10,828,777 1.44 % 60 to 89 days 13,800,743 7,214 47,830 — — 13,855,787 1.59 % 90 to 119 days 10,128,006 — — — — 10,128,006 1.39 % Over 120 days (1) 8,542,108 — — 385,113 — 8,927,221 1.77 % Total $ 76,703,981 $ 277,971 $ 304,778 $ 385,113 $ 24,500 $ 77,696,343 1.61 % December 31, 2016 Agency Mortgage-Backed Securities CRTs Non-Agency Mortgage-Backed Securities Commercial 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 1% and 7% of the total repurchase agreements had a remaining maturity over 1 year at December 31, 2017 and 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 at December 31, 2017 and 2016 . Refer to the “Derivative Instruments” Note for information related to the effect of netting arrangements on the Company’s derivative instruments. December 31, 2017 December 31, 2016 Reverse Repurchase Agreements Repurchase Agreements Reverse Repurchase Agreements Repurchase Agreements (dollars in thousands) Gross Amounts $ 1,250,000 $ 78,946,343 $ 400,000 $ 65,615,810 Amounts Offset (1,250,000 ) (1,250,000 ) (400,000 ) (400,000 ) Netted Amounts $ — $ 77,696,343 $ — $ 65,215,810 |
DERIVATIVE INSTRUMENTS (Tables)
DERIVATIVE INSTRUMENTS (Tables) | 12 Months Ended |
Dec. 31, 2017 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Summarizes Fair Value Information about Derivative Assets Liabilities | The table below summarizes fair value information about our derivative assets and liabilities at December 31, 2017 and 2016 : Derivatives Instruments Balance Sheet Location December 31, 2017 December 31, 2016 Assets: (dollars in thousands) Interest rate swaps Interest rate swaps, at fair value $ 30,272 $ 68,194 Interest rate swaptions Other derivatives, at fair value 36,150 — TBA derivatives Other derivatives, at fair value 29,067 2,774 Futures contracts Other derivatives, at fair value 218,361 168,209 Purchase commitments Other derivatives, at fair value 35 283 $ 313,885 $ 239,460 Liabilities: Interest rate swaps Interest rate swaps, at fair value $ 569,129 $ 1,443,765 TBA derivatives Other derivatives, at fair value 21,776 60,972 Futures contracts Other derivatives, at fair value 12,285 24,912 Purchase commitments Other derivatives, at fair value 157 553 Credit derivatives (1) Other derivatives, at fair value 4,507 — $ 607,854 $ 1,530,202 (1) The maximum potential amount of future payments is the notional amount of $125.0 million at December 31, 2017 . |
Summary of Certain Characteristics of Derivatives | The following table summarizes certain characteristics of the Company’s interest rate swaps at December 31, 2017 and 2016 : December 31, 2017 Maturity Current Notional (1) Weighted Average Pay Rate (2) (3) Weighted Average Receive Rate (2) Weighted Average Years to Maturity (2) (dollars in thousands) 0 - 3 years $ 6,532,000 1.56 % 1.62 % 2.08 3 - 6 years 14,791,800 2.12 % 1.57 % 4.51 6 - 10 years 10,179,000 2.35 % 1.58 % 8.04 Greater than 10 years 3,826,400 3.65 % 1.51 % 18.47 Total / Weighted Average $ 35,329,200 2.22 % 1.58 % 6.72 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) Notional amount includes $8.1 billion forward starting pay fixed swaps at December 31, 2017 . There were no forward starting swaps at December 31, 2016 . (2) Excludes forward starting swaps. (3) Weighted average fixed rate on forward starting pay swaps was 1.86% at December 31, 2017 . The following table presents swaptions outstanding at December 31, 2017 . There were no swaptions outstanding at December 31, 2016 . December 31, 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 $ 6,000,000 2.62 % 3M LIBOR 9.97 4.49 The following table summarizes certain characteristics of the Company’s TBA derivatives at December 31, 2017 and 2016 : December 31, 2017 Purchase and sale contracts for Notional Implied Cost Basis Implied Market Value Net Carrying Value (dollars in thousands) Purchase contracts $ 15,828,000 $ 16,381,826 $ 16,390,251 $ 8,425 Sale contracts (250,000 ) (254,804 ) (255,938 ) (1,134 ) Net TBA derivatives 15,578,000 16,127,022 16,134,313 7,291 December 31, 2016 Purchase and sale contracts for 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 at December 31, 2017 and 2016 : December 31, 2017 Notional - Long Notional - Short Weighted Average (dollars in thousands) 2-year swap equivalent Eurodollar contracts $ — $ (17,161,000 ) 2.00 U.S. Treasury futures - 5 year — (4,217,400 ) 4.41 U.S. Treasury futures - 10 year and greater — (4,914,500 ) 7.01 Total $ — $ (26,292,900 ) 3.32 December 31, 2016 Notional - Long Notional - Short Weighted Average (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 |
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 at December 31, 2017 and 2016 , respectively. December 31, 2017 Amounts Eligible for Offset Gross Amounts Financial Instruments Cash Net Amounts Assets: (dollars in thousands) Interest rate swaps, at fair value $ 30,272 $ (27,379 ) $ — $ 2,893 Interest rate swaptions, at fair value 36,150 — — 36,150 TBA derivatives, at fair value 29,067 (12,551 ) — 16,516 Futures contracts, at fair value 218,361 (12,285 ) — 206,076 Purchase commitments 35 — — 35 Liabilities: Interest rate swaps, at fair value $ 569,129 $ (27,379 ) $ — $ 541,750 TBA derivatives, at fair value 21,776 (12,551 ) — 9,225 Futures contracts, at fair value 12,285 (12,285 ) — — Purchase commitments 157 — — 157 Credit Derivatives 4,507 — (3,520 ) 987 December 31, 2016 Amounts Eligible for Offset Gross Amounts Financial Instruments Cash 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 |
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 (1) Realized Gains (Losses) on Termination of Interest Rate Swaps Unrealized Gains (Losses) on (dollars in thousands) For the Years Ended: December 31, 2017 $ (371,108 ) $ (160,133 ) $ 512,918 December 31, 2016 $ (506,681 ) $ (113,941 ) $ 282,190 December 31, 2015 $ (624,495 ) $ (226,462 ) $ (124,869 ) (1) Interest expense related to interest rate swaps is recorded in Realized gains (losses) on interest rate swaps on the Consolidated Statements of Comprehensive Income (Loss). |
Effect of Other Derivative Contracts on the Consolidated Statements of Operations and Comprehensive Income (Loss) | The effect of other derivative contracts on the Company’s Consolidated Statements of Comprehensive Income (Loss) is as follows: Year Ended December 31, 2017 Derivative Instruments Realized Gain (Loss) Unrealized Gain (Loss) Amount of Gain/(Loss) Recognized in (dollars in thousands) Net TBA derivatives $ 154,575 $ 65,490 $ 220,065 Net interest rate swaptions (935 ) (42,660 ) (43,595 ) Futures 20,459 62,778 83,237 Purchase commitments — 162 162 Credit derivatives 1,521 28 1,549 $ 261,418 Year Ended December 31, 2016 Derivative Instruments Realized Gain (Loss) Unrealized Gain (Loss) Amount of Gain/(Loss) Recognized in (dollars in thousands) Net TBA derivatives $ 164,008 $ (50,636 ) $ 113,372 Net interest rate swaptions 4,850 — 4,850 Futures (51,148 ) 163,631 112,483 Purchase commitments — (123 ) (123 ) $ 230,582 |
COMMON STOCK AND PREFERRED ST48
COMMON STOCK AND PREFERRED STOCK (Tables) | 12 Months Ended |
Dec. 31, 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 Years Ended December 31, 2017 December 31, 2016 (dollars in thousands, except per share data) Distributions declared to common stockholders $ 1,285,701 $ 1,162,897 Distributions declared per common share $ 1.20 $ 1.20 Distributions paid to common stockholders after period end $ 347,876 $ 305,674 Distributions paid per common share after period end $ 0.30 $ 0.30 Date of distributions paid to common stockholders after period end January 31, 2018 January 31, 2017 Dividends declared to Series A Preferred stockholders $ 9,527 $ 14,593 Dividends declared per share of Series A Preferred Stock $ 1.285 $ 1.969 Dividends declared to Series C Preferred stockholders $ 22,875 $ 22,875 Dividends declared per share of Series C Preferred Stock $ 1.906 $ 1.906 Dividends declared to Series D Preferred stockholders $ 34,500 $ 34,500 Dividends declared per share of Series D Preferred Stock $ 1.875 $ 1.875 Dividends declared to Series E Preferred stockholders $ 21,922 $ 10,292 Dividends declared per share of Series E Preferred Stock $ 1.906 $ 0.953 Dividends declared to Series F Preferred stockholders $ 20,811 $ — Dividends declared per share of Series F Preferred Stock $ 0.724 $ — |
INTEREST INCOME AND INTEREST 49
INTEREST INCOME AND INTEREST EXPENSE (Tables) | 12 Months Ended |
Dec. 31, 2017 | |
Banking and Thrift, Interest [Abstract] | |
Components of Company's Interest Income and Interest Expense | The following presents the components of the Company’s interest income and interest expense for the years ended December 31, 2017 , 2016 and 2015 . For the Years Ended December 31, 2017 2016 2015 Interest income: (dollars in thousands) Residential Investment Securities $ 2,170,041 $ 1,944,457 $ 1,963,629 Residential mortgage loans 30,540 4,147 — Commercial investment portfolio (1) 273,884 252,436 203,804 Reverse repurchase agreements 18,661 9,911 3,264 Total interest income 2,493,126 2,210,951 2,170,697 Interest expense: Repurchase agreements 891,819 585,826 420,325 Convertible Senior Notes — — 29,740 Securitized debt of consolidated VIEs 60,304 44,392 20,065 Participation sold 195 627 639 Other 56,036 26,907 827 Total interest expense 1,008,354 657,752 471,596 Net interest income $ 1,484,772 $ 1,553,199 $ 1,699,101 (1) Includes commercial real estate debt, preferred equity and corporate debt. |
NET INCOME (LOSS) PER COMMON 50
NET INCOME (LOSS) PER COMMON SHARE (Tables) | 12 Months Ended |
Dec. 31, 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 years ended December 31, 2017 , 2016 and 2015 . For the Years Ended December 31, 2017 December 31, 2016 December 31, 2015 (dollars in thousands, except per share data) Net income (loss) $ 1,569,016 $ 1,432,786 $ 465,747 Less: Net income (loss) attributable to noncontrolling interest (588 ) (970 ) (809 ) Net income (loss) attributable to Annaly 1,569,604 1,433,756 466,556 Less: Dividends on preferred stock 109,635 82,260 71,968 Net income (loss) per share available (related) to common stockholders, prior to adjustment for dilutive potential common shares, if necessary 1,459,969 1,351,496 394,588 Add: Interest on Convertible Senior Notes, if dilutive — — — Net income (loss) available to common stockholders, as adjusted $ 1,459,969 $ 1,351,496 $ 394,588 Weighted average shares of common stock outstanding-basic 1,065,923,652 969,787,583 947,062,099 Add: Effect of stock awards and Convertible Senior Notes, if dilutive 427,964 314,770 214,643 Weighted average shares of common stock outstanding-diluted 1,066,351,616 970,102,353 947,276,742 Net income (loss) per share available (related) to common share: Basic $ 1.37 $ 1.39 $ 0.42 Diluted $ 1.37 $ 1.39 $ 0.42 |
LONG-TERM STOCK INCENTIVE PLAN
LONG-TERM STOCK INCENTIVE PLAN (Tables) | 12 Months Ended |
Dec. 31, 2017 | |
Disclosure of Compensation Related Costs, Share-based Payments [Abstract] | |
Schedule of Issued and Outstanding Stock Options | The following table sets forth activity related to the Company’s stock options awarded under the Plan: For the Years Ended December 31, 2017 December 31, 2016 Number of Shares Weighted Average Number of Shares Weighted Average Options outstanding at the beginning of year 1,125,625 $ 15.43 1,168,775 $ 15.34 Granted — — — — Exercised — — — — Forfeited (132,000 ) 15.74 (6,400 ) 14.69 Expired (199,500 ) 15.74 (36,750 ) 12.90 Options outstanding at the end of period 794,125 $ 15.30 1,125,625 $ 15.43 Options exercisable at the end of the period 794,125 $ 15.30 1,125,625 $ 15.43 |
LEASE COMMITMENTS AND CONTING52
LEASE COMMITMENTS AND CONTINGENCIES (Tables) | 12 Months Ended |
Dec. 31, 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) 2018 $ 3,565 2019 3,565 2020 3,652 2021 3,862 2022 3,862 Later years 10,618 Total $ 29,124 |
SUMMARIZED QUARTERLY RESULTS (T
SUMMARIZED QUARTERLY RESULTS (Tables) | 12 Months Ended |
Dec. 31, 2017 | |
Quarterly Financial Information Disclosure [Abstract] | |
Summary of Quarterly Results of Operations | The following is a presentation of summarized quarterly results of operations for the years ended December 31, 2017 and 2016 . For the Quarters Ended December 31, 2017 September 30, June 30, March 31, (dollars in thousands, expect per share data) Interest income $ 745,423 $ 622,550 $ 537,426 $ 587,727 Interest expense 318,711 268,937 222,281 198,425 Net interest income 426,712 353,613 315,145 389,302 Total realized and unrealized gains (losses) 359,215 43,807 (277,794 ) 74,265 Total other income (loss) 25,064 28,282 30,865 31,646 Less: Total general and administrative expenses 59,257 57,016 54,023 53,828 Income (loss) before income taxes 751,734 368,686 14,193 441,385 Less: Income taxes 4,963 1,371 (329 ) 977 Net income (loss) 746,771 367,315 14,522 440,408 Less: Net income attributable to noncontrolling interest (151 ) (232 ) (102 ) (103 ) Less: Dividends on preferred stock (1) 32,334 30,355 23,473 23,473 Net income (loss) available (related) to common stockholders $ 714,588 $ 337,192 $ (8,849 ) $ 417,038 Net income (loss) available (related) per share to common stockholders: Basic $ 0.62 $ 0.31 $ (0.01 ) $ 0.41 Diluted $ 0.62 $ 0.31 $ (0.01 ) $ 0.41 For the Quarters Ended December 31, 2016 September 30, June 30, March 31, (dollars in thousands, expect per share data) Interest income $ 807,022 $ 558,668 $ 457,118 $ 388,143 Interest expense 183,396 174,154 152,755 147,447 Net interest income 623,626 384,514 304,363 240,696 Total realized and unrealized gains (losses) 1,250,636 412,906 (523,785 ) (1,055,553 ) Total other income (loss) 30,918 29,271 (9,930 ) (6,115 ) Less: Total general and administrative expenses 55,453 97,737 49,221 47,945 Income (loss) before income taxes 1,849,727 728,954 (278,573 ) (868,917 ) Less: Income taxes 1,244 (1,926 ) (76 ) (837 ) Net income (loss) 1,848,483 730,880 (278,497 ) (868,080 ) Less: Net income attributable to noncontrolling interest (87 ) (336 ) (385 ) (162 ) Less: Dividends on preferred stock 23,473 22,803 17,992 17,992 Net income (loss) available (related) to common stockholders $ 1,825,097 $ 708,413 $ (296,104 ) $ (885,910 ) Net income (loss) available (related) per share to common stockholders: Basic $ 1.79 $ 0.70 $ (0.32 ) $ (0.96 ) Diluted $ 1.79 $ 0.70 $ (0.32 ) $ (0.96 ) (1) The quarter ended December 31, 2017 excludes, and the quarter ended September 30, 2017 includes, cumulative and undeclared dividends of $8.3 million on the Company's Series F Preferred Stock as of September 30, 2017 . |
SIGNIFICANT ACCOUNTING POLICI54
SIGNIFICANT ACCOUNTING POLICIES - Additional Information (Details) - USD ($) | 12 Months Ended | ||||
Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | May 31, 2012 | Dec. 31, 2010 | |
Schedule Of Significant Accounting Policies [Line Items] | |||||
Real estate acquired in settlement of residential mortgage loans | $ 0 | $ 0 | |||
Accruals for penalties and interest | 0 | 0 | |||
Other-than-temporary impairment recognized | 0 | 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 | ||||
Convertible Senior Notes 4.00 Percent Due 2015 | |||||
Schedule Of Significant Accounting Policies [Line Items] | |||||
Interest Rate | 4.00% | ||||
Convertible Senior Notes 5.00 Percent Due 2015 | |||||
Schedule Of Significant Accounting Policies [Line Items] | |||||
Interest Rate | 5.00% | ||||
Interest rate swaps | |||||
Schedule Of Significant Accounting Policies [Line Items] | |||||
Centrally cleared interest rate swaps at fair value, reduction | $ 218,300,000 | ||||
Cash on margin with counterparty to interest rate swaps | $ 579,200,000 | $ 1,400,000,000 |
SIGNIFICANT ACCOUNTING POLICI55
SIGNIFICANT ACCOUNTING POLICIES - Summary of Estimated Useful Lives of Assets (Details) | 12 Months Ended |
Dec. 31, 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 |
ACQUISITION OF HATTERAS - Addit
ACQUISITION OF HATTERAS - Additional Information (Details) - USD ($) $ / shares in Units, $ in Thousands, shares in Millions | Jul. 12, 2016 | Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 |
7.625% Series E Cumulative Redeemable Preferred Stock | ||||
Business Acquisition [Line Items] | ||||
Preferred stock dividend rate, percentage | 7.625% | 7.625% | 7.625% | 7.625% |
Cumulative redeemable preferred stock, par value (in dollars per share) | $ 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 | |||
Hatteras | Common Stock | ||||
Business Acquisition [Line Items] | ||||
Business combination, equity consideration transfered | $ 997,707 | |||
Business acquisition, shares issued (in shares) | 93.9 | |||
Hatteras | ||||
Business Acquisition [Line Items] | ||||
Preferred stock dividend rate, percentage | 7.625% | |||
Cumulative redeemable preferred stock, par value (in dollars per share) | $ 0.001 |
ACQUISITION OF HATTERAS - Aggre
ACQUISITION OF HATTERAS - Aggregate Consideration and Preliminary Fair Value of Assets Acquired and Liabilities Assumed (Details) - USD ($) $ in Thousands | Jul. 12, 2016 | Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 |
Net Assets: | ||||
Bargain purchase gain | $ 0 | $ 72,576 | $ 0 | |
Hatteras | ||||
Consideration Transferred: | ||||
Cash | $ 521,082 | |||
Preferred shares: | ||||
Total consideration | 1,806,289 | |||
Net Assets: | ||||
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 | Repurchase agreements | ||||
Net Assets: | ||||
Financial liabilities | 10,422,757 | |||
Hatteras | Credit risk transfer securities, at fair value | ||||
Net Assets: | ||||
Financial assets | 116,770 | |||
Hatteras | Residential mortgage loans | ||||
Net Assets: | ||||
Financial assets | 360,447 | |||
Hatteras | Mortgage servicing rights | ||||
Net Assets: | ||||
Financial assets | 355,820 | |||
Hatteras | Other secured financing | ||||
Net Assets: | ||||
Financial liabilities | 35,769 | |||
Hatteras | Other derivatives, at fair value | ||||
Net Assets: | ||||
Financial assets | 8,677 | |||
Financial liabilities | 349,922 | |||
Hatteras | Agency mortgage-backed securities, at fair value | ||||
Net Assets: | ||||
Financial assets | 10,863,070 | |||
Hatteras | Common Stock | ||||
Consideration Transferred: | ||||
Common equity | 997,707 | |||
Preferred shares: | ||||
Preferred stock | 997,707 | |||
Hatteras | Preferred Stock | ||||
Consideration Transferred: | ||||
Common equity | 287,500 | |||
Preferred shares: | ||||
Exchange of Hatteras preferred stock for Annaly preferred stock | 278,252 | |||
Preferred stock fair value adjustment | 9,248 | |||
Preferred stock | $ 287,500 |
RESIDENTIAL INVESTMENT SECURI58
RESIDENTIAL INVESTMENT SECURITIES - Portfolio (Details) - USD ($) $ in Thousands | Dec. 31, 2017 | Dec. 31, 2016 |
Agency Securities | ||
Mortgage-Backed Securities Portfolio [Line Items] | ||
Principal / Notional | $ 92,600,794 | $ 79,546,231 |
Remaining Premium | 6,128,353 | 5,460,813 |
Remaining Discount | (4,043) | (6,037) |
Amortized Cost | 91,920,389 | 76,867,202 |
Unrealized Gains | 157,875 | 279,905 |
Unrealized Losses | (1,526,501) | (1,557,234) |
Estimated Fair Value | 90,551,763 | 75,589,873 |
Agency Securities | Fixed-rate pass-through | ||
Mortgage-Backed Securities Portfolio [Line Items] | ||
Principal / Notional | 78,509,335 | 60,759,317 |
Remaining Premium | 4,514,815 | 3,633,354 |
Remaining Discount | (1,750) | (1,956) |
Amortized Cost | 83,022,400 | 64,390,715 |
Unrealized Gains | 140,115 | 228,430 |
Unrealized Losses | (1,178,673) | (1,307,771) |
Estimated Fair Value | 81,983,842 | 63,311,373 |
Agency Securities | Adjustable-rate pass-through | ||
Mortgage-Backed Securities Portfolio [Line Items] | ||
Principal / Notional | 6,760,991 | 10,653,109 |
Remaining Premium | 277,212 | 391,267 |
Remaining Discount | (1,952) | (4,081) |
Amortized Cost | 7,036,251 | 11,040,295 |
Unrealized Gains | 15,776 | 47,250 |
Unrealized Losses | (103,121) | (53,795) |
Estimated Fair Value | 6,948,906 | 11,033,751 |
Agency Securities | Interest-only | ||
Mortgage-Backed Securities Portfolio [Line Items] | ||
Principal / Notional | 6,804,715 | 8,133,805 |
Remaining Premium | 1,326,761 | 1,436,192 |
Remaining Discount | 0 | 0 |
Amortized Cost | 1,326,761 | 1,436,192 |
Unrealized Gains | 1,863 | 4,225 |
Unrealized Losses | (242,862) | (195,668) |
Estimated Fair Value | 1,085,762 | 1,244,749 |
Agency Securities | Multifamily | ||
Mortgage-Backed Securities Portfolio [Line Items] | ||
Principal / Notional | 490,753 | |
Remaining Premium | 5,038 | |
Remaining Discount | (341) | |
Amortized Cost | 495,450 | |
Unrealized Gains | 84 | |
Unrealized Losses | (1,845) | |
Estimated Fair Value | 493,689 | |
Agency Securities | Reverse mortgages | ||
Mortgage-Backed Securities Portfolio [Line Items] | ||
Principal / Notional | 35,000 | |
Remaining Premium | 4,527 | |
Remaining Discount | 0 | |
Amortized Cost | 39,527 | |
Unrealized Gains | 37 | |
Unrealized Losses | 0 | |
Estimated Fair Value | 39,564 | |
Residential Credit Securities Mortgage Backed Securities | ||
Mortgage-Backed Securities Portfolio [Line Items] | ||
Principal / Notional | 2,711,128 | 3,072,383 |
Remaining Premium | 44,285 | 29,499 |
Remaining Discount | (144,248) | (165,899) |
Amortized Cost | 1,622,113 | 2,072,613 |
Unrealized Gains | 128,949 | 58,666 |
Unrealized Losses | (2,004) | (5,250) |
Estimated Fair Value | 1,749,058 | 2,126,029 |
Residential Credit Securities Mortgage Backed Securities | CRT | ||
Mortgage-Backed Securities Portfolio [Line Items] | ||
Principal / Notional | 593,027 | 690,491 |
Remaining Premium | 25,463 | 11,113 |
Remaining Discount | (3,456) | (10,907) |
Amortized Cost | 615,034 | 690,697 |
Unrealized Gains | 36,730 | 34,046 |
Unrealized Losses | 0 | (21) |
Estimated Fair Value | 651,764 | 724,722 |
Residential Credit Securities Mortgage Backed Securities | Alt-A | ||
Mortgage-Backed Securities Portfolio [Line Items] | ||
Principal / Notional | 204,213 | 173,108 |
Remaining Premium | 499 | 1,068 |
Remaining Discount | (34,000) | (23,039) |
Amortized Cost | 170,712 | 151,137 |
Unrealized Gains | 13,976 | 3,721 |
Unrealized Losses | (802) | (685) |
Estimated Fair Value | 183,886 | 154,173 |
Residential Credit Securities Mortgage Backed Securities | Prime | ||
Mortgage-Backed Securities Portfolio [Line Items] | ||
Principal / Notional | 197,756 | 248,176 |
Remaining Premium | 358 | 287 |
Remaining Discount | (24,158) | (35,068) |
Amortized Cost | 173,956 | 213,395 |
Unrealized Gains | 18,804 | 7,050 |
Unrealized Losses | 0 | (253) |
Estimated Fair Value | 192,760 | 220,192 |
Residential Credit Securities Mortgage Backed Securities | Subprime | ||
Mortgage-Backed Securities Portfolio [Line Items] | ||
Principal / Notional | 554,470 | 697,983 |
Remaining Premium | 2,037 | 380 |
Remaining Discount | (78,561) | (96,331) |
Amortized Cost | 477,946 | 602,032 |
Unrealized Gains | 56,024 | 12,578 |
Unrealized Losses | (90) | (1,061) |
Estimated Fair Value | 533,880 | 613,549 |
Residential Credit Securities Mortgage Backed Securities | NPL/RPL | ||
Mortgage-Backed Securities Portfolio [Line Items] | ||
Principal / Notional | 42,585 | 269,802 |
Remaining Premium | 14 | 670 |
Remaining Discount | (117) | (209) |
Amortized Cost | 42,482 | 270,263 |
Unrealized Gains | 506 | 1,004 |
Unrealized Losses | 0 | (429) |
Estimated Fair Value | 42,988 | 270,838 |
Residential Credit Securities Mortgage Backed Securities | Prime Jumbo (2010 Vintage) | ||
Mortgage-Backed Securities Portfolio [Line Items] | ||
Principal / Notional | 130,025 | 129,453 |
Remaining Premium | 627 | 852 |
Remaining Discount | (3,956) | (345) |
Amortized Cost | 126,696 | 129,960 |
Unrealized Gains | 1,038 | 267 |
Unrealized Losses | (1,112) | (308) |
Estimated Fair Value | 126,622 | 129,919 |
Residential Credit Securities Mortgage Backed Securities | Prime Jumbo (2010 Vintage) Interest-Only | ||
Mortgage-Backed Securities Portfolio [Line Items] | ||
Principal / Notional | 989,052 | 863,370 |
Remaining Premium | 15,287 | 15,129 |
Remaining Discount | 0 | 0 |
Amortized Cost | 15,287 | 15,129 |
Unrealized Gains | 1,871 | 0 |
Unrealized Losses | 0 | (2,493) |
Estimated Fair Value | 17,158 | 12,636 |
Residential Investments | ||
Mortgage-Backed Securities Portfolio [Line Items] | ||
Principal / Notional | 95,311,922 | 82,618,614 |
Remaining Premium | 6,172,638 | 5,490,312 |
Remaining Discount | (148,291) | (171,936) |
Amortized Cost | 93,542,502 | 78,939,815 |
Unrealized Gains | 286,824 | 338,571 |
Unrealized Losses | (1,528,505) | (1,562,484) |
Estimated Fair Value | $ 92,300,821 | $ 77,715,902 |
RESIDENTIAL INVESTMENT SECURI59
RESIDENTIAL INVESTMENT SECURITIES - Component of Agency Mortgage-Backed Securities Portfolio by Issuing Agency Concentration (Details) - Agency mortgage-backed securities, at fair value - USD ($) $ in Thousands | Dec. 31, 2017 | Dec. 31, 2016 | |
Mortgage-Backed Securities Portfolio [Line Items] | |||
Mortgage-backed securities, including pledged assets | $ 90,551,763 | [1] | $ 75,589,873 |
Fannie Mae | |||
Mortgage-Backed Securities Portfolio [Line Items] | |||
Mortgage-backed securities, including pledged assets | 63,361,415 | 51,658,391 | |
Freddie Mac | |||
Mortgage-Backed Securities Portfolio [Line Items] | |||
Mortgage-backed securities, including pledged assets | 27,091,978 | 23,858,110 | |
Ginnie Mae | |||
Mortgage-Backed Securities Portfolio [Line Items] | |||
Mortgage-backed securities, including pledged assets | $ 98,370 | $ 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 will not be adjusted. |
RESIDENTIAL INVESTMENT SECURI60
RESIDENTIAL INVESTMENT SECURITIES - Weighted Average Life (Details) - Residential Investments - USD ($) $ in Thousands | Dec. 31, 2017 | Dec. 31, 2016 |
Estimated Fair Value | ||
Less than one year | $ 471,977 | $ 63,510 |
Greater than one year through five years | 13,838,890 | 12,626,932 |
Greater than five years through ten years | 77,273,833 | 56,785,601 |
Greater than ten years | 716,121 | 8,239,859 |
Total | 92,300,821 | 77,715,902 |
Amortized Cost | ||
Less than one year | 476,538 | 61,775 |
Greater than one year through five years | 13,925,749 | 12,666,394 |
Greater than five years through ten years | 78,431,852 | 57,738,588 |
Greater than ten years | 708,363 | 8,473,058 |
Total | $ 93,542,502 | $ 78,939,815 |
RESIDENTIAL INVESTMENT SECURI61
RESIDENTIAL INVESTMENT SECURITIES - Unrealized Loss Position (Details) $ in Thousands | Dec. 31, 2017USD ($)security | Dec. 31, 2016USD ($)security |
Unrealized Loss Position For: | ||
Estimated Fair Value | $ 79,369,396 | $ 58,742,859 |
Gross Unrealized Losses | $ (1,283,639) | $ (1,361,566) |
Number of Securities (security) | security | 2,025 | 1,422 |
Available For Sale Securities, Continuous Unrealized Loss Positions, Less Than 12 Months | ||
Unrealized Loss Position For: | ||
Estimated Fair Value | $ 39,878,158 | $ 52,465,045 |
Gross Unrealized Losses | $ (272,234) | $ (1,094,957) |
Number of Securities (security) | security | 1,114 | 1,368 |
Available For Sale Securities, Continuous Unrealized Loss Positions, Greater Than 12 Months | ||
Unrealized Loss Position For: | ||
Estimated Fair Value | $ 39,491,238 | $ 6,277,814 |
Gross Unrealized Losses | $ (1,011,405) | $ (266,609) |
Number of Securities (security) | security | 911 | 54 |
RESIDENTIAL INVESTMENT SECURI62
RESIDENTIAL INVESTMENT SECURITIES - Additional Information (Details) - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | |
Investments, Debt and Equity Securities [Abstract] | |||
Residential Investment securities sold, carrying value | $ 12,900 | $ 12,300 | $ 23,900 |
Residential Investment securities sold, net realized gain (loss) | $ (6.4) | $ 31 | $ 63.3 |
RESIDENTIAL MORTGAGE LOANS - Fa
RESIDENTIAL MORTGAGE LOANS - Fair Value and Unpaid Principal of Residential Mortgage Loan Portfolio (Details) - Residential Mortgage - USD ($) $ in Thousands | Dec. 31, 2017 | Dec. 31, 2016 |
Mortgage Loans on Real Estate [Line Items] | ||
Fair value | $ 1,438,322 | $ 342,289 |
Unpaid principal balance | $ 1,419,807 | $ 338,323 |
RESIDENTIAL MORTGAGE LOANS - Su
RESIDENTIAL MORTGAGE LOANS - Summary of Comprehensive Income (Loss) (Details) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended | |||||||||
Dec. 31, 2017 | Sep. 30, 2017 | Jun. 30, 2017 | Mar. 31, 2017 | Dec. 31, 2016 | Sep. 30, 2016 | Jun. 30, 2016 | Mar. 31, 2016 | Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | |
Mortgage Loans on Real Estate [Line Items] | |||||||||||
Net interest income | $ 426,712 | $ 353,613 | $ 315,145 | $ 389,302 | $ 623,626 | $ 384,514 | $ 304,363 | $ 240,696 | $ 1,484,772 | $ 1,553,199 | $ 1,699,101 |
Net gains (losses) on disposal of investments | (6,352) | 31,039 | 63,317 | ||||||||
Net income (loss) attributable to Annaly | 1,569,604 | 1,433,756 | $ 466,556 | ||||||||
Residential Mortgage | |||||||||||
Mortgage Loans on Real Estate [Line Items] | |||||||||||
Net interest income | 28,817 | 3,452 | |||||||||
Net gains (losses) on disposal of investments | (4,704) | (922) | |||||||||
Net unrealized gains (losses) on investments measured at fair value through earnings | 8,468 | (5,614) | |||||||||
Net income (loss) attributable to Annaly | $ 32,581 | $ (3,084) |
RESIDENTIAL MORTGAGE LOANS - Ge
RESIDENTIAL MORTGAGE LOANS - Geographic Concentrations Based on Unpaid Principal Balances (Details) - Residential Mortgage Loans - Geographic Concentration Risk | 12 Months Ended | |
Dec. 31, 2017 | Dec. 31, 2016 | |
Mortgage Loans on Real Estate [Line Items] | ||
Geographic Concentrations of Residential Mortgage Loans | 100.00% | 100.00% |
California | ||
Mortgage Loans on Real Estate [Line Items] | ||
Geographic Concentrations of Residential Mortgage Loans | 49.80% | 46.30% |
Texas | ||
Mortgage Loans on Real Estate [Line Items] | ||
Geographic Concentrations of Residential Mortgage Loans | 9.60% | |
New York | ||
Mortgage Loans on Real Estate [Line Items] | ||
Geographic Concentrations of Residential Mortgage Loans | 7.10% | |
Illinois | ||
Mortgage Loans on Real Estate [Line Items] | ||
Geographic Concentrations of Residential Mortgage Loans | 5.70% | |
Florida | ||
Mortgage Loans on Real Estate [Line Items] | ||
Geographic Concentrations of Residential Mortgage Loans | 9.30% | 5.20% |
Washington | ||
Mortgage Loans on Real Estate [Line Items] | ||
Geographic Concentrations of Residential Mortgage Loans | 5.10% | |
All other (none individually greater than 5%) | ||
Mortgage Loans on Real Estate [Line Items] | ||
Geographic Concentrations of Residential Mortgage Loans | 33.80% | 28.10% |
RESIDENTIAL MORTGAGE LOANS - Ad
RESIDENTIAL MORTGAGE LOANS - Additional Information about Residential Mortgage Loans (Details) - Residential Mortgage $ in Thousands | 12 Months Ended | |
Dec. 31, 2017USD ($)point | Dec. 31, 2016USD ($)point | |
Mortgage Loans on Real Estate [Line Items] | ||
Unpaid principal balance | $ 1,419,807 | $ 338,323 |
Minimum | ||
Mortgage Loans on Real Estate [Line Items] | ||
Unpaid principal balance | $ 1 | $ 22 |
Interest rate | 1.63% | 2.50% |
FICO score at loan origination | point | 468 | 665 |
Loan-to-value ratio at loan origination | 11.00% | 24.00% |
Maximum | ||
Mortgage Loans on Real Estate [Line Items] | ||
Unpaid principal balance | $ 3,663 | $ 1,905 |
Interest rate | 7.50% | 6.75% |
FICO score at loan origination | point | 823 | 814 |
Loan-to-value ratio at loan origination | 100.00% | 90.00% |
Weighted Average | ||
Mortgage Loans on Real Estate [Line Items] | ||
Unpaid principal balance | $ 514 | $ 691 |
Interest rate | 4.25% | 3.72% |
FICO score at loan origination | point | 748 | 761 |
Loan-to-value ratio at loan origination | 68.00% | 71.00% |
RESIDENTIAL MORTGAGE LOANS - 67
RESIDENTIAL MORTGAGE LOANS - Additional Information (Details) | Dec. 31, 2017 | Dec. 31, 2016 |
Residential Mortgage | ||
Mortgage Loans on Real Estate [Line Items] | ||
Percent of adjustable-rate loans | 78.00% | 85.00% |
RESIDENTIAL MORTGAGE LOANS - Sc
RESIDENTIAL MORTGAGE LOANS - Schedule of Residential Mortgage Loans (Details) - USD ($) $ in Thousands | 12 Months Ended | |||
Dec. 31, 2017 | Dec. 31, 2016 | |||
Movement in Mortgage Loans on Real Estate [Roll Forward] | ||||
Fair value, beginning of period | [1] | $ 342,289 | ||
Principal repayments | (349,220) | $ (654,117) | ||
Fair value, end of period | [1] | 1,438,322 | [2] | 342,289 |
Residential Mortgage | ||||
Movement in Mortgage Loans on Real Estate [Roll Forward] | ||||
Fair value, beginning of period | 342,289 | 0 | ||
Purchases | 1,218,491 | 165,213 | ||
Consolidation of VIEs | 349,200 | 0 | ||
Sales | (278,305) | (134,203) | ||
Principal repayments | (189,465) | (42,612) | ||
Amortization of premiums | (1,523) | (942) | ||
Change in fair value | (2,365) | (5,614) | ||
Fair value, end of period | 1,438,322 | 342,289 | ||
Residential Mortgage | Hatteras | ||||
Movement in Mortgage Loans on Real Estate [Roll Forward] | ||||
Obtained through Hatteras Acquisition | $ 0 | $ 360,447 | ||
[1] | Includes securitized residential mortgage loans of a consolidated VIE carried at fair value of $478.8 million and $165.9 million at December 31, 2017 and 2016, respectively | |||
[2] | As a result of a change to a clearing organization’s rulebook effective January 3, 2017, beginning with the first quarter 2017 and in subsequent periods the Company is presenting the fair value of centrally cleared interest rate swaps net of variation margin pledged under such transactions. The variation margin was previously reported under cash and cash equivalents and is currently reported as a reduction to interest rate swaps, at fair value. Balances reported prior to the effective date will not be adjusted. |
MORTGAGE SERVICING RIGHTS - Pre
MORTGAGE SERVICING RIGHTS - Presentation of Activity Related to MSR (Details) - USD ($) $ in Thousands | 9 Months Ended | 12 Months Ended | |
Sep. 30, 2017 | Dec. 31, 2017 | Dec. 31, 2016 | |
Servicing Asset at Fair Value, Amount [Roll Forward] | |||
Fair value, beginning of period | $ 652,216 | $ 652,216 | $ 0 |
Sales | (33) | 0 | |
Other | (27) | 0 | |
Change in fair value due to: | |||
Changes in valuation inputs or assumptions | (4,629) | 178,463 | |
Other changes, including realization of expected cash flows | (66,667) | (48,652) | |
Fair value, end of period | 580,860 | $ 580,860 | 652,216 |
Purchased Servicing Rights | |||
Servicing Asset at Fair Value, Amount [Roll Forward] | |||
Purchases | 0 | 166,585 | |
Hatteras | |||
Servicing Asset at Fair Value, Amount [Roll Forward] | |||
Obtained through Hatteras Acquisition | $ 0 | $ 355,820 |
MORTGAGE SERVICING RIGHTS - Add
MORTGAGE SERVICING RIGHTS - Additional Information (Details) - USD ($) $ in Millions | 12 Months Ended | |
Dec. 31, 2017 | Dec. 31, 2016 | |
Transfers and Servicing [Abstract] | ||
Service income fee | $ 129.4 | $ 60.5 |
COMMERCIAL REAL ESTATE INVEST71
COMMERCIAL REAL ESTATE INVESTMENTS - CRE Debt and Preferred Equity Investments (Details) - USD ($) $ in Thousands | Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 |
Real Estate [Line Items] | |||
Carrying Value | $ 1,029,327 | $ 970,505 | $ 1,348,817 |
Carrying value, unamortized origination fees | 3,800 | 4,500 | |
Preferred equity | |||
Real Estate [Line Items] | |||
Carrying Value | 8,985 | 8,967 | 121,773 |
Commercial Mortgage | |||
Real Estate [Line Items] | |||
Outstanding Principal | 1,033,158 | 975,015 | |
Carrying Value | $ 1,029,327 | $ 970,505 | |
Percentage of Loan Portfolio | 100.00% | 100.00% | |
Commercial Mortgage | Mezzanine loans | |||
Real Estate [Line Items] | |||
Outstanding Principal | $ 395,015 | $ 453,693 | |
Carrying Value | $ 394,442 | $ 451,467 | 578,503 |
Percentage of Loan Portfolio | 38.20% | 46.50% | |
Commercial Mortgage | Senior mortgages | |||
Real Estate [Line Items] | |||
Outstanding Principal | $ 629,143 | $ 512,322 | |
Carrying Value | $ 625,900 | $ 510,071 | $ 385,838 |
Percentage of Loan Portfolio | 60.90% | 52.60% | |
Commercial Mortgage | Preferred equity | |||
Real Estate [Line Items] | |||
Outstanding Principal | $ 9,000 | $ 9,000 | |
Carrying Value | $ 8,985 | $ 8,967 | |
Percentage of Loan Portfolio | 0.90% | 0.90% |
COMMERCIAL REAL ESTATE INVEST72
COMMERCIAL REAL ESTATE INVESTMENTS - CRE Debt and Preferred Equity Investments -Based on Outstanding Principal (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | |
Movement in Mortgage Loans on Real Estate [Roll Forward] | |||
Net carrying value, beginning balance | $ 1,029,327 | $ 970,505 | $ 1,348,817 |
Originations & advances (principal) | 407,363 | 273,708 | |
Principal payments | (349,220) | (654,117) | |
Amortization & accretion of (premium) discounts | (16) | (314) | |
Net (increase) decrease in origination fees | (3,922) | (2,558) | |
Amortization of net origination fees | 4,617 | 4,967 | 4,263 |
Net carrying value, ending balance | 970,505 | 1,348,817 | |
Preferred equity | |||
Movement in Mortgage Loans on Real Estate [Roll Forward] | |||
Net carrying value, beginning balance | 8,985 | 8,967 | 121,773 |
Originations & advances (principal) | 0 | 0 | |
Principal payments | 0 | (113,444) | |
Amortization & accretion of (premium) discounts | 0 | 0 | |
Net (increase) decrease in origination fees | 0 | 0 | |
Amortization of net origination fees | 18 | 638 | |
Net carrying value, ending balance | 8,967 | 121,773 | |
Commercial Mortgage | |||
Movement in Mortgage Loans on Real Estate [Roll Forward] | |||
Net carrying value, beginning balance | 1,029,327 | 970,505 | |
Net carrying value, ending balance | 970,505 | ||
Commercial Mortgage | Mezzanine loans | |||
Movement in Mortgage Loans on Real Estate [Roll Forward] | |||
Net carrying value, beginning balance | 394,442 | 451,467 | 578,503 |
Originations & advances (principal) | 69,121 | 62,390 | |
Principal payments | (127,799) | (191,291) | |
Amortization & accretion of (premium) discounts | 28 | (178) | |
Net (increase) decrease in origination fees | (605) | (472) | |
Amortization of net origination fees | 2,230 | 2,515 | |
Net carrying value, ending balance | 451,467 | 578,503 | |
Commercial Mortgage | Senior mortgages | |||
Movement in Mortgage Loans on Real Estate [Roll Forward] | |||
Net carrying value, beginning balance | 625,900 | 510,071 | 385,838 |
Originations & advances (principal) | 338,242 | 211,318 | |
Principal payments | (221,421) | (86,310) | |
Amortization & accretion of (premium) discounts | (44) | (136) | |
Net (increase) decrease in origination fees | (3,317) | (2,086) | |
Amortization of net origination fees | 2,369 | 1,447 | |
Net carrying value, ending balance | 510,071 | 385,838 | |
Commercial Mortgage | Senior Securitized Mortgages | |||
Movement in Mortgage Loans on Real Estate [Roll Forward] | |||
Net carrying value, beginning balance | 0 | $ 262,703 | |
Originations & advances (principal) | 0 | ||
Principal payments | (263,072) | ||
Amortization & accretion of (premium) discounts | 0 | ||
Net (increase) decrease in origination fees | 0 | ||
Amortization of net origination fees | 369 | ||
Net carrying value, ending balance | 0 | 262,703 | |
Commercial Mortgage | Preferred equity | |||
Movement in Mortgage Loans on Real Estate [Roll Forward] | |||
Net carrying value, beginning balance | 8,985 | $ 8,967 | |
Net carrying value, ending balance | $ 8,967 |
COMMERCIAL REAL ESTATE INVEST73
COMMERCIAL REAL ESTATE INVESTMENTS - Additional Information (Details) | 9 Months Ended | 12 Months Ended | |||
Sep. 30, 2017 | Dec. 31, 2017USD ($)property | Dec. 31, 2016USD ($) | Dec. 31, 2015USD ($) | Dec. 11, 2015USD ($) | |
Real Estate Properties [Line Items] | |||||
Outstanding impaired loans, nonaccrual loans, and loans in default | $ 0 | $ 0 | |||
Allowance for loan losses | $ 0 | $ 0 | |||
Loans receivable with variable rates of interest | 86.00% | 77.00% | |||
Number of commercial real estate acquired (property) | property | 0 | ||||
Number of wholly owned real estate properties sold (property) | property | 1 | ||||
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 6 months | ||||
Depreciation expense | $ 17,336,000 | $ 21,868,000 | $ 12,661,000 | ||
General and Administrative Expense | |||||
Real Estate Properties [Line Items] | |||||
Depreciation expense | 15,800,000 | 20,400,000 | |||
Commercial Mortgage Loan | |||||
Real Estate Properties [Line Items] | |||||
Debt instrument face amount | $ 312,500,000 | 314,865,000 | |||
Commercial Mortgage Loan | California | Eight Class AB Office Properties In Orange Country California | |||||
Real Estate Properties [Line Items] | |||||
Debt instrument face amount | $ 335,000,000 | ||||
Commercial Mortgage Loan | California | Eight Class AB Office Properties In Orange Country California | Senior Loans | |||||
Real Estate Properties [Line Items] | |||||
Remaining senior loans held for sale | 115,000,000 | ||||
Remaining senior loans held for sale, net of origination fees | $ 114,400,000 |
COMMERCIAL REAL ESTATE INVEST74
COMMERCIAL REAL ESTATE INVESTMENTS - Internal CRE Debt and Preferred Equity Ratings (Details) $ in Thousands | 12 Months Ended | |
Dec. 31, 2017USD ($)loan | Dec. 31, 2016USD ($) | |
Real Estate [Line Items] | ||
Number of transferred investments (loan) | loan | 1 | |
Commercial Mortgage | ||
Real Estate [Line Items] | ||
Percentage of CRE Debt and Preferred Equity Portfolio | 100.00% | 100.00% |
Performing | $ 616,047 | $ 398,771 |
Performing - Closely Monitored | 181,573 | 413,487 |
Performing - Special Mention | 168,148 | 162,757 |
Substandard | 67,390 | 0 |
Doubtful | 0 | 0 |
Loss | 0 | 0 |
Total | $ 1,033,158 | $ 975,015 |
Commercial Mortgage | Mezzanine loans | ||
Real Estate [Line Items] | ||
Percentage of CRE Debt and Preferred Equity Portfolio | 38.20% | 46.50% |
Performing | $ 206,169 | $ 254,337 |
Performing - Closely Monitored | 66,498 | 170,039 |
Performing - Special Mention | 122,348 | 29,317 |
Substandard | 0 | 0 |
Doubtful | 0 | 0 |
Loss | 0 | 0 |
Total | $ 395,015 | $ 453,693 |
Commercial Mortgage | Senior mortgages | ||
Real Estate [Line Items] | ||
Percentage of CRE Debt and Preferred Equity Portfolio | 60.90% | 52.60% |
Performing | $ 409,878 | $ 144,434 |
Performing - Closely Monitored | 115,075 | 243,448 |
Performing - Special Mention | 36,800 | 124,440 |
Substandard | 67,390 | 0 |
Doubtful | 0 | 0 |
Loss | 0 | 0 |
Total | $ 629,143 | $ 512,322 |
Commercial Mortgage | Preferred equity | ||
Real Estate [Line Items] | ||
Percentage of CRE Debt and Preferred Equity Portfolio | 0.90% | 0.90% |
Performing | $ 0 | $ 0 |
Performing - Closely Monitored | 0 | 0 |
Performing - Special Mention | 9,000 | 9,000 |
Substandard | 0 | 0 |
Doubtful | 0 | 0 |
Loss | 0 | 0 |
Total | $ 9,000 | $ 9,000 |
COMMERCIAL REAL ESTATE INVEST75
COMMERCIAL REAL ESTATE INVESTMENTS - Total Commercial Real Estate Held for Investments (Details) - USD ($) $ in Thousands | Dec. 31, 2017 | Dec. 31, 2016 | |
Real estate held for investment, at amortized cost | |||
Real estate held for investment, at amortized cost | $ 441,971 | $ 448,620 | |
Less: accumulated depreciation | (48,920) | (34,221) | |
Total real estate held for investment, at amortized cost, net | 393,051 | 414,399 | |
Equity in unconsolidated joint ventures | 92,902 | 60,168 | |
Investments in commercial real estate, net | 485,953 | [1] | 474,567 |
Land | |||
Real estate held for investment, at amortized cost | |||
Real estate held for investment, at amortized cost | 111,012 | 112,675 | |
Buildings and improvements | |||
Real estate held for investment, at amortized cost | |||
Real estate held for investment, at amortized cost | $ 330,959 | $ 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 will not be adjusted. |
COMMERCIAL REAL ESTATE INVEST76
COMMERCIAL REAL ESTATE INVESTMENTS - Minimum Future Rentals to be Received on Noncancelable Operating Leases (Details) $ in Thousands | Dec. 31, 2017USD ($) |
Real Estate Properties Base Purchase Price [Abstract] | |
2,018 | $ 29,245 |
2,019 | 25,845 |
2,020 | 21,192 |
2,021 | 17,029 |
2,022 | 12,141 |
Later years | 20,552 |
Total | $ 126,004 |
COMMERCIAL REAL ESTATE INVEST77
COMMERCIAL REAL ESTATE INVESTMENTS - Mortgage Loans Payable (Details) - USD ($) $ in Thousands | 9 Months Ended | 12 Months Ended | |
Sep. 30, 2017 | Dec. 31, 2017 | Dec. 31, 2016 | |
Mortgage Loans on Real Estate [Line Items] | |||
Variable interest rate | 86.00% | 77.00% | |
Commercial Mortgage Loan | |||
Mortgage Loans on Real Estate [Line Items] | |||
Mortgage Carrying Value | $ 309,686 | $ 311,636 | |
Mortgage Principal | $ 312,500 | 314,865 | |
Commercial Mortgage Loan | Nevada | |||
Mortgage Loans on Real Estate [Line Items] | |||
Mortgage Carrying Value | 2,367 | ||
Mortgage Principal | $ 2,365 | ||
Interest Rate | 3.45% | ||
Commercial Mortgage Loan | Nevada | LIBOR | |||
Mortgage Loans on Real Estate [Line Items] | |||
Variable interest rate | 2.00% | 2.00% | |
Commercial Mortgage Loan | Three Thousand One Hundred South Mall | |||
Mortgage Loans on Real Estate [Line Items] | |||
Mortgage Carrying Value | $ 12,294 | $ 12,261 | |
Mortgage Principal | $ 12,350 | $ 12,350 | |
Interest Rate | 4.01% | 4.014% | |
Commercial Mortgage Loan | Twelve Thousand One Hundred Fifty-One Jefferson | |||
Mortgage Loans on Real Estate [Line Items] | |||
Mortgage Carrying Value | $ 11,019 | $ 11,015 | |
Mortgage Principal | $ 11,025 | $ 11,025 | |
Interest Rate | 3.58% | 3.578% | |
Commercial Mortgage Loan | Joint Ventures | |||
Mortgage Loans on Real Estate [Line Items] | |||
Mortgage Carrying Value | $ 286,373 | $ 285,993 | |
Mortgage Principal | $ 289,125 | $ 289,125 | |
Commercial Mortgage Loan | Joint Ventures | Minimum | |||
Mortgage Loans on Real Estate [Line Items] | |||
Interest Rate | 4.03% | 4.03% | |
Commercial Mortgage Loan | Joint Ventures | Maximum | |||
Mortgage Loans on Real Estate [Line Items] | |||
Interest Rate | 4.61% | 4.61% |
COMMERCIAL REAL ESTATE INVEST78
COMMERCIAL REAL ESTATE INVESTMENTS - Future Mortgage Loan Principal Payments (Details) $ in Thousands | Dec. 31, 2017USD ($) |
Real Estate Properties Base Purchase Price [Abstract] | |
2,018 | $ 0 |
2,019 | 23,375 |
2,020 | 0 |
2,021 | 0 |
2,022 | 0 |
Later years | 289,125 |
Total | $ 312,500 |
CORPORATE DEBT - Schedule of In
CORPORATE DEBT - Schedule of Industry and Rate Sensitivity (Details) - USD ($) $ in Thousands | Dec. 31, 2017 | Dec. 31, 2016 | |
Schedule of Held-to-maturity Securities [Line Items] | |||
Corporate debt | $ 1,011,275 | [1] | $ 773,274 |
Aircraft and Parts | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Corporate debt | 34,814 | 32,067 | |
Coating, Engraving and Allied Services | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Corporate debt | 64,034 | 0 | |
Commercial Fishing | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Corporate debt | 0 | 40,600 | |
Computer Programming, Data Processing & Other Computer Related Services | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Corporate debt | 192,946 | 146,547 | |
Drugs | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Corporate debt | 38,708 | 34,042 | |
Electronic Components & Accessories | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Corporate debt | 23,916 | 0 | |
Groceries and Related Products | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Corporate debt | 14,794 | 14,856 | |
Grocery Stores | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Corporate debt | 23,531 | 23,761 | |
Home Health Care Services | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Corporate debt | 23,779 | 39,205 | |
Insurance Agents, Brokers and Services | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Corporate debt | 28,872 | 77,658 | |
Management and Public Relations Services | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Corporate debt | 94,871 | 16,493 | |
Medical and Dental Laboratories | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Corporate debt | 26,956 | 17,292 | |
Miscellaneous Business Services | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Corporate debt | 19,723 | 84,486 | |
Miscellaneous Equipment Rental and Leasing | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Corporate debt | 49,129 | 0 | |
Miscellaneous Health and Allied Services, not elsewhere classified | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Corporate debt | 25,963 | 9,791 | |
Miscellaneous Nonmetallic Minerals, except Fuels | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Corporate debt | 25,992 | 24,688 | |
Miscellaneous Plastic Products | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Corporate debt | 9,879 | 27,036 | |
Motor Vehicles and Motor Vehicle Parts and Supplies | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Corporate debt | 12,212 | 12,319 | |
Offices and Clinics of Doctors of Medicine | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Corporate debt | 76,678 | 83,386 | |
Offices of Clinics and Other Health Practitioners | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Corporate debt | 18,979 | 0 | |
Personnel Supply Services | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Corporate debt | 0 | 36,921 | |
Public Warehousing and Storage | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Corporate debt | 48,890 | 0 | |
Research, Development and Testing Services | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Corporate debt | 33,155 | 17,744 | |
Schools and Educational Services, not elsewhere classified | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Corporate debt | 20,625 | 20,979 | |
Services Allied with the Exchange of Securities | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Corporate debt | 13,960 | 0 | |
Surgical, Medical, and Dental Instruments and Supplies | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Corporate debt | 29,687 | 13,403 | |
Telephone Communications | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Corporate debt | 59,182 | 0 | |
Fixed Rate | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Corporate debt | 0 | 88,877 | |
Fixed Rate | Aircraft and Parts | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Corporate debt | 0 | 0 | |
Fixed Rate | Coating, Engraving and Allied Services | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Corporate debt | 0 | 0 | |
Fixed Rate | Commercial Fishing | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Corporate debt | 0 | 0 | |
Fixed Rate | Computer Programming, Data Processing & Other Computer Related Services | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Corporate debt | 0 | 0 | |
Fixed Rate | Drugs | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Corporate debt | 0 | 0 | |
Fixed Rate | Electronic Components & Accessories | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Corporate debt | 0 | 0 | |
Fixed Rate | Groceries and Related Products | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Corporate debt | 0 | 0 | |
Fixed Rate | Grocery Stores | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Corporate debt | 0 | 0 | |
Fixed Rate | Home Health Care Services | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Corporate debt | 0 | 0 | |
Fixed Rate | Insurance Agents, Brokers and Services | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Corporate debt | 0 | 4,391 | |
Fixed Rate | Management and Public Relations Services | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Corporate debt | 0 | 0 | |
Fixed Rate | Medical and Dental Laboratories | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Corporate debt | 0 | 0 | |
Fixed Rate | Miscellaneous Business Services | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Corporate debt | 0 | 84,486 | |
Fixed Rate | Miscellaneous Equipment Rental and Leasing | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Corporate debt | 0 | 0 | |
Fixed Rate | Miscellaneous Health and Allied Services, not elsewhere classified | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Corporate debt | 0 | 0 | |
Fixed Rate | Miscellaneous Nonmetallic Minerals, except Fuels | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Corporate debt | 0 | 0 | |
Fixed Rate | Miscellaneous Plastic Products | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Corporate debt | 0 | 0 | |
Fixed Rate | Motor Vehicles and Motor Vehicle Parts and Supplies | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Corporate debt | 0 | 0 | |
Fixed Rate | Offices and Clinics of Doctors of Medicine | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Corporate debt | 0 | 0 | |
Fixed Rate | Offices of Clinics and Other Health Practitioners | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Corporate debt | 0 | 0 | |
Fixed Rate | Personnel Supply Services | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Corporate debt | 0 | 0 | |
Fixed Rate | Public Warehousing and Storage | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Corporate debt | 0 | 0 | |
Fixed Rate | Research, Development and Testing Services | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Corporate debt | 0 | 0 | |
Fixed Rate | Schools and Educational Services, not elsewhere classified | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Corporate debt | 0 | 0 | |
Fixed Rate | Services Allied with the Exchange of Securities | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Corporate debt | 0 | 0 | |
Fixed Rate | Surgical, Medical, and Dental Instruments and Supplies | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Corporate debt | 0 | 0 | |
Fixed Rate | Telephone Communications | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Corporate debt | 0 | 0 | |
Floating Rate | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Corporate debt | 1,011,275 | 684,397 | |
Floating Rate | Aircraft and Parts | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Corporate debt | 34,814 | 32,067 | |
Floating Rate | Coating, Engraving and Allied Services | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Corporate debt | 64,034 | 0 | |
Floating Rate | Commercial Fishing | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Corporate debt | 0 | 40,600 | |
Floating Rate | Computer Programming, Data Processing & Other Computer Related Services | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Corporate debt | 192,946 | 146,547 | |
Floating Rate | Drugs | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Corporate debt | 38,708 | 34,042 | |
Floating Rate | Electronic Components & Accessories | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Corporate debt | 23,916 | 0 | |
Floating Rate | Groceries and Related Products | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Corporate debt | 14,794 | 14,856 | |
Floating Rate | Grocery Stores | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Corporate debt | 23,531 | 23,761 | |
Floating Rate | Home Health Care Services | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Corporate debt | 23,779 | 39,205 | |
Floating Rate | Insurance Agents, Brokers and Services | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Corporate debt | 28,872 | 73,267 | |
Floating Rate | Management and Public Relations Services | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Corporate debt | 94,871 | 16,493 | |
Floating Rate | Medical and Dental Laboratories | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Corporate debt | 26,956 | 17,292 | |
Floating Rate | Miscellaneous Business Services | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Corporate debt | 19,723 | 0 | |
Floating Rate | Miscellaneous Equipment Rental and Leasing | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Corporate debt | 49,129 | 0 | |
Floating Rate | Miscellaneous Health and Allied Services, not elsewhere classified | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Corporate debt | 25,963 | 9,791 | |
Floating Rate | Miscellaneous Nonmetallic Minerals, except Fuels | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Corporate debt | 25,992 | 24,688 | |
Floating Rate | Miscellaneous Plastic Products | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Corporate debt | 9,879 | 27,036 | |
Floating Rate | Motor Vehicles and Motor Vehicle Parts and Supplies | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Corporate debt | 12,212 | 12,319 | |
Floating Rate | Offices and Clinics of Doctors of Medicine | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Corporate debt | 76,678 | 83,386 | |
Floating Rate | Offices of Clinics and Other Health Practitioners | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Corporate debt | 18,979 | 0 | |
Floating Rate | Personnel Supply Services | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Corporate debt | 0 | 36,921 | |
Floating Rate | Public Warehousing and Storage | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Corporate debt | 48,890 | 0 | |
Floating Rate | Research, Development and Testing Services | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Corporate debt | 33,155 | 17,744 | |
Floating Rate | Schools and Educational Services, not elsewhere classified | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Corporate debt | 20,625 | 20,979 | |
Floating Rate | Services Allied with the Exchange of Securities | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Corporate debt | 13,960 | 0 | |
Floating Rate | Surgical, Medical, and Dental Instruments and Supplies | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Corporate debt | 29,687 | 13,403 | |
Floating Rate | Telephone Communications | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Corporate debt | $ 59,182 | $ 0 | |
[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 will not be adjusted. |
CORPORATE DEBT - Aggregate Posi
CORPORATE DEBT - Aggregate Positions in Capital Structure of Borrowers (Details) - USD ($) $ in Thousands | Dec. 31, 2017 | Dec. 31, 2016 | |
Schedule of Held-to-maturity Securities [Line Items] | |||
Corporate debt, total | $ 1,011,275 | [1] | $ 773,274 |
Subordinated notes | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Corporate debt, total | 0 | 4,391 | |
First lien loans | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Corporate debt, total | 582,724 | 505,956 | |
Second lien loans | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Corporate debt, total | 428,551 | 178,441 | |
Corporate Debt Securities | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Corporate debt, total | $ 0 | $ 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 will not be adjusted. |
VARIABLE INTEREST ENTITIES - Ad
VARIABLE INTEREST ENTITIES - Additional Information (Details) | 1 Months Ended | 3 Months Ended | 12 Months Ended | |||||||||
Aug. 31, 2017 | Feb. 29, 2016USD ($)loan | Apr. 30, 2015USD ($)loan | Feb. 28, 2015USD ($)loan | Dec. 31, 2017USD ($) | Dec. 31, 2017USD ($) | Dec. 31, 2016USD ($) | Dec. 31, 2015USD ($) | Jul. 31, 2017USD ($) | Jun. 30, 2016USD ($) | |||
Variable Interest Entity [Line Items] | ||||||||||||
Payments to purchase mortgage loans | $ 289,979,000 | $ 99,590,000 | $ 0 | |||||||||
Face value | $ 1,033,158,000 | 1,033,158,000 | ||||||||||
Exposure to obligations of VIEs | 205,400,000 | |||||||||||
Gain (loss) recognized upon initial consolidation | 7,100,000 | |||||||||||
Contractual principal amount of residential mortgage trust debt | 349,220,000 | 654,117,000 | ||||||||||
Other secured financings | 3,837,528,000 | [1] | 3,837,528,000 | [1] | 3,884,708,000 | |||||||
Borrower | ||||||||||||
Variable Interest Entity [Line Items] | ||||||||||||
Other secured financings | 138,200,000 | 138,200,000 | ||||||||||
Borrower | Corporate Debt Securities | ||||||||||||
Variable Interest Entity [Line Items] | ||||||||||||
Transferred loans pledged as collateral for credit facility | 415,600,000 | 415,600,000 | ||||||||||
Pingora | ||||||||||||
Variable Interest Entity [Line Items] | ||||||||||||
Variable interest entity, ownership percentage | 100.00% | |||||||||||
Borrower | ||||||||||||
Variable Interest Entity [Line Items] | ||||||||||||
Credit facility, maximum borrowing capacity | $ 300,000,000 | |||||||||||
Borrower | Consolidation, Eliminations | ||||||||||||
Variable Interest Entity [Line Items] | ||||||||||||
Intercompany receivable | 138,200,000 | 138,200,000 | ||||||||||
Freddie Mac | FREMF 2015-KLSF | Floating Rate Multifamily Mortgage Loans | ||||||||||||
Variable Interest Entity [Line Items] | ||||||||||||
Number of loans in the underlying portfolio (loan) | loan | 11 | |||||||||||
Face value | $ 1,400,000,000 | |||||||||||
Freddie Mac | FREMF 2015-KF07 | Floating Rate Multifamily Mortgage Loans | ||||||||||||
Variable Interest Entity [Line Items] | ||||||||||||
Number of loans in the underlying portfolio (loan) | loan | 40 | |||||||||||
Face value | $ 1,200,000,000 | |||||||||||
Freddie Mac | FREMF 2016-KLH1 | Floating Rate Multifamily Mortgage Loans | ||||||||||||
Variable Interest Entity [Line Items] | ||||||||||||
Number of loans in the underlying portfolio (loan) | loan | 28 | |||||||||||
Face value | $ 1,500,000,000 | |||||||||||
Consolidated VIEs | ||||||||||||
Variable Interest Entity [Line Items] | ||||||||||||
Exposure to obligations of VIEs | 1,000,000,000 | 1,000,000,000 | ||||||||||
Gain (loss) recognized upon initial consolidation | 0 | |||||||||||
Debt issue costs expensed | 800,000 | |||||||||||
Consolidated VIEs | FREMF Trusts | ||||||||||||
Variable Interest Entity [Line Items] | ||||||||||||
Mortgage loans, unpaid principal balance | 2,800,000,000 | 2,800,000,000 | ||||||||||
Gain (Loss) attributable to instrument- specific credit risk | 0 | |||||||||||
Other secured financings | 0 | 0 | 0 | |||||||||
Consolidated VIEs | FREMF Trusts | Financing Receivables, Equal to Greater than 90 Days Past Due | ||||||||||||
Variable Interest Entity [Line Items] | ||||||||||||
Loans 90 days or more past due or on nonaccrual status | 0 | 0 | ||||||||||
Consolidated VIEs | Residential Mortgage Loan Trusts | ||||||||||||
Variable Interest Entity [Line Items] | ||||||||||||
Mortgage loans, unpaid principal balance | 312,900,000 | 312,900,000 | ||||||||||
Contractual principal amount of residential mortgage trust debt | 35,800,000 | |||||||||||
Other secured financings | 0 | 0 | $ 0 | |||||||||
Consolidated VIEs | Freddie Mac | FREMF 2015-KLSF | ||||||||||||
Variable Interest Entity [Line Items] | ||||||||||||
Payments to purchase mortgage loans | $ 102,100,000 | |||||||||||
Variable interest entity, consolidated, carrying amount, assets | 574,100,000 | 574,100,000 | ||||||||||
Variable interest entity, consolidated, carrying amount, liabilities | 532,200,000 | 532,200,000 | ||||||||||
Consolidated VIEs | Freddie Mac | FREMF 2015-KF07 | ||||||||||||
Variable Interest Entity [Line Items] | ||||||||||||
Payments to purchase mortgage loans | $ 89,400,000 | |||||||||||
Variable interest entity, consolidated, carrying amount, assets | 712,300,000 | 712,300,000 | ||||||||||
Variable interest entity, consolidated, carrying amount, liabilities | 661,700,000 | 661,700,000 | ||||||||||
Consolidated VIEs | Freddie Mac | FREMF 2016-KLH1 | ||||||||||||
Variable Interest Entity [Line Items] | ||||||||||||
Payments to purchase mortgage loans | 107,600,000 | |||||||||||
Face value | 112,000,000 | |||||||||||
Variable interest entity, consolidated, carrying amount, assets | 1,500,000,000 | 1,500,000,000 | ||||||||||
Variable interest entity, consolidated, carrying amount, liabilities | 1,400,000,000 | 1,400,000,000 | ||||||||||
Discounted value | $ 4,400,000 | |||||||||||
July 2017 Credit Facility | Consolidated VIEs | Borrower | ||||||||||||
Variable Interest Entity [Line Items] | ||||||||||||
Credit facility, maximum borrowing capacity | $ 150,000,000 | |||||||||||
July 2017 Credit Facility | Consolidated VIEs | Borrower | Corporate Debt Securities | ||||||||||||
Variable Interest Entity [Line Items] | ||||||||||||
Transferred loans pledged as collateral for credit facility | 184,500,000 | 184,500,000 | ||||||||||
Other secured financings | $ 100,500,000 | $ 100,500,000 | ||||||||||
[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 will not be adjusted. |
VARIABLE INTEREST ENTITIES - St
VARIABLE INTEREST ENTITIES - Statement of Financial Condition of VIEs Reflected in Consolidated Statements of Financial Condition (Details) - USD ($) $ in Thousands | Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | |||
Assets | |||||||
Cash and cash equivalents | $ 706,589 | [1],[2] | $ 1,539,746 | [2] | $ 1,769,258 | $ 1,741,244 | |
Commercial real estate debt investments | [3] | 3,089,108 | [1] | 4,321,739 | |||
Residential mortgages loans | [4] | 1,438,322 | [1] | 342,289 | |||
Mortgage servicing rights | 580,860 | [1] | 652,216 | ||||
Accrued interest receivable | 323,526 | [1] | 270,400 | ||||
Other derivatives, at fair value | 283,613 | [1] | 171,266 | ||||
Other assets | 384,117 | [1] | 333,063 | ||||
Total assets | 101,760,050 | [1] | 87,905,046 | ||||
Liabilities | |||||||
Other secured financing | 3,837,528 | [1] | 3,884,708 | ||||
Other derivatives, at fair value | 38,725 | [1] | 86,437 | ||||
Accrued interest payable | 253,068 | [1] | 163,013 | ||||
Accounts payable and other liabilities | 207,770 | [1] | 184,319 | ||||
Total liabilities | 86,888,477 | [1] | 75,329,074 | ||||
Consolidated VIEs | |||||||
Assets | |||||||
Cash and cash equivalents | 42,300 | 23,200 | |||||
Residential mortgages loans | 478,800 | 165,900 | |||||
Consolidated VIEs | FREMF Trusts | |||||||
Assets | |||||||
Cash and cash equivalents | 0 | 0 | |||||
Commercial real estate debt investments | 2,826,357 | 3,890,807 | |||||
Residential mortgages loans | 0 | 0 | |||||
Mortgage servicing rights | 0 | 0 | |||||
Accrued interest receivable | 10,339 | 8,690 | |||||
Other derivatives, at fair value | 0 | 0 | |||||
Other assets | 0 | 138 | |||||
Total assets | 2,836,696 | 3,899,635 | |||||
Liabilities | |||||||
Securitized debt (non-recourse) at fair value | 2,620,952 | 3,609,164 | |||||
Other secured financing | 0 | 0 | |||||
Other derivatives, at fair value | 0 | ||||||
Accrued interest payable | 4,554 | 4,350 | |||||
Accounts payable and other liabilities | 0 | 0 | |||||
Total liabilities | 2,625,506 | 3,613,514 | |||||
Consolidated VIEs | Residential Mortgage Loan Trusts | |||||||
Assets | |||||||
Cash and cash equivalents | 0 | 0 | |||||
Commercial real estate debt investments | 0 | 0 | |||||
Residential mortgages loans | 478,811 | 165,869 | |||||
Mortgage servicing rights | 0 | 0 | |||||
Accrued interest receivable | 1,599 | 836 | |||||
Other derivatives, at fair value | 0 | 0 | |||||
Other assets | 1,418 | 0 | |||||
Total assets | 481,828 | 166,705 | |||||
Liabilities | |||||||
Securitized debt (non-recourse) at fair value | 350,819 | 46,638 | |||||
Other secured financing | 0 | 0 | |||||
Other derivatives, at fair value | 0 | ||||||
Accrued interest payable | 931 | 107 | |||||
Accounts payable and other liabilities | 112 | 662 | |||||
Total liabilities | 351,862 | 47,407 | |||||
Consolidated VIEs | MSR Silo | |||||||
Assets | |||||||
Cash and cash equivalents | 42,293 | 23,198 | |||||
Commercial real estate debt investments | 0 | 0 | |||||
Residential mortgages loans | 19,667 | 8,309 | |||||
Mortgage servicing rights | 580,860 | 652,216 | |||||
Accrued interest receivable | 0 | 0 | |||||
Other derivatives, at fair value | 1 | 9 | |||||
Other assets | 32,354 | 35,540 | |||||
Total assets | 675,175 | 719,272 | |||||
Liabilities | |||||||
Securitized debt (non-recourse) at fair value | 0 | 0 | |||||
Other secured financing | 10,496 | 3,825 | |||||
Other derivatives, at fair value | 9 | ||||||
Accrued interest payable | 0 | 0 | |||||
Accounts payable and other liabilities | 4,856 | 14,007 | |||||
Total liabilities | $ 15,352 | $ 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 will not be adjusted. | ||||||
[2] | Includes cash of consolidated VIEs of $42.3 million and $23.2 million at December 31, 2017 and 2016, respectively. | ||||||
[3] | Includes senior securitized commercial mortgage loans of consolidated VIEs carried at fair value of $2.8 billion and $3.9 billion at December 31, 2017 and 2016, respectively. | ||||||
[4] | Includes securitized residential mortgage loans of a consolidated VIE carried at fair value of $478.8 million and $165.9 million at December 31, 2017 and 2016, respectively |
VARIABLE INTEREST ENTITIES - 83
VARIABLE INTEREST ENTITIES - Statement of Comprehensive Income (Loss) of VIEs Reflected in Consolidated Statements of Comprehensive Income (Loss) (Details) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended | |||||||||
Dec. 31, 2017 | Sep. 30, 2017 | Jun. 30, 2017 | Mar. 31, 2017 | Dec. 31, 2016 | Sep. 30, 2016 | Jun. 30, 2016 | Mar. 31, 2016 | Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | |
Net interest income: | |||||||||||
Interest income | $ 745,423 | $ 622,550 | $ 537,426 | $ 587,727 | $ 807,022 | $ 558,668 | $ 457,118 | $ 388,143 | $ 2,493,126 | $ 2,210,951 | $ 2,170,697 |
Interest expense | 318,711 | 268,937 | 222,281 | 198,425 | 183,396 | 174,154 | 152,755 | 147,447 | 1,008,354 | 657,752 | 471,596 |
Net interest income | 426,712 | 353,613 | 315,145 | 389,302 | 623,626 | 384,514 | 304,363 | 240,696 | 1,484,772 | 1,553,199 | 1,699,101 |
Realized gain (loss) on disposal of investments | 0 | 0 | (12,450) | ||||||||
Other income (loss) | 115,857 | 44,144 | (13,717) | ||||||||
General and administration expenses | 224,124 | 250,356 | 200,240 | ||||||||
Net income (loss) | $ 746,771 | $ 367,315 | $ 14,522 | $ 440,408 | $ 1,848,483 | $ 730,880 | $ (278,497) | $ (868,080) | 1,569,016 | $ 1,432,786 | $ 465,747 |
Consolidated VIEs | FREMF Trusts | |||||||||||
Net interest income: | |||||||||||
Interest income | 110,712 | ||||||||||
Interest expense | 58,583 | ||||||||||
Net interest income | 52,129 | ||||||||||
Realized gain (loss) on disposal of investments | 0 | ||||||||||
Net gains (losses) on trading assets | 0 | ||||||||||
Unrealized gain (loss) on investments at fair value | 4,273 | ||||||||||
Other income (loss) | (24,541) | ||||||||||
General and administration expenses | 1 | ||||||||||
Net income (loss) | 31,860 | ||||||||||
Consolidated VIEs | Residential Mortgage Loan Trusts | |||||||||||
Net interest income: | |||||||||||
Interest income | 5,436 | ||||||||||
Interest expense | 1,723 | ||||||||||
Net interest income | 3,713 | ||||||||||
Realized gain (loss) on disposal of investments | (831) | ||||||||||
Net gains (losses) on trading assets | 0 | ||||||||||
Unrealized gain (loss) on investments at fair value | 7,865 | ||||||||||
Other income (loss) | (361) | ||||||||||
General and administration expenses | 97 | ||||||||||
Net income (loss) | 10,289 | ||||||||||
Consolidated VIEs | MSR Silo | |||||||||||
Net interest income: | |||||||||||
Interest income | 1,500 | ||||||||||
Interest expense | 374 | ||||||||||
Net interest income | 1,126 | ||||||||||
Realized gain (loss) on disposal of investments | (2,044) | ||||||||||
Net gains (losses) on trading assets | 14 | ||||||||||
Unrealized gain (loss) on investments at fair value | (71,613) | ||||||||||
Other income (loss) | 129,325 | ||||||||||
General and administration expenses | 2,567 | ||||||||||
Net income (loss) | $ 54,241 |
VARIABLE INTEREST ENTITIES - Ge
VARIABLE INTEREST ENTITIES - Geographic Concentrations of Credit Risk Exceeding 5% of Total Loan Unpaid Principal Balances (Details) - Consolidated VIEs $ in Thousands | 12 Months Ended |
Dec. 31, 2017USD ($) | |
FREMF Trusts | |
Concentration Risk [Line Items] | |
Principal Balance | $ 2,770,824 |
FREMF Trusts | Maryland | |
Concentration Risk [Line Items] | |
Principal Balance | 494,885 |
FREMF Trusts | Texas | |
Concentration Risk [Line Items] | |
Principal Balance | 362,898 |
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 | North Carolina | |
Concentration Risk [Line Items] | |
Principal Balance | 242,707 |
FREMF Trusts | Pennsylvania | |
Concentration Risk [Line Items] | |
Principal Balance | 225,810 |
FREMF Trusts | Massachusetts | |
Concentration Risk [Line Items] | |
Principal Balance | 179,440 |
FREMF Trusts | Ohio | |
Concentration Risk [Line Items] | |
Principal Balance | 168,746 |
FREMF Trusts | Florida | |
Concentration Risk [Line Items] | |
Principal Balance | 146,960 |
FREMF Trusts | Other | |
Concentration Risk [Line Items] | |
Principal Balance | $ 339,203 |
FREMF Trusts | Securitized Loans | Geographic Concentration Risk | |
Concentration Risk [Line Items] | |
% of Balance | 100.00% |
FREMF Trusts | Securitized Loans | Geographic Concentration Risk | Maryland | |
Concentration Risk [Line Items] | |
% of Balance | 17.90% |
FREMF Trusts | Securitized Loans | Geographic Concentration Risk | Texas | |
Concentration Risk [Line Items] | |
% of Balance | 13.10% |
FREMF Trusts | Securitized Loans | Geographic Concentration Risk | Virginia | |
Concentration Risk [Line Items] | |
% of Balance | 11.90% |
FREMF Trusts | Securitized Loans | Geographic Concentration Risk | New York | |
Concentration Risk [Line Items] | |
% of Balance | 10.10% |
FREMF Trusts | Securitized Loans | Geographic Concentration Risk | North Carolina | |
Concentration Risk [Line Items] | |
% of Balance | 8.80% |
FREMF Trusts | Securitized Loans | Geographic Concentration Risk | Pennsylvania | |
Concentration Risk [Line Items] | |
% of Balance | 8.10% |
FREMF Trusts | Securitized Loans | Geographic Concentration Risk | Massachusetts | |
Concentration Risk [Line Items] | |
% of Balance | 6.50% |
FREMF Trusts | Securitized Loans | Geographic Concentration Risk | Ohio | |
Concentration Risk [Line Items] | |
% of Balance | 6.10% |
FREMF Trusts | Securitized Loans | Geographic Concentration Risk | Florida | |
Concentration Risk [Line Items] | |
% of Balance | 5.30% |
FREMF Trusts | Securitized Loans | Geographic Concentration Risk | Other | |
Concentration Risk [Line Items] | |
% of Balance | 12.20% |
Residential Mortgage Loan Trusts | |
Concentration Risk [Line Items] | |
Principal Balance | $ 476,362 |
Residential Mortgage Loan Trusts | Virginia | |
Concentration Risk [Line Items] | |
Principal Balance | 24,437 |
Residential Mortgage Loan Trusts | California | |
Concentration Risk [Line Items] | |
Principal Balance | 191,804 |
Residential Mortgage Loan Trusts | Florida | |
Concentration Risk [Line Items] | |
Principal Balance | 36,159 |
Residential Mortgage Loan Trusts | Illinois | |
Concentration Risk [Line Items] | |
Principal Balance | 24,446 |
Residential Mortgage Loan Trusts | Other | |
Concentration Risk [Line Items] | |
Principal Balance | $ 199,516 |
Residential Mortgage Loan Trusts | Securitized Loans | Geographic Concentration Risk | |
Concentration Risk [Line Items] | |
% of Balance | 100.00% |
Residential Mortgage Loan Trusts | Securitized Loans | Geographic Concentration Risk | Virginia | |
Concentration Risk [Line Items] | |
% of Balance | 5.10% |
Residential Mortgage Loan Trusts | Securitized Loans | Geographic Concentration Risk | California | |
Concentration Risk [Line Items] | |
% of Balance | 40.30% |
Residential Mortgage Loan Trusts | Securitized Loans | Geographic Concentration Risk | Florida | |
Concentration Risk [Line Items] | |
% of Balance | 7.60% |
Residential Mortgage Loan Trusts | Securitized Loans | Geographic Concentration Risk | Illinois | |
Concentration Risk [Line Items] | |
% of Balance | 5.10% |
Residential Mortgage Loan Trusts | Securitized Loans | Geographic Concentration Risk | Other | |
Concentration Risk [Line Items] | |
% of Balance | 41.90% |
FAIR VALUE MEASUREMENTS - Estim
FAIR VALUE MEASUREMENTS - Estimated Fair Values of Financial Instruments (Details) - USD ($) $ in Thousands | Dec. 31, 2017 | Sep. 30, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | ||
Assets: | ||||||
Agency mortgage-backed securities | $ 90,551,763 | $ 75,589,873 | ||||
Credit risk transfer securities | 651,764 | [1] | 724,722 | |||
Mortgage servicing rights | 580,860 | $ 580,860 | 652,216 | $ 0 | ||
Commercial real estate debt investments | [2] | 3,089,108 | [1] | 4,321,739 | ||
Interest rate swaps | 30,272 | [1] | 68,194 | |||
Other derivatives | 283,613 | 171,266 | ||||
Total assets | 97,722,996 | 83,271,606 | ||||
Liabilities: | ||||||
Securitized debt of consolidated VIEs | 2,971,771 | 3,655,802 | ||||
Interest rate swaps | 569,129 | [1] | 1,443,765 | |||
Other derivatives | 38,725 | 86,437 | ||||
Total liabilities | 3,579,625 | 5,186,004 | ||||
Residential Mortgage | ||||||
Assets: | ||||||
Residential mortgage loans | 1,438,322 | 342,289 | ||||
Non-Agency Mortgage-backed Securities | ||||||
Assets: | ||||||
Mortgage-backed securities, including pledged assets | [3] | 1,097,294 | [1] | 1,401,307 | ||
Level 1 | ||||||
Assets: | ||||||
Agency mortgage-backed securities | 0 | 0 | ||||
Credit risk transfer securities | 0 | 0 | ||||
Mortgage servicing rights | 0 | 0 | ||||
Commercial real estate debt investments | 0 | 0 | ||||
Interest rate swaps | 0 | 0 | ||||
Other derivatives | 218,361 | 168,209 | ||||
Total assets | 218,361 | 168,209 | ||||
Liabilities: | ||||||
Securitized debt of consolidated VIEs | 0 | 0 | ||||
Interest rate swaps | 0 | 0 | ||||
Other derivatives | 12,285 | 24,912 | ||||
Total liabilities | 12,285 | 24,912 | ||||
Level 1 | Residential Mortgage | ||||||
Assets: | ||||||
Residential mortgage loans | 0 | 0 | ||||
Level 1 | Non-Agency Mortgage-backed Securities | ||||||
Assets: | ||||||
Mortgage-backed securities, including pledged assets | 0 | 0 | ||||
Level 2 | ||||||
Assets: | ||||||
Agency mortgage-backed securities | 90,551,763 | 75,589,873 | ||||
Credit risk transfer securities | 651,764 | 724,722 | ||||
Mortgage servicing rights | 0 | 0 | ||||
Commercial real estate debt investments | 3,089,108 | 4,321,739 | ||||
Interest rate swaps | 30,272 | 68,194 | ||||
Other derivatives | 65,252 | 3,057 | ||||
Total assets | 96,923,775 | 82,451,181 | ||||
Liabilities: | ||||||
Securitized debt of consolidated VIEs | 2,971,771 | 3,655,802 | ||||
Interest rate swaps | 569,129 | 1,443,765 | ||||
Other derivatives | 26,440 | 61,525 | ||||
Total liabilities | 3,567,340 | 5,161,092 | ||||
Level 2 | Residential Mortgage | ||||||
Assets: | ||||||
Residential mortgage loans | 1,438,322 | 342,289 | ||||
Level 2 | Non-Agency Mortgage-backed Securities | ||||||
Assets: | ||||||
Mortgage-backed securities, including pledged assets | 1,097,294 | 1,401,307 | ||||
Level 3 | ||||||
Assets: | ||||||
Agency mortgage-backed securities | 0 | 0 | ||||
Credit risk transfer securities | 0 | 0 | ||||
Mortgage servicing rights | 580,860 | 652,216 | ||||
Commercial real estate debt investments | 0 | 0 | ||||
Interest rate swaps | 0 | 0 | ||||
Other derivatives | 0 | 0 | ||||
Total assets | 580,860 | 652,216 | ||||
Liabilities: | ||||||
Securitized debt of consolidated VIEs | 0 | 0 | ||||
Interest rate swaps | 0 | 0 | ||||
Other derivatives | 0 | 0 | ||||
Total liabilities | 0 | 0 | ||||
Level 3 | Residential Mortgage | ||||||
Assets: | ||||||
Residential mortgage loans | 0 | 0 | ||||
Level 3 | Non-Agency Mortgage-backed Securities | ||||||
Assets: | ||||||
Mortgage-backed securities, including pledged assets | $ 0 | $ 0 | ||||
[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 will not be adjusted. | |||||
[2] | Includes senior securitized commercial mortgage loans of consolidated VIEs carried at fair value of $2.8 billion and $3.9 billion at December 31, 2017 and 2016, respectively. | |||||
[3] | Includes $66.3 million and $88.6 million at December 31, 2017 and 2016, respectively, of non-Agency mortgage-backed securities in a consolidated VIE pledged as collateral and eliminated from the Company’s Consolidated Statements of Financial Condition. |
FAIR VALUE MEASUREMENTS - Infor
FAIR VALUE MEASUREMENTS - Information about Significant Unobservable Inputs Used for Recurring Fair Value Measurements for Level 3 MSRs (Detail) - Fair Value, Measurements, Recurring - Level 3 - Mortgage Servicing Rights - USD ($) | 12 Months Ended | |
Dec. 31, 2017 | Dec. 31, 2016 | |
Minimum | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Unobservable input, discount rate | 10.00% | 10.00% |
Unobservable input, prepayment rate | 4.60% | 5.10% |
Unobservable input, delinquency rate | 0.00% | 0.00% |
Unobservable input, cost to service | $ 84 | $ 83 |
Maximum | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Unobservable input, discount rate | 15.00% | 15.00% |
Unobservable input, prepayment rate | 22.30% | 18.80% |
Unobservable input, delinquency rate | 13.00% | 10.00% |
Unobservable input, cost to service | $ 181 | $ 152 |
Weighted Average | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Unobservable input, discount rate | 10.40% | 10.40% |
Unobservable input, prepayment rate | 9.40% | 8.70% |
Unobservable input, delinquency rate | 2.20% | 2.30% |
Unobservable input, cost to service | $ 102 | $ 100 |
FAIR VALUE MEASUREMENTS - Est87
FAIR VALUE MEASUREMENTS - Estimated Fair Values for All Financial Assets and Liabilities (Detail) - USD ($) $ in Thousands | Dec. 31, 2017 | Dec. 31, 2016 | ||
Financial assets: | ||||
Agency mortgage-backed securities | $ 90,551,763 | $ 75,589,873 | ||
Credit risk transfer securities | 651,764 | [1] | 724,722 | |
Residential mortgages loans | [2] | 1,438,322 | [1] | 342,289 |
Mortgage servicing rights | 580,860 | [1] | 652,216 | |
Commercial real estate debt investments | [3] | 3,089,108 | [1] | 4,321,739 |
Interest rate swaps | 30,272 | [1] | 68,194 | |
Other derivatives | 283,613 | 171,266 | ||
Financial liabilities: | ||||
Other secured financing | 3,837,528 | [1] | 3,884,708 | |
Securitized debt of consolidated VIEs | [4] | 2,971,771 | [1] | 3,655,802 |
Interest rate swaps | 569,129 | [1] | 1,443,765 | |
Other derivatives | 38,725 | 86,437 | ||
Held-to-maturity debt security, amortized cost | 84,500 | |||
Held-to-maturity debt security, fair value | 87,800 | |||
Level 1 | ||||
Financial assets: | ||||
Agency mortgage-backed securities | 0 | 0 | ||
Credit risk transfer securities | 0 | 0 | ||
Commercial real estate debt investments | 0 | 0 | ||
Interest rate swaps | 0 | 0 | ||
Other derivatives | 218,361 | 168,209 | ||
Financial liabilities: | ||||
Interest rate swaps | 0 | 0 | ||
Other derivatives | 12,285 | 24,912 | ||
Level 2 | ||||
Financial assets: | ||||
Agency mortgage-backed securities | 90,551,763 | 75,589,873 | ||
Credit risk transfer securities | 651,764 | 724,722 | ||
Commercial real estate debt investments | 3,089,108 | 4,321,739 | ||
Interest rate swaps | 30,272 | 68,194 | ||
Other derivatives | 65,252 | 3,057 | ||
Financial liabilities: | ||||
Interest rate swaps | 569,129 | 1,443,765 | ||
Other derivatives | 26,440 | 61,525 | ||
Level 3 | ||||
Financial assets: | ||||
Agency mortgage-backed securities | 0 | 0 | ||
Credit risk transfer securities | 0 | 0 | ||
Commercial real estate debt investments | 0 | 0 | ||
Interest rate swaps | 0 | 0 | ||
Other derivatives | 0 | 0 | ||
Financial liabilities: | ||||
Interest rate swaps | 0 | 0 | ||
Other derivatives | 0 | 0 | ||
Carrying Value | ||||
Financial assets: | ||||
Commercial loans held for sale, net | 0 | 114,425 | ||
Carrying Value | Level 1 | ||||
Financial assets: | ||||
Cash and cash equivalents | 706,589 | 1,539,746 | ||
Carrying Value | Level 2 | ||||
Financial assets: | ||||
Agency mortgage-backed securities | 90,551,763 | 75,589,873 | ||
Credit risk transfer securities | 651,764 | 724,722 | ||
Non-Agency mortgage-backed securities | 1,097,294 | 1,401,307 | ||
Residential mortgages loans | 1,438,322 | 342,289 | ||
Commercial real estate debt investments | 3,089,108 | 4,321,739 | ||
Corporate debt | 1,011,275 | 773,274 | ||
Interest rate swaps | 30,272 | 68,194 | ||
Other derivatives | 283,613 | 171,266 | ||
Financial liabilities: | ||||
Repurchase agreements | 77,696,343 | 65,215,810 | ||
Other secured financing | 3,837,528 | 3,884,708 | ||
Securitized debt of consolidated VIEs | 2,971,771 | 3,655,802 | ||
Participation sold | 0 | 12,869 | ||
Interest rate swaps | 569,129 | 1,443,765 | ||
Other derivatives | 38,725 | 86,437 | ||
Carrying Value | Level 3 | ||||
Financial assets: | ||||
Mortgage servicing rights | 580,860 | 652,216 | ||
Commercial real estate debt and preferred equity, held for investment | 1,029,327 | 970,505 | ||
Financial liabilities: | ||||
Mortgage payable | 309,686 | 311,636 | ||
Fair Value | ||||
Financial assets: | ||||
Commercial loans held for sale, net | 0 | 114,425 | ||
Fair Value | Level 1 | ||||
Financial assets: | ||||
Cash and cash equivalents | 706,589 | 1,539,746 | ||
Fair Value | Level 2 | ||||
Financial assets: | ||||
Agency mortgage-backed securities | 90,551,763 | 75,589,873 | ||
Credit risk transfer securities | 651,764 | 724,722 | ||
Non-Agency mortgage-backed securities | 1,097,294 | 1,401,307 | ||
Residential mortgages loans | 1,438,322 | 342,289 | ||
Commercial real estate debt investments | 3,089,108 | 4,321,739 | ||
Corporate debt | 1,014,139 | 776,310 | ||
Interest rate swaps | 30,272 | 68,194 | ||
Other derivatives | 283,613 | 171,266 | ||
Financial liabilities: | ||||
Repurchase agreements | 77,697,828 | 65,256,505 | ||
Other secured financing | 3,837,595 | 3,885,430 | ||
Securitized debt of consolidated VIEs | 2,971,771 | 3,655,802 | ||
Participation sold | 0 | 12,827 | ||
Interest rate swaps | 569,129 | 1,443,765 | ||
Other derivatives | 38,725 | 86,437 | ||
Fair Value | Level 3 | ||||
Financial assets: | ||||
Mortgage servicing rights | 580,860 | 652,216 | ||
Commercial real estate debt and preferred equity, held for investment | 1,035,095 | 968,824 | ||
Financial liabilities: | ||||
Mortgage payable | $ 310,218 | $ 312,442 | ||
[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 will not be adjusted. | |||
[2] | Includes securitized residential mortgage loans of a consolidated VIE carried at fair value of $478.8 million and $165.9 million at December 31, 2017 and 2016, respectively | |||
[3] | Includes senior securitized commercial mortgage loans of consolidated VIEs carried at fair value of $2.8 billion and $3.9 billion at December 31, 2017 and 2016, respectively. | |||
[4] | Includes securitized debt of consolidated VIEs carried at fair value of $3.0 billion and $3.7 billion at December 31, 2017 and 2016, respectively. |
SECURED FINANCING - Additional
SECURED FINANCING - Additional Information (Details) - USD ($) $ in Thousands | 12 Months Ended | |||
Dec. 31, 2017 | Dec. 31, 2016 | Sep. 30, 2017 | ||
Repurchase Agreements: | ||||
Repurchase agreements outstanding | $ 77,696,343 | [1] | $ 65,215,810 | |
Repurchase agreements - weighted average effective borrowing rates | 1.89% | 1.64% | ||
Repurchase agreements - weighted average remaining maturities | 58 days | 96 days | ||
Other secured financing long term, amount | $ 3,837,528 | [1] | $ 3,884,708 | |
Secured financings and interest rate swaps - collateral held, estimated fair value | 87,000,000 | 74,300,000 | ||
Secured financings and interest rate swaps - collateral held, accrued interest | $ 267,300 | 229,200 | ||
Minimum | ||||
Repurchase Agreements: | ||||
Other secured financing short term amount, expiration period | 3 years | |||
Maximum | ||||
Repurchase Agreements: | ||||
Other secured financing short term amount, expiration period | 8 years | |||
Maturity Period Beyond Three Years | ||||
Repurchase Agreements: | ||||
Other secured financing long term, amount | $ 3,600,000 | |||
Maturity Period Beyond Three Years | Period Two | Minimum | ||||
Repurchase Agreements: | ||||
Other secured financing short term amount, expiration period | 1 year | |||
Maturity Period Beyond Three Years | Period Two | Maximum | ||||
Repurchase Agreements: | ||||
Other secured financing short term amount, expiration period | 3 years | |||
FHLB De Moines | ||||
Repurchase Agreements: | ||||
Debt weighted average interest rate | 1.49% | 0.76% | ||
Stock held in FHLB | $ 147,900 | $ 145,800 | ||
FHLB De Moines | Maturity Period Beyond Three Years | ||||
Repurchase Agreements: | ||||
Other secured financing short term amount, expiration period | 3 years | |||
FHLB De Moines | Maturity Period Beyond Three Years | Period One | ||||
Repurchase Agreements: | ||||
Other secured financing long term, amount | $ 2,100,000 | |||
Other secured financing short term amount, expiration period | 3 years | |||
FHLB De Moines | Maturity Period Beyond Three Years | Period Two | ||||
Repurchase Agreements: | ||||
Other secured financing long term, amount | $ 1,400,000 | |||
[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 will not be adjusted. |
SECURED FINANCING - Repurchase
SECURED FINANCING - Repurchase Agreements - Remaining Maturities, Collateral Types and Weighted Average Rate (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2017 | Dec. 31, 2016 | ||
Repurchase Agreements: | |||
Repurchase agreements outstanding | $ 77,696,343 | [1] | $ 65,215,810 |
Weighted Average Rate | 1.61% | 1.07% | |
Percentage of total repurchase agreements with remaining maturity of 1 year | 1.00% | 7.00% | |
CRTs | |||
Repurchase Agreements: | |||
Repurchase agreements outstanding | $ 277,971 | $ 453,025 | |
Non-Agency Mortgage-Backed Securities | |||
Repurchase Agreements: | |||
Repurchase agreements outstanding | 304,778 | 720,217 | |
Commercial Loans | |||
Repurchase Agreements: | |||
Repurchase agreements outstanding | 385,113 | 334,867 | |
Agency Mortgage-Backed Securities | |||
Repurchase Agreements: | |||
Repurchase agreements outstanding | 76,703,981 | 63,707,701 | |
Commercial Mortgage-Backed Securities | |||
Repurchase Agreements: | |||
Repurchase agreements outstanding | 24,500 | ||
1 day | |||
Repurchase Agreements: | |||
Repurchase agreements outstanding | $ 0 | $ 0 | |
Weighted Average Rate | 0.00% | 0.00% | |
1 day | CRTs | |||
Repurchase Agreements: | |||
Repurchase agreements outstanding | $ 0 | $ 0 | |
1 day | Non-Agency Mortgage-Backed Securities | |||
Repurchase Agreements: | |||
Repurchase agreements outstanding | 0 | 0 | |
1 day | Commercial Loans | |||
Repurchase Agreements: | |||
Repurchase agreements outstanding | 0 | 0 | |
1 day | Agency Mortgage-Backed Securities | |||
Repurchase Agreements: | |||
Repurchase agreements outstanding | 0 | 0 | |
1 day | Commercial Mortgage-Backed Securities | |||
Repurchase Agreements: | |||
Repurchase agreements outstanding | 0 | ||
2 to 29 days | |||
Repurchase Agreements: | |||
Repurchase agreements outstanding | $ 33,956,552 | $ 30,394,043 | |
Weighted Average Rate | 1.69% | 0.87% | |
2 to 29 days | CRTs | |||
Repurchase Agreements: | |||
Repurchase agreements outstanding | $ 263,528 | $ 358,972 | |
2 to 29 days | Non-Agency Mortgage-Backed Securities | |||
Repurchase Agreements: | |||
Repurchase agreements outstanding | 253,290 | 377,366 | |
2 to 29 days | Commercial Loans | |||
Repurchase Agreements: | |||
Repurchase agreements outstanding | 0 | 0 | |
2 to 29 days | Agency Mortgage-Backed Securities | |||
Repurchase Agreements: | |||
Repurchase agreements outstanding | 33,421,609 | 29,657,705 | |
2 to 29 days | Commercial Mortgage-Backed Securities | |||
Repurchase Agreements: | |||
Repurchase agreements outstanding | 18,125 | ||
30 to 59 days | |||
Repurchase Agreements: | |||
Repurchase agreements outstanding | $ 10,828,777 | $ 11,694,799 | |
Weighted Average Rate | 1.44% | 1.10% | |
30 to 59 days | CRTs | |||
Repurchase Agreements: | |||
Repurchase agreements outstanding | $ 7,229 | $ 80,139 | |
30 to 59 days | Non-Agency Mortgage-Backed Securities | |||
Repurchase Agreements: | |||
Repurchase agreements outstanding | 3,658 | 241,360 | |
30 to 59 days | Commercial Loans | |||
Repurchase Agreements: | |||
Repurchase agreements outstanding | 0 | 0 | |
30 to 59 days | Agency Mortgage-Backed Securities | |||
Repurchase Agreements: | |||
Repurchase agreements outstanding | 10,811,515 | 11,373,300 | |
30 to 59 days | Commercial Mortgage-Backed Securities | |||
Repurchase Agreements: | |||
Repurchase agreements outstanding | 6,375 | ||
60 to 89 days | |||
Repurchase Agreements: | |||
Repurchase agreements outstanding | $ 13,855,787 | $ 7,082,232 | |
Weighted Average Rate | 1.59% | 1.14% | |
60 to 89 days | CRTs | |||
Repurchase Agreements: | |||
Repurchase agreements outstanding | $ 7,214 | $ 13,914 | |
60 to 89 days | Non-Agency Mortgage-Backed Securities | |||
Repurchase Agreements: | |||
Repurchase agreements outstanding | 47,830 | 101,491 | |
60 to 89 days | Commercial Loans | |||
Repurchase Agreements: | |||
Repurchase agreements outstanding | 0 | 0 | |
60 to 89 days | Agency Mortgage-Backed Securities | |||
Repurchase Agreements: | |||
Repurchase agreements outstanding | 13,800,743 | 6,966,827 | |
60 to 89 days | Commercial Mortgage-Backed Securities | |||
Repurchase Agreements: | |||
Repurchase agreements outstanding | 0 | ||
90 to 119 days | |||
Repurchase Agreements: | |||
Repurchase agreements outstanding | $ 10,128,006 | $ 2,063,561 | |
Weighted Average Rate | 1.39% | 0.89% | |
90 to 119 days | CRTs | |||
Repurchase Agreements: | |||
Repurchase agreements outstanding | $ 0 | $ 0 | |
90 to 119 days | Non-Agency Mortgage-Backed Securities | |||
Repurchase Agreements: | |||
Repurchase agreements outstanding | 0 | 0 | |
90 to 119 days | Commercial Loans | |||
Repurchase Agreements: | |||
Repurchase agreements outstanding | 0 | 0 | |
90 to 119 days | Agency Mortgage-Backed Securities | |||
Repurchase Agreements: | |||
Repurchase agreements outstanding | 10,128,006 | 2,063,561 | |
90 to 119 days | Commercial Mortgage-Backed Securities | |||
Repurchase Agreements: | |||
Repurchase agreements outstanding | 0 | ||
Over 120 days | |||
Repurchase Agreements: | |||
Repurchase agreements outstanding | $ 8,927,221 | $ 13,981,175 | |
Weighted Average Rate | 1.77% | 1.47% | |
Over 120 days | CRTs | |||
Repurchase Agreements: | |||
Repurchase agreements outstanding | $ 0 | $ 0 | |
Over 120 days | Non-Agency Mortgage-Backed Securities | |||
Repurchase Agreements: | |||
Repurchase agreements outstanding | 0 | 0 | |
Over 120 days | Commercial Loans | |||
Repurchase Agreements: | |||
Repurchase agreements outstanding | 385,113 | 334,867 | |
Over 120 days | Agency Mortgage-Backed Securities | |||
Repurchase Agreements: | |||
Repurchase agreements outstanding | 8,542,108 | $ 13,646,308 | |
Over 120 days | Commercial Mortgage-Backed Securities | |||
Repurchase Agreements: | |||
Repurchase agreements outstanding | $ 0 | ||
[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 will not be adjusted. |
SECURED FINANCING - Summary of
SECURED FINANCING - Summary of Gross Amounts, Amounts Offset and Net Amounts of Repurchase Agreement and Reverse Repurchase Agreement (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2017 | Dec. 31, 2016 | ||
Debt Disclosure [Abstract] | |||
Gross amounts -reverse repurchase agreements | $ 1,250,000 | $ 400,000 | |
Amounts offset - reverse repurchase agreement | (1,250,000) | (400,000) | |
Netted amounts -reverse repurchase | 0 | 0 | |
Gross amounts -repurchase agreement | 78,946,343 | 65,615,810 | |
Amounts offset -repurchase agreement | (1,250,000) | (400,000) | |
Repurchase agreements outstanding | $ 77,696,343 | [1] | $ 65,215,810 |
[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 will not be adjusted. |
DERIVATIVE INSTRUMENTS - Summar
DERIVATIVE INSTRUMENTS - Summary of Fair Value Information about Derivative Assets and Liabilities (Details) - USD ($) | Dec. 31, 2017 | Dec. 31, 2016 | |
Derivatives, Fair Value [Line Items] | |||
Interest rate swaps, at fair value | $ 30,272,000 | [1] | $ 68,194,000 |
Other derivatives, at fair value | 283,613,000 | [1] | 171,266,000 |
Derivative assets | 313,885,000 | 239,460,000 | |
Interest rate swaps, at fair value | 569,129,000 | [1] | 1,443,765,000 |
Other derivatives, at fair value | 38,725,000 | [1] | 86,437,000 |
Derivative liabilities | 607,854,000 | 1,530,202,000 | |
Futures contracts | |||
Derivatives, Fair Value [Line Items] | |||
Other derivatives, at fair value | 218,361,000 | 168,209,000 | |
Derivative assets | 218,361,000 | 168,209,000 | |
Other derivatives, at fair value | 12,285,000 | 24,912,000 | |
Derivative liabilities | 12,285,000 | 24,912,000 | |
Purchase commitments | |||
Derivatives, Fair Value [Line Items] | |||
Other derivatives, at fair value | 35,000 | 283,000 | |
Derivative assets | 35,000 | 283,000 | |
Other derivatives, at fair value | 157,000 | 553,000 | |
Derivative liabilities | 157,000 | 553,000 | |
Interest rate swaptions | |||
Derivatives, Fair Value [Line Items] | |||
Other derivatives, at fair value | 36,150,000 | 0 | |
Derivative assets | 36,150,000 | ||
TBA derivatives | |||
Derivatives, Fair Value [Line Items] | |||
Other derivatives, at fair value | 29,067,000 | 2,774,000 | |
Derivative assets | 29,067,000 | 2,774,000 | |
Other derivatives, at fair value | 21,776,000 | 60,972,000 | |
Derivative liabilities | 21,776,000 | 60,972,000 | |
Notional | 15,578,000,000 | ||
Credit derivatives | |||
Derivatives, Fair Value [Line Items] | |||
Other derivatives, at fair value | 4,507,000 | $ 0 | |
Derivative liabilities | 4,507,000 | ||
Notional | $ 125,000,000 | ||
[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 will not be adjusted. |
DERIVATIVE INSTRUMENTS - Summ92
DERIVATIVE INSTRUMENTS - Summary of Characteristics of Interest Rate Swaps (Details) - USD ($) | 12 Months Ended | |
Dec. 31, 2017 | Dec. 31, 2016 | |
Interest rate swaps | ||
Derivative [Line Items] | ||
Current Notional | $ 35,329,200,000 | $ 25,875,665,000 |
Weighted Average Pay Rate | 2.22% | 2.22% |
Weighted Average Receive Rate | 1.58% | 1.02% |
Weighted Average Underlying Years to Maturity | 6 years 8 months 19 days | 6 years 10 months 13 days |
Interest rate swaps | 0 - 3 years | ||
Derivative [Line Items] | ||
Derivative Instruments minimum maturity period | 0 years | 0 years |
Derivative Instruments maximum maturity period | 3 years | 3 years |
Current Notional | $ 6,532,000,000 | $ 3,444,365,000 |
Weighted Average Pay Rate | 1.56% | 1.37% |
Weighted Average Receive Rate | 1.62% | 1.00% |
Weighted Average Underlying Years to Maturity | 2 years 29 days | 2 years 8 months 16 days |
Interest rate swaps | 3 - 6 years | ||
Derivative [Line Items] | ||
Derivative Instruments minimum maturity period | 3 years | 3 years |
Derivative Instruments maximum maturity period | 6 years | 6 years |
Current Notional | $ 14,791,800,000 | $ 10,590,000,000 |
Weighted Average Pay Rate | 2.12% | 1.92% |
Weighted Average Receive Rate | 1.57% | 0.99% |
Weighted Average Underlying Years to Maturity | 4 years 6 months 4 days | 3 years 11 months 9 days |
Interest rate swaps | 6 - 10 years | ||
Derivative [Line Items] | ||
Derivative Instruments minimum maturity period | 6 years | 6 years |
Derivative Instruments maximum maturity period | 10 years | 10 years |
Current Notional | $ 10,179,000,000 | $ 8,206,900,000 |
Weighted Average Pay Rate | 2.35% | 2.35% |
Weighted Average Receive Rate | 1.58% | 1.10% |
Weighted Average Underlying Years to Maturity | 8 years 15 days | 7 years 9 months 26 days |
Interest rate swaps | Greater than 10 years | ||
Derivative [Line Items] | ||
Derivative Instruments minimum maturity period | 10 years | 10 years |
Current Notional | $ 3,826,400,000 | $ 3,634,400,000 |
Weighted Average Pay Rate | 3.65% | 3.70% |
Weighted Average Receive Rate | 1.51% | 0.83% |
Weighted Average Underlying Years to Maturity | 18 years 5 months 19 days | 18 years 4 months 10 days |
Forward Starting Pay Fixed Swaps | ||
Derivative [Line Items] | ||
Current Notional | $ 8,100,000,000 | $ 0 |
Weighted Average | Interest rate swaps | ||
Derivative [Line Items] | ||
Fixed rate on forward starting pay swaps | 1.86% |
DERIVATIVE INSTRUMENTS - Additi
DERIVATIVE INSTRUMENTS - Additional Information (Details) - USD ($) | Dec. 31, 2017 | Dec. 31, 2016 |
Derivative [Line Items] | ||
Derivative instruments, net liability position, aggregate fair value | $ 302,000,000 | |
Interest rate swaptions | Long | ||
Derivative [Line Items] | ||
Notional | $ 6,000,000,000 | $ 0 |
DERIVATIVE INSTRUMENTS - Summ94
DERIVATIVE INSTRUMENTS - Summary of Swaptions Outstanding (Details) - Interest rate swaptions - Long - USD ($) | 12 Months Ended | |
Dec. 31, 2017 | Dec. 31, 2016 | |
Derivative [Line Items] | ||
Current Notional | $ 6,000,000,000 | $ 0 |
Weighted Average Underlying Pay Rate | 2.62% | |
Weighted Average Underlying Years to Maturity | 9 years 11 months 19 days | |
Weighted Average Months to Expiration | 4 months 15 days |
DERIVATIVE INSTRUMENTS - Summ95
DERIVATIVE INSTRUMENTS - Summary of Characteristics of TBA Derivatives (Details) - TBA derivatives - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2017 | Dec. 31, 2016 | |
Notional | ||
Notional | $ 15,578,000 | |
Implied Cost Basis | 16,127,022 | |
Implied Market Value | 16,134,313 | |
Net Carrying Value | 7,291 | |
Purchase contracts | ||
Notional | ||
Purchase contracts | 15,828,000 | $ 11,223,000 |
Implied Cost Basis | 16,381,826 | 11,495,514 |
Implied Market Value | 16,390,251 | 11,437,316 |
Net Carrying Value | 8,425 | $ (58,198) |
Sale contracts | ||
Notional | ||
Sale contracts | (250,000) | |
Implied Cost Basis | (254,804) | |
Implied Market Value | (255,938) | |
Net Carrying Value | $ (1,134) |
DERIVATIVE INSTRUMENTS - Summ96
DERIVATIVE INSTRUMENTS - Summary of Certain Characteristics of Futures Derivatives (Details) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2017 | Dec. 31, 2016 | |
Swap equivalent Eurodollar futures contract | 2 Year | ||
Derivative [Line Items] | ||
Derivative Instruments, maturity period | 2 years | 2 years |
Weighted Average Underlying Years to Maturity | 2 years | 2 years |
Swap equivalent Eurodollar futures contract | 2 Year | Long | ||
Derivative [Line Items] | ||
Notional | $ 0 | $ 0 |
Swap equivalent Eurodollar futures contract | 2 Year | Short | ||
Derivative [Line Items] | ||
Notional | $ (17,161,000) | $ (14,968,250) |
U.S. Treasury futures | 5 Year | ||
Derivative [Line Items] | ||
Derivative Instruments, maturity period | 5 years | 5 years |
Weighted Average Underlying Years to Maturity | 4 years 4 months 28 days | 4 years 5 months 1 day |
U.S. Treasury futures | 5 Year | Long | ||
Derivative [Line Items] | ||
Notional | $ 0 | $ 0 |
U.S. Treasury futures | 5 Year | Short | ||
Derivative [Line Items] | ||
Notional | $ (4,217,400) | $ (1,697,200) |
U.S. Treasury futures | 10 Year and Greater | ||
Derivative [Line Items] | ||
Derivative Instruments minimum maturity period | 10 years | 10 years |
Weighted Average Underlying Years to Maturity | 7 years 4 days | 8 years 4 months 20 days |
U.S. Treasury futures | 10 Year and Greater | Long | ||
Derivative [Line Items] | ||
Notional | $ 0 | $ 0 |
U.S. Treasury futures | 10 Year and Greater | Short | ||
Derivative [Line Items] | ||
Notional | $ (4,914,500) | $ (2,250,000) |
Futures contracts | ||
Derivative [Line Items] | ||
Weighted Average Underlying Years to Maturity | 3 years 3 months 26 days | 2 years 11 months 23 days |
Futures contracts | Long | ||
Derivative [Line Items] | ||
Notional | $ 0 | $ 0 |
Futures contracts | Short | ||
Derivative [Line Items] | ||
Notional | $ (26,292,900) | $ (18,915,450) |
DERIVATIVE INSTRUMENTS - Offset
DERIVATIVE INSTRUMENTS - Offsetting of Derivative Assets and Liabilities (Details) - USD ($) $ in Thousands | Dec. 31, 2017 | Dec. 31, 2016 |
Assets: | ||
Gross Amounts | $ 313,885 | $ 239,460 |
Liabilities: | ||
Gross Amounts | 607,854 | 1,530,202 |
Futures contracts | ||
Assets: | ||
Gross Amounts | 218,361 | 168,209 |
Amounts Eligible for Offset, Financial Instruments | (12,285) | (24,912) |
Amounts Eligible for Offset, Cash Collateral | 0 | 0 |
Net Amounts | 206,076 | 143,297 |
Liabilities: | ||
Gross Amounts | 12,285 | 24,912 |
Amounts Eligible for Offset, Financial Instruments | (12,285) | (24,912) |
Amounts Eligible for Offset, Cash Collateral | 0 | 0 |
Net Amounts | 0 | 0 |
Purchase commitments | ||
Assets: | ||
Gross Amounts | 35 | 283 |
Amounts Eligible for Offset, Financial Instruments | 0 | 0 |
Amounts Eligible for Offset, Cash Collateral | 0 | 0 |
Net Amounts | 35 | 283 |
Liabilities: | ||
Gross Amounts | 157 | 553 |
Amounts Eligible for Offset, Financial Instruments | 0 | 0 |
Amounts Eligible for Offset, Cash Collateral | 0 | 0 |
Net Amounts | 157 | 553 |
Interest rate swaps | ||
Assets: | ||
Gross Amounts | 30,272 | 68,194 |
Amounts Eligible for Offset, Financial Instruments | (27,379) | (68,194) |
Amounts Eligible for Offset, Cash Collateral | 0 | 0 |
Net Amounts | 2,893 | 0 |
Liabilities: | ||
Gross Amounts | 569,129 | 1,443,765 |
Amounts Eligible for Offset, Financial Instruments | (27,379) | (68,194) |
Amounts Eligible for Offset, Cash Collateral | 0 | (768,877) |
Net Amounts | 541,750 | 606,694 |
Interest rate swaptions | ||
Assets: | ||
Gross Amounts | 36,150 | |
Amounts Eligible for Offset, Financial Instruments | 0 | |
Amounts Eligible for Offset, Cash Collateral | 0 | |
Net Amounts | 36,150 | |
TBA derivatives | ||
Assets: | ||
Gross Amounts | 29,067 | 2,774 |
Amounts Eligible for Offset, Financial Instruments | (12,551) | (2,172) |
Amounts Eligible for Offset, Cash Collateral | 0 | 0 |
Net Amounts | 16,516 | 602 |
Liabilities: | ||
Gross Amounts | 21,776 | 60,972 |
Amounts Eligible for Offset, Financial Instruments | (12,551) | (2,172) |
Amounts Eligible for Offset, Cash Collateral | 0 | 0 |
Net Amounts | 9,225 | $ 58,800 |
Credit derivatives | ||
Liabilities: | ||
Gross Amounts | 4,507 | |
Amounts Eligible for Offset, Financial Instruments | 0 | |
Amounts Eligible for Offset, Cash Collateral | (3,520) | |
Net Amounts | $ 987 |
DERIVATIVE INSTRUMENTS - Effect
DERIVATIVE INSTRUMENTS - Effect of Interest Rate Swaps on Consolidated Statements of Comprehensive Income (Loss) (Details) - USD ($) $ in Thousands | 12 Months Ended | |||
Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | ||
Derivative Instruments and Hedging Activities Disclosure [Abstract] | ||||
Realized Gains (Losses) on Interest Rate Swaps | [1] | $ (371,108) | $ (506,681) | $ (624,495) |
Realized Gains (Losses) on Termination of Interest Rate Swaps | (160,133) | (113,941) | (226,462) | |
Unrealized Gains (Losses) on Interest Rate Swaps | $ 512,918 | $ 282,190 | $ (124,869) | |
[1] | Consists of interest expense on interest rate swaps. |
DERIVATIVE INSTRUMENTS - Effe99
DERIVATIVE INSTRUMENTS - Effect of Other Derivative Contracts on the Consolidated Statements of Operations and Comprehensive Income (Loss) (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | |
Derivative [Line Items] | |||
Unrealized Gains (Losses) on Interest Rate Swaps | $ 512,918 | $ 282,190 | $ (124,869) |
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Trading Assets | 261,418 | 230,582 | |
U.S. Treasury futures | |||
Derivative [Line Items] | |||
Realized Gain (Loss) | 20,459 | (51,148) | |
Unrealized Gains (Losses) on Interest Rate Swaps | 62,778 | 163,631 | |
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Trading Assets | 83,237 | 112,483 | |
Purchase commitments | |||
Derivative [Line Items] | |||
Realized Gain (Loss) | 0 | 0 | |
Unrealized Gains (Losses) on Interest Rate Swaps | 162 | (123) | |
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Trading Assets | 162 | (123) | |
TBA derivatives | |||
Derivative [Line Items] | |||
Realized Gain (Loss) | 154,575 | 164,008 | |
Unrealized Gains (Losses) on Interest Rate Swaps | 65,490 | (50,636) | |
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Trading Assets | 220,065 | 113,372 | |
Interest rate swaptions | |||
Derivative [Line Items] | |||
Realized Gain (Loss) | (935) | 4,850 | |
Unrealized Gains (Losses) on Interest Rate Swaps | (42,660) | 0 | |
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Trading Assets | (43,595) | $ 4,850 | |
Credit derivatives | |||
Derivative [Line Items] | |||
Realized Gain (Loss) | 1,521 | ||
Unrealized Gains (Losses) on Interest Rate Swaps | 28 | ||
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Trading Assets | $ 1,549 |
CONVERTIBLE SENIOR NOTES - Addi
CONVERTIBLE SENIOR NOTES - Additional Information (Details) - USD ($) | 1 Months Ended | 12 Months Ended | ||||||
Feb. 28, 2015 | May 31, 2012 | Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2010 | May 31, 2015 | Dec. 31, 2012 | |
Convertible Senior Notes: | ||||||||
Repayment of convertible senior notes | $ 0 | $ 0 | $ 857,541,000 | |||||
Convertible Senior Notes 4.00 Percent Due 2015 | ||||||||
Convertible Senior Notes: | ||||||||
Issued convertible senior notes, aggregate principal amount | $ 600,000,000 | |||||||
Issued convertible senior notes, interest rate | 4.00% | |||||||
Issued convertible senior notes, net proceeds following underwriting expenses | $ 582,000,000 | |||||||
Repurchase of convertible senior notes | $ 492,500,000 | |||||||
Repayment of convertible senior notes | $ 107,500,000 | |||||||
Convertible Senior Notes 5.00 Percent Due 2015 | ||||||||
Convertible Senior Notes: | ||||||||
Issued convertible senior notes, aggregate principal amount | $ 750,000,000 | |||||||
Issued convertible senior notes, interest rate | 5.00% | |||||||
Issued convertible senior notes, net proceeds following underwriting expenses | $ 727,500,000 | |||||||
Debt instrument face amount | $ 750,000,000 |
COMMON STOCK AND PREFERRED S101
COMMON STOCK AND PREFERRED STOCK - Additional Information (Details) | Aug. 25, 2017USD ($)$ / sharesshares | Jul. 27, 2017shares | Jul. 12, 2016$ / shares | Mar. 31, 2012agreementshares | Dec. 31, 2017USD ($)$ / sharesshares | Dec. 31, 2016USD ($)$ / sharesshares | Dec. 31, 2015USD ($)shares | Dec. 31, 2012shares | Aug. 31, 2015USD ($) |
Class of Stock [Line Items] | |||||||||
Common stock, par value (in dollars per share) | $ / shares | $ 0.01 | $ 0.01 | |||||||
Common stock, shares authorized (in shares) | 1,929,300,000 | 1,945,437,500 | |||||||
Conversion of Stock, Shares Issued | 4,000,000 | ||||||||
Common stock, shares issued (in shares) | 1,159,585,078 | 1,018,913,249 | |||||||
Common stock, shares outstanding (in shares) | 1,159,585,078 | 1,018,913,249 | |||||||
Options exercised under incentive plans, shares (in shares) | 0 | 0 | 0 | ||||||
Gross proceeds from issuance of stock | $ | $ 1,700,000,000 | ||||||||
Direct purchase and dividend reinvestment program - value raised | $ | $ 2,542,000 | $ 2,362,000 | $ 2,246,000 | ||||||
Direct purchase and dividend reinvestment program - issued shares (in shares) | 219,000 | 228,000 | 221,000 | ||||||
Common stock repurchase program, authorized amount | $ | $ 1,000,000,000 | ||||||||
Common stock repurchase program, repurchased share (in shares) | 0 | 11,132,226 | |||||||
Common stock repurchase program, repurchased value | $ | $ 102,700,000 | ||||||||
Number of distribution agreements (agreement) | agreement | 6 | ||||||||
Number of common shares authorized for issuance under the Distribution Agency Agreement (in shares) | 125,000,000 | 125,000,000 | 125,000,000 | ||||||
Redemption of Series A Cumulative Preferred Stock | $ | $ 185,312,000 | ||||||||
Common Stock | |||||||||
Class of Stock [Line Items] | |||||||||
Shares issued during period (in shares) | 140,450,700 | ||||||||
Direct purchase and dividend reinvestment program - value raised | $ | $ 2,000 | $ 2,000 | $ 2,000 | ||||||
7.625% Series C Cumulative Redeemable Preferred Stock | |||||||||
Class of Stock [Line Items] | |||||||||
Preferred stock, shares authorized (in shares) | 12,000,000 | 12,650,000 | |||||||
Preferred stock dividend rate, percentage | 7.625% | 7.625% | 7.625% | ||||||
Preferred Stock redeemable price, per share (in dollars per share) | $ / shares | $ 25 | ||||||||
Preferred Stock, shares issued (in shares) | 12,000,000 | 12,000,000 | |||||||
Preferred Stock, par value (in dollars per share) | $ / shares | $ 0.01 | ||||||||
Preferred Stock liquidation preference, per share (in dollars per share) | $ / shares | $ 25 | ||||||||
Preferred Stock, shares outstanding (in shares) | 12,000,000 | 12,000,000 | |||||||
7.50% Series D Cumulative Redeemable Preferred Stock | |||||||||
Class of Stock [Line Items] | |||||||||
Preferred stock, shares authorized (in shares) | 18,400,000 | 18,400,000 | |||||||
Preferred stock dividend rate, percentage | 7.50% | 7.50% | 7.50% | ||||||
Preferred Stock redeemable price, per share (in dollars per share) | $ / shares | $ 25 | ||||||||
Preferred Stock, shares issued (in shares) | 18,400,000 | 18,400,000 | |||||||
Preferred Stock, par value (in dollars per share) | $ / shares | $ 0.01 | ||||||||
Preferred Stock liquidation preference, per share (in dollars per share) | $ / shares | $ 25 | ||||||||
Preferred Stock, shares outstanding (in shares) | 18,400,000 | 18,400,000 | |||||||
7.625% Series E Cumulative Redeemable Preferred Stock | |||||||||
Class of Stock [Line Items] | |||||||||
Preferred stock, shares authorized (in shares) | 11,500,000 | 11,500,000 | |||||||
Preferred stock dividend rate, percentage | 7.625% | 7.625% | 7.625% | 7.625% | |||||
Preferred Stock redeemable price, per share (in dollars per share) | $ / shares | $ 25 | ||||||||
Preferred Stock, shares issued (in shares) | 11,500,000 | 11,500,000 | |||||||
Preferred Stock, par value (in dollars per share) | $ / shares | $ 0.01 | $ 0.01 | |||||||
Preferred Stock liquidation preference, per share (in dollars per share) | $ / shares | $ 25 | ||||||||
Preferred Stock, shares outstanding (in shares) | 11,500,000 | 11,500,000 | |||||||
6.95% Series F Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | |||||||||
Class of Stock [Line Items] | |||||||||
Preferred stock, shares authorized (in shares) | 28,800,000 | 0 | |||||||
Preferred stock dividend rate, percentage | 6.95% | 6.95% | 6.95% | ||||||
Shares issued during period (in shares) | 28,800,000 | ||||||||
Preferred Stock redeemable price, per share (in dollars per share) | $ / shares | $ 25 | ||||||||
Preferred Stock, shares issued (in shares) | 28,800,000 | 0 | |||||||
Preferred Stock liquidation preference, per share (in dollars per share) | $ / shares | $ 25 | ||||||||
Preferred Stock, shares outstanding (in shares) | 28,800,000 | 0 | |||||||
Net proceeds from issuance of preferred stock | $ | $ 720,000,000 | ||||||||
Preferred stock, basis spread | 4.993% | ||||||||
6.00% Series B Cumulative Convertible Preferred Stock | |||||||||
Class of Stock [Line Items] | |||||||||
Preferred stock dividend rate, percentage | 6.00% | ||||||||
Conversion of Stock, Shares Converted | 4,600,000 | 1,300,000 | |||||||
Preferred Stock, shares issued (in shares) | 0 | 0 | 0 | ||||||
Preferred Stock, shares outstanding (in shares) | 0 | 0 | 0 | ||||||
7.875% Series A Cumulative Redeemable Preferred Stock | |||||||||
Class of Stock [Line Items] | |||||||||
Preferred stock, shares authorized (in shares) | 0 | 7,412,500 | |||||||
Preferred stock dividend rate, percentage | 7.875% | 7.875% | 7.875% | ||||||
Preferred stock redeemed (in shares) | 7,412,500 | ||||||||
Redemption of Series A Cumulative Preferred Stock | $ | $ 187,500,000 | ||||||||
Preferred Stock redeemable price, per share (in dollars per share) | $ / shares | $ 25 | $ 25 | |||||||
Preferred Stock, shares issued (in shares) | 0 | 7,412,500 | |||||||
Preferred Stock, par value (in dollars per share) | $ / shares | $ 0.01 | ||||||||
Preferred Stock liquidation preference, per share (in dollars per share) | $ / shares | $ 25 | ||||||||
Preferred Stock, shares outstanding (in shares) | 0 | 7,412,500 |
COMMON STOCK AND PREFERRED S102
COMMON STOCK AND PREFERRED STOCK - Summary of Dividend Distribution Activity (Details) - USD ($) $ / shares in Units, $ in Thousands | 12 Months Ended | ||
Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | |
Class of Stock [Line Items] | |||
Distributions declared to common stockholders | $ 1,285,701 | $ 1,162,897 | $ 1,133,768 |
Distributions declared per common share (in dollars per share) | $ 1.2 | $ 1.2 | $ 1.2 |
Distributions paid to common stockholders after period end | $ 347,876 | $ 305,674 | |
Distributions paid per common share after period end (in dollars per share) | $ 0.3 | $ 0.3 | |
7.875% Series A Cumulative Redeemable Preferred Stock | |||
Class of Stock [Line Items] | |||
Preferred dividends declared | $ 9,527 | $ 14,593 | $ 14,593 |
Preferred series dividends declared (in dollars per share) | $ 1.285 | $ 1.969 | $ 1.969 |
7.625% Series C Cumulative Redeemable Preferred Stock | |||
Class of Stock [Line Items] | |||
Preferred dividends declared | $ 22,875 | $ 22,875 | $ 22,875 |
Preferred series dividends declared (in dollars per share) | $ 1.906 | $ 1.906 | $ 1.906 |
7.50% Series D Cumulative Redeemable Preferred Stock | |||
Class of Stock [Line Items] | |||
Preferred dividends declared | $ 34,500 | $ 34,500 | $ 34,500 |
Preferred series dividends declared (in dollars per share) | $ 1.875 | $ 1.875 | $ 1.875 |
7.625% Series E Cumulative Redeemable Preferred Stock | |||
Class of Stock [Line Items] | |||
Preferred dividends declared | $ 21,922 | $ 10,292 | |
Preferred series dividends declared (in dollars per share) | $ 1.906 | $ 0.953 | |
6.95% Series F Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | |||
Class of Stock [Line Items] | |||
Preferred dividends declared | $ 20,811 | $ 0 | |
Preferred series dividends declared (in dollars per share) | $ 0.724 | $ 0 |
INTEREST INCOME AND INTEREST103
INTEREST INCOME AND INTEREST EXPENSE - Components of Company's Interest Income and Interest Expense (Details) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended | |||||||||
Dec. 31, 2017 | Sep. 30, 2017 | Jun. 30, 2017 | Mar. 31, 2017 | Dec. 31, 2016 | Sep. 30, 2016 | Jun. 30, 2016 | Mar. 31, 2016 | Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | |
Interest income: | |||||||||||
Residential Investment Securities | $ 2,170,041 | $ 1,944,457 | $ 1,963,629 | ||||||||
Residential mortgage loans | 30,540 | 4,147 | 0 | ||||||||
Commercial investment portfolio | 273,884 | 252,436 | 203,804 | ||||||||
Reverse repurchase agreements | 18,661 | 9,911 | 3,264 | ||||||||
Total interest income | $ 745,423 | $ 622,550 | $ 537,426 | $ 587,727 | $ 807,022 | $ 558,668 | $ 457,118 | $ 388,143 | 2,493,126 | 2,210,951 | 2,170,697 |
Interest expense: | |||||||||||
Repurchase agreements | 891,819 | 585,826 | 420,325 | ||||||||
Convertible Senior Notes | 0 | 0 | 29,740 | ||||||||
Securitized debt of consolidated VIEs | 60,304 | 44,392 | 20,065 | ||||||||
Participation sold | 195 | 627 | 639 | ||||||||
Other | 56,036 | 26,907 | 827 | ||||||||
Total interest expense | 318,711 | 268,937 | 222,281 | 198,425 | 183,396 | 174,154 | 152,755 | 147,447 | 1,008,354 | 657,752 | 471,596 |
Net interest income | $ 426,712 | $ 353,613 | $ 315,145 | $ 389,302 | $ 623,626 | $ 384,514 | $ 304,363 | $ 240,696 | $ 1,484,772 | $ 1,553,199 | $ 1,699,101 |
GOODWILL - Additional Informati
GOODWILL - Additional Information (Details) - USD ($) $ in Thousands | 12 Months Ended | |||
Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | ||
Goodwill and Intangible Assets Disclosure [Abstract] | ||||
Goodwill | $ 71,815 | [1] | $ 71,815 | |
Impairment of goodwill | $ 0 | $ 0 | $ 22,966 | |
[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 will not be adjusted. |
NET INCOME (LOSS) PER COMMON105
NET INCOME (LOSS) PER COMMON SHARE - Schedule of Net Income (Loss) per Share Reconciliation (Details) - USD ($) $ / shares in Units, $ in Thousands | 3 Months Ended | 12 Months Ended | |||||||||
Dec. 31, 2017 | Sep. 30, 2017 | Jun. 30, 2017 | Mar. 31, 2017 | Dec. 31, 2016 | Sep. 30, 2016 | Jun. 30, 2016 | Mar. 31, 2016 | Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | |
Earnings Per Share [Abstract] | |||||||||||
Net income (loss) | $ 746,771 | $ 367,315 | $ 14,522 | $ 440,408 | $ 1,848,483 | $ 730,880 | $ (278,497) | $ (868,080) | $ 1,569,016 | $ 1,432,786 | $ 465,747 |
Less: Net income (loss) attributable to noncontrolling interest | (151) | (232) | (102) | (103) | (87) | (336) | (385) | (162) | (588) | (970) | (809) |
Net income (loss) attributable to Annaly | 1,569,604 | 1,433,756 | 466,556 | ||||||||
Less: Dividends on preferred stock | 32,334 | 30,355 | 23,473 | 23,473 | 23,473 | 22,803 | 17,992 | 17,992 | 109,635 | 82,260 | 71,968 |
Net income (loss) available (related) to common stockholders | $ 714,588 | $ 337,192 | $ (8,849) | $ 417,038 | $ 1,825,097 | $ 708,413 | $ (296,104) | $ (885,910) | 1,459,969 | 1,351,496 | 394,588 |
Add: Interest on Convertible Senior Notes, if dilutive | 0 | 0 | 0 | ||||||||
Net income (loss) available to common stockholders, as adjusted | $ 1,459,969 | $ 1,351,496 | $ 394,588 | ||||||||
Weighted average shares of common stock outstanding-basic (in shares) | 1,065,923,652 | 969,787,583 | 947,062,099 | ||||||||
Add: Effect of stock awards and Convertible Senior Notes, if dilutive (in shares) | 427,964 | 314,770 | 214,643 | ||||||||
Weighted average shares of common stock outstanding-diluted (in shares) | 1,066,351,616 | 970,102,353 | 947,276,742 | ||||||||
Net income (loss) per share available (related) to common share: | |||||||||||
Basic (in dollars per share) | $ 0.62 | $ 0.31 | $ (0.01) | $ 0.41 | $ 1.79 | $ 0.70 | $ (0.32) | $ (0.96) | $ 1.37 | $ 1.39 | $ 0.42 |
Diluted (in dollars per share) | $ 0.62 | $ 0.31 | $ (0.01) | $ 0.41 | $ 1.79 | $ 0.70 | $ (0.32) | $ (0.96) | $ 1.37 | $ 1.39 | $ 0.42 |
NET INCOME (LOSS) PER COMMON106
NET INCOME (LOSS) PER COMMON SHARE - Additional Information (Details) - shares shares in Millions | 12 Months Ended | ||
Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | |
Earnings Per Share [Abstract] | |||
Options to purchase common stock outstanding that would be considered anti-dilutive (in shares) | 0.8 | 1.1 | 1.2 |
LONG-TERM STOCK INCENTIVE PL107
LONG-TERM STOCK INCENTIVE PLAN - Additional Information (Details) | 12 Months Ended | |
Dec. 31, 2017USD ($)installmentshares | Dec. 31, 2016USD ($) | |
Long-Term Stock Incentive Plans: | ||
Weighted average remaining contractual term of stock options outstanding, years | 8 months 15 days | 1 year 6 months |
Weighted average remaining contractual term of stock options exercisable, years | 8 months 12 days | 1 year 8 months |
Unrecognized compensation cost | $ | $ 0 | $ 0 |
The Prior Plan | Minimum | ||
Long-Term Stock Incentive Plans: | ||
Long-term stock compensation - ceiling shares (in 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 (in 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) | 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 | |
Equity Incentive Plan 2010 | ||
Long-Term Stock Incentive Plans: | ||
Long-term stock compensation - ceiling shares (in shares) | 25,000,000 |
LONG-TERM STOCK INCENTIVE PL108
LONG-TERM STOCK INCENTIVE PLAN - Issued and Outstanding Stock Options (Details) - $ / shares | 12 Months Ended | ||
Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | |
Number of Shares | |||
Options outstanding at the beginning of year (in shares) | 1,125,625 | 1,168,775 | |
Granted (in shares) | 0 | 0 | |
Exercised (in shares) | 0 | 0 | 0 |
Forfeited (in shares) | (132,000) | (6,400) | |
Expired (in shares) | (199,500) | (36,750) | |
Options outstanding at the end of period (in shares) | 794,125 | 1,125,625 | 1,168,775 |
Options exercisable at the end of the period (in shares) | 794,125 | 1,125,625 | |
Weighted Average Exercise Price | |||
Options outstanding at the beginning of year (in dollars per share) | $ 15.43 | $ 15.34 | |
Granted (in dollars per share) | 0 | 0 | |
Exercised (in dollars per share) | 0 | 0 | |
Forfeited (in dollars per share) | 15.74 | 14.69 | |
Expired (in dollars per share) | 15.74 | 12.90 | |
Options outstanding at the end of period (in dollars per share) | 15.30 | 15.43 | $ 15.34 |
Options exercisable at the end of period (in dollars per share) | $ 15.30 | $ 15.43 |
INCOME TAXES - Additional Infor
INCOME TAXES - Additional Information (Details) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended | |||||||||
Dec. 31, 2017 | Sep. 30, 2017 | Jun. 30, 2017 | Mar. 31, 2017 | Dec. 31, 2016 | Sep. 30, 2016 | Jun. 30, 2016 | Mar. 31, 2016 | Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | |
Income Taxes: | |||||||||||
REIT Taxable income distributed | 100.00% | ||||||||||
Income tax expense (benefit) for income and losses attributable to TRSs | $ 4,963 | $ 1,371 | $ (329) | $ 977 | $ 1,244 | $ (1,926) | $ (76) | $ (837) | $ 6,982 | $ (1,595) | $ (1,954) |
Taxable REIT Subsidiary | |||||||||||
Income Taxes: | |||||||||||
Income tax expense (benefit) for income and losses attributable to TRSs | 7,000 | $ (1,800) | $ (1,900) | ||||||||
Current tax expense | 2,700 | ||||||||||
Deferred tax expense | $ 4,300 |
LEASE COMMITMENTS AND CONTIN110
LEASE COMMITMENTS AND CONTINGENCIES - Additional Information (Details) - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | |
Commitments and Contingencies Disclosure [Abstract] | |||
Lease expense | $ 3.1 | $ 3.1 | $ 2.9 |
Aggregate future net minimum lease payments | 29.1 | ||
Contingencies | $ 0 | $ 0 |
LEASE COMMITMENTS AND CONTIN111
LEASE COMMITMENTS AND CONTINGENCIES - Details of Future Lease Payments (Details) $ in Thousands | Dec. 31, 2017USD ($) |
Commitments and Contingencies Disclosure [Abstract] | |
2,018 | $ 3,565 |
2,019 | 3,565 |
2,020 | 3,652 |
2,021 | 3,862 |
2,022 | 3,862 |
Later years | 10,618 |
Total | $ 29,124 |
RCAP REGULATORY REQUIREMENTS -
RCAP REGULATORY REQUIREMENTS - Additional Information (Details) - RCap $ in Millions | Dec. 31, 2017USD ($) |
Minimum net capital requirement | $ 0.3 |
Regulatory net capital | 397.5 |
Regulatory net capital, excess net capital | $ 397.2 |
RELATED PARTY TRANSACTIONS - Ad
RELATED PARTY TRANSACTIONS - Additional Information (Details) | Nov. 05, 2014 | Aug. 31, 2015USD ($)shares | Dec. 31, 2017USD ($)shares | Dec. 31, 2016USD ($)shares | Dec. 31, 2015USD ($) |
Ratio of percentage of stockholders' equity | 0.0875 | ||||
Compensation and management fee | $ 164,322,000 | $ 151,599,000 | $ 150,286,000 | ||
Ratio of independent directors or holders of a majority of the outstanding shares | 0.0067 | ||||
Shares repurchased, shares (in shares) | shares | 0 | 11,132,226 | |||
Shares repurchased, value | $ 102,700,000 | ||||
Management Agreement | |||||
Compensation and management fee | $ 164,300,000 | 151,600,000 | 150,300,000 | ||
Management fee payable | $ 13,800,000 | 11,200,000 | |||
Renewal term | 2 years | ||||
Management Agreement | Minimum | |||||
Management agreement, required period to terminate from the date of the notice | 1 year | ||||
Chimera | |||||
Shares repurchased, shares (in shares) | shares | 9,000,000 | ||||
Shares repurchased, value | $ 126,400,000 | ||||
Advisory fees from affiliate | $ 0 | 0 | 24,800,000 | ||
Subsidiaries | Management Agreement | |||||
Compensation expense | $ 7,200,000 | $ 8,400,000 | $ 7,500,000 |
SUBSEQUENT EVENTS (Details)
SUBSEQUENT EVENTS (Details) - USD ($) $ / shares in Units, $ in Millions | Feb. 08, 2018 | Jan. 12, 2018 | Jan. 03, 2018 | Jul. 12, 2016 | Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 |
7.625% Series E Cumulative Redeemable Preferred Stock | |||||||
Subsequent Event [Line Items] | |||||||
Preferred Stock redeemable price, per share (in dollars per share) | $ 25 | ||||||
Preferred stock dividend rate, percentage | 7.625% | 7.625% | 7.625% | 7.625% | |||
7.625% Series C Cumulative Redeemable Preferred Stock | |||||||
Subsequent Event [Line Items] | |||||||
Preferred Stock redeemable price, per share (in dollars per share) | $ 25 | ||||||
Preferred stock dividend rate, percentage | 7.625% | 7.625% | 7.625% | ||||
Subsequent Event | At-the-market Sale Program | |||||||
Subsequent Event [Line Items] | |||||||
Aggregate stock offering price | $ 1,500 | ||||||
Subsequent Event | 7.625% Series E Cumulative Redeemable Preferred Stock | |||||||
Subsequent Event [Line Items] | |||||||
Preferred stock redeemed (in shares) | 11,500,000 | ||||||
Preferred Stock redeemable price, per share (in dollars per share) | $ 25 | ||||||
Subsequent Event | 7.625% Series C Cumulative Redeemable Preferred Stock | |||||||
Subsequent Event [Line Items] | |||||||
Preferred stock redeemed (in shares) | 5,000,000 | ||||||
Preferred Stock redeemable price, per share (in dollars per share) | $ 25 | ||||||
Subsequent Event | 6.50 % Series G Cumulative Redeemable Preferred | Public Offering | |||||||
Subsequent Event [Line Items] | |||||||
Number of shares issued in public offering (in shares) | 17,000,000 | ||||||
Preferred stock dividend rate, percentage | 6.50% | ||||||
Proceeds from stock issuance, before discounts and offering expenses | $ 425 |
SUMMARIZED QUARTERLY RESULTS (D
SUMMARIZED QUARTERLY RESULTS (Details) - USD ($) $ / shares in Units, $ in Thousands | 3 Months Ended | 12 Months Ended | |||||||||
Dec. 31, 2017 | Sep. 30, 2017 | Jun. 30, 2017 | Mar. 31, 2017 | Dec. 31, 2016 | Sep. 30, 2016 | Jun. 30, 2016 | Mar. 31, 2016 | Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | |
Quarterly Financial Information Disclosure [Abstract] | |||||||||||
Interest income | $ 745,423 | $ 622,550 | $ 537,426 | $ 587,727 | $ 807,022 | $ 558,668 | $ 457,118 | $ 388,143 | $ 2,493,126 | $ 2,210,951 | $ 2,170,697 |
Interest expense | 318,711 | 268,937 | 222,281 | 198,425 | 183,396 | 174,154 | 152,755 | 147,447 | 1,008,354 | 657,752 | 471,596 |
Net interest income | 426,712 | 353,613 | 315,145 | 389,302 | 623,626 | 384,514 | 304,363 | 240,696 | 1,484,772 | 1,553,199 | 1,699,101 |
Total realized and unrealized gains (losses) | 359,215 | 43,807 | (277,794) | 74,265 | 1,250,636 | 412,906 | (523,785) | (1,055,553) | 199,493 | 84,204 | (1,021,351) |
Total other income (loss) | 25,064 | 28,282 | 30,865 | 31,646 | 30,918 | 29,271 | (9,930) | (6,115) | |||
Less: Total general and administrative expenses | 59,257 | 57,016 | 54,023 | 53,828 | 55,453 | 97,737 | 49,221 | 47,945 | |||
Income (loss) before income taxes | 751,734 | 368,686 | 14,193 | 441,385 | 1,849,727 | 728,954 | (278,573) | (868,917) | 1,575,998 | 1,431,191 | 463,793 |
Less: Income taxes | 4,963 | 1,371 | (329) | 977 | 1,244 | (1,926) | (76) | (837) | 6,982 | (1,595) | (1,954) |
Net income (loss) | 746,771 | 367,315 | 14,522 | 440,408 | 1,848,483 | 730,880 | (278,497) | (868,080) | 1,569,016 | 1,432,786 | 465,747 |
Less: Net income attributable to noncontrolling interest | (151) | (232) | (102) | (103) | (87) | (336) | (385) | (162) | (588) | (970) | (809) |
Less: Dividends on preferred stock | 32,334 | 30,355 | 23,473 | 23,473 | 23,473 | 22,803 | 17,992 | 17,992 | 109,635 | 82,260 | 71,968 |
Net income (loss) available (related) to common stockholders | $ 714,588 | $ 337,192 | $ (8,849) | $ 417,038 | $ 1,825,097 | $ 708,413 | $ (296,104) | $ (885,910) | $ 1,459,969 | $ 1,351,496 | $ 394,588 |
Net income (loss) available (related) per share to common stockholders: | |||||||||||
Basic (in dollars per share) | $ 0.62 | $ 0.31 | $ (0.01) | $ 0.41 | $ 1.79 | $ 0.70 | $ (0.32) | $ (0.96) | $ 1.37 | $ 1.39 | $ 0.42 |
Diluted (in dollars per share) | $ 0.62 | $ 0.31 | $ (0.01) | $ 0.41 | $ 1.79 | $ 0.70 | $ (0.32) | $ (0.96) | $ 1.37 | $ 1.39 | $ 0.42 |
6.95% Series F Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | |||||||||||
Class of Stock [Line Items] | |||||||||||
Cumulative and undeclared dividends | $ 8,300 |
Schedule III - Real Estate a116
Schedule III - Real Estate and Accumulated Depreciation (Details) $ in Thousands | 12 Months Ended | |
Dec. 31, 2017USD ($)property | Dec. 31, 2016USD ($) | |
SEC Schedule III, Real Estate and Accumulated Depreciation [Line Items] | ||
Number of Properties (property) | property | 27 | |
Encumbrances | $ 312,500 | |
Initial Cost to Company, Land | 112,675 | |
Initial Cost to Company, Buildings and Improvements | 335,945 | |
Cost Capitalized Subsequent to Acquisition, Improvements | 1,231 | |
Cost Capitalized Subsequent to Acquisition, Purchase Price Allocation Adjustments | 0 | |
Cost Capitalized Subsequent to Acquisition, Capitalized Costs | 0 | |
Property Sold | (7,880) | |
Gross Amounts, Land | 111,012 | |
Gross Amounts, Buildings and Improvements | 330,959 | |
Total | 441,971 | |
Accumulated Depreciation | $ (48,920) | $ (34,221) |
Retail Site | Texas | Retail - Carrollton, TX | ||
SEC Schedule III, Real Estate and Accumulated Depreciation [Line Items] | ||
Number of Properties (property) | property | 1 | |
Encumbrances | $ 12,875 | |
Initial Cost to Company, Land | 3,970 | |
Initial Cost to Company, Buildings and Improvements | 14,672 | |
Cost Capitalized Subsequent to Acquisition, Improvements | 0 | |
Cost Capitalized Subsequent to Acquisition, Purchase Price Allocation Adjustments | 0 | |
Cost Capitalized Subsequent to Acquisition, Capitalized Costs | 0 | |
Property Sold | 0 | |
Gross Amounts, Land | 3,970 | |
Gross Amounts, Buildings and Improvements | 14,672 | |
Total | 18,642 | |
Accumulated Depreciation | $ (1,553) | |
Weighted-Average Depreciable Life (in years) | 38 years | |
Retail Site | Texas | Retail - Plano, TX | Group One | ||
SEC Schedule III, Real Estate and Accumulated Depreciation [Line Items] | ||
Number of Properties (property) | property | 1 | |
Encumbrances | $ 11,817 | |
Initial Cost to Company, Land | 4,615 | |
Initial Cost to Company, Buildings and Improvements | 12,692 | |
Cost Capitalized Subsequent to Acquisition, Improvements | 59 | |
Cost Capitalized Subsequent to Acquisition, Purchase Price Allocation Adjustments | 0 | |
Cost Capitalized Subsequent to Acquisition, Capitalized Costs | 0 | |
Property Sold | 0 | |
Gross Amounts, Land | 4,615 | |
Gross Amounts, Buildings and Improvements | 12,751 | |
Total | 17,366 | |
Accumulated Depreciation | $ (1,535) | |
Weighted-Average Depreciable Life (in years) | 38 years | |
Retail Site | Texas | Retail - Plano, TX | Group Two | ||
SEC Schedule III, Real Estate and Accumulated Depreciation [Line Items] | ||
Number of Properties (property) | property | 1 | |
Encumbrances | $ 4,638 | |
Initial Cost to Company, Land | 1,459 | |
Initial Cost to Company, Buildings and Improvements | 4,533 | |
Cost Capitalized Subsequent to Acquisition, Improvements | 31 | |
Cost Capitalized Subsequent to Acquisition, Purchase Price Allocation Adjustments | 0 | |
Cost Capitalized Subsequent to Acquisition, Capitalized Costs | 0 | |
Property Sold | 0 | |
Gross Amounts, Land | 1,459 | |
Gross Amounts, Buildings and Improvements | 4,564 | |
Total | 6,023 | |
Accumulated Depreciation | $ (1,468) | |
Weighted-Average Depreciable Life (in years) | 38 years | |
Retail Site | Texas | Retail - Grapevine, TX | Group One | ||
SEC Schedule III, Real Estate and Accumulated Depreciation [Line Items] | ||
Number of Properties (property) | property | 1 | |
Encumbrances | $ 12,692 | |
Initial Cost to Company, Land | 4,713 | |
Initial Cost to Company, Buildings and Improvements | 13,888 | |
Cost Capitalized Subsequent to Acquisition, Improvements | 0 | |
Cost Capitalized Subsequent to Acquisition, Purchase Price Allocation Adjustments | 0 | |
Cost Capitalized Subsequent to Acquisition, Capitalized Costs | 0 | |
Property Sold | 0 | |
Gross Amounts, Land | 4,713 | |
Gross Amounts, Buildings and Improvements | 13,888 | |
Total | 18,601 | |
Accumulated Depreciation | $ (1,373) | |
Weighted-Average Depreciable Life (in years) | 38 years | |
Retail Site | Texas | Retail - Grapevine, TX | Group Two | ||
SEC Schedule III, Real Estate and Accumulated Depreciation [Line Items] | ||
Number of Properties (property) | property | 1 | |
Encumbrances | $ 9,797 | |
Initial Cost to Company, Land | 3,931 | |
Initial Cost to Company, Buildings and Improvements | 9,972 | |
Cost Capitalized Subsequent to Acquisition, Improvements | 0 | |
Cost Capitalized Subsequent to Acquisition, Purchase Price Allocation Adjustments | 0 | |
Cost Capitalized Subsequent to Acquisition, Capitalized Costs | 0 | |
Property Sold | 0 | |
Gross Amounts, Land | 3,931 | |
Gross Amounts, Buildings and Improvements | 9,972 | |
Total | 13,903 | |
Accumulated Depreciation | $ (1,120) | |
Weighted-Average Depreciable Life (in years) | 38 years | |
Retail Site | Texas | Retail - Flower Mound, TX | Group One | ||
SEC Schedule III, Real Estate and Accumulated Depreciation [Line Items] | ||
Number of Properties (property) | property | 1 | |
Encumbrances | $ 13,085 | |
Initial Cost to Company, Land | 4,963 | |
Initial Cost to Company, Buildings and Improvements | 14,477 | |
Cost Capitalized Subsequent to Acquisition, Improvements | 9 | |
Cost Capitalized Subsequent to Acquisition, Purchase Price Allocation Adjustments | 0 | |
Cost Capitalized Subsequent to Acquisition, Capitalized Costs | 0 | |
Property Sold | 0 | |
Gross Amounts, Land | 4,963 | |
Gross Amounts, Buildings and Improvements | 14,486 | |
Total | 19,449 | |
Accumulated Depreciation | $ (1,525) | |
Weighted-Average Depreciable Life (in years) | 38 years | |
Retail Site | Texas | Retail - Flower Mound, TX | Group Two | ||
SEC Schedule III, Real Estate and Accumulated Depreciation [Line Items] | ||
Number of Properties (property) | property | 1 | |
Encumbrances | $ 7,492 | |
Initial Cost to Company, Land | 2,696 | |
Initial Cost to Company, Buildings and Improvements | 7,351 | |
Cost Capitalized Subsequent to Acquisition, Improvements | 66 | |
Cost Capitalized Subsequent to Acquisition, Purchase Price Allocation Adjustments | 0 | |
Cost Capitalized Subsequent to Acquisition, Capitalized Costs | 0 | |
Property Sold | 0 | |
Gross Amounts, Land | 2,696 | |
Gross Amounts, Buildings and Improvements | 7,417 | |
Total | 10,113 | |
Accumulated Depreciation | $ (1,146) | |
Weighted-Average Depreciable Life (in years) | 38 years | |
Retail Site | Texas | Retail - Flower Mound, TX | Group Three | ||
SEC Schedule III, Real Estate and Accumulated Depreciation [Line Items] | ||
Number of Properties (property) | property | 1 | |
Encumbrances | $ 8,929 | |
Initial Cost to Company, Land | 3,571 | |
Initial Cost to Company, Buildings and Improvements | 8,280 | |
Cost Capitalized Subsequent to Acquisition, Improvements | 8 | |
Cost Capitalized Subsequent to Acquisition, Purchase Price Allocation Adjustments | 0 | |
Cost Capitalized Subsequent to Acquisition, Capitalized Costs | 0 | |
Property Sold | 0 | |
Gross Amounts, Land | 3,571 | |
Gross Amounts, Buildings and Improvements | 8,287 | |
Total | 11,858 | |
Accumulated Depreciation | $ (858) | |
Weighted-Average Depreciable Life (in years) | 38 years | |
Retail Site | Florida | Retail - Largo, FL | ||
SEC Schedule III, Real Estate and Accumulated Depreciation [Line Items] | ||
Number of Properties (property) | property | 1 | |
Encumbrances | $ 12,750 | |
Initial Cost to Company, Land | 4,973 | |
Initial Cost to Company, Buildings and Improvements | 12,832 | |
Cost Capitalized Subsequent to Acquisition, Improvements | (1) | |
Cost Capitalized Subsequent to Acquisition, Purchase Price Allocation Adjustments | 0 | |
Cost Capitalized Subsequent to Acquisition, Capitalized Costs | 0 | |
Property Sold | 0 | |
Gross Amounts, Land | 4,973 | |
Gross Amounts, Buildings and Improvements | 12,831 | |
Total | 17,804 | |
Accumulated Depreciation | $ (1,582) | |
Weighted-Average Depreciable Life (in years) | 27 years | |
Retail Site | California | Retail - Grass Valley, CA | ||
SEC Schedule III, Real Estate and Accumulated Depreciation [Line Items] | ||
Number of Properties (property) | property | 1 | |
Encumbrances | $ 25,900 | |
Initial Cost to Company, Land | 9,872 | |
Initial Cost to Company, Buildings and Improvements | 28,680 | |
Cost Capitalized Subsequent to Acquisition, Improvements | 284 | |
Cost Capitalized Subsequent to Acquisition, Purchase Price Allocation Adjustments | 0 | |
Cost Capitalized Subsequent to Acquisition, Capitalized Costs | 0 | |
Property Sold | 0 | |
Gross Amounts, Land | 9,872 | |
Gross Amounts, Buildings and Improvements | 28,965 | |
Total | 38,837 | |
Accumulated Depreciation | $ (3,916) | |
Weighted-Average Depreciable Life (in years) | 25 years | |
Retail Site | New York | Retail - Penfield, NY | ||
SEC Schedule III, Real Estate and Accumulated Depreciation [Line Items] | ||
Number of Properties (property) | property | 1 | |
Encumbrances | $ 23,558 | |
Initial Cost to Company, Land | 4,122 | |
Initial Cost to Company, Buildings and Improvements | 22,670 | |
Cost Capitalized Subsequent to Acquisition, Improvements | 757 | |
Cost Capitalized Subsequent to Acquisition, Purchase Price Allocation Adjustments | 0 | |
Cost Capitalized Subsequent to Acquisition, Capitalized Costs | 0 | |
Property Sold | 0 | |
Gross Amounts, Land | 4,122 | |
Gross Amounts, Buildings and Improvements | 23,427 | |
Total | 27,549 | |
Accumulated Depreciation | $ (5,124) | |
Weighted-Average Depreciable Life (in years) | 24 years | |
Retail Site | New York | Retail - Orchard Park, NY | ||
SEC Schedule III, Real Estate and Accumulated Depreciation [Line Items] | ||
Number of Properties (property) | property | 1 | |
Encumbrances | $ 12,888 | |
Initial Cost to Company, Land | 4,189 | |
Initial Cost to Company, Buildings and Improvements | 20,658 | |
Cost Capitalized Subsequent to Acquisition, Improvements | 71 | |
Cost Capitalized Subsequent to Acquisition, Purchase Price Allocation Adjustments | 0 | |
Cost Capitalized Subsequent to Acquisition, Capitalized Costs | 0 | |
Property Sold | 0 | |
Gross Amounts, Land | 4,189 | |
Gross Amounts, Buildings and Improvements | 20,729 | |
Total | 24,918 | |
Accumulated Depreciation | $ (3,765) | |
Weighted-Average Depreciable Life (in years) | 32 years | |
Retail Site | New York | Retail - Cheektowaga, NY | ||
SEC Schedule III, Real Estate and Accumulated Depreciation [Line Items] | ||
Number of Properties (property) | property | 1 | |
Encumbrances | $ 9,447 | |
Initial Cost to Company, Land | 1,939 | |
Initial Cost to Company, Buildings and Improvements | 12,514 | |
Cost Capitalized Subsequent to Acquisition, Improvements | 5 | |
Cost Capitalized Subsequent to Acquisition, Purchase Price Allocation Adjustments | 0 | |
Cost Capitalized Subsequent to Acquisition, Capitalized Costs | 0 | |
Property Sold | 0 | |
Gross Amounts, Land | 1,939 | |
Gross Amounts, Buildings and Improvements | 12,519 | |
Total | 14,458 | |
Accumulated Depreciation | $ (2,005) | |
Weighted-Average Depreciable Life (in years) | 25 years | |
Retail Site | New York | Retail - Amherst, NY | ||
SEC Schedule III, Real Estate and Accumulated Depreciation [Line Items] | ||
Number of Properties (property) | property | 1 | |
Encumbrances | $ 8,270 | |
Initial Cost to Company, Land | 2,132 | |
Initial Cost to Company, Buildings and Improvements | 9,807 | |
Cost Capitalized Subsequent to Acquisition, Improvements | 96 | |
Cost Capitalized Subsequent to Acquisition, Purchase Price Allocation Adjustments | 0 | |
Cost Capitalized Subsequent to Acquisition, Capitalized Costs | 0 | |
Property Sold | 0 | |
Gross Amounts, Land | 2,132 | |
Gross Amounts, Buildings and Improvements | 9,903 | |
Total | 12,035 | |
Accumulated Depreciation | $ (1,889) | |
Weighted-Average Depreciable Life (in years) | 28 years | |
Retail Site | New York | Retail - Ontario, NY | ||
SEC Schedule III, Real Estate and Accumulated Depreciation [Line Items] | ||
Number of Properties (property) | property | 1 | |
Encumbrances | $ 5,406 | |
Initial Cost to Company, Land | 574 | |
Initial Cost to Company, Buildings and Improvements | 6,839 | |
Cost Capitalized Subsequent to Acquisition, Improvements | 1 | |
Cost Capitalized Subsequent to Acquisition, Purchase Price Allocation Adjustments | 0 | |
Cost Capitalized Subsequent to Acquisition, Capitalized Costs | 0 | |
Property Sold | 0 | |
Gross Amounts, Land | 574 | |
Gross Amounts, Buildings and Improvements | 6,841 | |
Total | 7,415 | |
Accumulated Depreciation | $ (1,369) | |
Weighted-Average Depreciable Life (in years) | 31 years | |
Retail Site | New York | Retail - Irondequoit, NY | ||
SEC Schedule III, Real Estate and Accumulated Depreciation [Line Items] | ||
Number of Properties (property) | property | 1 | |
Encumbrances | $ 15,000 | |
Initial Cost to Company, Land | 2,438 | |
Initial Cost to Company, Buildings and Improvements | 14,836 | |
Cost Capitalized Subsequent to Acquisition, Improvements | 143 | |
Cost Capitalized Subsequent to Acquisition, Purchase Price Allocation Adjustments | 0 | |
Cost Capitalized Subsequent to Acquisition, Capitalized Costs | 0 | |
Property Sold | 0 | |
Gross Amounts, Land | 2,438 | |
Gross Amounts, Buildings and Improvements | 14,980 | |
Total | 17,418 | |
Accumulated Depreciation | $ (3,158) | |
Weighted-Average Depreciable Life (in years) | 27 years | |
Retail Site | New York | Retail - LeRoy, NY | ||
SEC Schedule III, Real Estate and Accumulated Depreciation [Line Items] | ||
Number of Properties (property) | property | 1 | |
Encumbrances | $ 3,492 | |
Initial Cost to Company, Land | 343 | |
Initial Cost to Company, Buildings and Improvements | 4,950 | |
Cost Capitalized Subsequent to Acquisition, Improvements | 10 | |
Cost Capitalized Subsequent to Acquisition, Purchase Price Allocation Adjustments | 0 | |
Cost Capitalized Subsequent to Acquisition, Capitalized Costs | 0 | |
Property Sold | 0 | |
Gross Amounts, Land | 343 | |
Gross Amounts, Buildings and Improvements | 4,959 | |
Total | 5,302 | |
Accumulated Depreciation | $ (1,126) | |
Weighted-Average Depreciable Life (in years) | 29 years | |
Retail Site | New York | Retail - Jamestown, NY | ||
SEC Schedule III, Real Estate and Accumulated Depreciation [Line Items] | ||
Number of Properties (property) | property | 1 | |
Encumbrances | $ 7,356 | |
Initial Cost to Company, Land | 820 | |
Initial Cost to Company, Buildings and Improvements | 4,915 | |
Cost Capitalized Subsequent to Acquisition, Improvements | 0 | |
Cost Capitalized Subsequent to Acquisition, Purchase Price Allocation Adjustments | 0 | |
Cost Capitalized Subsequent to Acquisition, Capitalized Costs | 0 | |
Property Sold | 0 | |
Gross Amounts, Land | 820 | |
Gross Amounts, Buildings and Improvements | 4,915 | |
Total | 5,735 | |
Accumulated Depreciation | $ (1,342) | |
Weighted-Average Depreciable Life (in years) | 29 years | |
Retail Site | New York | Retail - Warsaw, NY | ||
SEC Schedule III, Real Estate and Accumulated Depreciation [Line Items] | ||
Number of Properties (property) | property | 1 | |
Encumbrances | $ 3,415 | |
Initial Cost to Company, Land | 407 | |
Initial Cost to Company, Buildings and Improvements | 4,123 | |
Cost Capitalized Subsequent to Acquisition, Improvements | 0 | |
Cost Capitalized Subsequent to Acquisition, Purchase Price Allocation Adjustments | 0 | |
Cost Capitalized Subsequent to Acquisition, Capitalized Costs | 0 | |
Property Sold | 0 | |
Gross Amounts, Land | 407 | |
Gross Amounts, Buildings and Improvements | 4,122 | |
Total | 4,529 | |
Accumulated Depreciation | $ (803) | |
Weighted-Average Depreciable Life (in years) | 31 years | |
Retail Site | Ohio | Retail - Chillicothe, OH | Group One | ||
SEC Schedule III, Real Estate and Accumulated Depreciation [Line Items] | ||
Number of Properties (property) | property | 1 | |
Encumbrances | $ 7,888 | |
Initial Cost to Company, Land | 1,262 | |
Initial Cost to Company, Buildings and Improvements | 10,819 | |
Cost Capitalized Subsequent to Acquisition, Improvements | 0 | |
Cost Capitalized Subsequent to Acquisition, Purchase Price Allocation Adjustments | 0 | |
Cost Capitalized Subsequent to Acquisition, Capitalized Costs | 0 | |
Property Sold | 0 | |
Gross Amounts, Land | 1,262 | |
Gross Amounts, Buildings and Improvements | 10,819 | |
Total | 12,081 | |
Accumulated Depreciation | $ (1,897) | |
Weighted-Average Depreciable Life (in years) | 26 years | |
Retail Site | Ohio | Retail - Chillicothe, OH | Group Two | ||
SEC Schedule III, Real Estate and Accumulated Depreciation [Line Items] | ||
Number of Properties (property) | property | 1 | |
Encumbrances | $ 7,700 | |
Initial Cost to Company, Land | 2,282 | |
Initial Cost to Company, Buildings and Improvements | 9,775 | |
Cost Capitalized Subsequent to Acquisition, Improvements | 0 | |
Cost Capitalized Subsequent to Acquisition, Purchase Price Allocation Adjustments | 0 | |
Cost Capitalized Subsequent to Acquisition, Capitalized Costs | 0 | |
Property Sold | 0 | |
Gross Amounts, Land | 2,282 | |
Gross Amounts, Buildings and Improvements | 9,775 | |
Total | 12,057 | |
Accumulated Depreciation | $ (1,293) | |
Weighted-Average Depreciable Life (in years) | 25 years | |
Retail Site | Georgia | Retail - Loganville, GA | ||
SEC Schedule III, Real Estate and Accumulated Depreciation [Line Items] | ||
Number of Properties (property) | property | 1 | |
Encumbrances | $ 7,230 | |
Initial Cost to Company, Land | 3,217 | |
Initial Cost to Company, Buildings and Improvements | 8,386 | |
Cost Capitalized Subsequent to Acquisition, Improvements | 0 | |
Cost Capitalized Subsequent to Acquisition, Purchase Price Allocation Adjustments | 0 | |
Cost Capitalized Subsequent to Acquisition, Capitalized Costs | 0 | |
Property Sold | 0 | |
Gross Amounts, Land | 3,217 | |
Gross Amounts, Buildings and Improvements | 8,386 | |
Total | 11,603 | |
Accumulated Depreciation | $ (1,748) | |
Weighted-Average Depreciable Life (in years) | 28 years | |
Retail Site | Virginia | Retail - Newport News, VA | ||
SEC Schedule III, Real Estate and Accumulated Depreciation [Line Items] | ||
Number of Properties (property) | property | 1 | |
Encumbrances | $ 11,025 | |
Initial Cost to Company, Land | 6,394 | |
Initial Cost to Company, Buildings and Improvements | 12,046 | |
Cost Capitalized Subsequent to Acquisition, Improvements | 0 | |
Cost Capitalized Subsequent to Acquisition, Purchase Price Allocation Adjustments | 0 | |
Cost Capitalized Subsequent to Acquisition, Capitalized Costs | 0 | |
Property Sold | 0 | |
Gross Amounts, Land | 6,394 | |
Gross Amounts, Buildings and Improvements | 12,046 | |
Total | 18,440 | |
Accumulated Depreciation | $ (1,562) | |
Weighted-Average Depreciable Life (in years) | 35 years | |
Retail Site | Tennessee | Retail - Knoxville, TN | ||
SEC Schedule III, Real Estate and Accumulated Depreciation [Line Items] | ||
Number of Properties (property) | property | 1 | |
Encumbrances | $ 12,350 | |
Initial Cost to Company, Land | 3,504 | |
Initial Cost to Company, Buildings and Improvements | 13,309 | |
Cost Capitalized Subsequent to Acquisition, Improvements | 0 | |
Cost Capitalized Subsequent to Acquisition, Purchase Price Allocation Adjustments | 0 | |
Cost Capitalized Subsequent to Acquisition, Capitalized Costs | 0 | |
Property Sold | 0 | |
Gross Amounts, Land | 3,503 | |
Gross Amounts, Buildings and Improvements | 13,310 | |
Total | 16,813 | |
Accumulated Depreciation | $ (1,657) | |
Weighted-Average Depreciable Life (in years) | 34 years | |
Multifamily | Washington | Multifamily - Washington, DC | ||
SEC Schedule III, Real Estate and Accumulated Depreciation [Line Items] | ||
Number of Properties (property) | property | 1 | |
Encumbrances | $ 57,500 | |
Initial Cost to Company, Land | 31,999 | |
Initial Cost to Company, Buildings and Improvements | 42,651 | |
Cost Capitalized Subsequent to Acquisition, Improvements | (308) | |
Cost Capitalized Subsequent to Acquisition, Purchase Price Allocation Adjustments | 0 | |
Cost Capitalized Subsequent to Acquisition, Capitalized Costs | 0 | |
Property Sold | 0 | |
Gross Amounts, Land | 31,999 | |
Gross Amounts, Buildings and Improvements | 42,342 | |
Total | 74,341 | |
Accumulated Depreciation | $ (3,546) | |
Weighted-Average Depreciable Life (in years) | 28 years | |
Industrial Property | Nevada | Industrial - Las Vegas, NV | ||
SEC Schedule III, Real Estate and Accumulated Depreciation [Line Items] | ||
Number of Properties (property) | property | 1 | |
Encumbrances | $ 0 | |
Initial Cost to Company, Land | 628 | |
Initial Cost to Company, Buildings and Improvements | 4,053 | |
Cost Capitalized Subsequent to Acquisition, Improvements | 0 | |
Cost Capitalized Subsequent to Acquisition, Purchase Price Allocation Adjustments | 0 | |
Cost Capitalized Subsequent to Acquisition, Capitalized Costs | 0 | |
Property Sold | 0 | |
Gross Amounts, Land | 628 | |
Gross Amounts, Buildings and Improvements | 4,053 | |
Total | 4,681 | |
Accumulated Depreciation | $ (560) | |
Weighted-Average Depreciable Life (in years) | 37 years | |
Industrial Property | Arizona | Industrial - Phoenix, AZ | ||
SEC Schedule III, Real Estate and Accumulated Depreciation [Line Items] | ||
Number of Properties (property) | property | 1 | |
Encumbrances | $ 0 | |
Initial Cost to Company, Land | 1,662 | |
Initial Cost to Company, Buildings and Improvements | 6,217 | |
Cost Capitalized Subsequent to Acquisition, Improvements | 0 | |
Cost Capitalized Subsequent to Acquisition, Purchase Price Allocation Adjustments | 0 | |
Cost Capitalized Subsequent to Acquisition, Capitalized Costs | 0 | |
Property Sold | (7,880) | |
Gross Amounts, Land | 0 | |
Gross Amounts, Buildings and Improvements | 0 | |
Total | 0 | |
Accumulated Depreciation | $ 0 | |
Weighted-Average Depreciable Life (in years) | 26 years |
Schedule III - Real Estate a117
Schedule III - Real Estate and Accumulated Depreciation -Real Estate Activity (Details) $ in Thousands | 12 Months Ended |
Dec. 31, 2017USD ($) | |
Real Estate: | |
Beginning balance | $ 448,620 |
Acquisitions and improvements | 1,231 |
Property Sold | (7,880) |
Ending balance | 441,971 |
Accumulated Depreciation: | |
Beginning balance | 34,221 |
Property sold | (1,052) |
Depreciation | 15,751 |
Ending balance | $ 48,920 |
Schedule IV - Mortgage Loans118
Schedule IV - Mortgage Loans on Commercial Real Estate (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | |
Mortgage Loans on Real Estate [Line Items] | |||
Face Amount | $ 1,033,158 | ||
Carrying Amount | 1,029,327 | $ 970,505 | $ 1,348,817 |
Real Estate Debt Investments | Hotel | California | |||
Mortgage Loans on Real Estate [Line Items] | |||
Prior Liens | 50,000 | ||
Face Amount | 10,000 | ||
Carrying Amount | $ 10,000 | ||
Interest Rate | 10.25% | ||
Real Estate Debt Investments | Hotel | Various States | Group One | |||
Mortgage Loans on Real Estate [Line Items] | |||
Prior Liens | $ 103,800 | ||
Face Amount | 25,000 | ||
Carrying Amount | $ 25,000 | ||
Real Estate Debt Investments | Hotel | Various States | Group One | LIBOR | |||
Mortgage Loans on Real Estate [Line Items] | |||
Libor Plus- Interest Rate | 9.95% | ||
Real Estate Debt Investments | Hotel | Various States | Group Two | |||
Mortgage Loans on Real Estate [Line Items] | |||
Prior Liens | $ 26,223 | ||
Face Amount | 10,335 | ||
Carrying Amount | $ 10,335 | ||
Real Estate Debt Investments | Hotel | Various States | Group Two | LIBOR | |||
Mortgage Loans on Real Estate [Line Items] | |||
Libor Plus- Interest Rate | 8.65% | ||
Real Estate Debt Investments | Hotel | Various States | Group Three | |||
Mortgage Loans on Real Estate [Line Items] | |||
Prior Liens | $ 26,223 | ||
Face Amount | 1,691 | ||
Carrying Amount | $ 1,691 | ||
Real Estate Debt Investments | Hotel | Various States | Group Three | LIBOR | |||
Mortgage Loans on Real Estate [Line Items] | |||
Libor Plus- Interest Rate | 8.65% | ||
Real Estate Debt Investments | Hotel | Various States | Group Four | |||
Mortgage Loans on Real Estate [Line Items] | |||
Prior Liens | $ 103,800 | ||
Face Amount | 6,500 | ||
Carrying Amount | $ 6,500 | ||
Real Estate Debt Investments | Hotel | Various States | Group Four | LIBOR | |||
Mortgage Loans on Real Estate [Line Items] | |||
Libor Plus- Interest Rate | 8.75% | ||
Real Estate Debt Investments | Hotel | Various States | Minimum | Group One | |||
Mortgage Loans on Real Estate [Line Items] | |||
Interest Rate | 0.20% | ||
Real Estate Debt Investments | Hotel | Various States | Minimum | Group Four | |||
Mortgage Loans on Real Estate [Line Items] | |||
Interest Rate | 0.20% | ||
Real Estate Debt Investments | Hotel | Louisiana | |||
Mortgage Loans on Real Estate [Line Items] | |||
Prior Liens | $ 85,370 | ||
Face Amount | 13,133 | ||
Carrying Amount | $ 13,010 | ||
Libor Plus- Interest Rate | 9.50% | ||
Real Estate Debt Investments | Mixed Use | Ohio | |||
Mortgage Loans on Real Estate [Line Items] | |||
Prior Liens | $ 124,671 | ||
Face Amount | 36,603 | ||
Carrying Amount | $ 36,603 | ||
Interest Rate | 9.50% | ||
Real Estate Debt Investments | Multifamily | New York | Group One | |||
Mortgage Loans on Real Estate [Line Items] | |||
Prior Liens | $ 393,717 | ||
Face Amount | 47,775 | ||
Carrying Amount | $ 47,775 | ||
Real Estate Debt Investments | Multifamily | New York | Group One | LIBOR | |||
Mortgage Loans on Real Estate [Line Items] | |||
Libor Plus- Interest Rate | 7.81% | ||
Real Estate Debt Investments | Multifamily | New York | Group Two | |||
Mortgage Loans on Real Estate [Line Items] | |||
Prior Liens | $ 393,717 | ||
Face Amount | 65,386 | ||
Carrying Amount | $ 65,385 | ||
Real Estate Debt Investments | Multifamily | New York | Group Two | LIBOR | |||
Mortgage Loans on Real Estate [Line Items] | |||
Libor Plus- Interest Rate | 6.38% | ||
Real Estate Debt Investments | Office Building | California | Group One | |||
Mortgage Loans on Real Estate [Line Items] | |||
Prior Liens | $ 46,151 | ||
Face Amount | 8,559 | ||
Carrying Amount | $ 8,575 | ||
Real Estate Debt Investments | Office Building | California | Group One | LIBOR | |||
Mortgage Loans on Real Estate [Line Items] | |||
Libor Plus- Interest Rate | 9.50% | ||
Real Estate Debt Investments | Office Building | California | Group Two | |||
Mortgage Loans on Real Estate [Line Items] | |||
Prior Liens | $ 280,000 | ||
Face Amount | 49,509 | ||
Carrying Amount | $ 49,509 | ||
Real Estate Debt Investments | Office Building | California | Group Two | LIBOR | |||
Mortgage Loans on Real Estate [Line Items] | |||
Libor Plus- Interest Rate | 6.41% | ||
Real Estate Debt Investments | Office Building | California | Group Three | |||
Mortgage Loans on Real Estate [Line Items] | |||
Prior Liens | $ 280,000 | ||
Face Amount | 27,500 | ||
Carrying Amount | $ 27,500 | ||
Real Estate Debt Investments | Office Building | California | Group Three | LIBOR | |||
Mortgage Loans on Real Estate [Line Items] | |||
Libor Plus- Interest Rate | 6.54% | ||
Real Estate Debt Investments | Office Building | California | Minimum | Group One | |||
Mortgage Loans on Real Estate [Line Items] | |||
Interest Rate | 0.25% | ||
Real Estate Debt Investments | Office Building | Various States | |||
Mortgage Loans on Real Estate [Line Items] | |||
Prior Liens | $ 90,907 | ||
Face Amount | 10,169 | ||
Carrying Amount | $ 10,169 | ||
Real Estate Debt Investments | Office Building | Various States | LIBOR | |||
Mortgage Loans on Real Estate [Line Items] | |||
Libor Plus- Interest Rate | 7.50% | ||
Real Estate Debt Investments | Office Building | Various States | Minimum | |||
Mortgage Loans on Real Estate [Line Items] | |||
Interest Rate | 0.25% | ||
Real Estate Debt Investments | Office Building | Louisiana | |||
Mortgage Loans on Real Estate [Line Items] | |||
Prior Liens | $ 64,000 | ||
Face Amount | 8,700 | ||
Carrying Amount | $ 8,700 | ||
Interest Rate | 10.75% | ||
Real Estate Debt Investments | Office Building | Colorado | |||
Mortgage Loans on Real Estate [Line Items] | |||
Prior Liens | $ 13,201 | ||
Face Amount | 6,000 | ||
Carrying Amount | $ 6,000 | ||
Interest Rate | 10.86% | ||
Real Estate Debt Investments | Office Building | Texas | Group One | |||
Mortgage Loans on Real Estate [Line Items] | |||
Prior Liens | $ 43,500 | ||
Face Amount | 9,187 | ||
Carrying Amount | $ 9,176 | ||
Interest Rate | 9.50% | ||
Real Estate Debt Investments | Office Building | Texas | Group Two | |||
Mortgage Loans on Real Estate [Line Items] | |||
Prior Liens | $ 51,159 | ||
Face Amount | 7,000 | ||
Carrying Amount | $ 7,000 | ||
Interest Rate | 10.10% | ||
Real Estate Debt Investments | Office Building | Florida | |||
Mortgage Loans on Real Estate [Line Items] | |||
Prior Liens | $ 52,000 | ||
Face Amount | 11,303 | ||
Carrying Amount | $ 11,192 | ||
Real Estate Debt Investments | Office Building | Florida | LIBOR | |||
Mortgage Loans on Real Estate [Line Items] | |||
Libor Plus- Interest Rate | 4.20% | ||
Real Estate Debt Investments | Office Building | Florida | Minimum | |||
Mortgage Loans on Real Estate [Line Items] | |||
Interest Rate | 0.50% | ||
Real Estate Debt Investments | Retail Site | New York | |||
Mortgage Loans on Real Estate [Line Items] | |||
Prior Liens | $ 23,750 | ||
Face Amount | 4,890 | ||
Carrying Amount | $ 4,857 | ||
Real Estate Debt Investments | Retail Site | New York | LIBOR | |||
Mortgage Loans on Real Estate [Line Items] | |||
Libor Plus- Interest Rate | 3.95% | ||
Real Estate Debt Investments | Retail Site | Colorado | |||
Mortgage Loans on Real Estate [Line Items] | |||
Prior Liens | $ 21,000 | ||
Face Amount | 9,000 | ||
Carrying Amount | $ 8,800 | ||
Real Estate Debt Investments | Retail Site | Colorado | LIBOR | |||
Mortgage Loans on Real Estate [Line Items] | |||
Libor Plus- Interest Rate | 5.00% | ||
Real Estate Debt Investments | Retail Site | Colorado | Minimum | |||
Mortgage Loans on Real Estate [Line Items] | |||
Interest Rate | 1.20% | ||
Real Estate Debt Investments | Retail Site | Massachusetts | |||
Mortgage Loans on Real Estate [Line Items] | |||
Prior Liens | $ 63,877 | ||
Face Amount | 10,000 | ||
Carrying Amount | $ 10,000 | ||
Interest Rate | 10.14% | ||
Real Estate Debt Investments | Retail Site | Washington | |||
Mortgage Loans on Real Estate [Line Items] | |||
Prior Liens | $ 50,325 | ||
Face Amount | 16,775 | ||
Carrying Amount | $ 16,665 | ||
Real Estate Debt Investments | Retail Site | Washington | LIBOR | |||
Mortgage Loans on Real Estate [Line Items] | |||
Libor Plus- Interest Rate | 4.45% | ||
Real Estate Debt Investments | Retail Site | Washington | Minimum | |||
Mortgage Loans on Real Estate [Line Items] | |||
Interest Rate | 0.50% | ||
Preferred equity | Mixed Use | Pennsylvania | |||
Mortgage Loans on Real Estate [Line Items] | |||
Prior Liens | $ 26,000 | ||
Face Amount | 9,000 | ||
Carrying Amount | $ 8,985 | ||
Interest Rate | 11.00% | ||
First Mortgage | Hotel | New York | |||
Mortgage Loans on Real Estate [Line Items] | |||
Prior Liens | $ 0 | ||
Face Amount | 55,000 | ||
Carrying Amount | $ 54,588 | ||
First Mortgage | Hotel | New York | LIBOR | |||
Mortgage Loans on Real Estate [Line Items] | |||
Libor Plus- Interest Rate | 4.50% | ||
First Mortgage | Hotel | New York | Minimum | |||
Mortgage Loans on Real Estate [Line Items] | |||
Interest Rate | 0.85% | ||
First Mortgage | Multifamily | Texas | Group One | |||
Mortgage Loans on Real Estate [Line Items] | |||
Prior Liens | $ 0 | ||
Face Amount | 15,090 | ||
Carrying Amount | $ 15,079 | ||
Interest Rate | 4.45% | ||
First Mortgage | Multifamily | Texas | Group Two | |||
Mortgage Loans on Real Estate [Line Items] | |||
Prior Liens | $ 0 | ||
Face Amount | 33,000 | ||
Carrying Amount | $ 32,679 | ||
First Mortgage | Multifamily | Texas | Group Two | LIBOR | |||
Mortgage Loans on Real Estate [Line Items] | |||
Libor Plus- Interest Rate | 3.25% | ||
First Mortgage | Multifamily | Florida | |||
Mortgage Loans on Real Estate [Line Items] | |||
Prior Liens | $ 0 | ||
Face Amount | 34,161 | ||
Carrying Amount | $ 34,161 | ||
First Mortgage | Multifamily | Florida | LIBOR | |||
Mortgage Loans on Real Estate [Line Items] | |||
Libor Plus- Interest Rate | 4.05% | ||
First Mortgage | Multifamily | Florida | Minimum | |||
Mortgage Loans on Real Estate [Line Items] | |||
Interest Rate | 0.20% | ||
First Mortgage | Multifamily | North Carolina | Group Two | |||
Mortgage Loans on Real Estate [Line Items] | |||
Prior Liens | $ 0 | ||
Face Amount | 36,800 | ||
Carrying Amount | $ 36,749 | ||
Interest Rate | 4.25% | ||
First Mortgage | Office Building | Colorado | |||
Mortgage Loans on Real Estate [Line Items] | |||
Prior Liens | $ 0 | ||
Face Amount | 112,400 | ||
Carrying Amount | $ 111,513 | ||
First Mortgage | Office Building | Colorado | LIBOR | |||
Mortgage Loans on Real Estate [Line Items] | |||
Libor Plus- Interest Rate | 3.60% | ||
First Mortgage | Office Building | Colorado | Minimum | |||
Mortgage Loans on Real Estate [Line Items] | |||
Interest Rate | 1.00% | ||
First Mortgage | Office Building | New Jersey | |||
Mortgage Loans on Real Estate [Line Items] | |||
Prior Liens | $ 0 | ||
Face Amount | 67,390 | ||
Carrying Amount | $ 67,334 | ||
First Mortgage | Office Building | New Jersey | LIBOR | |||
Mortgage Loans on Real Estate [Line Items] | |||
Libor Plus- Interest Rate | 4.50% | ||
First Mortgage | Office Building | New Jersey | Minimum | |||
Mortgage Loans on Real Estate [Line Items] | |||
Interest Rate | 0.25% | ||
First Mortgage | Office Building | Arizona | |||
Mortgage Loans on Real Estate [Line Items] | |||
Prior Liens | $ 0 | ||
Face Amount | 51,027 | ||
Carrying Amount | $ 50,911 | ||
First Mortgage | Office Building | Arizona | LIBOR | |||
Mortgage Loans on Real Estate [Line Items] | |||
Libor Plus- Interest Rate | 4.35% | ||
First Mortgage | Office Building | Arizona | Minimum | |||
Mortgage Loans on Real Estate [Line Items] | |||
Interest Rate | 0.20% | ||
First Mortgage | Office Building | Virginia | |||
Mortgage Loans on Real Estate [Line Items] | |||
Prior Liens | $ 0 | ||
Face Amount | 41,000 | ||
Carrying Amount | $ 41,000 | ||
First Mortgage | Office Building | Virginia | LIBOR | |||
Mortgage Loans on Real Estate [Line Items] | |||
Libor Plus- Interest Rate | 4.25% | ||
First Mortgage | Office Building | Virginia | Minimum | |||
Mortgage Loans on Real Estate [Line Items] | |||
Interest Rate | 0.20% | ||
First Mortgage | Office Building | Florida | |||
Mortgage Loans on Real Estate [Line Items] | |||
Prior Liens | $ 0 | ||
Face Amount | 52,000 | ||
Carrying Amount | $ 51,697 | ||
First Mortgage | Office Building | Florida | LIBOR | |||
Mortgage Loans on Real Estate [Line Items] | |||
Libor Plus- Interest Rate | 4.20% | ||
First Mortgage | Office Building | Florida | Minimum | |||
Mortgage Loans on Real Estate [Line Items] | |||
Interest Rate | 0.50% | ||
First Mortgage | Retail Site | New York | |||
Mortgage Loans on Real Estate [Line Items] | |||
Prior Liens | $ 0 | ||
Face Amount | 23,750 | ||
Carrying Amount | $ 23,592 | ||
First Mortgage | Retail Site | New York | LIBOR | |||
Mortgage Loans on Real Estate [Line Items] | |||
Libor Plus- Interest Rate | 3.95% | ||
First Mortgage | Retail Site | Colorado | |||
Mortgage Loans on Real Estate [Line Items] | |||
Prior Liens | $ 0 | ||
Face Amount | 21,000 | ||
Carrying Amount | $ 20,825 | ||
First Mortgage | Retail Site | Colorado | LIBOR | |||
Mortgage Loans on Real Estate [Line Items] | |||
Libor Plus- Interest Rate | 5.00% | ||
First Mortgage | Retail Site | Colorado | Minimum | |||
Mortgage Loans on Real Estate [Line Items] | |||
Interest Rate | 1.20% | ||
First Mortgage | Retail Site | Washington | |||
Mortgage Loans on Real Estate [Line Items] | |||
Prior Liens | $ 0 | ||
Face Amount | 50,325 | ||
Carrying Amount | $ 49,990 | ||
First Mortgage | Retail Site | Washington | LIBOR | |||
Mortgage Loans on Real Estate [Line Items] | |||
Libor Plus- Interest Rate | 4.45% | ||
First Mortgage | Retail Site | Washington | Minimum | |||
Mortgage Loans on Real Estate [Line Items] | |||
Interest Rate | 0.50% | ||
First Mortgage | Retail Site | Tennessee | |||
Mortgage Loans on Real Estate [Line Items] | |||
Prior Liens | $ 0 | ||
Face Amount | 36,200 | ||
Carrying Amount | $ 35,782 | ||
First Mortgage | Retail Site | Tennessee | Group Two | LIBOR | |||
Mortgage Loans on Real Estate [Line Items] | |||
Libor Plus- Interest Rate | 4.50% |