Document and Entity Information
Document and Entity Information - shares | 3 Months Ended | |
Mar. 31, 2019 | Apr. 30, 2019 | |
Document And Entity Information [Abstract] | ||
Document Type | 10-Q | |
Amendment Flag | false | |
Document Period End Date | Mar. 31, 2019 | |
Document Fiscal Year Focus | 2019 | |
Document Fiscal Period Focus | Q1 | |
Trading Symbol | NLY | |
Entity Registrant Name | ANNALY CAPITAL MANAGEMENT INC | |
Entity Central Index Key | 0001043219 | |
Current Fiscal Year End Date | --12-31 | |
Entity Filer Category | Large Accelerated Filer | |
Entity Common Stock, Shares Outstanding | 1,456,197,143 |
CONSOLIDATED STATEMENTS OF FINA
CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION - USD ($) $ in Thousands | Mar. 31, 2019 | Dec. 31, 2018 | ||
Assets | ||||
Cash and cash equivalents (includes pledged assets of $1,338,507 and $1,581,775, respectively) (2) | [1] | $ 1,522,605 | $ 1,735,749 | [2] |
Securities (includes pledged assets of $95,845,559 and $87,193,316, respectively) (3) | [3] | 104,993,271 | 92,623,788 | [2] |
Loans, net (includes pledged assets of $2,243,369 and $2,997,051, respectively) (4) | [4] | 3,879,324 | 4,585,975 | [2] |
Mortgage servicing rights (includes pledged assets of $3,260 and $3,616, respectively) | 500,745 | 557,813 | [2] | |
Assets transferred or pledged to securitization vehicles | 4,365,300 | 3,833,200 | [2] | |
Real estate, net | 734,239 | 739,473 | [2] | |
Derivative assets | 148,178 | 200,503 | [2] | |
Reverse repurchase agreements | 523,449 | 650,040 | [2] | |
Receivable for unsettled trades | 1,574,251 | 68,779 | [2] | |
Interest receivable | 390,930 | 357,365 | [2] | |
Goodwill and intangible assets, net | 98,551 | 100,854 | [2] | |
Other assets | 441,706 | 333,988 | [2] | |
Total assets | 119,172,549 | 105,787,527 | [2] | |
Liabilities | ||||
Repurchase agreements | 88,554,170 | 81,115,874 | [2] | |
Other secured financing | 4,144,623 | 4,183,311 | [2] | |
Debt issued by securitization vehicles | 3,693,766 | 3,347,062 | [2] | |
Mortgages payable | 510,386 | 511,056 | [2] | |
Derivative liabilities | 775,980 | 889,750 | [2] | |
Payable for unsettled trades | 4,763,376 | 583,036 | [2] | |
Interest payable | 424,391 | 570,928 | [2] | |
Dividends payable | 434,431 | 394,129 | [2] | |
Other liabilities | 89,982 | 74,580 | [2] | |
Total liabilities | 103,391,105 | 91,669,726 | [2] | |
Stockholders’ equity | ||||
Cumulative redeemable preferred stock | 1,778,168 | 1,778,168 | [2] | |
Common stock, par value $0.01 per share, 1,924,050,000 authorized, 1,448,103,248 and 1,313,763,450 issued and outstanding, respectively | 14,481 | 13,138 | [2] | |
Additional paid-in capital | 20,112,875 | 18,794,331 | [2] | |
Accumulated other comprehensive income (loss) | (319,376) | (1,979,865) | [2] | |
Accumulated deficit | (5,809,931) | (4,493,660) | [2] | |
Total stockholders’ equity | 15,776,217 | 14,112,112 | [2] | |
Noncontrolling interests | 5,227 | 5,689 | [2] | |
Total equity | 15,781,444 | 14,117,801 | [2] | |
Total liabilities and equity | 119,172,549 | 105,787,527 | [2] | |
7.625% Series C Cumulative Redeemable Preferred Stock | ||||
Stockholders’ equity | ||||
Cumulative redeemable preferred stock | 169,466 | 169,466 | ||
7.50% Series D Cumulative Redeemable Preferred Stock | ||||
Stockholders’ equity | ||||
Cumulative redeemable preferred stock | 445,457 | 445,457 | ||
6.95% Series F Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | ||||
Stockholders’ equity | ||||
Cumulative redeemable preferred stock | 696,910 | 696,910 | ||
Agency mortgage-backed securities, at fair value | ||||
Assets | ||||
Securities (includes pledged assets of $95,845,559 and $87,193,316, respectively) (3) | 103,093,526 | 90,752,995 | ||
Liabilities | ||||
Repurchase agreements | 86,939,320 | 78,482,373 | ||
Consolidated VIEs | ||||
Assets | ||||
Cash and cash equivalents (includes pledged assets of $1,338,507 and $1,581,775, respectively) (2) | 40,700 | 30,400 | ||
Consolidated VIEs | Non-Agency Mortgage-backed Securities | ||||
Assets | ||||
Securities (includes pledged assets of $95,845,559 and $87,193,316, respectively) (3) | 273,400 | 83,600 | ||
Consolidation, Eliminations | Consolidated VIEs | ||||
Assets | ||||
Securities (includes pledged assets of $95,845,559 and $87,193,316, respectively) (3) | 246,600 | 224,300 | ||
Residential Mortgage | ||||
Assets | ||||
Loans, net (includes pledged assets of $2,243,369 and $2,997,051, respectively) (4) | 101,300 | 97,500 | ||
Total assets | 1,300,000 | |||
Commercial Mortgage Loan | ||||
Assets | ||||
Loans, net (includes pledged assets of $2,243,369 and $2,997,051, respectively) (4) | 42,000 | 42,200 | ||
Corporate Loans | ||||
Assets | ||||
Loans, net (includes pledged assets of $2,243,369 and $2,997,051, respectively) (4) | $ 44,500 | $ 0 | ||
[1] | (2) Includes cash of consolidated Variable Interest Entities (“VIEs”) of $40.7 million and $30.4 million at March 31, 2019 and December 31, 2018, respectively. | |||
[2] | (1) Derived from the audited consolidated financial statements at December 31, 2018. | |||
[3] | (3) Excludes $273.4 million and $83.6 million at March 31, 2019 and December 31, 2018, respectively, of non-Agency mortgage-backed securities and $246.6 million and $224.3 million at March 31, 2019 and December 31, 2018, respectively, of commercial mortgage-backed securities in consolidated VIEs pledged as collateral and eliminated from the Company’s Consolidated Statements of Financial Condition. | |||
[4] | (4) Includes $101.3 million and $97.5 million of residential mortgage loans held for sale, $42.0 million and $42.2 million of commercial mortgage loans held for sale and $44.5 million and $0 of corporate loans held for sale at March 31, 2019 and December 31, 2018, respectively. |
CONSOLIDATED STATEMENTS OF FI_2
CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION (Parenthetical) - USD ($) $ in Thousands | Mar. 31, 2019 | Dec. 31, 2018 |
Cash pledged as collateral | $ 1,338,507 | $ 1,581,775 |
Loans, pledged assets | $ 2,243,369 | $ 2,997,051 |
Preferred stock, par value (in dollars per share) | $ 0.01 | $ 0.01 |
Preferred stock, shares authorized (in shares) | 75,950,000 | 75,950,000 |
Preferred stock, shares issued (in shares) | 73,400,000 | 73,400,000 |
Preferred stock, shares outstanding (in shares) | 73,400,000 | 73,400,000 |
Common stock, par value (in dollars per share) | $ 0.01 | $ 0.01 |
Common stock, shares authorized (in shares) | 1,924,050,000 | 1,924,050,000 |
Common stock, shares issued (in shares) | 1,448,103,248 | 1,313,763,450 |
Common stock, shares outstanding (in shares) | 1,448,103,248 | 1,313,763,450 |
Non-Agency Mortgage-backed Securities | ||
Mortgage-backed securities, pledged assets | $ 3,260 | $ 3,616 |
Agency mortgage-backed securities, at fair value | ||
Mortgage-backed securities, pledged assets | $ 95,845,559 | $ 87,193,316 |
CONSOLIDATED STATEMENTS OF COMP
CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS) - USD ($) | 3 Months Ended | |
Mar. 31, 2019 | Mar. 31, 2018 | |
Net interest income | ||
Interest income | $ 866,186,000 | $ 879,487,000 |
Interest expense | 647,695,000 | 367,421,000 |
Net interest income | 218,491,000 | 512,066,000 |
Realized and unrealized gains (losses) | ||
Net interest component of interest rate swaps | 134,035,000 | (48,160,000) |
Realized gains (losses) on termination or maturity of interest rate swaps | (588,256,000) | 834,000 |
Unrealized gains (losses) on interest rate swaps | (390,556,000) | 977,285,000 |
Subtotal | (844,777,000) | 929,959,000 |
Net gains (losses) on disposal of investments | (93,916,000) | 13,468,000 |
Net gains (losses) on other derivatives | (115,159,000) | (47,145,000) |
Net unrealized gains (losses) on instruments measured at fair value through earnings | 47,629,000 | (51,593,000) |
Loan loss provision | (5,703,000) | 0 |
Subtotal | (167,149,000) | (85,270,000) |
Total realized and unrealized gains (losses) | (1,011,926,000) | 844,689,000 |
Other income (loss) | 30,502,000 | 34,023,000 |
General and administrative expenses | ||
Compensation and management fee | 44,833,000 | 44,529,000 |
Other general and administrative expenses | 38,904,000 | 17,981,000 |
Total general and administrative expenses | 83,737,000 | 62,510,000 |
Income (loss) before income taxes | (846,670,000) | 1,328,268,000 |
Income taxes | 2,581,000 | 564,000 |
Net income (loss) | (849,251,000) | 1,327,704,000 |
Net income (loss) attributable to noncontrolling interests | (101,000) | (96,000) |
Net income (loss) attributable to Annaly | (849,150,000) | 1,327,800,000 |
Dividends on preferred stock | 32,494,000 | 33,766,000 |
Net income (loss) available (related) to common stockholders | $ (881,644,000) | $ 1,294,034,000 |
Net income (loss) per share available (related) to common stockholders | ||
Basic (in dollars per share) | $ (0.63) | $ 1.12 |
Diluted (in dollars per share) | $ (0.63) | $ 1.12 |
Weighted average number of common shares outstanding | ||
Basic (in shares) | 1,398,614,205 | 1,159,617,848 |
Diluted (in shares) | 1,398,614,205 | 1,160,103,185 |
Net income (loss) | $ (849,251,000) | $ 1,327,704,000 |
Other comprehensive income (loss) | ||
Unrealized gains (losses) on available-for-sale securities | 1,599,398,000 | (1,879,479,000) |
Reclassification adjustment for net (gains) losses included in net income (loss) | 61,091,000 | 5,419,000 |
Other comprehensive income (loss) | 1,660,489,000 | (1,874,060,000) |
Comprehensive income (loss) | 811,238,000 | (546,356,000) |
Comprehensive income (loss) attributable to noncontrolling interests | (101,000) | (96,000) |
Comprehensive income (loss) attributable to Annaly | 811,339,000 | (546,260,000) |
Dividends on preferred stock | 32,494,000 | 33,766,000 |
Comprehensive income (loss) attributable to common stockholders | $ 778,845,000 | $ (580,026,000) |
CONSOLIDATED STATEMENTS OF STOC
CONSOLIDATED STATEMENTS OF STOCKHOLDERS' EQUITY - USD ($) $ in Thousands | Total | Preferred Stock | Common stock | Additional Paid-In Capital | Accumulated Other Comprehensive Income (Loss) | Accumulated Deficit | Total Stockholders’ Equity | Noncontrolling Interest | |||
Beginning balance at Dec. 31, 2017 | $ 1,720,381 | $ 11,596 | $ 17,221,265 | $ (1,126,020) | $ (2,961,749) | $ 6,100 | |||||
Net proceeds from issuance of stock | 411,335 | 0 | 0 | ||||||||
Redemption of preferred stock | (408,548) | (3,952) | |||||||||
Net proceeds from direct purchase and dividend reinvestment | $ 746 | 1 | 745 | ||||||||
Stock compensation expense | 133 | ||||||||||
Unrealized gains (losses) on available-for-sale securities | (1,879,479) | (1,879,479) | |||||||||
Reclassification adjustment for net (gains) losses included in net income (loss) | 5,419 | 5,419 | |||||||||
Net income (loss) attributable to Annaly | 1,327,800 | 1,327,800 | |||||||||
Preferred dividends declared | [1] | (33,766) | |||||||||
Common dividends declared | (347,897) | (347,897) | [1] | ||||||||
Net income (loss) attributable to noncontrolling interests | 96 | (96) | |||||||||
Equity contributions from (distributions to) noncontrolling interest | (333) | ||||||||||
Ending balance at Mar. 31, 2018 | 13,942,935 | 1,723,168 | 11,597 | 17,218,191 | (3,000,080) | (2,015,612) | $ 13,937,264 | 5,671 | |||
Beginning balance at Dec. 31, 2018 | 14,117,801 | [2] | 1,778,168 | 13,138 | 18,794,331 | (1,979,865) | (4,493,660) | 5,689 | |||
Net proceeds from issuance of stock | 0 | 1,342 | 1,317,475 | ||||||||
Redemption of preferred stock | 0 | 0 | |||||||||
Net proceeds from direct purchase and dividend reinvestment | 892 | 1 | 891 | ||||||||
Stock compensation expense | 178 | ||||||||||
Unrealized gains (losses) on available-for-sale securities | 1,599,398 | 1,599,398 | |||||||||
Reclassification adjustment for net (gains) losses included in net income (loss) | 61,091 | 61,091 | |||||||||
Net income (loss) attributable to Annaly | (849,150) | (849,150) | |||||||||
Preferred dividends declared | [1] | (32,494) | |||||||||
Common dividends declared | (434,627) | (434,627) | [1] | ||||||||
Net income (loss) attributable to noncontrolling interests | 101 | (101) | |||||||||
Equity contributions from (distributions to) noncontrolling interest | (361) | ||||||||||
Ending balance at Mar. 31, 2019 | $ 15,781,444 | $ 1,778,168 | $ 14,481 | $ 20,112,875 | $ (319,376) | $ (5,809,931) | $ 15,776,217 | $ 5,227 | |||
[1] | (1) See note 14, “Capital Stock” for dividends per share for each class of shares. | ||||||||||
[2] | (1) Derived from the audited consolidated financial statements at December 31, 2018. |
CONSOLIDATED STATEMENTS OF CASH
CONSOLIDATED STATEMENTS OF CASH FLOWS - USD ($) | 3 Months Ended | |||
Mar. 31, 2019 | Dec. 31, 2018 | Mar. 31, 2018 | ||
Statement of Cash Flows [Abstract] | ||||
Net income (loss) | $ (849,251,000) | $ 1,327,704,000 | ||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities | ||||
Amortization of premiums and discounts of investments, net | 246,150,000 | 92,976,000 | ||
Amortization of securitized debt premiums and discounts and deferred financing costs | (3,627,000) | 408,000 | ||
Depreciation, amortization and other noncash expenses | 7,072,000 | 5,822,000 | ||
Net (gains) losses on disposals of investments | 93,916,000 | (13,468,000) | ||
Net (gains) losses on investments and derivatives | 458,086,000 | (878,547,000) | ||
Income from unconsolidated joint ventures | 1,960,000 | 618,000 | ||
Loan loss provision | 5,703,000 | $ 3,500,000 | 0 | |
Payments on purchases of loans held for sale | (49,070,000) | (37,190,000) | ||
Proceeds from sales and repayments of loans held for sale | 44,817,000 | 30,178,000 | ||
Net receipts (payments) on derivatives | (633,221,000) | 951,021,000 | ||
Net change in | ||||
Other assets | (107,040,000) | (42,361,000) | ||
Interest receivable | (29,491,000) | (2,963,000) | ||
Interest payable | (146,537,000) | 31,628,000 | ||
Other liabilities | 18,436,000 | (132,910,000) | ||
Net cash provided by (used in) operating activities | (942,097,000) | 1,332,916,000 | ||
Cash flows from investing activities | ||||
Payments on purchases of residential securities | (18,374,100,000) | (3,718,947,000) | ||
Proceeds from sales of residential securities | 7,822,334,000 | 463,214,000 | ||
Principal payments on residential securities | 2,343,383,000 | 2,696,245,000 | ||
Payments on purchases of MSRs | 0 | (249,000) | ||
Payments on purchases of corporate debt | (125,351,000) | (230,103,000) | ||
Proceeds from sales of corporate debt | 179,112,000 | 0 | ||
Principal payments on corporate debt | 33,545,000 | 92,820,000 | ||
Originations and purchases of commercial real estate investments | (269,489,000) | (91,647,000) | ||
Proceeds from sales of commercial real estate investments | 41,013,000 | 9,556,000 | ||
Principal repayments on commercial real estate investments | 578,031,000 | 130,555,000 | ||
Proceeds from sales of real estate | 6,661,000 | 0 | ||
Proceeds from reverse repurchase agreements | 28,107,306,000 | 20,050,112,000 | ||
Payments on reverse repurchase agreements | (27,980,715,000) | (20,250,571,000) | ||
Distributions in excess of cumulative earnings from unconsolidated joint ventures | 241,000 | 2,813,000 | ||
Payments on purchases of residential mortgage loans held for investment | (373,745,000) | (167,124,000) | ||
Proceeds from repayments of residential mortgage loans held for investment | 107,783,000 | 67,384,000 | ||
Net cash provided by (used in) investing activities | (7,903,991,000) | (945,942,000) | ||
Cash flows from financing activities | ||||
Proceeds from repurchase agreements and other secured financing | 1,411,469,975,000 | 1,299,589,620,000 | ||
Principal payments on repurchase agreements and other secured financing | (1,404,070,367,000) | (1,299,277,944,000) | ||
Proceeds from issuances of securitized debt | 905,265,000 | 279,203,000 | ||
Principal repayments on securitized debt | (561,955,000) | (317,773,000) | ||
Payment of deferred financing cost | (1,781,000) | 0 | ||
Net proceeds from stock offerings, direct purchases and dividend reinvestments | 1,319,709,000 | 412,081,000 | ||
Redemptions of preferred stock | 0 | (412,500,000) | ||
Principal payments on mortgages payable | (722,000) | 0 | ||
Net contributions (distributions) from (to) noncontrolling interests | (361,000) | (333,000) | ||
Dividends paid | (426,819,000) | (381,642,000) | ||
Net cash provided by (used in) financing activities | 8,632,944,000 | (109,288,000) | ||
Net (decrease) increase in cash and cash equivalents | (213,144,000) | 277,686,000 | ||
Cash and cash equivalents including cash pledged as collateral, beginning of period | 1,735,749,000 | 706,589,000 | ||
Cash and cash equivalents including cash pledged as collateral, end of period | 1,522,605,000 | 1,735,749,000 | 984,275,000 | |
Supplemental disclosure of cash flow information | ||||
Interest received | 1,079,294,000 | 1,017,534,000 | ||
Dividends received | 2,116,000 | 1,650,000 | ||
Interest paid (excluding interest paid on interest rate swaps) | 633,805,000 | 320,988,000 | ||
Net interest paid on interest rate swaps | 34,663,000 | 39,206,000 | ||
Taxes received (paid) | (30,000) | 2,000 | ||
Noncash investing activities | ||||
Receivable for unsettled trades | 1,574,251,000 | 68,779,000 | [1] | 45,126,000 |
Payable for unsettled trades | 4,763,376,000 | 583,036,000 | [1] | 91,327,000 |
Net change in unrealized gains (losses) on available-for-sale securities, net of reclassification adjustment | 1,660,489,000 | (1,874,060,000) | ||
Noncash financing activities | ||||
Dividends declared, not yet paid | $ 434,431,000 | $ 394,129,000 | [1] | $ 347,897,000 |
[1] | (1) Derived from the audited consolidated financial statements at December 31, 2018. |
DESCRIPTION OF BUSINESS
DESCRIPTION OF BUSINESS | 3 Months Ended |
Mar. 31, 2019 | |
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 four investment groups are primarily comprised of the following: Investment Groups Description Annaly Agency Group Invests in Agency mortgage-backed securities (“MBS”) collateralized by residential mortgages which are guaranteed by Fannie Mae, Freddie Mac or Ginnie Mae. Annaly Residential Credit Group Invests primarily in non-Agency residential mortgage assets within securitized products and residential mortgage loan markets. Annaly Commercial Real Estate Group Originates and invests in commercial mortgage loans, securities, and other commercial real estate debt and equity investments. Annaly Middle Market Lending Group 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 | 3 Months Ended |
Mar. 31, 2019 | |
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”). The accompanying consolidated financial statements and related notes are unaudited and should be read in conjunction with the audited consolidated financial statements included in the Company’s most recent Annual Report on Form 10-K for the fiscal year ended December 31, 2018 (the “2018 Form 10-K”). The consolidated financial information as of December 31, 2018 has been derived from audited consolidated financial statements included in the Company’s 2018 Form 10-K. The preparation of the consolidated financial statements requires management to make estimates and assumptions that affect the reported balance sheet amounts and/or disclosures 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. In the opinion of management, all normal, recurring adjustments have been included for a fair presentation of this interim financial information. Interim period operating results may not be indicative of the operating results for a full year. |
SIGNIFICANT ACCOUNTING POLICIES
SIGNIFICANT ACCOUNTING POLICIES | 3 Months Ended |
Mar. 31, 2019 | |
Accounting Policies [Abstract] | |
SIGNIFICANT ACCOUNTING POLICIES | 3. SIGNIFICANT ACCOUNTING POLICIES The Company’s significant accounting policies are described below or are included elsewhere in these notes to the Consolidated Financial Statements. Principles of Consolidation – The consolidated financial statements include the accounts of the entities where the Company has a controlling financial interest. In order to determine whether the Company has a controlling financial interest, it first evaluates whether an entity is a voting interest entity (“VOE”) or a variable interest entity (“VIE”). All intercompany balances and transactions have been eliminated in consolidation. Voting Interest Entities – A VOE is an entity that has sufficient equity and in which equity investors have a controlling financial interest. The Company consolidates VOEs where it has a majority of the voting equity of such VOE. Variable Interest Entities – 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 VIE is required to be consolidated by its primary beneficiary, which is defined as the party that has both (i) the power to control the activities that most significantly impact the VIE’s economic performance and (ii) the obligation to absorb losses or the right to receive benefits from the VIE that could potentially be significant to the VIE. 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 to change. Refer to the “Variable Interest Entities” Note for further information. Equity Method Investments - For entities that are not consolidated, but where the Company has significant influence over the operating or financial decisions of the entity, the Company accounts for the investment under the equity method of accounting. In accordance with 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. These investments are included in Real estate, net and Other assets with income or loss included in Other income (loss). 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 is carried at cost, which approximates fair value. 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 $1.3 billion and $1.6 billion at March 31, 2019 and December 31, 2018 . Equity Securities – The Company may invest in equity securities that are not accounted for under the equity method or do not result in consolidation. These equity securities are required to be reported at fair value with unrealized gains and losses reported in the Consolidated Statements of Comprehensive Income (Loss) as Net unrealized gains (losses) on instruments measured at fair value through earnings, unless the securities do not have readily determinable fair values. For such equity securities without readily determinable fair values, the Company has elected to carry the securities at cost less impairment, if any, plus or minus changes resulting from observable price changes in orderly transactions for the identical or similar investment of the same issuer. For equity securities carried at fair value through earnings, dividends are recorded in earnings on the declaration date. Dividends from equity securities without readily determinable fair values are recognized as income when received to the extent they are distributed from net accumulated earnings. Fair Value Measurements and the Fair Value Option – The Company reports various investments at fair value, including certain eligible financial instruments elected to be accounted for under the fair value option (“FVO”). The Company chooses to elect the fair value option in order to simplify the accounting treatment for certain financial instruments. If an item is accounted for at fair value, including financial instruments elected under the FVO, it is presented at fair value in the Consolidated Statements of Financial Condition and any change in fair value is recorded in Net unrealized gains (losses) on instruments measured at fair value through earnings in the Consolidated Statements of Comprehensive Income (Loss). For additional information regarding financial instruments for which the Company has elected the fair value option see the table in the “Financial Instruments” Note. Refer to the “Fair Value Measurements” Note for a complete discussion on the methodology utilized by the Company to estimate the fair value of certain financial instruments. Offsetting Assets and Liabilities - The Company elected to present all derivative instruments on a gross basis as discussed in the “Derivative Instruments” Note. Reverse repurchase and repurchase agreements are presented net in the Consolidated Statements of Financial Condition if they are subject to netting agreements and they meet the offsetting criteria. Please see below and refer to the “Secured Financing” Note for further discussion on reverse repurchase and repurchase agreements. Derivative Instruments – 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). The changes in the estimated fair value are presented within Net gains (losses) on other derivatives with the exception of interest rate swaps which are separately presented. None of the Company’s derivative transactions have been designated as hedging instruments for accounting purposes. Refer to the “Derivative Instruments” Note for further discussion. 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 ratably over the requisite service period for the entire award. Interest Income - The Company recognizes coupon income, which is a component of interest income, based upon the outstanding principal amounts of the financial instruments 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 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. Premiums and discounts associated with the purchase of residential mortgage loans and with those transferred or pledged to 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). Refer to the “Interest Income and Interest Expense” Note for further discussion of interest income. 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. As a REIT, the Company will not incur federal income tax to the extent that it distributes its taxable income to its stockholders. The Company and certain of its direct and indirect subsidiaries 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 its taxable income. Refer to the “Income Taxes” Note for further discussion on income taxes. Recent Accounting Pronouncements The Company considers the applicability and impact of all Accounting Standards Updates (“ASUs”). ASUs not listed below were not applicable, not expected to have a significant impact on the Company’s consolidated financial statements when adopted or did not have a significant impact on the Company’s 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 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 certain 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 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. The Company has decided to apply a probability of default methodology to loans that will be impacted by the adoption and is continuing to assess the impact on the consolidated financial statements and determine appropriate internal controls and financial statement disclosures. Further, based on the amended guidance for available-for-sale debt securities, the Company: • will be required to use an allowance approach to recognize credit impairment, with the allowance to be limited to the amount by which the security’s fair value is less than its amortized cost basis; • may not consider the length of time fair value has been below amortized cost, and • may not consider recoveries of fair value after the balance sheet date when assessing whether a credit loss exists. Standard Description Effective Date Effect on the Financial Statements or Other Significant Matters Standards that were adopted ASU 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 The amendments are expected to result in fewer transactions being accounted for as business combinations. ASU 2016-15 Statement of cash flows (Topic 230): Classification of certain cash receipts and cash payments This update provides specific guidance on certain cash flow classification issues, including classification of cash receipts and payments that have aspects of more than one class of cash flows. If cash flows cannot be separated by source or use, the appropriate classification should depend on the activity that is likely to be the predominant source or use of cash flows. January 1, 2018 As a result of adopting this standard, the Company reclassified its cash flows on reverse repurchase and repurchase agreements entered into by Arcola Securities, Inc. (“Arcola”) from operating activities to investing and financing activities, respectively, in the Consolidated Statements of Cash Flows. The Company applied the retrospective transition method, which resulted in reclassification of comparative periods. |
FINANCIAL INSTRUMENTS
FINANCIAL INSTRUMENTS | 3 Months Ended |
Mar. 31, 2019 | |
Investments, All Other Investments [Abstract] | |
Financial Instruments | 4. FINANCIAL INSTRUMENTS The following table presents characteristics for certain of the Company’s financial instruments at March 31, 2019 and December 31, 2018 . Financial Instruments (1) Balance Sheet Line Item Type / Form Measurement Basis March 31, 2019 December 31, 2018 Assets (dollars in thousands) Securities Agency mortgage-backed securities (2) Fair value, with unrealized gains (losses) through other comprehensive income $ 102,222,237 $ 89,840,322 Securities Agency mortgage-backed securities (3) Fair value, with unrealized gains (losses) through earnings 871,289 912,673 Securities Credit risk transfer securities Fair value, with unrealized gains (losses) through earnings 607,945 552,097 Securities Non-agency mortgage-backed securities Fair value, with unrealized gains (losses) through earnings 1,116,569 1,161,938 Securities Commercial real estate debt investments - CMBS Fair value, with unrealized gains (losses) through other comprehensive income 96,566 138,242 Securities Commercial real estate debt investments - CMBS (4) Fair value, with unrealized gains (losses) through earnings 78,665 18,516 Total securities 104,993,271 92,623,788 Loans, net Residential mortgage loans Fair value, with unrealized gains (losses) through earnings 1,311,720 1,359,806 Loans, net Commercial real estate debt and preferred equity, held for investment Amortized cost 722,962 1,296,803 Loans, net Commercial loans held for sale, net Lower of amortized cost or fair value 42,035 42,184 Loans, net Corporate debt Amortized cost 1,758,082 1,887,182 Loans, net Corporate debt held for sale, net Lower of amortized cost or fair value 44,525 — Total loans, net 3,879,324 4,585,975 Assets transferred or pledged to securitization vehicles Residential mortgage loans Fair value, with unrealized gains (losses) through earnings 1,425,668 1,094,831 Assets transferred or pledged to securitization vehicles Commercial mortgage loans Fair value, with unrealized gains (losses) through earnings 2,939,632 2,738,369 Total assets transferred or pledged to securitization vehicles 4,365,300 3,833,200 Reverse repurchase agreements Reverse repurchase agreements Amortized cost 523,449 650,040 Liabilities Repurchase agreements Repurchase agreements Amortized cost 88,554,170 81,115,874 Other secured financing Loans Amortized cost 4,144,623 4,183,311 Debt issued by securitization vehicles Securities Fair value, with unrealized gains (losses) through earnings 3,693,766 3,347,062 Mortgages payable Loans Amortized cost 510,386 511,056 (1) Receivable for unsettled trades, Interest receivable, Payable for unsettled trades, Interest payable and Dividends payable are accounted for at cost. (2) Includes Agency pass-through, collateralized mortgage obligation (“CMO”) and multifamily securities. (3) Includes interest-only securities and reverse mortgages. (4) Includes conduit CMBS. |
SECURITIES
SECURITIES | 3 Months Ended |
Mar. 31, 2019 | |
Investments, Debt and Equity Securities [Abstract] | |
SECURITIES | 5. SECURITIES The Company’s investments in securities include agency, credit risk transfer, non-agency and commercial mortgage-backed securities. All of the debt securities are classified as available-for-sale. Available-for-sale securities are carried at fair value, with changes in fair value recognized in other comprehensive income, unless the fair value option is elected in which case changes in fair value are recognized in Net unrealized gains (losses) on instruments measured at fair value through earnings in the Consolidated Statements of Comprehensive Income (Loss). Transactions for securities are recorded on trade date, including TBA securities that meet the regular-way securities scope exception from derivative accounting. Gains and losses on disposals of securities are recorded on trade date based on the specific identification method. 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). When the fair value of a held-to-maturity security is less than the cost, the Company performs an analysis to determine whether it expects to recover the entire cost basis of the security. There was no other-than-temporary impairment recognized for the three months ended March 31, 2019 and 2018 . Agency Mortgage-Backed Securities - The Company invests in mortgage pass-through certificates, collateralized mortgage obligations and other MBS representing interests in or obligations backed by pools of residential or multifamily mortgage loans and certificates. Many of the underlying loans and certificates are 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”). 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”). TBA securities without intent to accept delivery (“TBA derivatives”), are accounted for as derivatives as discussed in the “Derivative Instruments” Note. 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. Non-Agency Mortgage-Backed Securities - The Company invests in non-Agency mortgage-backed securities such as those issued in prime loan, Alt-A loan, subprime loan, non-performing loan (“NPL”) and re-performing loan (“RPL”) securitizations. Agency mortgage-backed securities, non-Agency mortgage-backed securities and CRT securities are referred to herein as “Residential Securities.” Although the Company generally intends to hold most of its Residential Securities until maturity, it may, from time to time, sell any of its Residential Securities as part of the overall management of its portfolio. Commercial Mortgage-Backed Securities (“Commercial Securities”) - Certain commercial mortgage-backed securities are classified as available-for-sale and reported at fair value with unrealized gains and losses reported as a component of Other comprehensive income (loss). Management evaluates such Commercial Securities for other-than-temporary impairment at least quarterly. The Company elected the fair value option on certain Commercial Securities, including conduit commercial mortgage-backed securities, to simplify the accounting where the unrealized gains and losses on these financial instruments are recorded through earnings. The following represents a rollforward of the activity for the Company’s securities: March 31, 2019 Residential Securities Commercial Securities Total (dollars in thousands) Beginning balance January 1 $ 92,467,030 $ 156,758 $ 92,623,788 Purchases 23,649,271 98,633 23,747,904 Sales (10,456,466 ) (39,834 ) (10,496,300 ) Principal paydowns (2,343,260 ) (42,859 ) (2,386,119 ) Amortization / accretion (247,447 ) 78 (247,369 ) Fair value adjustment 1,748,912 2,455 1,751,367 Ending balance March 31 $ 104,818,040 $ 175,231 $ 104,993,271 The following tables present the Company’s Residential Investment Securities portfolio that was carried at their fair value at March 31, 2019 and December 31, 2018 : March 31, 2019 Principal / Remaining Premium Remaining Discount Amortized Unrealized Unrealized Estimated Fair Value Agency (dollars in thousands) Fixed-rate pass-through $ 92,064,633 $ 4,060,260 $ (41,614 ) $ 96,083,279 $ 789,557 $ (1,118,629 ) $ 95,754,207 Adjustable-rate pass-through 4,046,258 204,672 (1,317 ) 4,249,613 7,395 (104,972 ) 4,152,036 CMO 10,699 50 — 10,749 199 — 10,948 Interest-only 5,522,373 1,070,160 — 1,070,160 1,900 (239,282 ) 832,778 Multifamily 2,186,848 18,783 (5,249 ) 2,200,382 104,664 — 2,305,046 Reverse mortgages 34,415 4,031 — 38,446 68 (3 ) 38,511 Total agency securities $ 103,865,226 $ 5,357,956 $ (48,180 ) $ 103,652,629 $ 903,783 $ (1,462,886 ) $ 103,093,526 Residential credit CRT $ 593,949 $ 24,891 $ (16,883 ) $ 601,957 $ 9,488 $ (3,500 ) $ 607,945 Alt-A 215,630 374 (30,467 ) 185,537 12,926 (95 ) 198,368 Prime 312,534 2,205 (21,319 ) 293,420 16,786 (179 ) 310,027 Subprime 393,362 1,480 (61,911 ) 332,931 38,800 (446 ) 371,285 NPL/RPL 3,431 — (22 ) 3,409 27 — 3,436 Prime jumbo (>=2010 vintage) 220,289 1,070 (4,626 ) 216,733 3,004 (915 ) 218,822 Prime jumbo (>=2010 vintage) Interest-only 837,030 12,445 — 12,445 2,517 (331 ) 14,631 Total residential credit securities $ 2,576,225 $ 42,465 $ (135,228 ) $ 1,646,432 $ 83,548 $ (5,466 ) $ 1,724,514 Total residential securities $ 106,441,451 $ 5,400,421 $ (183,408 ) $ 105,299,061 $ 987,331 $ (1,468,352 ) $ 104,818,040 Commercial Commercial securities $ 180,992 $ 497 $ (9,513 ) $ 171,976 $ 3,546 $ (291 ) $ 175,231 Total securities $ 106,622,443 $ 5,400,918 $ (192,921 ) $ 105,471,037 $ 990,877 $ (1,468,643 ) $ 104,993,271 December 31, 2018 Principal / Remaining Premium Remaining Discount Amortized Unrealized Unrealized Estimated Fair Value Agency (dollars in thousands) Fixed-rate pass-through $ 81,144,650 $ 3,810,808 $ (36,987 ) $ 84,918,471 $ 264,443 $ (2,130,362 ) $ 83,052,552 Adjustable-rate pass-through 4,835,983 247,981 (1,337 ) 5,082,627 7,127 (151,770 ) 4,937,984 CMO 11,113 53 — 11,166 55 — 11,221 Interest-only 6,007,008 1,179,855 — 1,179,855 1,446 (307,412 ) 873,889 Multifamily 1,802,292 12,329 (5,332 ) 1,809,289 32,753 (3,477 ) 1,838,565 Reverse mortgages 34,650 4,175 — 38,825 69 (110 ) 38,784 Total agency investments $ 93,835,696 $ 5,255,201 $ (43,656 ) $ 93,040,233 $ 305,893 $ (2,593,131 ) $ 90,752,995 Residential credit CRT $ 542,374 $ 28,444 $ (15,466 ) $ 555,352 $ 7,879 $ (11,134 ) $ 552,097 Alt-A 202,889 349 (31,238 ) 172,000 10,559 (198 ) 182,361 Prime 353,108 2,040 (23,153 ) 331,995 12,821 (830 ) 343,986 Subprime 423,166 1,776 (65,005 ) 359,937 35,278 (594 ) 394,621 NPL/RPL 3,431 — (30 ) 3,401 37 — 3,438 Prime jumbo (>=2010 vintage) 225,567 1,087 (4,691 ) 221,963 1,439 (2,744 ) 220,658 Prime jumbo (>=2010 vintage) Interest-only 860,085 12,820 — 12,820 4,054 — 16,874 Total residential credit securities $ 2,610,620 $ 46,516 $ (139,583 ) $ 1,657,468 $ 72,067 $ (15,500 ) $ 1,714,035 Total residential securities $ 96,446,316 $ 5,301,717 $ (183,239 ) $ 94,697,701 $ 377,960 $ (2,608,631 ) $ 92,467,030 Commercial Commercial securities $ 155,921 $ 9,778 $ (9,740 ) $ 155,959 $ 1,659 $ (860 ) $ 156,758 Total securities $ 96,602,237 $ 5,311,495 $ (192,979 ) $ 94,853,660 $ 379,619 $ (2,609,491 ) $ 92,623,788 The following table presents the Company’s Agency mortgage-backed securities portfolio by issuing Agency concentration at March 31, 2019 and December 31, 2018 : March 31, 2019 December 31, 2018 Investment Type (dollars in thousands) Fannie Mae $ 66,385,692 $ 60,270,432 Freddie Mac 36,564,254 30,397,556 Ginnie Mae 143,580 85,007 Total $ 103,093,526 $ 90,752,995 Actual maturities of the Company’s Residential Securities are generally shorter than stated contractual maturities because actual maturities of the portfolio are generally affected by periodic payments and prepayments of principal on the underlying mortgages. The following table summarizes the Company’s Residential Securities at March 31, 2019 and December 31, 2018 , according to their estimated weighted average life classifications: March 31, 2019 December 31, 2018 Estimated Fair Value Amortized Estimated Fair Value Amortized Estimated weighted average life (dollars in thousands) Less than one year $ 13,863 $ 14,032 $ 13,447 $ 13,670 Greater than one year through five years 16,081,685 16,091,945 11,710,172 11,928,973 Greater than five years through ten years 87,693,108 88,181,059 80,202,479 82,218,464 Greater than ten years 1,029,384 1,012,025 540,932 536,594 Total $ 104,818,040 $ 105,299,061 $ 92,467,030 $ 94,697,701 The estimated weighted average lives of the Residential Securities at March 31, 2019 and December 31, 2018 in the table above are based upon projected principal prepayment rates. The actual weighted average lives of the Residential 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, 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 March 31, 2019 and December 31, 2018 . March 31, 2019 December 31, 2018 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 $ 12,188,284 $ (197,039 ) 89 $ 22,418,036 $ (432,352 ) 713 12 Months or more 42,463,903 (1,026,562 ) 1,513 43,134,843 (1,853,257 ) 1,476 Total $ 54,652,187 $ (1,223,601 ) 1,602 $ 65,552,879 $ (2,285,609 ) 2,189 (1) Excludes interest-only mortgage-backed securities and reverse mortgages. 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. During the three months ended March 31, 2019 and 2018 , the Company disposed of $10.5 billion and $463.4 million of Residential Securities, resulting in net realized gains (losses) of ($92.5) million and $13.0 million , respectively. |
LOANS
LOANS | 3 Months Ended |
Mar. 31, 2019 | |
Mortgage Loans on Real Estate [Abstract] | |
LOANS | 6. LOANS The Company invests in residential, commercial and corporate loans. Loans are classified as either held for investment or held for sale. Loans are also eligible to be accounted for under the fair value option. Excluding loans transferred or pledged to securitization vehicles, as of March 31, 2019 , the Company reported $1.3 billion of loans for which the fair value option was elected. If loans are held for investment and the fair value option has not been elected, they are accounted for at amortized cost less impairment. If the Company intends to sell or securitize the loans and the securitization vehicle is not expected to be consolidated, the loans are classified as held for sale. If loans are held for sale and the fair value option was not elected, they are accounted for at the lower of cost or fair value. Any origination fees and costs or purchase premiums or discounts are deferred and recognized upon sale. The Company determines the fair value of loans held for sale on an individual loan basis. 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. Allowance for Losses – The Company evaluates the need for a loss reserve on its loans. A provision for loan losses 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 loans 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 at origination or acquisition of a new investment and if events occur that trigger re-evaluation by management. 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 commercial real estate loans and preferred equity interests (“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 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’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. For the three months ended March 31, 2019 , the Company recorded a loan loss provision of $5.7 million . As of March 31, 2019 and December 31, 2018 , the Company’s loan loss provision was $9.2 million and $3.5 million , respectively. There was no provision for loan loss recorded as of and for three months ended March 31, 2018 . The following table presents the activity of the Company’s loan investments, including loans held for sale, for the three months ended March 31, 2019 : Residential Commercial Corporate Total (dollars in thousands) Beginning balance January 1, 2019 $ 1,359,806 $ 1,338,987 $ 1,887,182 $ 4,585,975 Purchases 425,488 165,258 125,351 716,097 Sales and transfers (1) (444,963 ) (733,922 ) (179,112 ) (1,357,997 ) Principal Payments (32,676 ) (534 ) (33,545 ) (66,755 ) Gains / (losses) 4,460 (5,703 ) — (1,243 ) Amortization / accretion (395 ) 911 2,731 3,247 Ending balance March 31, 2019 $ 1,311,720 $ 764,997 $ 1,802,607 $ 3,879,324 (1) Includes securitizations, syndications and transfers to securitization vehicles. The carrying value of the Company’s residential loans held for sale was $101.3 million and $97.5 million at March 31, 2019 and December 31, 2018 , respectively. The carrying value of the Company’s commercial loans held for sale was $42.0 million and $42.2 million at March 31, 2019 and December 31, 2018 , respectively. The carrying value of the Company’s corporate loans held for sale was $44.5 million at March 31, 2019 . Residential The Company’s residential mortgage loans are primarily comprised of performing adjustable-rate and fixed-rate whole loans. Additionally, 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 because it also has certain powers and rights to direct the activities of such trusts. Please refer to the “Variable Interest Entities” Note for further information related to the Company’s consolidated Residential Mortgage Loan Trusts. The following table presents the fair value and the unpaid principal balances of the residential mortgage loan portfolio, including loans transferred or pledged to securitization vehicles, at March 31, 2019 and December 31, 2018 : March 31, 2019 December 31, 2018 (dollars in thousands) Fair value $ 2,737,388 $ 2,454,637 Unpaid principal balance $ 2,686,557 $ 2,425,657 The following table provides information regarding the line items and amounts recognized in the Consolidated Statements of Comprehensive Income (loss) for the three months ended March 31, 2019 and 2018 for these investments: For the Three Months Ended March 31, 2019 March 31, 2018 (dollars in thousands) Interest income $ 29,991 $ 13,495 Net gains (losses) on disposal of investments (5,223 ) (1,758 ) Net unrealized gains (losses) on instruments measured at fair value through earnings 17,821 (9,864 ) Total included in net income (loss) $ 42,589 $ 1,873 The following table provides the geographic concentrations based on the unpaid principal balances at March 31, 2019 and December 31, 2018 for the residential mortgage loans, including loans transferred or pledged to securitization vehicles: Geographic Concentrations of Residential Mortgage Loans March 31, 2019 December 31, 2018 Property location % of Balance Property location % of Balance California 54.2% California 53.7% Florida 6.7% Florida 7.1% New York 6.1% New York 6.6% All other (none individually greater than 5%) 33.0% All other (none individually greater than 5%) 32.6% Total 100.0% 100.0% The following table provides additional data on the Company’s residential mortgage loans, including loans transferred or pledged to securitization vehicles, at March 31, 2019 and December 31, 2018 : March 31, 2019 December 31, 2018 Portfolio Range Portfolio Weighted Portfolio Range Portfolio Weighted Average (dollars in thousands) Unpaid principal balance $1 - $3,448 $457 $0 - $3,500 $457 Interest rate 2.00% - 9.25% 4.85% 2.00% - 7.75% 4.72% Maturity 1/1/2028 - 1/1/2059 6/24/2046 1/1/2028 - 11/1/2058 1/11/2046 FICO score at loan origination 505 - 823 752 505 - 823 752 Loan-to-value ratio at loan origination 8% - 111% 68% 8% - 111% 68% At March 31, 2019 and December 31, 2018 , approximately 45% and 47% , respectively, of the carrying value of the Company’s residential mortgage loans, including loans transferred or pledged to securitization vehicles, were adjustable-rate. Commercial The Company’s commercial real estate loans are comprised of adjustable-rate and fixed-rate loans. 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. 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. At March 31, 2019 , and December 31, 2018 , approximately 90% and 88% , respectively, of the carrying value of the Company’s CRE Debt and Preferred Equity Investments, including loans transferred or pledged to securitization vehicles and excluding commercial loans held for sale, were adjustable-rate. At March 31, 2019 and December 31, 2018 , commercial real estate investments held for investment were comprised of the following: March 31, 2019 December 31, 2018 Outstanding Principal Carrying (1) Percentage (2) Outstanding Principal Carrying (1) Percentage (2) (dollars in thousands) Senior mortgages $ 405,968 $ 403,497 27.6 % $ 988,248 $ 981,202 75.6 % Senior securitized mortgages (3) 739,058 733,864 50.1 % — — — % Mezzanine loans 329,262 319,465 22.3 % 319,663 315,601 24.4 % Total $ 1,474,288 $ 1,456,826 100.0 % $ 1,307,911 $ 1,296,803 100.0 % (1) Carrying value includes unamortized origination fees of $8.3 million and $7.6 million at March 31, 2019 and December 31, 2018 , respectively. (2) Based on outstanding principal. (3) Assets of consolidated VIEs. The following tables represent a rollforward of the activity for the Company’s commercial real estate investments held for investment at March 31, 2019 and December 31, 2018 : March 31, 2019 Senior Senior (1) Mezzanine Total (dollars in thousands) Net carrying value (January 1, 2019) $ 981,202 $ — $ 315,601 $ 1,296,803 Originations & advances (principal) 148,341 739,058 18,274 905,673 Principal payments (385 ) — — (385 ) Transfers (730,235 ) — (8,675 ) (738,910 ) Net (increase) decrease in origination fees 3,815 (5,488 ) (184 ) (1,857 ) Amortization of net origination fees 759 294 152 1,205 Allowance for loan losses — — (5,703 ) (5,703 ) Net carrying value (March 31, 2019) $ 403,497 $ 733,864 $ 319,465 $ 1,456,826 December 31, 2018 Senior Mezzanine Preferred Total (dollars in thousands) Net carrying value (January 1, 2018) $ 625,900 $ 394,442 $ 8,985 $ 1,029,327 Originations & advances (principal) 575,953 52,224 — 628,177 Principal payments (216,849 ) (127,575 ) (9,000 ) (353,424 ) Net (increase) decrease in origination fees (6,624 ) (370 ) — (6,994 ) Amortization of net origination fees 2,822 376 15 3,213 Allowance for loan losses — (3,496 ) — (3,496 ) Net carrying value (December 31, 2018) $ 981,202 $ 315,601 $ — $ 1,296,803 (1) Assets of consolidated VIEs. The following table provides the internal loan risk ratings of commercial real estate investments held for investment as of March 31, 2019 and December 31, 2018 . March 31, 2019 Internal Ratings Investment Type Outstanding Principal Percentage of CRE Debt and Preferred Equity Portfolio Performing Performing - Closely Monitored Performing - Special Mention Substandard (1) Doubtful (2) Loss Total (dollars in thousands) Senior mortgages $ 405,968 27.6 % $ 276,479 $ 65,099 $ — $ 64,390 $ — $ — $ 405,968 Senior securitized mortgages (3) 739,058 50.1 % 466,258 217,800 55,000 — — — 739,058 Mezzanine loans 329,262 22.3 % 139,721 49,538 96,400 — 43,603 — 329,262 Total $ 1,474,288 100.0 % $ 882,458 $ 332,437 $ 151,400 $ 64,390 $ 43,603 — $ 1,474,288 December 31, 2018 Internal Ratings Investment Type Outstanding Principal Percentage of CRE Debt and Preferred Equity Portfolio Performing Performing - Closely Monitored Performing - Special Mention Substandard (1) Doubtful (2) Loss Total (dollars in thousands) Senior mortgages $ 988,248 75.6 % $ 653,066 $ 215,792 $ 55,000 $ 64,390 $ — $ — $ 988,248 Mezzanine loans 319,663 24.4 % 140,776 38,884 96,400 36,603 7,000 — 319,663 Total $ 1,307,911 100.0 % $ 793,842 $ 254,676 $ 151,400 $ 100,993 $ 7,000 $ — $ 1,307,911 (1) The Company rated one loan as of March 31, 2019 and two loans as of December 31, 2018 as Substandard. The Company evaluated whether an impairment exists and determined in each case that, based on quantitative and qualitative factors, the Company expects repayment of contractual amounts due. (2) The Company rated two loans as Doubtful and evaluated for impairment for which a loan loss allowance of $5.7 million was recognized for the three months ended March 31, 2019. The Company rated one loan as Doubtful and evaluated for impairment for which a loan loss allowance of $3.5 million was recognized for the three months ended December 31, 2018. (3) Assets of consolidated VIEs. Corporate Debt The Company’s investments in corporate loans 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 five to seven years . In connection with these senior secured loans the Company receives a security interest in certain assets of the borrower and such assets support repayment of such loans. Senior secured loans are generally exposed to less credit risk than more junior loans given their seniority to scheduled principal and interest and priority of security in the assets of the borrower. 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 effective interest method. The Company invests in corporate loans through its Annaly Middle Market Lending Group. The industry and rate attributes of the portfolio at March 31, 2019 and December 31, 2018 are as follows: Industry Dispersion March 31, 2019 December 31, 2018 Fixed Rate Floating Rate Total Fixed Rate Floating Rate Total (dollars in thousands) Aircraft and parts $ — $ 41,394 $ 41,394 $ — $ 41,342 $ 41,342 Arrangement of transportation of freight & cargo — 21,715 21,715 — 21,632 21,632 Coating, engraving and allied services — 54,532 54,532 — 57,223 57,223 Computer programming, data processing & other computer related services — 282,060 282,060 — 242,185 242,185 Drugs — 35,926 35,926 — 35,882 35,882 Electrical work — 41,598 41,598 — 41,760 41,760 Electronic components & accessories — 24,083 24,083 — 24,059 24,059 Engineering, architectural & surveying — 109,823 109,823 — 80,748 80,748 Grocery stores — 23,394 23,394 — 23,431 23,431 Insurance agents, brokers and services — 48,661 48,661 — 48,942 48,942 Mailing, reproduction, commercial art and photography, and stenographic — 14,819 14,819 — 14,843 14,843 Management and public relations services — 312,807 312,807 — 487,046 487,046 Medical and dental laboratories — 26,811 26,811 — 26,858 26,858 Metal cans & shipping containers — 118,385 118,385 — 118,248 118,248 Miscellaneous business services — 19,581 19,581 — 19,622 19,622 Miscellaneous equipment rental and leasing — 49,674 49,674 — 49,552 49,552 Miscellaneous health and allied services, not elsewhere classified — 69,217 69,217 — 56,003 56,003 Miscellaneous plastic products — 10,037 10,037 — 9,953 9,953 Motor vehicles and motor vehicle equipment — 16,417 16,417 — 16,563 16,563 Motor vehicles and motor vehicle parts and supplies — 28,984 28,984 — 29,046 29,046 Nonferrous foundries (castings) — 12,933 12,933 — 12,948 12,948 Offices and clinics of doctors of medicine — 97,841 97,841 — 97,877 97,877 Offices of clinics and other health practitioners — 21,051 21,051 — 21,100 21,100 Public warehousing and storage — 97,245 97,245 — 84,278 84,278 Research, development and testing services — 45,676 45,676 — 33,381 33,381 Schools and educational services, not elsewhere classified — 19,809 19,809 — 19,805 19,805 Services allied with the exchange of securities — — — — 14,877 14,877 Surgical, medical, and dental instruments and supplies — 96,768 96,768 — 96,607 96,607 Telephone communications — 61,366 61,366 — 61,371 61,371 Total $ — $ 1,802,607 $ 1,802,607 $ — $ 1,887,182 $ 1,887,182 The table below reflects the Company’s aggregate positions by their respective place in the capital structure of the borrowers at March 31, 2019 and December 31, 2018 . March 31, 2019 December 31, 2018 (dollars in thousands) First lien loans $ 1,232,524 $ 1,346,356 Second lien loans 570,083 540,826 Total $ 1,802,607 $ 1,887,182 |
MORTGAGE SERVICING RIGHTS
MORTGAGE SERVICING RIGHTS | 3 Months Ended |
Mar. 31, 2019 | |
Transfers and Servicing [Abstract] | |
MORTGAGE SERVICING RIGHTS | 7. MORTGAGE SERVICING RIGHTS The Company owns variable interests in an entity that invests in MSRs; refer to the “Variable Interest Entities” Note for a detailed discussion on this topic. MSRs represent the rights associated with servicing pools of residential mortgage loans. The Company and its subsidiaries do not originate or directly service residential 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 intends to hold the MSRs as investments and 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 instruments 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). The following table presents activity related to MSRs for three months ended March 31, 2019 and 2018 : March 31, 2019 March 31, 2018 (dollars in thousands) Fair value, beginning of period $ 557,813 $ 580,860 Change in fair value due to Changes in valuation inputs or assumptions (1) (43,089 ) 36,674 Other changes, including realization of expected cash flows (13,979 ) (21,156 ) Fair value, end of period $ 500,745 $ 596,378 (1) Principally represents changes in discount rates and prepayment speed inputs used in valuation model, primarily due to changes in interest rates. For the three months ended March 31, 2019 and 2018 , the Company recognized $27.8 million and $28.5 million of net servicing income from MSRs in Other income (loss) in the Consolidated Statements of Comprehensive Income (Loss). |
VARIABLE INTEREST ENTITIES
VARIABLE INTEREST ENTITIES | 3 Months Ended |
Mar. 31, 2019 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
VARIABLE INTEREST ENTITIES | The Company has investments in Freddie Mac securitizations (“FREMF Trusts”) which 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 FREMF Trusts are included in the “Commercial Trusts” in the tables below. The Company purchased approximately $94 million of a subordinated tranche in a securitization trust in 2018. As the directing holder, the Company can remove the special servicer with or without cause as well as direct activities that are considered to be most significant to the economic performance of the trust. As such, the Company was determined to be the primary beneficiary and consolidates the trust. The trust is included in “Commercial Trusts” in the tables below. Upon consolidation, the Company elected the fair value option for the financial assets and liabilities of the Commercial Trusts in order to avoid an accounting mismatch, and to represent more faithfully 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 applied the practical expedient under ASU 2014-07, 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 Commercial 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 Commercial 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 Commercial Trusts mortgage loans had an aggregate unpaid principal balance of $2.2 billion at March 31, 2019 . At March 31, 2019 , there were 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 March 31, 2019 based upon the Company’s process of monitoring events of default on the underlying mortgage loans. In February 2019, the Company closed NLY 2019-FL2 a managed commercial real estate collateralized loan obligation (“CLO”) securitization with a face value of $857.3 million , which provides non-recourse financing to the Company collateralized by certain commercial real estate mortgage loans originated by the Company. As of March 31, 2019 a total of $629.0 million of notes were held by third parties and the Company retained or purchased $228.5 million of subordinated notes and preferred shares, which eliminate upon consolidation. The Company has determined that it is the primary beneficiary because it has the right to direct the servicer as well as remove the special servicer without cause and it holds variable interests that could be potentially significant to the CLO. The transfers of loans to the CLO did not qualify for sale accounting because the Company maintains effective control over the loans. The Company elected the fair value option for the financial liabilities issued by the CLO in order to simplify the accounting; however, the commercial loans continue to be carried at amortized cost as they were not eligible for the fair value option as it was not elected at origination of the loans. The Company incurred $8.3 million of costs in connection with the CLO that were expensed as incurred during the three months ended March 31, 2019 . The aggregate unpaid principal balance of loans in the CLO was $739.1 million at March 31, 2019 and there were 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 debt securities at March 31, 2019 based upon the Company’s process of monitoring events of default on the underlying mortgage loans. The contractual principal amount of the CLO debt held by third parties was $628.9 million at March 31, 2019 . The Company consolidates a securitization trust, which is included in “Residential Trusts” in the tables below, 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 the subordinate securities, and a subsidiary of the Company continues to be the master 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 not elected to apply the practical expedient under ASU 2014-13 as prices of both the financial assets and financial liabilities 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 $82.8 million at March 31, 2019 . In March 2018, the Company closed OBX 2018-1, with a face value of $327.5 million . In July 2018, the Company closed OBX 2018-EXP1 with a face value of 383.4 million . In October 2018, the Company closed OBX 2018-EXP2 with a face value of $384.0 million . In January 2019, the Company closed OBX 2019-INV1, with a face value of $394.0 million . The OBX 2018-1 Trust, the OBX 2018-EXP1 Trust, the OBX 2018-EXP2 Trust and the OBX 2019-INV1 Trust are referred to collectively as the “OBX Trusts”. These securitizations represent financing transactions which provide non-recourse financing to the Company that are collateralized by residential mortgage loans purchased by the Company. As of March 31, 2019 , a total of $966.4 million of bonds were held by third parties and the Company retained $363.0 million of mortgage-backed securities, which were eliminated in consolidation. The Company is deemed to be the primary beneficiary and consolidates the OBX Trusts because it has power to direct the activities that most significantly impact the OBX Trusts’ performance and holds a variable interest that could be potentially significant to these VIEs. The Company has elected the fair value option for the financial assets and liabilities of these VIEs, but has not elected the practical expedient under ASU 2014-13 as prices of both the financial assets and financial liabilities of the residential mortgage trusts are available from third-party pricing services. The Company incurred $1.7 million and $1.5 million of costs in connection with these securitizations that were expensed as incurred during the three months ended March 31, 2019 and 2018 , respectively. The contractual principal amount of the OBX Trusts’ debt held by third parties was $963.4 million at March 31, 2019 . Although the residential mortgage loans have been sold for bankruptcy and state law purposes, the transfers of the residential mortgage loans to the OBX Trusts did not qualify for sale accounting and are reflected as intercompany secured borrowings that are eliminated upon consolidation. In June 2016, a consolidated subsidiary of the Company entered into a credit facility with a third party financial institution. As of March 31, 2019 , the borrowing limit on this facility was $400.0 million . 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 potentially be significant to the entity. The Company has pledged as collateral for this facility corporate loans with a carrying amount of $555.4 million at March 31, 2019 . The transfers did not qualify for sale accounting and are reflected as an intercompany secured borrowing that is eliminated upon consolidation. At March 31, 2019 , the subsidiary had an intercompany receivable of $350.1 million , which eliminates upon consolidation and an Other secured financing of $350.1 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 $233.8 million at March 31, 2019 , which continue to be reflected in the Company’s Consolidated Statements of Financial Condition in Loans. At March 31, 2019 , the subsidiary had an Other secured financing of $148.5 million to the third party financial institution. In January 2019, a consolidated subsidiary of the Company (the “Borrower”) entered into a $200.0 million credit facility with a third party financial institution. As of March 31, 2019 , the Borrower had not drawn on the credit facility. 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 subjected to the 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 the 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 this silo. The Company’s exposure to the obligations of its VIEs is generally limited to the Company’s investment in the VIEs of $2.1 billion at March 31, 2019 . Assets of the VIEs may only be used to settle obligations of the VIEs. Creditors of the VIEs have no recourse to the general credit of the Company. The Company is not contractually required to provide and has not provided any form of financial support to the VIEs. No gains or losses were recognized upon consolidation of existing VIEs. Interest income and expense are recognized using the effective interest method. The statements of financial condition of the Company’s VIEs, excluding the CLO, credit facility VIEs and OBX Trusts as the transfers of loans did not meet the criteria to be accounted for as sales, that are reflected in the Company’s Consolidated Statements of Financial Condition at March 31, 2019 and December 31, 2018 are as follows: March 31, 2019 Commercial Trusts Residential Trusts MSR Silo Assets (dollars in thousands) Cash and cash equivalents $ — $ — $ 40,714 Loans — — 101,344 Assets transferred or pledged to securitization vehicles 2,205,768 101,994 — Mortgage servicing rights — — 500,744 Interest receivable 11,269 540 — Derivative assets — — 15 Other assets — — 27,290 Total assets $ 2,217,037 $ 102,534 $ 670,107 Liabilities Debt issued by securitization vehicles (non-recourse) $ 2,016,202 $ 82,220 $ — Other secured financing — — 57,667 Payable for unsettled trades — — 15,924 Interest payable 4,334 196 — Other liabilities — 179 1,736 Total liabilities $ 2,020,536 $ 82,595 $ 75,327 December 31, 2018 Commercial Trusts Residential Trusts MSR Silo Assets (dollars in thousands) Cash and cash equivalents $ — $ — $ 30,444 Loans — — 97,464 Assets transferred or pledged to securitization vehicles 2,738,369 105,003 — Mortgage servicing rights — — 557,813 Interest receivable 11,451 539 — Other assets — 4 28,756 Total assets $ 2,749,820 $ 105,546 $ 714,477 Liabilities Debt issued by securitization vehicles (non-recourse) $ 2,509,264 $ 71,324 $ — Other secured financing — — 68,385 Interest payable 4,594 238 — Other liabilities — — 1,975 Total liabilities $ 2,513,858 $ 71,562 $ 70,360 The geographic concentrations of credit risk exceeding 5% of the total loan unpaid principal balances related to the Company’s VIEs, excluding the credit facility VIEs, OBX Trusts and CLO, at March 31, 2019 are as follows: Securitized Loans at Fair Value Geographic Concentration of Credit Risk Commercial Trusts Residential Trusts Property Location Principal Balance % of Balance Property Location Principal Balance % of Balance (dollars in thousands) Texas $ 546,190 17.9 % California $ 45,023 44.5 % California 461,478 15.1 % Texas 13,261 13.1 % Maryland 407,266 13.4 % Washington 7,466 7.4 % Virginia 349,921 11.5 % Illinois 7,197 7.1 % Pennsylvania 280,201 9.2 % Florida 5,165 5.1 % Other (1) 1,005,457 32.9 % Other (1) 23,155 22.8 % Total $ 3,050,513 100.0 % $ 101,267 100.0 % (1) No individual state greater than 5% . |
REAL ESTATE
REAL ESTATE | 3 Months Ended |
Mar. 31, 2019 | |
Real Estate Properties Base Purchase Price [Abstract] | |
REAL ESTATE | 9. REAL ESTATE Real estate investments 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 are expensed as incurred. Major replacements and improvements that extend the useful life of the asset are capitalized and depreciated over their useful life. Real estate investments are depreciated using the straight-line method over the estimated useful lives of the assets, summarized as follows: Category Term Building and building improvements 1 - 44 years Furniture and fixtures 1 - 4 years There was no real estate acquired in settlement of residential mortgage loans at March 31, 2019 or December 31, 2018 other than real estate held by securitization trusts that the Company was required to consolidate. 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. Real estate investments, 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. The Company acquired real estate holdings in connection with the MTGE Acquisition during the year ended December 31, 2018; refer to the “Acquisition of MTGE Investment Corp.” Note for additional information. There were no acquisitions of new real estate holdings during the three months ended March 31, 2019 . The company sold one of its wholly owned triple net leased properties during the three months ended March 31, 2019 for $6.7 million and recognized a gain on sale of $2.7 million . The weighted average amortization period for intangible assets and liabilities at March 31, 2019 is 5.0 years. Above market leases and leasehold intangible assets are included in Intangible assets, net and below market leases are included in Other liabilities in the Consolidated Statements of Financial Condition. March 31, 2019 December 31, 2018 Real estate, net (dollars in thousands) Land $ 128,114 $ 128,742 Buildings and improvements 578,067 581,320 Furniture, fixtures and equipment 12,333 11,602 Subtotal 718,514 721,664 Less: accumulated depreciation (72,008 ) (67,026 ) Total real estate held for investment, at amortized cost, net 646,506 654,638 Equity in unconsolidated joint ventures 87,733 84,835 Total real estate, net $ 734,239 $ 739,473 Depreciation expense was $5.8 million and $3.7 million for the three months ended March 31, 2019 and 2018 , 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. Rental income is included in Other income (loss) in the Company’s Consolidated Statements of Comprehensive Income (Loss). Approximate future minimum rents to be received over the next five years and thereafter for non-cancelable operating leases in effect at March 31, 2019 for consolidated investments in real estate are as follows: March 31, 2019 (dollars in thousands) 2019 (remaining) $ 38,061 2020 45,616 2021 44,314 2022 40,459 2023 37,635 Later years 208,841 Total $ 414,926 |
DERIVATIVE INSTRUMENTS
DERIVATIVE INSTRUMENTS | 3 Months Ended |
Mar. 31, 2019 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
DERIVATIVE INSTRUMENTS | 10. DERIVATIVE INSTRUMENTS Derivative instruments include, but are not limited to, interest rate swaps, options to enter into interest rate swaps (“swaptions”), 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. 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, certain forward purchase commitments and credit derivatives 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 market agreed coupon (“MAC”) interest rate swaps, the Company may make or receive a payment at the time of entering into such interest rate swaps, which represents fair value of these swaps, to compensate for the out of market nature of such interest rate swaps. Subsequent changes in fair value from inception of these interest rate swaps are reflected within Unrealized gains (losses) on interest rate swaps in the Consolidated Statements of Comprehensive Income (Loss). 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 pledged collateral as well as receiving payments in accordance with the terms of the derivative contracts. Derivatives are accounted for in accordance with FASB 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). The changes in the estimated fair value are presented within Net gains (losses) on other derivatives with the exception of interest rate swaps which are separately presented. None of the Company’s derivative transactions have been designated as hedging instruments for accounting purposes. The Company also maintains collateral in the form of cash on margin with counterparties to its interest rate swaps and other derivatives. In accordance with a clearing organization’s rulebook, the Company presents the fair value of centrally cleared interest rate swaps net of variation margin pledged under such transactions. At March 31, 2019 , $126.0 million of variation margin was reported as a reduction to interest rate swaps, at fair value. 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, including MAC interest rate swaps, are generally fair valued using the DCO’s market values. If an interest rate swap is terminated, the realized gain (loss) on the interest rate swap would be equal to the difference between the cash received or paid and fair 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 Statements of Financial Condition. 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. 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. 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. 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. Credit Derivatives – The Company may enter into credit derivatives referencing the commercial mortgage-backed securities index, such as the CMBX index, and synthetic total return swaps. Refer to the section titled “Glossary of Terms” located in Part I, Item 2. “Management’s Discussion and Analysis of Financial Condition and Results of Operations” for additional information related to the CMBX index. The table below summarizes fair value information about our derivative assets and liabilities at March 31, 2019 and December 31, 2018 : Derivatives Instruments March 31, 2019 December 31, 2018 Assets (dollars in thousands) Interest rate swaps $ 26,020 $ 48,114 Interest rate swaptions 8,250 7,216 TBA derivatives 106,960 141,688 Futures contracts 357 — Purchase commitments 2,434 844 Credit derivatives (1) 4,157 2,641 $ 148,178 $ 200,503 Liabilities Interest rate swaps $ 509,485 $ 420,365 TBA derivatives 5,212 — Futures contracts 260,354 462,309 Purchase commitments 478 33 Credit derivatives (1) 451 7,043 $ 775,980 $ 889,750 (1) The notional amount of the credit derivatives in which the Company purchased protection was $45.0 million and $30.0 million at March 31, 2019 and December 31, 2018 , respectively. The maximum potential amount of future payments is the notional amount of credit derivatives in which the Company sold protection of $346.0 million and $451.0 million at March 31, 2019 and December 31, 2018 , respectively, plus any coupon shortfalls on the underlying tranche. The credit derivative tranches referencing the basket of bonds had a range of ratings between AAA and BBB-. The following table summarizes certain characteristics of the Company’s interest rate swaps at March 31, 2019 and December 31, 2018 : March 31, 2019 Maturity Current Notional (1) Weighted Average Pay Rate Weighted Average Receive Rate Weighted Average Years to Maturity (dollars in thousands) 0 - 3 years $ 32,201,400 1.93 % 2.66 % 1.46 3 - 6 years 13,567,000 2.12 % 2.63 % 4.22 6 - 10 years 18,112,000 2.52 % 2.70 % 8.94 Greater than 10 years 3,578,000 3.59 % 2.58 % 17.81 Total / Weighted average $ 67,458,400 2.20 % 2.66 % 4.77 December 31, 2018 Maturity Current Notional (1) Weighted Average Weighted Average Receive Rate Weighted Average Years to Maturity (dollars in thousands) 0 - 3 years $ 31,900,200 1.84 % 2.73 % 1.21 3 - 6 years 16,603,200 2.29 % 2.70 % 4.30 6 - 10 years 18,060,900 2.57 % 2.56 % 8.62 Greater than 10 years 3,901,400 3.63 % 2.59 % 17.33 Total / Weighted average $ 70,465,700 2.17 % 2.68 % 4.26 (1) There were no forward starting swaps at March 31, 2019 and December 31, 2018 . The following table presents swaptions outstanding at March 31, 2019 and December 31, 2018 . March 31, 2019 Current Underlying Notional Weighted Average Underlying Pay Rate Weighted Average Underlying Receive Rate Weighted Average Underlying Years to Maturity Weighted Average Months to Expiration (dollars in thousands) Long $2,800,000 3.12% 3M LIBOR 10.33 6.70 December 31, 2018 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 $4,075,000 3.30% 3M LIBOR 10.08 3.06 The following table summarizes certain characteristics of the Company’s TBA derivatives at March 31, 2019 and December 31, 2018 : March 31, 2019 Purchase and sale contracts for derivative TBAs Notional Implied Cost Basis Implied Market Value Net Carrying Value (dollars in thousands) Purchase contracts $ 15,526,000 $ 15,779,271 $ 15,881,019 101,748 December 31, 2018 Purchase and sale contracts for derivative TBAs Notional Implied Cost Basis Implied Market Value Net Carrying Value (dollars in thousands) Purchase contracts $ 13,803,000 $ 13,823,109 $ 13,964,797 141,688 The following table summarizes certain characteristics of the Company’s futures derivatives at March 31, 2019 and December 31, 2018 : March 31, 2019 Notional - Long Notional - Short Weighted Average (dollars in thousands) 2-year swap equivalent Eurodollar contracts $ — $ (2,500,000 ) 2.00 U.S. Treasury futures - 2 year — (2,872,400 ) 1.93 U.S. Treasury futures - 5 year — (6,469,400 ) 4.39 U.S. Treasury futures - 10 year and greater 109,000 (9,589,900 ) 6.84 Total $ 109,000 $ (21,431,700 ) 4.89 December 31, 2018 Notional - Long Notional - Short Weighted Average (dollars in thousands) U.S. Treasury futures - 2 year — (1,166,000 ) 1.97 U.S. Treasury futures - 5 year — (6,359,400 ) 4.39 U.S. Treasury futures - 10 year and greater — (11,152,600 ) 7.10 Total $ — $ (18,678,000 ) 5.86 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 March 31, 2019 and December 31, 2018 , respectively. March 31, 2019 Amounts Eligible for Offset Gross Amounts Financial Instruments Cash Collateral Net Amounts Assets (dollars in thousands) Interest rate swaps, at fair value $ 26,020 $ (14,498 ) $ — $ 11,522 Interest rate swaptions, at fair value 8,250 — — 8,250 TBA derivatives, at fair value 106,960 (5,212 ) — 101,748 Futures contracts, at fair value 357 (33 ) — 324 Purchase commitments 2,434 — — 2,434 Credit derivatives 4,157 (451 ) — 3,706 Liabilities Interest rate swaps, at fair value $ 509,485 $ (14,498 ) $ (41,756 ) $ 453,231 TBA derivatives, at fair value 5,212 (5,212 ) — — Futures contracts, at fair value 260,354 (33 ) (260,321 ) — Purchase commitments 478 — — 478 Credit derivatives 451 (451 ) — — December 31, 2018 Amounts Eligible for Offset Gross Amounts Financial Instruments Cash Collateral Net Amounts Assets (dollars in thousands) Interest rate swaps, at fair value $ 48,114 $ (29,308 ) $ — $ 18,806 Interest rate swaptions, at fair value 7,216 — — 7,216 TBA derivatives, at fair value 141,688 — — 141,688 Purchase commitments 844 — — 844 Credit derivatives 2,641 (2,641 ) — — Liabilities Interest rate swaps, at fair value $ 420,365 $ (29,308 ) $ (11,856 ) $ 379,201 Futures contracts, at fair value 462,309 — (462,309 ) — Purchase commitments 33 — — 33 Credit derivatives 7,043 (2,641 ) (4,402 ) — 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) Net Interest Component of Interest Rate Swaps Realized Gains (Losses) on Termination of Interest Rate Swaps Unrealized Gains (Losses) on Interest Rate Swaps For the three months ended (dollars in thousands) March 31, 2019 $ 134,035 $ (588,256 ) $ (390,556 ) March 31, 2018 $ (48,160 ) $ 834 $ 977,285 The effect of other derivative contracts on the Company’s Consolidated Statements of Comprehensive Income (Loss) is as follows: Three Months Ended March 31, 2019 Derivative Instruments Realized Gain (Loss) Unrealized Gain (Loss) Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives (dollars in thousands) Net TBA derivatives $ 213,725 $ (39,940 ) $ 173,785 Net interest rate swaptions (29,992 ) 19,684 (10,308 ) Futures (491,741 ) 202,312 (289,429 ) Purchase commitments — 1,145 1,145 Credit derivatives 2,302 7,346 9,648 Total $ (115,159 ) Three Months Ended March 31, 2018 Derivative Instruments Realized Gain (Loss) Unrealized Gain (Loss) Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives (dollars in thousands) Net TBA derivatives $ (277,901 ) $ 17,917 $ (259,984 ) Net interest rate swaptions (21,434 ) 67,221 45,787 Futures 495,013 (328,512 ) 166,501 Purchase commitments — 366 366 Credit derivatives 1,513 (1,328 ) 185 Total $ (47,145 ) 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 are in a net asset position at March 31, 2019 . |
FAIR VALUE MEASUREMENTS
FAIR VALUE MEASUREMENTS | 3 Months Ended |
Mar. 31, 2019 | |
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 that are accounted for at fair value. 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 priority 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. Futures contracts are valued using quoted prices for identical instruments in active markets and are classified as Level 1. Residential Securities, interest rate swaps, swaptions and other derivatives are valued using quoted prices or internally estimated prices for similar assets using internal models. The Company incorporates common market pricing methods, including a spread measurement to the Treasury curve as well as underlying characteristics of the particular security including coupon, prepayment speeds, periodic and life caps, rate reset period and expected life of the security in its estimates of fair value. Fair value estimates for residential mortgage loans are generated by a discounted cash flow model and are primarily based on observable market-based inputs including discount rates, prepayment speeds, delinquency levels, and credit losses. Management reviews and indirectly corroborates its estimates of the fair value derived using internal models by comparing its results to independent prices provided by dealers in the securities and/or third party pricing services. Certain liquid asset classes, such as Agency fixed-rate pass-throughs, may be priced using independent sources such as quoted prices for TBA securities. Residential 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 Securities, residential mortgage loans, 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 Securities, residential mortgage loans, 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, commercial real estate debt investments carried at fair value are classified as Level 2. For the fair value of debt issued by securitization vehicles, 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 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. March 31, 2019 Level 1 Level 2 Level 3 Total Assets (dollars in thousands) Securities Agency mortgage-backed securities $ — $ 103,093,526 $ — $ 103,093,526 Credit risk transfer securities — 607,945 — 607,945 Non-Agency mortgage-backed securities — 1,116,569 — 1,116,569 Commercial mortgage-backed securities — 175,231 — 175,231 Loans Residential mortgage loans — 1,311,720 — 1,311,720 Mortgage servicing rights — — 500,745 500,745 Assets transferred or pledged to securitization vehicles — 4,365,300 — 4,365,300 Derivative assets Interest rate swaps — 26,020 — 26,020 Other derivatives 357 121,801 — 122,158 Total assets $ 357 $ 110,818,112 $ 500,745 $ 111,319,214 Liabilities Debt issued by securitization vehicles — 3,693,766 — 3,693,766 Derivative liabilities Interest rate swaps — 509,485 — 509,485 Other derivatives 260,354 6,141 — 266,495 Total liabilities $ 260,354 $ 4,209,392 $ — $ 4,469,746 December 31, 2018 Level 1 Level 2 Level 3 Total Assets (dollars in thousands) Securities Agency mortgage-backed securities $ — $ 90,752,995 $ — $ 90,752,995 Credit risk transfer securities — 552,097 — 552,097 Non-Agency mortgage-backed securities — 1,161,938 — 1,161,938 Commercial mortgage-backed securities — 156,758 — 156,758 Loans Residential mortgage loans — 1,359,806 — 1,359,806 Mortgage servicing rights — — 557,813 557,813 Assets transferred or pledged to securitization vehicles — 3,833,200 — 3,833,200 Derivative assets Interest rate swaps — 48,114 — 48,114 Other derivatives — 152,389 — 152,389 Total assets $ — $ 98,017,297 $ 557,813 $ 98,575,110 Liabilities Debt issued by securitization vehicles $ — $ 3,347,062 $ — $ 3,347,062 Derivative liabilities Interest rate swaps — 420,365 — 420,365 Other derivatives 462,309 7,076 — 469,385 Total liabilities $ 462,309 $ 3,774,503 $ — $ 4,236,812 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 sensitivities of significant unobservable inputs along with interrelationships between and among the significant unobservable inputs and their impact on the fair value measurements are described below. The effect of a change in a particular assumption in the sensitivity analysis below is considered independently from 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. March 31, 2019 December 31, 2018 Range Range Valuation Technique Unobservable Input (1) (Weighted Average ) Unobservable Input (1) (Weighted Average ) Discounted cash flow Discount rate 9.0% -12.0% (9.4%) Discount rate 9.0% -12.0% (9.4%) Prepayment rate 5.3% - 23.6% (11.5%) Prepayment rate 4.7% - 13.9% (8.0%) Delinquency rate 0.0% - 5.0% (2.3%) Delinquency rate 0.0% - 5.0% (2.3%) Cost to service $82 - $139 ($110) Cost to service $82 - $138 ($110) (1) Represents rates, estimates and assumptions that the Company believes would be used by market participants when valuing these assets. The following table summarizes the estimated fair values for financial assets and liabilities that are not carried at fair value at March 31, 2019 and December 31, 2018 . March 31, 2019 December 31, 2018 Level in Carrying Fair Carrying Fair Financial assets (dollars in thousands) Loans Commercial real estate debt and preferred equity, held for investment 3 $ 722,962 $ 726,687 $ 1,296,803 $ 1,303,487 Commercial loans held for sale, net 3 42,035 42,035 42,184 42,184 Corporate debt 2 1,758,082 1,742,320 1,887,182 1,863,524 Corporate debt held for sale, net 2 44,525 44,525 — — Financial liabilities Repurchase agreements 1,2 $ 88,554,170 $ 88,554,170 $ 81,115,874 $ 81,115,874 Other secured financing 1,2 4,144,623 4,144,491 4,183,311 4,183,805 Mortgage payable 3 510,386 519,748 511,056 507,770 |
GOODWILL AND INTANGIBLE ASSETS
GOODWILL AND INTANGIBLE ASSETS | 3 Months Ended |
Mar. 31, 2019 | |
Goodwill and Intangible Assets Disclosure [Abstract] | |
GOODWILL AND INTANGIBLE ASSETS | 12. GOODWILL AND INTANGIBLE ASSETS Goodwill The Company’s acquisitions are accounted for using the acquisition method if the acquisition is deemed to be a business. 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 the 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 or more frequently 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. At March 31, 2019 and December 31, 2018 , goodwill totaled $71.8 million . Intangible assets, net Finite life intangible assets are amortized over their expected useful lives. The following table presents the activity of finite lived intangible assets for the three months ended March 31, 2019 . Intangible Assets, net (dollars in thousands) Balance at December 31, 2018 $ 29,039 Intangible assets divested (151 ) Less: amortization expense (2,152 ) Balance at March 31, 2019 $ 26,736 |
SECURED FINANCING
SECURED FINANCING | 3 Months Ended |
Mar. 31, 2019 | |
Debt Disclosure [Abstract] | |
SECURED FINANCING | 13. SECURED FINANCING Reverse Repurchase and Repurchase Agreements – The Company finances a significant portion of its assets with repurchase agreements. At the inception of each transaction, the Company assessed 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. The Company enters into reverse repurchase agreements to earn a yield on excess cash balances. The Company obtains collateral in connection with the reverse repurchase agreements in order to mitigate credit risk exposure to its counterparties. 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 and cash flows on reverse repurchase agreements as investing activities in the Consolidated Statements of Cash Flows. The Company had outstanding $88.6 billion and $81.1 billion of repurchase agreements with weighted average borrowing rates of 2.48% and 2.36% , after giving effect to the Company’s interest rate swaps used to hedge cost of funds, and weighted average remaining maturities of 72 days and 77 days at March 31, 2019 and December 31, 2018 , respectively. The Company has select arrangements with counterparties to enter into repurchase agreements for $1.1 billion with $900.0 million available to be drawn at March 31, 2019 . At March 31, 2019 and December 31, 2018 , the repurchase agreements had the following remaining maturities, collateral types and weighted average rates: March 31, 2019 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 $ 19,025,744 $ — $ — $ — $ 57,538 $ 19,083,282 3.41 % 2 to 29 days 18,313,263 283,222 438,446 — 72,910 19,107,841 2.64 % 30 to 59 days 5,190,135 — — — 30,501 5,220,636 2.68 % 60 to 89 days 20,414,594 57,204 245,553 — 45,049 20,762,400 2.69 % 90 to 119 days 1,867,443 — — — — 1,867,443 2.70 % Over 120 days (1) 22,128,141 — 113,088 200,040 71,299 22,512,568 2.77 % Total $ 86,939,320 $ 340,426 $ 797,087 $ 200,040 $ 277,297 $ 88,554,170 2.86 % December 31, 2018 Agency Mortgage-Backed Securities CRTs Non-Agency Mortgage-Backed Securities Commercial Commercial Mortgage-Backed Securities U.S. Treasury Securities Total Repurchase Agreements Weighted Average Rate (dollars in thousands) 1 day $ — $ — $ — $ — $ — $ — $ — — % 2 to 29 days 30,661,001 284,906 353,429 — 72,840 640,465 32,012,641 3.50 % 30 to 59 days 8,164,165 — — — — — 8,164,165 2.33 % 60 to 89 days 18,326,399 88,630 251,441 — 23,302 — 18,689,772 2.62 % 90 to 119 days 10,067,183 — — — — — 10,067,183 2.54 % Over 120 days (1) 11,263,625 — 116,434 693,939 108,115 — 12,182,113 2.92 % Total $ 78,482,373 $ 373,536 $ 721,304 $ 693,939 $ 204,257 $ 640,465 $ 81,115,874 2.97 % (1) Less than 1% and approximately 1% of the total repurchase agreements had a remaining maturity over 1 year at March 31, 2019 and December 31, 2018 , respectively. 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 March 31, 2019 and December 31, 2018 . Refer to the “Derivative Instruments” Note for information related to the effect of netting arrangements on the Company’s derivative instruments. March 31, 2019 December 31, 2018 Reverse Repurchase Agreements Repurchase Agreements Reverse Repurchase Agreements Repurchase Agreements (dollars in thousands) Gross amounts $ 2,123,449 $ 90,154,170 $ 650,040 $ 81,115,874 Amounts offset (1,600,000 ) (1,600,000 ) — — Netted amounts $ 523,449 $ 88,554,170 $ 650,040 $ 81,115,874 The fair value of collateral received in connection with reverse repurchase agreements was $538.1 million , which was not sold or repledged by the Company, and $650.0 million , which the Company fully repledged, as of March 31, 2019 and December 31, 2018 , respectively. Other Secured Financing - 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 March 31, 2019 , $90.0 million of advances from the FHLB Des Moines matures in less than one year and $3.5 billion matures between one to three years . At December 31, 2018 , $3.6 billion of advances from the FHLB Des Moines matured between one to three years . The weighted average rate of the advances from the FHLB Des Moines was 2.99% and 2.78% at March 31, 2019 and December 31, 2018 , respectively. The Company held $147.9 million of capital stock in the FHLB Des Moines at March 31, 2019 and December 31, 2018 , which is reported at cost and included in Other assets on the Company’s Consolidated Statements of Financial Condition. Investments pledged as collateral under secured financing arrangements and interest rate swaps, excluding residential and senior securitized commercial mortgage loans of consolidated VIEs, had an estimated fair value and accrued interest of $98.1 billion and $322.7 million , respectively, at March 31, 2019 and $90.2 billion and $303.1 million , respectively, at December 31, 2018 . Mortgage loans payable at March 31, 2019 and December 31, 2018 , were as follows: March 31, 2019 Property Mortgage Mortgage Interest Rate Fixed/Floating Maturity Date Priority (dollars in thousands) Joint Ventures (fixed) $ 316,380 $ 318,664 4.03% - 4.96% Fixed 2024 - 2029 First liens Joint Ventures (floating) 16,125 16,125 L+2.75% Floating 3/14/2020 First liens Virginia 95,364 97,187 2.34% - 4.53% Fixed 2019 - 2053 First liens Texas 32,060 33,597 3.28% Fixed 1/1/2048 and 1/1/2053 First liens Utah (floating) 9,744 9,706 L+3.50% Floating 1/31/2020 First liens Utah (fixed) 7,156 7,175 3.69% Fixed 6/1/2053 First liens Minnesota 13,390 13,425 3.69% Fixed 6/1/2053 First liens Tennessee 12,303 12,350 4.01% Fixed 9/6/2019 First liens Wisconsin 7,864 7,884 3.69% Fixed 6/1/2053 First liens Total $ 510,386 $ 516,113 December 31, 2018 Property Mortgage Mortgage Interest Rate Fixed/Floating Maturity Date Priority (dollars in thousands) Joint Ventures (fixed) $ 316,275 $ 318,664 4.03% - 4.96% Fixed 2024 - 2029 First liens Joint Ventures (floating) 16,125 16,125 L+2.75% Floating 3/14/2020 First liens Virginia 95,827 97,667 2.75% - 4.96% Fixed 2019 - 2053 First liens Texas 32,189 33,735 3.28% Fixed 1/1/2053 First liens Utah (floating) 9,703 9,706 L+3.50% Floating 1/31/2019 First liens Utah (fixed) 7,279 7,201 3.69% Fixed 6/1/2053 First liens Minnesota 13,438 13,473 3.69% Fixed 6/1/2053 First liens Tennessee 12,328 12,350 4.01% Fixed 9/6/2019 First liens Wisconsin 7,892 7,913 3.69% Fixed 6/1/2053 First liens Total $ 511,056 $ 516,834 The following table details future mortgage loan principal payments at March 31, 2019 : Mortgage Loan Principal Payments (dollars in thousands) 2019 (remaining) $ 25,680 2020 29,113 2021 3,490 2022 3,708 2023 3,843 Later years 450,279 Total $ 516,113 |
CAPITAL STOCK
CAPITAL STOCK | 3 Months Ended |
Mar. 31, 2019 | |
Equity [Abstract] | |
CAPITAL STOCK | 14. CAPITAL STOCK (A) Common Stock The following table provides a summary of the Company’s common shares authorized, and issued and outstanding at March 31, 2019 and December 31, 2018 . Shares authorized Shares issued and outstanding March 31, 2019 December 31, 2018 March 31, 2019 December 31, 2018 Par Value Common stock 1,924,050,000 1,924,050,000 1,448,103,248 1,313,763,450 $0.01 During the three months ended March 31, 2019 , the Company closed the public offering of an original issuance of 75.0 million shares of common stock for proceeds of $730.5 million before deducting offering expenses. In connection with the offering, the Company granted the underwriters a thirty - day option to purchase up to an additional 11.3 million shares of common stock, which the underwriters exercised in full resulting in an additional $109.6 million in proceeds before deducting offering expenses. No options were exercised during the three months ended March 31, 2019 and 2018 . The following table provides a summary of activity related to the Company’s Direct Purchase and Dividend Reinvestment Program. Three Months Ended March 31, 2019 March 31, 2018 (dollars in thousands) Shares issued through direct purchase and dividend reinvestment program 87,000 70,000 Amount raised from direct purchase and dividend reinvestment program $ 892 $ 746 In January 2018, the Company entered into separate Distribution Agency Agreements (collectively, the “Sales Agreements”) with each of Wells Fargo Securities, LLC, Merrill Lynch, Pierce, Fenner & Smith, Incorporated, Barclays Capital Inc., Citigroup Global Markets Inc., Credit Suisse Securities (USA) LLC, Goldman Sachs & Co. LLC, J.P. Morgan Securities LLC, Keefe, Bruyette & Woods, Inc., RBC Capital Markets, LLC and UBS Securities LLC (the “Sales Agents”). The Company may offer and sell shares of its common stock, having an aggregate offering price of up to $1.5 billion from time to time through any of the Sales Agents. During the three months ended March 31, 2019 , the Company issued 48.0 million shares under the at-the-market sales program for proceeds of $489.0 million , net of commissions and fees. (B) Preferred Stock The following is a summary of the Company’s cumulative redeemable preferred stock outstanding at March 31, 2019 and December 31, 2018 . In the event of a liquidation or dissolution of the Company, the Company’s then outstanding preferred stock takes precedence over the Company’s common stock with respect to payment of dividends and the distribution of assets. Shares Authorized Shares Issued And Outstanding Carrying Value Contractual Rate Earliest Redemption Date (1) Date At Which Dividend Rate Becomes Floating Floating Annual Rate March 31, 2019 December 31, 2018 March 31, 2019 December 31, 2018 March 31, 2019 December 31, 2018 Fixed-rate (dollars in thousands) Series C 7,000,000 7,000,000 7,000,000 7,000,000 $ 169,466 $ 169,466 7.625% 5/16/2017 NA NA Series D 18,400,000 18,400,000 18,400,000 18,400,000 445,457 445,457 7.50% 9/13/2017 NA NA Series H 2,200,000 2,200,000 2,200,000 2,200,000 55,000 55,000 8.125% 5/22/2019 NA NA Fixed-to-floating rate Series F 28,800,000 28,800,000 28,800,000 28,800,000 696,910 696,910 6.95% 9/30/2022 9/30/2022 3M LIBOR + 4.993% Series G 19,550,000 19,550,000 17,000,000 17,000,000 411,335 411,335 6.50% 3/31/2023 3/31/2023 3M LIBOR + 4.172% Total 75,950,000 75,950,000 73,400,000 73,400,000 $ 1,778,168 $ 1,778,168 (1) Subject to the Company’s right under limited circumstances to redeem preferred stock earlier in order to preserve its qualification as a REIT or under limited circumstances related to a change in control of the Company. Each series of preferred stock has a par value of $0.01 per share and a liquidation and redemption price of $25.00 , plus accrued and unpaid dividends through their redemption date. Through March 31, 2019 , the Company had declared and paid all required quarterly dividends on the Company’s preferred stock. During the three months ended March 31, 2018 , the Company issued 17.0 million shares of its 6.50% Series G Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock (“Series G Preferred Stock”) for gross proceeds of $425.0 million before deducting the underwriting discount and other estimated offering expenses. During the three months March 31, 2018 , the Company redeemed 5.0 million shares of its Series C Cumulative Redeemable Preferred Stock (“Series C Preferred Stock”) for $125.0 million and all 11.5 million of its issued and outstanding shares of Series E Cumulative Redeemable Preferred Stock (“Series E Preferred Stock”) for $287.5 million . The Series C Preferred Stock, Series D Cumulative Redeemable Preferred Stock, Series F Preferred Stock, Series G Preferred Stock and Series H 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 Three Months Ended March 31, 2019 March 31, 2018 (dollars in thousands, except per share data) Dividends and dividend equivalents declared on common stock and share-based awards $ 434,627 $ 347,897 Distributions declared per common share $ 0.30 $ 0.30 Distributions paid to common stockholders after period end $ 434,431 $ 347,897 Distributions paid per common share after period end $ 0.30 $ 0.30 Date of distributions paid to common stockholders after period end April 30, 2019 April 30, 2018 Dividends declared to series C preferred stockholders $ 3,336 $ 4,316 Dividends declared per share of series C preferred stock (1) $ 0.477 $ 0.477 Dividends declared to series D preferred stockholders $ 8,625 $ 8,625 Dividends declared per share of series D preferred stock $ 0.469 $ 0.469 Dividends declared to series E preferred stockholders $ — $ 2,253 Dividends declared per share of series E preferred stock $ — $ 0.196 Dividends declared to series F preferred stockholders $ 12,510 $ 12,510 Dividends declared per share of series F preferred stock $ 0.434 $ 0.434 Dividends declared to series G preferred stockholders $ 6,906 $ 6,062 Dividends declared per share of series G preferred stock $ 0.406 $ 0.357 Dividends declared to series H preferred stockholders $ 1,117 $ — Dividends declared per share of series H preferred stock $ 0.508 $ — (1) Includes dividends declared per share for shares outstanding at March 31, 2018. |
INTEREST INCOME AND INTEREST EX
INTEREST INCOME AND INTEREST EXPENSE | 3 Months Ended |
Mar. 31, 2019 | |
Banking and Thrift, Interest [Abstract] | |
INTEREST INCOME AND INTEREST EXPENSE | 15. INTEREST INCOME AND INTEREST EXPENSE Refer to the note titled “Significant Accounting Policies” for details surrounding the Company’s accounting policy related to net interest income on securities and loans. The following table summarizes the interest income recognition methodology for Residential 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 CMO (1) Effective yield (3) 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 instruments 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. The following presents the components of the Company’s interest income and interest expense for the three months ended March 31, 2019 and March 31, 2018 . For the Three Months Ended March 31, 2019 2018 Interest income (dollars in thousands) Residential securities $ 709,774 $ 779,588 Residential mortgage loans (1) 29,991 15,505 Commercial investment portfolio (1) (2) 100,952 72,457 Reverse repurchase agreements 25,469 11,937 Total interest income $ 866,186 $ 879,487 Interest expense Repurchase agreements 579,514 331,374 Debt issued by securitization vehicles 34,207 15,652 Other 33,974 20,395 Total interest expense 647,695 367,421 Net interest income $ 218,491 $ 512,066 (1) Includes assets transferred or pledged to securitization vehicles. (2) Includes commercial real estate debt and preferred equity and corporate debt. |
NET INCOME (LOSS) PER COMMON SH
NET INCOME (LOSS) PER COMMON SHARE | 3 Months Ended |
Mar. 31, 2019 | |
Earnings Per Share [Abstract] | |
NET INCOME (LOSS) PER COMMON SHARE | 16. NET INCOME (LOSS) PER COMMON SHARE The following table presents a reconciliation of net income (loss) and shares used in calculating basic and diluted net income (loss) per share for the three months ended March 31, 2019 and March 31, 2018 . For the Three Months Ended March 31, 2019 March 31, 2018 (dollars in thousands, except per share data) Net income (loss) $ (849,251 ) $ 1,327,704 Net income (loss) attributable to noncontrolling interests (101 ) (96 ) Net income (loss) attributable to Annaly (849,150 ) 1,327,800 Dividends on preferred stock 32,494 33,766 Net income (loss) available (related) to common stockholders $ (881,644 ) $ 1,294,034 Weighted average shares of common stock outstanding-basic 1,398,614,205 1,159,617,848 Add: Effect of stock awards, if dilutive — 485,337 Weighted average shares of common stock outstanding-diluted 1,398,614,205 1,160,103,185 Net income (loss) per share available (related) to common share Basic $ (0.63 ) $ 1.12 Diluted $ (0.63 ) $ 1.12 Options to purchase 0.2 million shares and 0.8 million shares of common stock were outstanding and considered anti-dilutive as their exercise price and option expense exceeded the average stock price for the three months ended March 31, 2019 and March 31, 2018 , respectively. |
INCOME TAXES
INCOME TAXES | 3 Months Ended |
Mar. 31, 2019 | |
Income Tax Disclosure [Abstract] | |
INCOME TAXES | 17. INCOME TAXES For the three months ended March 31, 2019 the Company was qualified to be taxed as a REIT under Code Sections 856 through 860. As a REIT, the Company will not incur 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 Company and certain of its direct and indirect subsidiaries, including Annaly TRS, Inc. and certain subsidiaries of Mountain Merger Sub Corp., have made separate joint elections to treat these subsidiaries as 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 deemed necessary at March 31, 2019 and December 31, 2018 . The state and local tax jurisdictions for which the Company is subject to tax-filing obligations recognize the Company’s status as a REIT, and therefore, the Company generally does not pay income tax in such jurisdictions. The Company may, however, be subject to certain minimum state and local tax filing fees as well as certain excise, franchise or business taxes. The Company’s TRSs are subject to federal, state and local taxes. During the three months ended March 31, 2019 and March 31, 2018 , the Company recorded $2.6 million and $0.6 million , respectively, of income tax expense attributable to its TRSs. The Company’s federal, state and local tax returns from 2015 and forward remain open for examination. |
RISK MANAGEMENT
RISK MANAGEMENT | 3 Months Ended |
Mar. 31, 2019 | |
Risk Management [Abstract] | |
RISK MANAGEMENT | 18. RISK MANAGEMENT The primary risks to the Company are capital, liquidity and funding risk, 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 or liquidating 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, which exclude 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 is backed by the full faith and credit of the U.S. government. Substantially all 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 are not guaranteed by the respective Agency or by the full faith and credit of the U.S. government. The Company is exposed to credit risk on CRE Debt and Preferred Equity Investments, real estate investments, 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. |
RELATED PARTY TRANSACTIONS
RELATED PARTY TRANSACTIONS | 3 Months Ended |
Mar. 31, 2019 | |
Related Party Transactions [Abstract] | |
RELATED PARTY TRANSACTIONS | 19. 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, amended and restated on April 12, 2016, amended and restated on August 1, 2018, and amended on March 27, 2019 (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 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, and the Manager is responsible for providing personnel to manage the Company, and determining all compensation and benefit expenses associated with such personnel. Prior to the most recent amendment to the Management Agreement, which was executed on March 27, 2019, the Company had paid the Manager a flat monthly management fee equal to 1/12th of 1.05% of Stockholders’ Equity (as defined in the Management Agreement) for its management services. Pursuant to the March 27, 2019 amendment to the Management Agreement, the Company now pays the Manager a monthly management fee for its management services in an amount equal to 1/12th of the sum of (i) 1.05% of Stockholders' Equity (as defined in the Management Agreement) up to $17.28 billion , and (ii) 0.75% of Stockholders' Equity (as defined in the Management Agreement) in excess of $17.28 billion . The Company does not pay the Manager any incentive fees. For the three months ended March 31, 2019 and 2018 , the compensation and management fee was $44.8 million and $44.5 million , respectively. Following the unanimous approval of the Company’s independent directors (the “Independent Directors”), in August 2018, the Company began reimbursing the Manager for certain services in connection with the management and operations of the Company and its subsidiaries as permitted under the terms of the Management Agreement. Such reimbursable expenses include the cost for certain legal, tax, accounting and other support and advisory services provided by employees of the Manager to the Company. Pursuant to the Management Agreement, the Company may reimburse the Manager for the cost of such services, provided such costs are no greater than those that would be payable to comparable third party providers. For the three months ended March 31, 2019 , reimbursement payments to the Manager were $7.1 million . None of the reimbursement payments are attributable to compensation of the Company’s executive officers. At March 31, 2019 and December 31, 2018 the Company had amounts payable to the Manager of $17.1 million and $16.0 million , respectively. The Management Agreement’s current term ends on December 31, 2019 and will automatically renew for successive two -year terms unless at least two-thirds of the Independent Directors or the holders of a majority of the outstanding shares of the Company’s common stock in their sole discretion elect to terminate the agreement for any or no reason upon 365 days prior written notice (such notice, a “Termination Notice”). If the Company makes an election to terminate the Management Agreement, the Company may elect to accelerate the termination date (the “Termination Date”) to a date that is between seven and 90 days after the date of the Company’s delivery of a Termination Notice (the “Notice Delivery Date”). If the Company does not make an election to accelerate the Termination Date, then the Manager may elect to accelerate the Termination Date to the date that is 90 days after the Notice Delivery Date. If the Termination Date is accelerated (such date, the “Accelerated Termination Date”) by either the Company or the Manager, in addition to any amounts accrued for the period prior to the Accelerated Termination Date, the Company shall pay the Manager an acceleration fee (the “Acceleration Fee”) in an amount equal to the average annual management fee earned by the Manager during the 24-month period immediately preceding such Accelerated Termination Date multiplied by a fraction with a numerator of 365 minus the number of days from the Notice Delivery Date to the Accelerated Termination Date, and a denominator of 365. The Management Agreement may also be terminated by the Manager for any reason or no reason upon 365 days prior written notice, or with shorter notice periods by either the Company or the Manager for cause or by the Company in the event of a sale of the Manager that was not pre-approved by the Independent Directors. The Management Agreement may be amended or modified by agreement between the Company and the Manager. |
LEASE COMMITMENTS AND CONTINGEN
LEASE COMMITMENTS AND CONTINGENCIES | 3 Months Ended |
Mar. 31, 2019 | |
Commitments and Contingencies Disclosure [Abstract] | |
LEASE COMMITMENTS AND CONTINGENCIES | 20. LEASE COMMITMENTS AND CONTINGENCIES The Company adopted ASU 2016-02, Leases (Topic 842) on January 1, 2019 with no impact to retained earnings or other components of equity. The Company’s operating leases are primarily comprised of a corporate office lease with a remaining lease term of six years . The corporate office lease includes an option to extend for up to five years , however the extension term was not included in the operating lease liability calculation. Leases with an initial term of 12 months or less are not recorded on the balance sheet. The Company recognizes lease expense for these leases on a straight-line basis over the lease term. Supplemental information related to leases as of and for the three months ended March 31, 2019 was as follows: Operating Leases Classification March 31, 2019 Assets (dollars in thousands) Operating lease right-of-use assets Other assets $ 17,691 Liabilities Operating lease liabilities (1) Other liabilities $ 22,756 Lease term and discount rate Weighted average remaining lease term 6.4 Years Weighted average discount rate (1) 2.9% Lease cost Operating lease cost Other general and administrative expenses $ 791 Cash paid for amounts included in the measurement of lease liabilities Operating cash flows from operating leases $ 928 (1) As the Company’s leases do not provide an implicit rate, the Company uses an incremental borrowing rate based on the information available at adoption date in determining the present value of lease payments. The following table provides details related to maturities of lease liabilities: Maturity of Lease Liabilities Years ending December 31, (dollars in thousands) 2019 (remaining) $ 2,784 2020 3,799 2021 3,918 2022 3,862 2023 3,862 Later years 6,757 Total lease payments $ 24,982 Less imputed interest 2,226 Present value of lease liabilities $ 22,756 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 March 31, 2019 and December 31, 2018 . |
ARCOLA REGULATORY REQUIREMENTS
ARCOLA REGULATORY REQUIREMENTS | 3 Months Ended |
Mar. 31, 2019 | |
Regulatory Capital Requirements [Abstract] | |
ARCOLA REGULATORY REQUIREMENTS | 21. ARCOLA REGULATORY REQUIREMENTS Arcola is the Company’s wholly owned and consolidated broker-dealer. Arcola 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. Arcola is a member of various clearing organizations with which it maintains cash required to conduct its day-to-day clearance activities. Arcola 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. Arcola generates income from the spread between what is earned on the reverse repurchase agreements and what is paid on the matched repurchase agreements. Arcola’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 Arcola will require counterparties to deposit additional collateral, when necessary. All reverse repurchase activities are transacted under master repurchase agreements or other documentation that give Arcola the right, in the event of default, to liquidate collateral held and in some instances, to offset receivables and payables with the same counterparty. As a member of the Financial Industry Regulatory Authority (“FINRA”), Arcola is required to maintain a minimum net capital balance. At March 31, 2019 Arcola had a minimum net capital requirement of $0.3 million . Arcola consistently operates with capital in excess of its regulatory capital requirements. Arcola’s regulatory net capital as defined by SEC Rule 15c3-1, at March 31, 2019 was $389.5 million with excess net capital of $389.2 million . |
ACQUISITION OF MTGE INVESTMENT
ACQUISITION OF MTGE INVESTMENT CORP | 3 Months Ended |
Mar. 31, 2019 | |
Business Combinations [Abstract] | |
ACQUISITION OF MTGE INVESTMENT CORP | 22. ACQUISITION OF MTGE INVESTMENT CORP. On September 7, 2018, Mountain Merger Sub Corporation, a wholly-owned subsidiary of the Company, completed its acquisition of MTGE Investment Corp. (“MTGE”), an externally managed hybrid mortgage REIT, for aggregate consideration to MTGE common shareholders of $906.2 million , consisting of $455.9 million in equity consideration and $450.3 million in cash consideration (the “MTGE Acquisition”). The Company issued 43.6 million common stock as part of the consideration for the MTGE Acquisition. In addition, as part of the MTGE Acquisition, each share of MTGE 8.125% Series A Cumulative Redeemable Preferred Stock, par value $0.01 per share (each, a “MTGE Preferred Share”), that was outstanding as of immediately prior to the completion of the MTGE 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 Series H Preferred Stock, and which have rights, preferences, privileges and voting powers substantially the same as a MTGE Preferred Share. The MTGE Acquisition was accounted for as an asset acquisition in accordance with Accounting Standards Codification 805 Business Combinations (“ASC 805”). Under ASC 805, an acquisition does not qualify as a business combination if the acquisition does not meet the definition of a business. GAAP defines a business as an integrated set of activities and assets that is capable of being conducted and managed for the purpose of providing a return in the form of dividends, lower costs, or other economic benefits directly to investors or other owners, members, or participants. Since the Company did not acquire the external management agreement with the MTGE’s third party manager, there were no substantive processes acquired as part of the acquisition. Therefore, the MTGE Acquisition was not considered a business combination. Under ASC 805, an asset acquisition is accounted for under the cost accumulation model which allocates the cost of the acquisition which generally includes direct transaction costs to the individual assets acquired and liabilities assumed on the basis of relative fair value with certain exceptions including financial assets and current assets. These exceptions are excluded from the cost accumulation method since recognizing these assets at amounts other than their fair value would result in a subsequent gain or loss upon re-measurement.The allocation of the consideration paid as part of the transaction and its assignment to the initial carrying value of the MTGE portfolio is noted in the below table. September 2018 Consideration transferred (dollars in thousands) Cash $ 450,287 Common equity 455,943 Preferred shares Exchange of MTGE preferred stock for Annaly preferred stock 55,000 Total consideration $ 961,230 Net assets Cash and cash equivalents $ 191,953 Securities 4,111,930 Real estate, net 277,648 Derivative assets 18,629 Reverse repurchase agreements 938,251 Receivable for unsettled trades 6,809 Principal receivable 44,462 Interest receivable 14,282 Intangible assets, net 14,483 Other assets 50,105 Total assets acquired 5,668,552 Repurchase agreements 3,561,816 Mortgages payable 201,629 U.S. Treasury securities sold, not yet purchased 934,149 Derivative liabilities 2,498 Interest payable 22,220 Dividends payable 819 Other liabilities 28,715 Total liabilities assumed 4,751,846 Net assets acquired $ 916,706 |
SUBSEQUENT EVENTS
SUBSEQUENT EVENTS | 3 Months Ended |
Mar. 31, 2019 | |
Subsequent Events [Abstract] | |
Subsequent Events | 23. SUBSEQUENT EVENTS In April 2019, the Company completed and closed its second securitization of residential mortgage loans for the 2019 calendar year, OBX 2019-EXP1 Trust, with a face value of $388.2 million . The securitization represented a financing transaction which provided non-recourse financing to the Company collateralized by residential mortgage loans purchased by the Company. On May 1, 2019, the Company announced that it will redeem all 2.2 million of its outstanding shares of Series H Preferred Stock at a redemption price per share of $25.00 plus accumulated and unpaid dividends per share to, but not including, the redemption date of May 31, 2019. |
SIGNIFICANT ACCOUNTING POLICI_2
SIGNIFICANT ACCOUNTING POLICIES (Policies) | 3 Months Ended |
Mar. 31, 2019 | |
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 entities where the Company has a controlling financial interest. In order to determine whether the Company has a controlling financial interest, it first evaluates whether an entity is a voting interest entity (“VOE”) or a variable interest entity (“VIE”). All intercompany balances and transactions have been eliminated in consolidation. |
Voting Interest Entities | Voting Interest Entities – A VOE is an entity that has sufficient equity and in which equity investors have a controlling financial interest. The Company consolidates VOEs where it has a majority of the voting equity of such VOE. |
Variable Interest Entities | Variable Interest Entities – 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 VIE is required to be consolidated by its primary beneficiary, which is defined as the party that has both (i) the power to control the activities that most significantly impact the VIE’s economic performance and (ii) the obligation to absorb losses or the right to receive benefits from the VIE that could potentially be significant to the VIE. 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 to change. Refer to the “Variable Interest Entities” Note for further information. The Company consolidates a securitization trust, which is included in “Residential Trusts” in the tables below, 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 the subordinate securities, and a subsidiary of the Company continues to be the master 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 not elected to apply the practical expedient under ASU 2014-13 as prices of both the financial assets and financial liabilities of the residential mortgage trust are available from third-party pricing services. 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. Upon consolidation, the Company elected the fair value option for the financial assets and liabilities of the Commercial Trusts in order to avoid an accounting mismatch, and to represent more faithfully 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 applied the practical expedient under ASU 2014-07, 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 Commercial 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 Commercial 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. |
Equity Method Investments | Equity Method Investments - For entities that are not consolidated, but where the Company has significant influence over the operating or financial decisions of the entity, the Company accounts for the investment under the equity method of accounting. In accordance with 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. These investments are included in Real estate, net and Other assets with income or loss included in Other income (loss). |
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 is carried at cost, which approximates fair value. |
Equity Securities | Equity Securities – The Company may invest in equity securities that are not accounted for under the equity method or do not result in consolidation. These equity securities are required to be reported at fair value with unrealized gains and losses reported in the Consolidated Statements of Comprehensive Income (Loss) as Net unrealized gains (losses) on instruments measured at fair value through earnings, unless the securities do not have readily determinable fair values. For such equity securities without readily determinable fair values, the Company has elected to carry the securities at cost less impairment, if any, plus or minus changes resulting from observable price changes in orderly transactions for the identical or similar investment of the same issuer. For equity securities carried at fair value through earnings, dividends are recorded in earnings on the declaration date. Dividends from equity securities without readily determinable fair values are recognized as income when received to the extent they are distributed from net accumulated earnings. |
Fair Value Measurements and the Fair Value Option | Fair Value Measurements and the Fair Value Option – The Company reports various investments at fair value, including certain eligible financial instruments elected to be accounted for under the fair value option (“FVO”). The Company chooses to elect the fair value option in order to simplify the accounting treatment for certain financial instruments. If an item is accounted for at fair value, including financial instruments elected under the FVO, it is presented at fair value in the Consolidated Statements of Financial Condition and any change in fair value is recorded in Net unrealized gains (losses) on instruments measured at fair value through earnings in the Consolidated Statements of Comprehensive Income (Loss). For additional information regarding financial instruments for which the Company has elected the fair value option see the table in the “Financial Instruments” Note. Refer to the “Fair Value Measurements” Note for a complete discussion on the methodology utilized by the Company to estimate the fair value of certain financial instruments. The Company follows fair value guidance in accordance with GAAP to account for its financial instruments that are accounted for at fair value. 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 priority 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. |
Offsetting Assets and Liabilities | Offsetting Assets and Liabilities - The Company elected to present all derivative instruments on a gross basis as discussed in the “Derivative Instruments” Note. Reverse repurchase and repurchase agreements are presented net in the Consolidated Statements of Financial Condition if they are subject to netting agreements and they meet the offsetting criteria. Please see below and refer to the “Secured Financing” Note for further discussion on reverse repurchase and repurchase agreements. |
Derivative Instruments | Derivative Instruments – 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). The changes in the estimated fair value are presented within Net gains (losses) on other derivatives with the exception of interest rate swaps which are separately presented. None of the Company’s derivative transactions have been designated as hedging instruments for accounting purposes. Refer to the “Derivative Instruments” Note for further discussion. |
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 ratably over the requisite service period for the entire award. |
Interest Income | Interest Income - The Company recognizes coupon income, which is a component of interest income, based upon the outstanding principal amounts of the financial instruments 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 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. Premiums and discounts associated with the purchase of residential mortgage loans and with those transferred or pledged to 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). Refer to the “Interest Income and Interest Expense” Note for further discussion of interest income. |
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. As a REIT, the Company will not incur federal income tax to the extent that it distributes its taxable income to its stockholders. The Company and certain of its direct and indirect subsidiaries 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 its taxable income. Refer to the “Income Taxes” Note for further discussion on income taxes. |
Recent Accounting Pronouncements | Recent Accounting Pronouncements The Company considers the applicability and impact of all Accounting Standards Updates (“ASUs”). ASUs not listed below were not applicable, not expected to have a significant impact on the Company’s consolidated financial statements when adopted or did not have a significant impact on the Company’s 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 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 certain 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 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. The Company has decided to apply a probability of default methodology to loans that will be impacted by the adoption and is continuing to assess the impact on the consolidated financial statements and determine appropriate internal controls and financial statement disclosures. Further, based on the amended guidance for available-for-sale debt securities, the Company: • will be required to use an allowance approach to recognize credit impairment, with the allowance to be limited to the amount by which the security’s fair value is less than its amortized cost basis; • may not consider the length of time fair value has been below amortized cost, and • may not consider recoveries of fair value after the balance sheet date when assessing whether a credit loss exists. Standard Description Effective Date Effect on the Financial Statements or Other Significant Matters Standards that were adopted ASU 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 The amendments are expected to result in fewer transactions being accounted for as business combinations. ASU 2016-15 Statement of cash flows (Topic 230): Classification of certain cash receipts and cash payments This update provides specific guidance on certain cash flow classification issues, including classification of cash receipts and payments that have aspects of more than one class of cash flows. If cash flows cannot be separated by source or use, the appropriate classification should depend on the activity that is likely to be the predominant source or use of cash flows. January 1, 2018 As a result of adopting this standard, the Company reclassified its cash flows on reverse repurchase and repurchase agreements entered into by Arcola Securities, Inc. (“Arcola”) from operating activities to investing and financing activities, respectively, in the Consolidated Statements of Cash Flows. The Company applied the retrospective transition method, which resulted in reclassification of comparative periods. |
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. |
Allowance for Losses | Allowance for Losses – The Company evaluates the need for a loss reserve on its loans. A provision for loan losses 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 loans 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 at origination or acquisition of a new investment and if events occur that trigger re-evaluation by management. 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 commercial real estate loans and preferred equity interests (“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 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’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. |
Residential Mortgage Loans | At March 31, 2019 and December 31, 2018 , commercial real estate investments held for investment were comprised of the following: March 31, 2019 December 31, 2018 Outstanding Principal Carrying (1) Percentage (2) Outstanding Principal Carrying (1) Percentage (2) (dollars in thousands) Senior mortgages $ 405,968 $ 403,497 27.6 % $ 988,248 $ 981,202 75.6 % Senior securitized mortgages (3) 739,058 733,864 50.1 % — — — % Mezzanine loans 329,262 319,465 22.3 % 319,663 315,601 24.4 % Total $ 1,474,288 $ 1,456,826 100.0 % $ 1,307,911 $ 1,296,803 100.0 % (1) Carrying value includes unamortized origination fees of $8.3 million and $7.6 million at March 31, 2019 and December 31, 2018 , respectively. (2) Based on outstanding principal. (3) Assets of consolidated VIEs. The following tables represent a rollforward of the activity for the Company’s commercial real estate investments held for investment at March 31, 2019 and December 31, 2018 : March 31, 2019 Senior Senior (1) Mezzanine Total (dollars in thousands) Net carrying value (January 1, 2019) $ 981,202 $ — $ 315,601 $ 1,296,803 Originations & advances (principal) 148,341 739,058 18,274 905,673 Principal payments (385 ) — — (385 ) Transfers (730,235 ) — (8,675 ) (738,910 ) Net (increase) decrease in origination fees 3,815 (5,488 ) (184 ) (1,857 ) Amortization of net origination fees 759 294 152 1,205 Allowance for loan losses — — (5,703 ) (5,703 ) Net carrying value (March 31, 2019) $ 403,497 $ 733,864 $ 319,465 $ 1,456,826 December 31, 2018 Senior Mezzanine Preferred Total (dollars in thousands) Net carrying value (January 1, 2018) $ 625,900 $ 394,442 $ 8,985 $ 1,029,327 Originations & advances (principal) 575,953 52,224 — 628,177 Principal payments (216,849 ) (127,575 ) (9,000 ) (353,424 ) Net (increase) decrease in origination fees (6,624 ) (370 ) — (6,994 ) Amortization of net origination fees 2,822 376 15 3,213 Allowance for loan losses — (3,496 ) — (3,496 ) Net carrying value (December 31, 2018) $ 981,202 $ 315,601 $ — $ 1,296,803 The Company’s residential mortgage loans are primarily comprised of performing adjustable-rate and fixed-rate whole loans. Additionally, 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 because it also has certain powers and rights to direct the activities of such trusts. Please refer to the “Variable Interest Entities” Note for further information related to the Company’s consolidated Residential Mortgage Loan Trusts. |
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. Futures contracts are valued using quoted prices for identical instruments in active markets and are classified as Level 1. Residential Securities, interest rate swaps, swaptions and other derivatives are valued using quoted prices or internally estimated prices for similar assets using internal models. The Company incorporates common market pricing methods, including a spread measurement to the Treasury curve as well as underlying characteristics of the particular security including coupon, prepayment speeds, periodic and life caps, rate reset period and expected life of the security in its estimates of fair value. Fair value estimates for residential mortgage loans are generated by a discounted cash flow model and are primarily based on observable market-based inputs including discount rates, prepayment speeds, delinquency levels, and credit losses. Management reviews and indirectly corroborates its estimates of the fair value derived using internal models by comparing its results to independent prices provided by dealers in the securities and/or third party pricing services. Certain liquid asset classes, such as Agency fixed-rate pass-throughs, may be priced using independent sources such as quoted prices for TBA securities. Residential 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 Securities, residential mortgage loans, 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 Securities, residential mortgage loans, 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, commercial real estate debt investments carried at fair value are classified as Level 2. For the fair value of debt issued by securitization vehicles, 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 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. |
Goodwill and Intangible Assets | The Company’s acquisitions are accounted for using the acquisition method if the acquisition is deemed to be a business. 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 the 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 or more frequently 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. |
Repurchase Agreements | Reverse Repurchase and Repurchase Agreements – The Company finances a significant portion of its assets with repurchase agreements. At the inception of each transaction, the Company assessed 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. The Company enters into reverse repurchase agreements to earn a yield on excess cash balances. The Company obtains collateral in connection with the reverse repurchase agreements in order to mitigate credit risk exposure to its counterparties. 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 and cash flows on reverse repurchase agreements as investing activities in the Consolidated Statements of Cash Flows. |
Contingencies | 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. |
DESCRIPTION OF BUSINESS (Tables
DESCRIPTION OF BUSINESS (Tables) | 3 Months Ended |
Mar. 31, 2019 | |
Accounting Policies [Abstract] | |
Schedule of Investment Groups | The Company’s four investment groups are primarily comprised of the following: Investment Groups Description Annaly Agency Group Invests in Agency mortgage-backed securities (“MBS”) collateralized by residential mortgages which are guaranteed by Fannie Mae, Freddie Mac or Ginnie Mae. Annaly Residential Credit Group Invests primarily in non-Agency residential mortgage assets within securitized products and residential mortgage loan markets. Annaly Commercial Real Estate Group Originates and invests in commercial mortgage loans, securities, and other commercial real estate debt and equity investments. Annaly Middle Market Lending Group Provides financing to private equity-backed middle market businesses across the capital structure. |
SIGNIFICANT ACCOUNTING POLICI_3
SIGNIFICANT ACCOUNTING POLICIES (Tables) | 3 Months Ended |
Mar. 31, 2019 | |
Accounting Policies [Abstract] | |
Recent Accounting Pronouncements | Standard Description Effective Date Effect on the Financial Statements or Other Significant Matters Standards that are not yet adopted 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 certain 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 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. The Company has decided to apply a probability of default methodology to loans that will be impacted by the adoption and is continuing to assess the impact on the consolidated financial statements and determine appropriate internal controls and financial statement disclosures. Further, based on the amended guidance for available-for-sale debt securities, the Company: • will be required to use an allowance approach to recognize credit impairment, with the allowance to be limited to the amount by which the security’s fair value is less than its amortized cost basis; • may not consider the length of time fair value has been below amortized cost, and • may not consider recoveries of fair value after the balance sheet date when assessing whether a credit loss exists. Standard Description Effective Date Effect on the Financial Statements or Other Significant Matters Standards that were adopted ASU 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 The amendments are expected to result in fewer transactions being accounted for as business combinations. ASU 2016-15 Statement of cash flows (Topic 230): Classification of certain cash receipts and cash payments This update provides specific guidance on certain cash flow classification issues, including classification of cash receipts and payments that have aspects of more than one class of cash flows. If cash flows cannot be separated by source or use, the appropriate classification should depend on the activity that is likely to be the predominant source or use of cash flows. January 1, 2018 As a result of adopting this standard, the Company reclassified its cash flows on reverse repurchase and repurchase agreements entered into by Arcola Securities, Inc. (“Arcola”) from operating activities to investing and financing activities, respectively, in the Consolidated Statements of Cash Flows. The Company applied the retrospective transition method, which resulted in reclassification of comparative periods. |
FINANCIAL INSTRUMENTS (Tables)
FINANCIAL INSTRUMENTS (Tables) | 3 Months Ended |
Mar. 31, 2019 | |
Investments, All Other Investments [Abstract] | |
Schedule of Characteristics of Financial Instruments | The following table presents characteristics for certain of the Company’s financial instruments at March 31, 2019 and December 31, 2018 . Financial Instruments (1) Balance Sheet Line Item Type / Form Measurement Basis March 31, 2019 December 31, 2018 Assets (dollars in thousands) Securities Agency mortgage-backed securities (2) Fair value, with unrealized gains (losses) through other comprehensive income $ 102,222,237 $ 89,840,322 Securities Agency mortgage-backed securities (3) Fair value, with unrealized gains (losses) through earnings 871,289 912,673 Securities Credit risk transfer securities Fair value, with unrealized gains (losses) through earnings 607,945 552,097 Securities Non-agency mortgage-backed securities Fair value, with unrealized gains (losses) through earnings 1,116,569 1,161,938 Securities Commercial real estate debt investments - CMBS Fair value, with unrealized gains (losses) through other comprehensive income 96,566 138,242 Securities Commercial real estate debt investments - CMBS (4) Fair value, with unrealized gains (losses) through earnings 78,665 18,516 Total securities 104,993,271 92,623,788 Loans, net Residential mortgage loans Fair value, with unrealized gains (losses) through earnings 1,311,720 1,359,806 Loans, net Commercial real estate debt and preferred equity, held for investment Amortized cost 722,962 1,296,803 Loans, net Commercial loans held for sale, net Lower of amortized cost or fair value 42,035 42,184 Loans, net Corporate debt Amortized cost 1,758,082 1,887,182 Loans, net Corporate debt held for sale, net Lower of amortized cost or fair value 44,525 — Total loans, net 3,879,324 4,585,975 Assets transferred or pledged to securitization vehicles Residential mortgage loans Fair value, with unrealized gains (losses) through earnings 1,425,668 1,094,831 Assets transferred or pledged to securitization vehicles Commercial mortgage loans Fair value, with unrealized gains (losses) through earnings 2,939,632 2,738,369 Total assets transferred or pledged to securitization vehicles 4,365,300 3,833,200 Reverse repurchase agreements Reverse repurchase agreements Amortized cost 523,449 650,040 Liabilities Repurchase agreements Repurchase agreements Amortized cost 88,554,170 81,115,874 Other secured financing Loans Amortized cost 4,144,623 4,183,311 Debt issued by securitization vehicles Securities Fair value, with unrealized gains (losses) through earnings 3,693,766 3,347,062 Mortgages payable Loans Amortized cost 510,386 511,056 (1) Receivable for unsettled trades, Interest receivable, Payable for unsettled trades, Interest payable and Dividends payable are accounted for at cost. (2) Includes Agency pass-through, collateralized mortgage obligation (“CMO”) and multifamily securities. (3) Includes interest-only securities and reverse mortgages. (4) Includes conduit CMBS. |
SECURITIES (Tables)
SECURITIES (Tables) | 3 Months Ended |
Mar. 31, 2019 | |
Investments, Debt and Equity Securities [Abstract] | |
Rollforward of Company's Securities | The following represents a rollforward of the activity for the Company’s securities: March 31, 2019 Residential Securities Commercial Securities Total (dollars in thousands) Beginning balance January 1 $ 92,467,030 $ 156,758 $ 92,623,788 Purchases 23,649,271 98,633 23,747,904 Sales (10,456,466 ) (39,834 ) (10,496,300 ) Principal paydowns (2,343,260 ) (42,859 ) (2,386,119 ) Amortization / accretion (247,447 ) 78 (247,369 ) Fair value adjustment 1,748,912 2,455 1,751,367 Ending balance March 31 $ 104,818,040 $ 175,231 $ 104,993,271 |
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 March 31, 2019 and December 31, 2018 : March 31, 2019 Principal / Remaining Premium Remaining Discount Amortized Unrealized Unrealized Estimated Fair Value Agency (dollars in thousands) Fixed-rate pass-through $ 92,064,633 $ 4,060,260 $ (41,614 ) $ 96,083,279 $ 789,557 $ (1,118,629 ) $ 95,754,207 Adjustable-rate pass-through 4,046,258 204,672 (1,317 ) 4,249,613 7,395 (104,972 ) 4,152,036 CMO 10,699 50 — 10,749 199 — 10,948 Interest-only 5,522,373 1,070,160 — 1,070,160 1,900 (239,282 ) 832,778 Multifamily 2,186,848 18,783 (5,249 ) 2,200,382 104,664 — 2,305,046 Reverse mortgages 34,415 4,031 — 38,446 68 (3 ) 38,511 Total agency securities $ 103,865,226 $ 5,357,956 $ (48,180 ) $ 103,652,629 $ 903,783 $ (1,462,886 ) $ 103,093,526 Residential credit CRT $ 593,949 $ 24,891 $ (16,883 ) $ 601,957 $ 9,488 $ (3,500 ) $ 607,945 Alt-A 215,630 374 (30,467 ) 185,537 12,926 (95 ) 198,368 Prime 312,534 2,205 (21,319 ) 293,420 16,786 (179 ) 310,027 Subprime 393,362 1,480 (61,911 ) 332,931 38,800 (446 ) 371,285 NPL/RPL 3,431 — (22 ) 3,409 27 — 3,436 Prime jumbo (>=2010 vintage) 220,289 1,070 (4,626 ) 216,733 3,004 (915 ) 218,822 Prime jumbo (>=2010 vintage) Interest-only 837,030 12,445 — 12,445 2,517 (331 ) 14,631 Total residential credit securities $ 2,576,225 $ 42,465 $ (135,228 ) $ 1,646,432 $ 83,548 $ (5,466 ) $ 1,724,514 Total residential securities $ 106,441,451 $ 5,400,421 $ (183,408 ) $ 105,299,061 $ 987,331 $ (1,468,352 ) $ 104,818,040 Commercial Commercial securities $ 180,992 $ 497 $ (9,513 ) $ 171,976 $ 3,546 $ (291 ) $ 175,231 Total securities $ 106,622,443 $ 5,400,918 $ (192,921 ) $ 105,471,037 $ 990,877 $ (1,468,643 ) $ 104,993,271 December 31, 2018 Principal / Remaining Premium Remaining Discount Amortized Unrealized Unrealized Estimated Fair Value Agency (dollars in thousands) Fixed-rate pass-through $ 81,144,650 $ 3,810,808 $ (36,987 ) $ 84,918,471 $ 264,443 $ (2,130,362 ) $ 83,052,552 Adjustable-rate pass-through 4,835,983 247,981 (1,337 ) 5,082,627 7,127 (151,770 ) 4,937,984 CMO 11,113 53 — 11,166 55 — 11,221 Interest-only 6,007,008 1,179,855 — 1,179,855 1,446 (307,412 ) 873,889 Multifamily 1,802,292 12,329 (5,332 ) 1,809,289 32,753 (3,477 ) 1,838,565 Reverse mortgages 34,650 4,175 — 38,825 69 (110 ) 38,784 Total agency investments $ 93,835,696 $ 5,255,201 $ (43,656 ) $ 93,040,233 $ 305,893 $ (2,593,131 ) $ 90,752,995 Residential credit CRT $ 542,374 $ 28,444 $ (15,466 ) $ 555,352 $ 7,879 $ (11,134 ) $ 552,097 Alt-A 202,889 349 (31,238 ) 172,000 10,559 (198 ) 182,361 Prime 353,108 2,040 (23,153 ) 331,995 12,821 (830 ) 343,986 Subprime 423,166 1,776 (65,005 ) 359,937 35,278 (594 ) 394,621 NPL/RPL 3,431 — (30 ) 3,401 37 — 3,438 Prime jumbo (>=2010 vintage) 225,567 1,087 (4,691 ) 221,963 1,439 (2,744 ) 220,658 Prime jumbo (>=2010 vintage) Interest-only 860,085 12,820 — 12,820 4,054 — 16,874 Total residential credit securities $ 2,610,620 $ 46,516 $ (139,583 ) $ 1,657,468 $ 72,067 $ (15,500 ) $ 1,714,035 Total residential securities $ 96,446,316 $ 5,301,717 $ (183,239 ) $ 94,697,701 $ 377,960 $ (2,608,631 ) $ 92,467,030 Commercial Commercial securities $ 155,921 $ 9,778 $ (9,740 ) $ 155,959 $ 1,659 $ (860 ) $ 156,758 Total securities $ 96,602,237 $ 5,311,495 $ (192,979 ) $ 94,853,660 $ 379,619 $ (2,609,491 ) $ 92,623,788 |
Types of Agency Mortgage Backed Securities | The following table presents the Company’s Agency mortgage-backed securities portfolio by issuing Agency concentration at March 31, 2019 and December 31, 2018 : March 31, 2019 December 31, 2018 Investment Type (dollars in thousands) Fannie Mae $ 66,385,692 $ 60,270,432 Freddie Mac 36,564,254 30,397,556 Ginnie Mae 143,580 85,007 Total $ 103,093,526 $ 90,752,995 |
Schedule of Residential Investment Securities by Estimated Weighted Average Life Classification | The following table summarizes the Company’s Residential Securities at March 31, 2019 and December 31, 2018 , according to their estimated weighted average life classifications: March 31, 2019 December 31, 2018 Estimated Fair Value Amortized Estimated Fair Value Amortized Estimated weighted average life (dollars in thousands) Less than one year $ 13,863 $ 14,032 $ 13,447 $ 13,670 Greater than one year through five years 16,081,685 16,091,945 11,710,172 11,928,973 Greater than five years through ten years 87,693,108 88,181,059 80,202,479 82,218,464 Greater than ten years 1,029,384 1,012,025 540,932 536,594 Total $ 104,818,040 $ 105,299,061 $ 92,467,030 $ 94,697,701 |
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, 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 March 31, 2019 and December 31, 2018 . March 31, 2019 December 31, 2018 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 $ 12,188,284 $ (197,039 ) 89 $ 22,418,036 $ (432,352 ) 713 12 Months or more 42,463,903 (1,026,562 ) 1,513 43,134,843 (1,853,257 ) 1,476 Total $ 54,652,187 $ (1,223,601 ) 1,602 $ 65,552,879 $ (2,285,609 ) 2,189 (1) Excludes interest-only mortgage-backed securities and reverse mortgages. |
LOANS (Tables)
LOANS (Tables) | 3 Months Ended |
Mar. 31, 2019 | |
Mortgage Loans on Real Estate [Abstract] | |
Loan Investment Activity | The following table presents the activity of the Company’s loan investments, including loans held for sale, for the three months ended March 31, 2019 : Residential Commercial Corporate Total (dollars in thousands) Beginning balance January 1, 2019 $ 1,359,806 $ 1,338,987 $ 1,887,182 $ 4,585,975 Purchases 425,488 165,258 125,351 716,097 Sales and transfers (1) (444,963 ) (733,922 ) (179,112 ) (1,357,997 ) Principal Payments (32,676 ) (534 ) (33,545 ) (66,755 ) Gains / (losses) 4,460 (5,703 ) — (1,243 ) Amortization / accretion (395 ) 911 2,731 3,247 Ending balance March 31, 2019 $ 1,311,720 $ 764,997 $ 1,802,607 $ 3,879,324 (1) Includes securitizations, syndications and transfers to securitization vehicles. |
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, including loans transferred or pledged to securitization vehicles, at March 31, 2019 and December 31, 2018 : March 31, 2019 December 31, 2018 (dollars in thousands) Fair value $ 2,737,388 $ 2,454,637 Unpaid principal balance $ 2,686,557 $ 2,425,657 |
Summary of Comprehensive Income (Loss) | and 2018 for these investments: For the Three Months Ended March 31, 2019 March 31, 2018 (dollars in thousands) Interest income $ 29,991 $ 13,495 Net gains (losses) on disposal of investments (5,223 ) (1,758 ) Net unrealized gains (losses) on instruments measured at fair value through earnings 17,821 (9,864 ) Total included in net income (loss) $ 42,589 $ 1,873 |
Geographic Concentrations Based on Unpaid Principal Balances | The following table provides the geographic concentrations based on the unpaid principal balances at March 31, 2019 and December 31, 2018 for the residential mortgage loans, including loans transferred or pledged to securitization vehicles: Geographic Concentrations of Residential Mortgage Loans March 31, 2019 December 31, 2018 Property location % of Balance Property location % of Balance California 54.2% California 53.7% Florida 6.7% Florida 7.1% New York 6.1% New York 6.6% All other (none individually greater than 5%) 33.0% All other (none individually greater than 5%) 32.6% 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, excluding the credit facility VIEs, OBX Trusts and CLO, at March 31, 2019 are as follows: Securitized Loans at Fair Value Geographic Concentration of Credit Risk Commercial Trusts Residential Trusts Property Location Principal Balance % of Balance Property Location Principal Balance % of Balance (dollars in thousands) Texas $ 546,190 17.9 % California $ 45,023 44.5 % California 461,478 15.1 % Texas 13,261 13.1 % Maryland 407,266 13.4 % Washington 7,466 7.4 % Virginia 349,921 11.5 % Illinois 7,197 7.1 % Pennsylvania 280,201 9.2 % Florida 5,165 5.1 % Other (1) 1,005,457 32.9 % Other (1) 23,155 22.8 % Total $ 3,050,513 100.0 % $ 101,267 100.0 % (1) No individual state greater than 5% . |
Residential Mortgage Loans | and December 31, 2018 : March 31, 2019 December 31, 2018 Portfolio Range Portfolio Weighted Portfolio Range Portfolio Weighted Average (dollars in thousands) Unpaid principal balance $1 - $3,448 $457 $0 - $3,500 $457 Interest rate 2.00% - 9.25% 4.85% 2.00% - 7.75% 4.72% Maturity 1/1/2028 - 1/1/2059 6/24/2046 1/1/2028 - 11/1/2058 1/11/2046 FICO score at loan origination 505 - 823 752 505 - 823 752 Loan-to-value ratio at loan origination 8% - 111% 68% 8% - 111% 68% |
Commercial Real Estate Investments Held for Investment | At March 31, 2019 and December 31, 2018 , commercial real estate investments held for investment were comprised of the following: March 31, 2019 December 31, 2018 Outstanding Principal Carrying (1) Percentage (2) Outstanding Principal Carrying (1) Percentage (2) (dollars in thousands) Senior mortgages $ 405,968 $ 403,497 27.6 % $ 988,248 $ 981,202 75.6 % Senior securitized mortgages (3) 739,058 733,864 50.1 % — — — % Mezzanine loans 329,262 319,465 22.3 % 319,663 315,601 24.4 % Total $ 1,474,288 $ 1,456,826 100.0 % $ 1,307,911 $ 1,296,803 100.0 % (1) Carrying value includes unamortized origination fees of $8.3 million and $7.6 million at March 31, 2019 and December 31, 2018 , respectively. (2) Based on outstanding principal. (3) Assets of consolidated VIEs. The following tables represent a rollforward of the activity for the Company’s commercial real estate investments held for investment at March 31, 2019 and December 31, 2018 : March 31, 2019 Senior Senior (1) Mezzanine Total (dollars in thousands) Net carrying value (January 1, 2019) $ 981,202 $ — $ 315,601 $ 1,296,803 Originations & advances (principal) 148,341 739,058 18,274 905,673 Principal payments (385 ) — — (385 ) Transfers (730,235 ) — (8,675 ) (738,910 ) Net (increase) decrease in origination fees 3,815 (5,488 ) (184 ) (1,857 ) Amortization of net origination fees 759 294 152 1,205 Allowance for loan losses — — (5,703 ) (5,703 ) Net carrying value (March 31, 2019) $ 403,497 $ 733,864 $ 319,465 $ 1,456,826 December 31, 2018 Senior Mezzanine Preferred Total (dollars in thousands) Net carrying value (January 1, 2018) $ 625,900 $ 394,442 $ 8,985 $ 1,029,327 Originations & advances (principal) 575,953 52,224 — 628,177 Principal payments (216,849 ) (127,575 ) (9,000 ) (353,424 ) Net (increase) decrease in origination fees (6,624 ) (370 ) — (6,994 ) Amortization of net origination fees 2,822 376 15 3,213 Allowance for loan losses — (3,496 ) — (3,496 ) Net carrying value (December 31, 2018) $ 981,202 $ 315,601 $ — $ 1,296,803 The Company’s residential mortgage loans are primarily comprised of performing adjustable-rate and fixed-rate whole loans. Additionally, 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 because it also has certain powers and rights to direct the activities of such trusts. Please refer to the “Variable Interest Entities” Note for further information related to the Company’s consolidated Residential Mortgage Loan Trusts. |
Schedule of Commercial Mortgage Loans Held for Investment | The following table provides the internal loan risk ratings of commercial real estate investments held for investment as of March 31, 2019 and December 31, 2018 . March 31, 2019 Internal Ratings Investment Type Outstanding Principal Percentage of CRE Debt and Preferred Equity Portfolio Performing Performing - Closely Monitored Performing - Special Mention Substandard (1) Doubtful (2) Loss Total (dollars in thousands) Senior mortgages $ 405,968 27.6 % $ 276,479 $ 65,099 $ — $ 64,390 $ — $ — $ 405,968 Senior securitized mortgages (3) 739,058 50.1 % 466,258 217,800 55,000 — — — 739,058 Mezzanine loans 329,262 22.3 % 139,721 49,538 96,400 — 43,603 — 329,262 Total $ 1,474,288 100.0 % $ 882,458 $ 332,437 $ 151,400 $ 64,390 $ 43,603 — $ 1,474,288 December 31, 2018 Internal Ratings Investment Type Outstanding Principal Percentage of CRE Debt and Preferred Equity Portfolio Performing Performing - Closely Monitored Performing - Special Mention Substandard (1) Doubtful (2) Loss Total (dollars in thousands) Senior mortgages $ 988,248 75.6 % $ 653,066 $ 215,792 $ 55,000 $ 64,390 $ — $ — $ 988,248 Mezzanine loans 319,663 24.4 % 140,776 38,884 96,400 36,603 7,000 — 319,663 Total $ 1,307,911 100.0 % $ 793,842 $ 254,676 $ 151,400 $ 100,993 $ 7,000 $ — $ 1,307,911 (1) The Company rated one loan as of March 31, 2019 and two loans as of December 31, 2018 as Substandard. The Company evaluated whether an impairment exists and determined in each case that, based on quantitative and qualitative factors, the Company expects repayment of contractual amounts due. (2) The Company rated two loans as Doubtful and evaluated for impairment for which a loan loss allowance of $5.7 million was recognized for the three months ended March 31, 2019. The Company rated one loan as Doubtful and evaluated for impairment for which a loan loss allowance of $3.5 million was recognized for the three months ended December 31, 2018. (3) Assets of consolidated VIEs. |
Schedule of Industry and Rate Attributes of Corporate Loans [Table Text Block] | The Company invests in corporate loans through its Annaly Middle Market Lending Group. The industry and rate attributes of the portfolio at March 31, 2019 and December 31, 2018 are as follows: Industry Dispersion March 31, 2019 December 31, 2018 Fixed Rate Floating Rate Total Fixed Rate Floating Rate Total (dollars in thousands) Aircraft and parts $ — $ 41,394 $ 41,394 $ — $ 41,342 $ 41,342 Arrangement of transportation of freight & cargo — 21,715 21,715 — 21,632 21,632 Coating, engraving and allied services — 54,532 54,532 — 57,223 57,223 Computer programming, data processing & other computer related services — 282,060 282,060 — 242,185 242,185 Drugs — 35,926 35,926 — 35,882 35,882 Electrical work — 41,598 41,598 — 41,760 41,760 Electronic components & accessories — 24,083 24,083 — 24,059 24,059 Engineering, architectural & surveying — 109,823 109,823 — 80,748 80,748 Grocery stores — 23,394 23,394 — 23,431 23,431 Insurance agents, brokers and services — 48,661 48,661 — 48,942 48,942 Mailing, reproduction, commercial art and photography, and stenographic — 14,819 14,819 — 14,843 14,843 Management and public relations services — 312,807 312,807 — 487,046 487,046 Medical and dental laboratories — 26,811 26,811 — 26,858 26,858 Metal cans & shipping containers — 118,385 118,385 — 118,248 118,248 Miscellaneous business services — 19,581 19,581 — 19,622 19,622 Miscellaneous equipment rental and leasing — 49,674 49,674 — 49,552 49,552 Miscellaneous health and allied services, not elsewhere classified — 69,217 69,217 — 56,003 56,003 Miscellaneous plastic products — 10,037 10,037 — 9,953 9,953 Motor vehicles and motor vehicle equipment — 16,417 16,417 — 16,563 16,563 Motor vehicles and motor vehicle parts and supplies — 28,984 28,984 — 29,046 29,046 Nonferrous foundries (castings) — 12,933 12,933 — 12,948 12,948 Offices and clinics of doctors of medicine — 97,841 97,841 — 97,877 97,877 Offices of clinics and other health practitioners — 21,051 21,051 — 21,100 21,100 Public warehousing and storage — 97,245 97,245 — 84,278 84,278 Research, development and testing services — 45,676 45,676 — 33,381 33,381 Schools and educational services, not elsewhere classified — 19,809 19,809 — 19,805 19,805 Services allied with the exchange of securities — — — — 14,877 14,877 Surgical, medical, and dental instruments and supplies — 96,768 96,768 — 96,607 96,607 Telephone communications — 61,366 61,366 — 61,371 61,371 Total $ — $ 1,802,607 $ 1,802,607 $ — $ 1,887,182 $ 1,887,182 |
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 March 31, 2019 and December 31, 2018 . March 31, 2019 December 31, 2018 (dollars in thousands) First lien loans $ 1,232,524 $ 1,346,356 Second lien loans 570,083 540,826 Total $ 1,802,607 $ 1,887,182 |
MORTGAGE SERVICING RIGHTS (Tabl
MORTGAGE SERVICING RIGHTS (Tables) | 3 Months Ended |
Mar. 31, 2019 | |
Transfers and Servicing [Abstract] | |
Presentation of Activity Related to MSR | The following table presents activity related to MSRs for three months ended March 31, 2019 and 2018 : March 31, 2019 March 31, 2018 (dollars in thousands) Fair value, beginning of period $ 557,813 $ 580,860 Change in fair value due to Changes in valuation inputs or assumptions (1) (43,089 ) 36,674 Other changes, including realization of expected cash flows (13,979 ) (21,156 ) Fair value, end of period $ 500,745 $ 596,378 (1) Principally represents changes in discount rates and prepayment speed inputs used in valuation model, primarily due to changes in interest rates. |
VARIABLE INTEREST ENTITIES (Tab
VARIABLE INTEREST ENTITIES (Tables) | 3 Months Ended |
Mar. 31, 2019 | |
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, excluding the CLO, credit facility VIEs and OBX Trusts as the transfers of loans did not meet the criteria to be accounted for as sales, that are reflected in the Company’s Consolidated Statements of Financial Condition at March 31, 2019 and December 31, 2018 are as follows: March 31, 2019 Commercial Trusts Residential Trusts MSR Silo Assets (dollars in thousands) Cash and cash equivalents $ — $ — $ 40,714 Loans — — 101,344 Assets transferred or pledged to securitization vehicles 2,205,768 101,994 — Mortgage servicing rights — — 500,744 Interest receivable 11,269 540 — Derivative assets — — 15 Other assets — — 27,290 Total assets $ 2,217,037 $ 102,534 $ 670,107 Liabilities Debt issued by securitization vehicles (non-recourse) $ 2,016,202 $ 82,220 $ — Other secured financing — — 57,667 Payable for unsettled trades — — 15,924 Interest payable 4,334 196 — Other liabilities — 179 1,736 Total liabilities $ 2,020,536 $ 82,595 $ 75,327 December 31, 2018 Commercial Trusts Residential Trusts MSR Silo Assets (dollars in thousands) Cash and cash equivalents $ — $ — $ 30,444 Loans — — 97,464 Assets transferred or pledged to securitization vehicles 2,738,369 105,003 — Mortgage servicing rights — — 557,813 Interest receivable 11,451 539 — Other assets — 4 28,756 Total assets $ 2,749,820 $ 105,546 $ 714,477 Liabilities Debt issued by securitization vehicles (non-recourse) $ 2,509,264 $ 71,324 $ — Other secured financing — — 68,385 Interest payable 4,594 238 — Other liabilities — — 1,975 Total liabilities $ 2,513,858 $ 71,562 $ 70,360 |
Geographic Concentrations Based on Unpaid Principal Balances | The following table provides the geographic concentrations based on the unpaid principal balances at March 31, 2019 and December 31, 2018 for the residential mortgage loans, including loans transferred or pledged to securitization vehicles: Geographic Concentrations of Residential Mortgage Loans March 31, 2019 December 31, 2018 Property location % of Balance Property location % of Balance California 54.2% California 53.7% Florida 6.7% Florida 7.1% New York 6.1% New York 6.6% All other (none individually greater than 5%) 33.0% All other (none individually greater than 5%) 32.6% 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, excluding the credit facility VIEs, OBX Trusts and CLO, at March 31, 2019 are as follows: Securitized Loans at Fair Value Geographic Concentration of Credit Risk Commercial Trusts Residential Trusts Property Location Principal Balance % of Balance Property Location Principal Balance % of Balance (dollars in thousands) Texas $ 546,190 17.9 % California $ 45,023 44.5 % California 461,478 15.1 % Texas 13,261 13.1 % Maryland 407,266 13.4 % Washington 7,466 7.4 % Virginia 349,921 11.5 % Illinois 7,197 7.1 % Pennsylvania 280,201 9.2 % Florida 5,165 5.1 % Other (1) 1,005,457 32.9 % Other (1) 23,155 22.8 % Total $ 3,050,513 100.0 % $ 101,267 100.0 % (1) No individual state greater than 5% . |
REAL ESTATE (Tables)
REAL ESTATE (Tables) | 3 Months Ended |
Mar. 31, 2019 | |
Real Estate Properties Base Purchase Price [Abstract] | |
Schedule of Useful Lives of Investments in Commercial Real Estate | Real estate investments are depreciated using the straight-line method over the estimated useful lives of the assets, summarized as follows: Category Term Building and building improvements 1 - 44 years Furniture and fixtures 1 - 4 years |
Summary of Real Estate | March 31, 2019 December 31, 2018 Real estate, net (dollars in thousands) Land $ 128,114 $ 128,742 Buildings and improvements 578,067 581,320 Furniture, fixtures and equipment 12,333 11,602 Subtotal 718,514 721,664 Less: accumulated depreciation (72,008 ) (67,026 ) Total real estate held for investment, at amortized cost, net 646,506 654,638 Equity in unconsolidated joint ventures 87,733 84,835 Total real estate, net $ 734,239 $ 739,473 |
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 March 31, 2019 for consolidated investments in real estate are as follows: March 31, 2019 (dollars in thousands) 2019 (remaining) $ 38,061 2020 45,616 2021 44,314 2022 40,459 2023 37,635 Later years 208,841 Total $ 414,926 |
DERIVATIVE INSTRUMENTS (Tables)
DERIVATIVE INSTRUMENTS (Tables) | 3 Months Ended |
Mar. 31, 2019 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Summarizes Fair Value Information about Derivative Assets Liabilities | March 31, 2019 and December 31, 2018 : Derivatives Instruments March 31, 2019 December 31, 2018 Assets (dollars in thousands) Interest rate swaps $ 26,020 $ 48,114 Interest rate swaptions 8,250 7,216 TBA derivatives 106,960 141,688 Futures contracts 357 — Purchase commitments 2,434 844 Credit derivatives (1) 4,157 2,641 $ 148,178 $ 200,503 Liabilities Interest rate swaps $ 509,485 $ 420,365 TBA derivatives 5,212 — Futures contracts 260,354 462,309 Purchase commitments 478 33 Credit derivatives (1) 451 7,043 $ 775,980 $ 889,750 (1) The notional amount of the credit derivatives in which the Company purchased protection was $45.0 million and $30.0 million at March 31, 2019 and December 31, 2018 , respectively. The maximum potential amount of future payments is the notional amount of credit derivatives in which the Company sold protection of $346.0 million and $451.0 million at March 31, 2019 and December 31, 2018 , respectively, plus any coupon shortfalls on the underlying tranche. The credit derivative tranches referencing the basket of bonds had a range of ratings between AAA and BBB-. |
Summary of Certain Characteristics of Derivatives | The following table summarizes certain characteristics of the Company’s interest rate swaps at March 31, 2019 and December 31, 2018 : March 31, 2019 Maturity Current Notional (1) Weighted Average Pay Rate Weighted Average Receive Rate Weighted Average Years to Maturity (dollars in thousands) 0 - 3 years $ 32,201,400 1.93 % 2.66 % 1.46 3 - 6 years 13,567,000 2.12 % 2.63 % 4.22 6 - 10 years 18,112,000 2.52 % 2.70 % 8.94 Greater than 10 years 3,578,000 3.59 % 2.58 % 17.81 Total / Weighted average $ 67,458,400 2.20 % 2.66 % 4.77 December 31, 2018 Maturity Current Notional (1) Weighted Average Weighted Average Receive Rate Weighted Average Years to Maturity (dollars in thousands) 0 - 3 years $ 31,900,200 1.84 % 2.73 % 1.21 3 - 6 years 16,603,200 2.29 % 2.70 % 4.30 6 - 10 years 18,060,900 2.57 % 2.56 % 8.62 Greater than 10 years 3,901,400 3.63 % 2.59 % 17.33 Total / Weighted average $ 70,465,700 2.17 % 2.68 % 4.26 (1) There were no forward starting swaps at March 31, 2019 and December 31, 2018 . The following table presents swaptions outstanding at March 31, 2019 and December 31, 2018 . March 31, 2019 Current Underlying Notional Weighted Average Underlying Pay Rate Weighted Average Underlying Receive Rate Weighted Average Underlying Years to Maturity Weighted Average Months to Expiration (dollars in thousands) Long $2,800,000 3.12% 3M LIBOR 10.33 6.70 December 31, 2018 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 $4,075,000 3.30% 3M LIBOR 10.08 3.06 The following table summarizes certain characteristics of the Company’s TBA derivatives at March 31, 2019 and December 31, 2018 : March 31, 2019 Purchase and sale contracts for derivative TBAs Notional Implied Cost Basis Implied Market Value Net Carrying Value (dollars in thousands) Purchase contracts $ 15,526,000 $ 15,779,271 $ 15,881,019 101,748 December 31, 2018 Purchase and sale contracts for derivative TBAs Notional Implied Cost Basis Implied Market Value Net Carrying Value (dollars in thousands) Purchase contracts $ 13,803,000 $ 13,823,109 $ 13,964,797 141,688 The following table summarizes certain characteristics of the Company’s futures derivatives at March 31, 2019 and December 31, 2018 : March 31, 2019 Notional - Long Notional - Short Weighted Average (dollars in thousands) 2-year swap equivalent Eurodollar contracts $ — $ (2,500,000 ) 2.00 U.S. Treasury futures - 2 year — (2,872,400 ) 1.93 U.S. Treasury futures - 5 year — (6,469,400 ) 4.39 U.S. Treasury futures - 10 year and greater 109,000 (9,589,900 ) 6.84 Total $ 109,000 $ (21,431,700 ) 4.89 December 31, 2018 Notional - Long Notional - Short Weighted Average (dollars in thousands) U.S. Treasury futures - 2 year — (1,166,000 ) 1.97 U.S. Treasury futures - 5 year — (6,359,400 ) 4.39 U.S. Treasury futures - 10 year and greater — (11,152,600 ) 7.10 Total $ — $ (18,678,000 ) 5.86 |
Offsetting of Derivative Assets and Liabilities | March 31, 2019 and December 31, 2018 , respectively. March 31, 2019 Amounts Eligible for Offset Gross Amounts Financial Instruments Cash Collateral Net Amounts Assets (dollars in thousands) Interest rate swaps, at fair value $ 26,020 $ (14,498 ) $ — $ 11,522 Interest rate swaptions, at fair value 8,250 — — 8,250 TBA derivatives, at fair value 106,960 (5,212 ) — 101,748 Futures contracts, at fair value 357 (33 ) — 324 Purchase commitments 2,434 — — 2,434 Credit derivatives 4,157 (451 ) — 3,706 Liabilities Interest rate swaps, at fair value $ 509,485 $ (14,498 ) $ (41,756 ) $ 453,231 TBA derivatives, at fair value 5,212 (5,212 ) — — Futures contracts, at fair value 260,354 (33 ) (260,321 ) — Purchase commitments 478 — — 478 Credit derivatives 451 (451 ) — — December 31, 2018 Amounts Eligible for Offset Gross Amounts Financial Instruments Cash Collateral Net Amounts Assets (dollars in thousands) Interest rate swaps, at fair value $ 48,114 $ (29,308 ) $ — $ 18,806 Interest rate swaptions, at fair value 7,216 — — 7,216 TBA derivatives, at fair value 141,688 — — 141,688 Purchase commitments 844 — — 844 Credit derivatives 2,641 (2,641 ) — — Liabilities Interest rate swaps, at fair value $ 420,365 $ (29,308 ) $ (11,856 ) $ 379,201 Futures contracts, at fair value 462,309 — (462,309 ) — Purchase commitments 33 — — 33 Credit derivatives 7,043 (2,641 ) (4,402 ) — |
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) Net Interest Component of Interest Rate Swaps Realized Gains (Losses) on Termination of Interest Rate Swaps Unrealized Gains (Losses) on Interest Rate Swaps For the three months ended (dollars in thousands) March 31, 2019 $ 134,035 $ (588,256 ) $ (390,556 ) March 31, 2018 $ (48,160 ) $ 834 $ 977,285 |
Effect of Other Derivative Contracts on the Consolidated Statements of Operations and Comprehensive Income (Loss) | The effect of other derivative contracts on the Company’s Consolidated Statements of Comprehensive Income (Loss) is as follows: Three Months Ended March 31, 2019 Derivative Instruments Realized Gain (Loss) Unrealized Gain (Loss) Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives (dollars in thousands) Net TBA derivatives $ 213,725 $ (39,940 ) $ 173,785 Net interest rate swaptions (29,992 ) 19,684 (10,308 ) Futures (491,741 ) 202,312 (289,429 ) Purchase commitments — 1,145 1,145 Credit derivatives 2,302 7,346 9,648 Total $ (115,159 ) Three Months Ended March 31, 2018 Derivative Instruments Realized Gain (Loss) Unrealized Gain (Loss) Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives (dollars in thousands) Net TBA derivatives $ (277,901 ) $ 17,917 $ (259,984 ) Net interest rate swaptions (21,434 ) 67,221 45,787 Futures 495,013 (328,512 ) 166,501 Purchase commitments — 366 366 Credit derivatives 1,513 (1,328 ) 185 Total $ (47,145 ) |
FAIR VALUE MEASUREMENTS (Tables
FAIR VALUE MEASUREMENTS (Tables) | 3 Months Ended |
Mar. 31, 2019 | |
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. March 31, 2019 Level 1 Level 2 Level 3 Total Assets (dollars in thousands) Securities Agency mortgage-backed securities $ — $ 103,093,526 $ — $ 103,093,526 Credit risk transfer securities — 607,945 — 607,945 Non-Agency mortgage-backed securities — 1,116,569 — 1,116,569 Commercial mortgage-backed securities — 175,231 — 175,231 Loans Residential mortgage loans — 1,311,720 — 1,311,720 Mortgage servicing rights — — 500,745 500,745 Assets transferred or pledged to securitization vehicles — 4,365,300 — 4,365,300 Derivative assets Interest rate swaps — 26,020 — 26,020 Other derivatives 357 121,801 — 122,158 Total assets $ 357 $ 110,818,112 $ 500,745 $ 111,319,214 Liabilities Debt issued by securitization vehicles — 3,693,766 — 3,693,766 Derivative liabilities Interest rate swaps — 509,485 — 509,485 Other derivatives 260,354 6,141 — 266,495 Total liabilities $ 260,354 $ 4,209,392 $ — $ 4,469,746 December 31, 2018 Level 1 Level 2 Level 3 Total Assets (dollars in thousands) Securities Agency mortgage-backed securities $ — $ 90,752,995 $ — $ 90,752,995 Credit risk transfer securities — 552,097 — 552,097 Non-Agency mortgage-backed securities — 1,161,938 — 1,161,938 Commercial mortgage-backed securities — 156,758 — 156,758 Loans Residential mortgage loans — 1,359,806 — 1,359,806 Mortgage servicing rights — — 557,813 557,813 Assets transferred or pledged to securitization vehicles — 3,833,200 — 3,833,200 Derivative assets Interest rate swaps — 48,114 — 48,114 Other derivatives — 152,389 — 152,389 Total assets $ — $ 98,017,297 $ 557,813 $ 98,575,110 Liabilities Debt issued by securitization vehicles $ — $ 3,347,062 $ — $ 3,347,062 Derivative liabilities Interest rate swaps — 420,365 — 420,365 Other derivatives 462,309 7,076 — 469,385 Total liabilities $ 462,309 $ 3,774,503 $ — $ 4,236,812 |
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. March 31, 2019 December 31, 2018 Range Range Valuation Technique Unobservable Input (1) (Weighted Average ) Unobservable Input (1) (Weighted Average ) Discounted cash flow Discount rate 9.0% -12.0% (9.4%) Discount rate 9.0% -12.0% (9.4%) Prepayment rate 5.3% - 23.6% (11.5%) Prepayment rate 4.7% - 13.9% (8.0%) Delinquency rate 0.0% - 5.0% (2.3%) Delinquency rate 0.0% - 5.0% (2.3%) Cost to service $82 - $139 ($110) Cost to service $82 - $138 ($110) (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 that are not carried at fair value at March 31, 2019 and December 31, 2018 . March 31, 2019 December 31, 2018 Level in Carrying Fair Carrying Fair Financial assets (dollars in thousands) Loans Commercial real estate debt and preferred equity, held for investment 3 $ 722,962 $ 726,687 $ 1,296,803 $ 1,303,487 Commercial loans held for sale, net 3 42,035 42,035 42,184 42,184 Corporate debt 2 1,758,082 1,742,320 1,887,182 1,863,524 Corporate debt held for sale, net 2 44,525 44,525 — — Financial liabilities Repurchase agreements 1,2 $ 88,554,170 $ 88,554,170 $ 81,115,874 $ 81,115,874 Other secured financing 1,2 4,144,623 4,144,491 4,183,311 4,183,805 Mortgage payable 3 510,386 519,748 511,056 507,770 |
GOODWILL AND INTANGIBLE ASSETS
GOODWILL AND INTANGIBLE ASSETS (Tables) | 3 Months Ended |
Mar. 31, 2019 | |
Goodwill and Intangible Assets Disclosure [Abstract] | |
Schedule of Finite-Lived Intangible Assets | The following table presents the activity of finite lived intangible assets for the three months ended March 31, 2019 . Intangible Assets, net (dollars in thousands) Balance at December 31, 2018 $ 29,039 Intangible assets divested (151 ) Less: amortization expense (2,152 ) Balance at March 31, 2019 $ 26,736 |
SECURED FINANCING (Tables)
SECURED FINANCING (Tables) | 3 Months Ended |
Mar. 31, 2019 | |
Debt Disclosure [Abstract] | |
Schedule of Repurchase Agreements Remaining Maturity ,Collateral Types and Weighted Average Rates | At March 31, 2019 and December 31, 2018 , the repurchase agreements had the following remaining maturities, collateral types and weighted average rates: March 31, 2019 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 $ 19,025,744 $ — $ — $ — $ 57,538 $ 19,083,282 3.41 % 2 to 29 days 18,313,263 283,222 438,446 — 72,910 19,107,841 2.64 % 30 to 59 days 5,190,135 — — — 30,501 5,220,636 2.68 % 60 to 89 days 20,414,594 57,204 245,553 — 45,049 20,762,400 2.69 % 90 to 119 days 1,867,443 — — — — 1,867,443 2.70 % Over 120 days (1) 22,128,141 — 113,088 200,040 71,299 22,512,568 2.77 % Total $ 86,939,320 $ 340,426 $ 797,087 $ 200,040 $ 277,297 $ 88,554,170 2.86 % December 31, 2018 Agency Mortgage-Backed Securities CRTs Non-Agency Mortgage-Backed Securities Commercial Commercial Mortgage-Backed Securities U.S. Treasury Securities Total Repurchase Agreements Weighted Average Rate (dollars in thousands) 1 day $ — $ — $ — $ — $ — $ — $ — — % 2 to 29 days 30,661,001 284,906 353,429 — 72,840 640,465 32,012,641 3.50 % 30 to 59 days 8,164,165 — — — — — 8,164,165 2.33 % 60 to 89 days 18,326,399 88,630 251,441 — 23,302 — 18,689,772 2.62 % 90 to 119 days 10,067,183 — — — — — 10,067,183 2.54 % Over 120 days (1) 11,263,625 — 116,434 693,939 108,115 — 12,182,113 2.92 % Total $ 78,482,373 $ 373,536 $ 721,304 $ 693,939 $ 204,257 $ 640,465 $ 81,115,874 2.97 % (1) Less than 1% and approximately 1% of the total repurchase agreements had a remaining maturity over 1 year at March 31, 2019 and December 31, 2018 , 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 March 31, 2019 and December 31, 2018 . Refer to the “Derivative Instruments” Note for information related to the effect of netting arrangements on the Company’s derivative instruments. March 31, 2019 December 31, 2018 Reverse Repurchase Agreements Repurchase Agreements Reverse Repurchase Agreements Repurchase Agreements (dollars in thousands) Gross amounts $ 2,123,449 $ 90,154,170 $ 650,040 $ 81,115,874 Amounts offset (1,600,000 ) (1,600,000 ) — — Netted amounts $ 523,449 $ 88,554,170 $ 650,040 $ 81,115,874 |
Schedule of Mortgage Notes Payable | Mortgage loans payable at March 31, 2019 and December 31, 2018 , were as follows: March 31, 2019 Property Mortgage Mortgage Interest Rate Fixed/Floating Maturity Date Priority (dollars in thousands) Joint Ventures (fixed) $ 316,380 $ 318,664 4.03% - 4.96% Fixed 2024 - 2029 First liens Joint Ventures (floating) 16,125 16,125 L+2.75% Floating 3/14/2020 First liens Virginia 95,364 97,187 2.34% - 4.53% Fixed 2019 - 2053 First liens Texas 32,060 33,597 3.28% Fixed 1/1/2048 and 1/1/2053 First liens Utah (floating) 9,744 9,706 L+3.50% Floating 1/31/2020 First liens Utah (fixed) 7,156 7,175 3.69% Fixed 6/1/2053 First liens Minnesota 13,390 13,425 3.69% Fixed 6/1/2053 First liens Tennessee 12,303 12,350 4.01% Fixed 9/6/2019 First liens Wisconsin 7,864 7,884 3.69% Fixed 6/1/2053 First liens Total $ 510,386 $ 516,113 December 31, 2018 Property Mortgage Mortgage Interest Rate Fixed/Floating Maturity Date Priority (dollars in thousands) Joint Ventures (fixed) $ 316,275 $ 318,664 4.03% - 4.96% Fixed 2024 - 2029 First liens Joint Ventures (floating) 16,125 16,125 L+2.75% Floating 3/14/2020 First liens Virginia 95,827 97,667 2.75% - 4.96% Fixed 2019 - 2053 First liens Texas 32,189 33,735 3.28% Fixed 1/1/2053 First liens Utah (floating) 9,703 9,706 L+3.50% Floating 1/31/2019 First liens Utah (fixed) 7,279 7,201 3.69% Fixed 6/1/2053 First liens Minnesota 13,438 13,473 3.69% Fixed 6/1/2053 First liens Tennessee 12,328 12,350 4.01% Fixed 9/6/2019 First liens Wisconsin 7,892 7,913 3.69% Fixed 6/1/2053 First liens Total $ 511,056 $ 516,834 |
Schedule of Mortgage Loan Principle Payments Due | The following table details future mortgage loan principal payments at March 31, 2019 : Mortgage Loan Principal Payments (dollars in thousands) 2019 (remaining) $ 25,680 2020 29,113 2021 3,490 2022 3,708 2023 3,843 Later years 450,279 Total $ 516,113 |
CAPITAL STOCK (Tables)
CAPITAL STOCK (Tables) | 3 Months Ended |
Mar. 31, 2019 | |
Equity [Abstract] | |
Schedule of Stock by Class | The following table provides a summary of the Company’s common shares authorized, and issued and outstanding at March 31, 2019 and December 31, 2018 . Shares authorized Shares issued and outstanding March 31, 2019 December 31, 2018 March 31, 2019 December 31, 2018 Par Value Common stock 1,924,050,000 1,924,050,000 1,448,103,248 1,313,763,450 $0.01 The following is a summary of the Company’s cumulative redeemable preferred stock outstanding at March 31, 2019 and December 31, 2018 . In the event of a liquidation or dissolution of the Company, the Company’s then outstanding preferred stock takes precedence over the Company’s common stock with respect to payment of dividends and the distribution of assets. Shares Authorized Shares Issued And Outstanding Carrying Value Contractual Rate Earliest Redemption Date (1) Date At Which Dividend Rate Becomes Floating Floating Annual Rate March 31, 2019 December 31, 2018 March 31, 2019 December 31, 2018 March 31, 2019 December 31, 2018 Fixed-rate (dollars in thousands) Series C 7,000,000 7,000,000 7,000,000 7,000,000 $ 169,466 $ 169,466 7.625% 5/16/2017 NA NA Series D 18,400,000 18,400,000 18,400,000 18,400,000 445,457 445,457 7.50% 9/13/2017 NA NA Series H 2,200,000 2,200,000 2,200,000 2,200,000 55,000 55,000 8.125% 5/22/2019 NA NA Fixed-to-floating rate Series F 28,800,000 28,800,000 28,800,000 28,800,000 696,910 696,910 6.95% 9/30/2022 9/30/2022 3M LIBOR + 4.993% Series G 19,550,000 19,550,000 17,000,000 17,000,000 411,335 411,335 6.50% 3/31/2023 3/31/2023 3M LIBOR + 4.172% Total 75,950,000 75,950,000 73,400,000 73,400,000 $ 1,778,168 $ 1,778,168 (1) Subject to the Company’s right under limited circumstances to redeem preferred stock earlier in order to preserve its qualification as a REIT or under limited circumstances related to a change in control of the Company. |
Summary of Dividend Reinvestment Plan | The following table provides a summary of activity related to the Company’s Direct Purchase and Dividend Reinvestment Program. Three Months Ended March 31, 2019 March 31, 2018 (dollars in thousands) Shares issued through direct purchase and dividend reinvestment program 87,000 70,000 Amount raised from direct purchase and dividend reinvestment program $ 892 $ 746 |
Summary of Dividend Distribution Activity | The following table provides a summary of the Company’s dividend distribution activity for the periods presented: For the Three Months Ended March 31, 2019 March 31, 2018 (dollars in thousands, except per share data) Dividends and dividend equivalents declared on common stock and share-based awards $ 434,627 $ 347,897 Distributions declared per common share $ 0.30 $ 0.30 Distributions paid to common stockholders after period end $ 434,431 $ 347,897 Distributions paid per common share after period end $ 0.30 $ 0.30 Date of distributions paid to common stockholders after period end April 30, 2019 April 30, 2018 Dividends declared to series C preferred stockholders $ 3,336 $ 4,316 Dividends declared per share of series C preferred stock (1) $ 0.477 $ 0.477 Dividends declared to series D preferred stockholders $ 8,625 $ 8,625 Dividends declared per share of series D preferred stock $ 0.469 $ 0.469 Dividends declared to series E preferred stockholders $ — $ 2,253 Dividends declared per share of series E preferred stock $ — $ 0.196 Dividends declared to series F preferred stockholders $ 12,510 $ 12,510 Dividends declared per share of series F preferred stock $ 0.434 $ 0.434 Dividends declared to series G preferred stockholders $ 6,906 $ 6,062 Dividends declared per share of series G preferred stock $ 0.406 $ 0.357 Dividends declared to series H preferred stockholders $ 1,117 $ — Dividends declared per share of series H preferred stock $ 0.508 $ — (1) Includes dividends declared per share for shares outstanding at March 31, 2018. |
INTEREST INCOME AND INTEREST _2
INTEREST INCOME AND INTEREST EXPENSE (Tables) | 3 Months Ended |
Mar. 31, 2019 | |
Banking and Thrift, Interest [Abstract] | |
Summary of Interest Income Recognition Methodology for Residential Investment Securities | The following table summarizes the interest income recognition methodology for Residential 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 CMO (1) Effective yield (3) 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 instruments 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. |
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 three months ended March 31, 2019 and March 31, 2018 . For the Three Months Ended March 31, 2019 2018 Interest income (dollars in thousands) Residential securities $ 709,774 $ 779,588 Residential mortgage loans (1) 29,991 15,505 Commercial investment portfolio (1) (2) 100,952 72,457 Reverse repurchase agreements 25,469 11,937 Total interest income $ 866,186 $ 879,487 Interest expense Repurchase agreements 579,514 331,374 Debt issued by securitization vehicles 34,207 15,652 Other 33,974 20,395 Total interest expense 647,695 367,421 Net interest income $ 218,491 $ 512,066 (1) Includes assets transferred or pledged to securitization vehicles. (2) Includes commercial real estate debt and preferred equity and corporate debt. |
NET INCOME (LOSS) PER COMMON _2
NET INCOME (LOSS) PER COMMON SHARE (Tables) | 3 Months Ended |
Mar. 31, 2019 | |
Earnings Per Share [Abstract] | |
Schedule of Net Income (Loss) Per Share Reconciliation | The following table presents a reconciliation of net income (loss) and shares used in calculating basic and diluted net income (loss) per share for the three months ended March 31, 2019 and March 31, 2018 . For the Three Months Ended March 31, 2019 March 31, 2018 (dollars in thousands, except per share data) Net income (loss) $ (849,251 ) $ 1,327,704 Net income (loss) attributable to noncontrolling interests (101 ) (96 ) Net income (loss) attributable to Annaly (849,150 ) 1,327,800 Dividends on preferred stock 32,494 33,766 Net income (loss) available (related) to common stockholders $ (881,644 ) $ 1,294,034 Weighted average shares of common stock outstanding-basic 1,398,614,205 1,159,617,848 Add: Effect of stock awards, if dilutive — 485,337 Weighted average shares of common stock outstanding-diluted 1,398,614,205 1,160,103,185 Net income (loss) per share available (related) to common share Basic $ (0.63 ) $ 1.12 Diluted $ (0.63 ) $ 1.12 |
LEASE COMMITMENTS AND CONTING_2
LEASE COMMITMENTS AND CONTINGENCIES (Tables) | 3 Months Ended |
Mar. 31, 2019 | |
Commitments and Contingencies Disclosure [Abstract] | |
Supplemental Information Regarding Leases | Supplemental information related to leases as of and for the three months ended March 31, 2019 was as follows: Operating Leases Classification March 31, 2019 Assets (dollars in thousands) Operating lease right-of-use assets Other assets $ 17,691 Liabilities Operating lease liabilities (1) Other liabilities $ 22,756 Lease term and discount rate Weighted average remaining lease term 6.4 Years Weighted average discount rate (1) 2.9% Lease cost Operating lease cost Other general and administrative expenses $ 791 Cash paid for amounts included in the measurement of lease liabilities Operating cash flows from operating leases $ 928 (1) As the Company’s leases do not provide an implicit rate, the Company uses an incremental borrowing rate based on the information available at adoption date in determining the present value of lease payments. |
Operating Lease Liability Schedule of Maturity | The following table provides details related to maturities of lease liabilities: Maturity of Lease Liabilities Years ending December 31, (dollars in thousands) 2019 (remaining) $ 2,784 2020 3,799 2021 3,918 2022 3,862 2023 3,862 Later years 6,757 Total lease payments $ 24,982 Less imputed interest 2,226 Present value of lease liabilities $ 22,756 |
ACQUISITION OF MTGE INVESTMEN_2
ACQUISITION OF MTGE INVESTMENT CORP (Tables) | 3 Months Ended |
Mar. 31, 2019 | |
Business Combinations [Abstract] | |
Summary of Acquired Assets | The allocation of the consideration paid as part of the transaction and its assignment to the initial carrying value of the MTGE portfolio is noted in the below table. September 2018 Consideration transferred (dollars in thousands) Cash $ 450,287 Common equity 455,943 Preferred shares Exchange of MTGE preferred stock for Annaly preferred stock 55,000 Total consideration $ 961,230 Net assets Cash and cash equivalents $ 191,953 Securities 4,111,930 Real estate, net 277,648 Derivative assets 18,629 Reverse repurchase agreements 938,251 Receivable for unsettled trades 6,809 Principal receivable 44,462 Interest receivable 14,282 Intangible assets, net 14,483 Other assets 50,105 Total assets acquired 5,668,552 Repurchase agreements 3,561,816 Mortgages payable 201,629 U.S. Treasury securities sold, not yet purchased 934,149 Derivative liabilities 2,498 Interest payable 22,220 Dividends payable 819 Other liabilities 28,715 Total liabilities assumed 4,751,846 Net assets acquired $ 916,706 |
SIGNIFICANT ACCOUNTING POLICI_4
SIGNIFICANT ACCOUNTING POLICIES - Additional Information (Details) - USD ($) $ in Billions | Mar. 31, 2019 | Dec. 31, 2018 |
Interest rate swaps | ||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||
Margin deposit assets | $ 1.3 | $ 1.6 |
FINANCIAL INSTRUMENTS - Summary
FINANCIAL INSTRUMENTS - Summary of Characteristics of Financial Instruments (Details) - USD ($) $ in Thousands | Mar. 31, 2019 | Dec. 31, 2018 | |
Summary of Investments, Other than Investments in Related Parties, Reportable Data [Line Items] | |||
Assets | $ 119,172,549 | $ 105,787,527 | [1] |
Liabilities | 103,391,105 | 91,669,726 | [1] |
Total securities | |||
Summary of Investments, Other than Investments in Related Parties, Reportable Data [Line Items] | |||
Assets | 104,993,271 | 92,623,788 | |
Agency mortgage-backed securities, recognized through comprehensive income | |||
Summary of Investments, Other than Investments in Related Parties, Reportable Data [Line Items] | |||
Assets | 102,222,237 | 89,840,322 | |
Agency mortgage-backed securities, recognized through earnings | |||
Summary of Investments, Other than Investments in Related Parties, Reportable Data [Line Items] | |||
Assets | 871,289 | 912,673 | |
Credit risk transfer securities | |||
Summary of Investments, Other than Investments in Related Parties, Reportable Data [Line Items] | |||
Assets | 607,945 | 552,097 | |
Non-agency mortgage-backed securities | |||
Summary of Investments, Other than Investments in Related Parties, Reportable Data [Line Items] | |||
Assets | 1,116,569 | 1,161,938 | |
Commercial real estate debt investment, securities, recognized through other comprehensive income | |||
Summary of Investments, Other than Investments in Related Parties, Reportable Data [Line Items] | |||
Assets | 96,566 | 138,242 | |
Commercial real estate debt investment, securities, recognized through earnings | |||
Summary of Investments, Other than Investments in Related Parties, Reportable Data [Line Items] | |||
Assets | 78,665 | 18,516 | |
Total loans, net | |||
Summary of Investments, Other than Investments in Related Parties, Reportable Data [Line Items] | |||
Assets | 3,879,324 | 4,585,975 | |
Residential mortgage loans | |||
Summary of Investments, Other than Investments in Related Parties, Reportable Data [Line Items] | |||
Assets | 1,311,720 | 1,359,806 | |
Commercial real estate debt and preferred equity, held for investment | |||
Summary of Investments, Other than Investments in Related Parties, Reportable Data [Line Items] | |||
Assets | 722,962 | 1,296,803 | |
Commercial loans held for sale, net | |||
Summary of Investments, Other than Investments in Related Parties, Reportable Data [Line Items] | |||
Assets | 42,035 | 42,184 | |
Corporate debt | |||
Summary of Investments, Other than Investments in Related Parties, Reportable Data [Line Items] | |||
Assets | 1,758,082 | 1,887,182 | |
Corporate debt held for sale, net | |||
Summary of Investments, Other than Investments in Related Parties, Reportable Data [Line Items] | |||
Assets | 44,525 | 0 | |
Total assets transferred or pledged to securitization vehicles | |||
Summary of Investments, Other than Investments in Related Parties, Reportable Data [Line Items] | |||
Assets | 4,365,300 | 3,833,200 | |
Residential mortgage loans, transferred or pledged to securitization vehicles, recognized through earnings | |||
Summary of Investments, Other than Investments in Related Parties, Reportable Data [Line Items] | |||
Assets | 1,425,668 | 1,094,831 | |
Commercial mortgage loans, transferred or pledged to securitization vehicles, recognized through earnings | |||
Summary of Investments, Other than Investments in Related Parties, Reportable Data [Line Items] | |||
Assets | 2,939,632 | 2,738,369 | |
Reverse repurchase agreements | |||
Summary of Investments, Other than Investments in Related Parties, Reportable Data [Line Items] | |||
Assets | 523,449 | 650,040 | |
Repurchase agreements | |||
Summary of Investments, Other than Investments in Related Parties, Reportable Data [Line Items] | |||
Liabilities | 88,554,170 | 81,115,874 | |
Other secured financing | |||
Summary of Investments, Other than Investments in Related Parties, Reportable Data [Line Items] | |||
Liabilities | 4,144,623 | 4,183,311 | |
Debt issued by securitization vehicles | |||
Summary of Investments, Other than Investments in Related Parties, Reportable Data [Line Items] | |||
Liabilities | 3,693,766 | 3,347,062 | |
Mortgages payable | |||
Summary of Investments, Other than Investments in Related Parties, Reportable Data [Line Items] | |||
Liabilities | $ 510,386 | $ 511,056 | |
[1] | (1) Derived from the audited consolidated financial statements at December 31, 2018. |
SECURITIES - Summary of Residen
SECURITIES - Summary of Residential Securities and CMBS (Details) $ in Thousands | 3 Months Ended |
Mar. 31, 2019USD ($) | |
Debt Securities, Available-For-Sale [Line Items] | |
Beginning balance | $ 92,623,788 |
Purchases | 23,747,904 |
Sales | (10,496,300) |
Principal paydowns | (2,386,119) |
Amortization / accretion | (247,369) |
Fair value adjustment | 1,751,367 |
Ending balance | 104,993,271 |
Residential Securities | |
Debt Securities, Available-For-Sale [Line Items] | |
Beginning balance | 92,467,030 |
Purchases | 23,649,271 |
Sales | (10,456,466) |
Principal paydowns | (2,343,260) |
Amortization / accretion | (247,447) |
Fair value adjustment | 1,748,912 |
Ending balance | 104,818,040 |
Commercial Securities | |
Debt Securities, Available-For-Sale [Line Items] | |
Beginning balance | 156,758 |
Purchases | 98,633 |
Sales | (39,834) |
Principal paydowns | (42,859) |
Amortization / accretion | 78 |
Fair value adjustment | 2,455 |
Ending balance | $ 175,231 |
SECURITIES - Portfolio (Details
SECURITIES - Portfolio (Details) - USD ($) $ in Thousands | Mar. 31, 2019 | Dec. 31, 2018 | ||
Mortgage-Backed Securities Portfolio [Line Items] | ||||
Principal / Notional | $ 106,622,443 | $ 96,602,237 | ||
Remaining Premium | 5,400,918 | 5,311,495 | ||
Remaining Discount | (192,921) | (192,979) | ||
Amortized Cost | 105,471,037 | 94,853,660 | ||
Unrealized Gains | 990,877 | 379,619 | ||
Unrealized Losses | (1,468,643) | (2,609,491) | ||
Estimated Fair Value | [1] | 104,993,271 | 92,623,788 | [2] |
Agency Securities | ||||
Mortgage-Backed Securities Portfolio [Line Items] | ||||
Principal / Notional | 103,865,226 | 93,835,696 | ||
Remaining Premium | 5,357,956 | 5,255,201 | ||
Remaining Discount | (48,180) | (43,656) | ||
Amortized Cost | 103,652,629 | 93,040,233 | ||
Unrealized Gains | 903,783 | 305,893 | ||
Unrealized Losses | (1,462,886) | (2,593,131) | ||
Estimated Fair Value | 103,093,526 | 90,752,995 | ||
Agency Securities | Fixed-rate pass-through | ||||
Mortgage-Backed Securities Portfolio [Line Items] | ||||
Principal / Notional | 92,064,633 | 81,144,650 | ||
Remaining Premium | 4,060,260 | 3,810,808 | ||
Remaining Discount | (41,614) | (36,987) | ||
Amortized Cost | 96,083,279 | 84,918,471 | ||
Unrealized Gains | 789,557 | 264,443 | ||
Unrealized Losses | (1,118,629) | (2,130,362) | ||
Estimated Fair Value | 95,754,207 | 83,052,552 | ||
Agency Securities | Adjustable-rate pass-through | ||||
Mortgage-Backed Securities Portfolio [Line Items] | ||||
Principal / Notional | 4,046,258 | 4,835,983 | ||
Remaining Premium | 204,672 | 247,981 | ||
Remaining Discount | (1,317) | (1,337) | ||
Amortized Cost | 4,249,613 | 5,082,627 | ||
Unrealized Gains | 7,395 | 7,127 | ||
Unrealized Losses | (104,972) | (151,770) | ||
Estimated Fair Value | 4,152,036 | 4,937,984 | ||
Agency Securities | CMO | ||||
Mortgage-Backed Securities Portfolio [Line Items] | ||||
Principal / Notional | 10,699 | |||
Remaining Premium | 50 | |||
Remaining Discount | 0 | |||
Amortized Cost | 10,749 | |||
Unrealized Gains | 199 | |||
Unrealized Losses | 0 | |||
Estimated Fair Value | 10,948 | |||
Agency Securities | Interest-only | ||||
Mortgage-Backed Securities Portfolio [Line Items] | ||||
Principal / Notional | 5,522,373 | 6,007,008 | ||
Remaining Premium | 1,070,160 | 1,179,855 | ||
Remaining Discount | 0 | 0 | ||
Amortized Cost | 1,070,160 | 1,179,855 | ||
Unrealized Gains | 1,900 | 1,446 | ||
Unrealized Losses | (239,282) | (307,412) | ||
Estimated Fair Value | 832,778 | 873,889 | ||
Agency Securities | Multifamily | ||||
Mortgage-Backed Securities Portfolio [Line Items] | ||||
Principal / Notional | 2,186,848 | 1,802,292 | ||
Remaining Premium | 18,783 | 12,329 | ||
Remaining Discount | (5,249) | (5,332) | ||
Amortized Cost | 2,200,382 | 1,809,289 | ||
Unrealized Gains | 104,664 | 32,753 | ||
Unrealized Losses | 0 | (3,477) | ||
Estimated Fair Value | 2,305,046 | 1,838,565 | ||
Agency Securities | Reverse mortgages | ||||
Mortgage-Backed Securities Portfolio [Line Items] | ||||
Principal / Notional | 34,415 | 34,650 | ||
Remaining Premium | 4,031 | 4,175 | ||
Remaining Discount | 0 | 0 | ||
Amortized Cost | 38,446 | 38,825 | ||
Unrealized Gains | 68 | 69 | ||
Unrealized Losses | (3) | (110) | ||
Estimated Fair Value | 38,511 | 38,784 | ||
Agency Securities | CMO Mortgage Backed Securities Available For Sale [Member] | ||||
Mortgage-Backed Securities Portfolio [Line Items] | ||||
Principal / Notional | 11,113 | |||
Remaining Premium | 53 | |||
Remaining Discount | 0 | |||
Amortized Cost | 11,166 | |||
Unrealized Gains | 55 | |||
Unrealized Losses | 0 | |||
Estimated Fair Value | 11,221 | |||
Residential Credit Securities Mortgage Backed Securities | ||||
Mortgage-Backed Securities Portfolio [Line Items] | ||||
Principal / Notional | 2,576,225 | 2,610,620 | ||
Remaining Premium | 42,465 | 46,516 | ||
Remaining Discount | (135,228) | (139,583) | ||
Amortized Cost | 1,646,432 | 1,657,468 | ||
Unrealized Gains | 83,548 | 72,067 | ||
Unrealized Losses | (5,466) | (15,500) | ||
Estimated Fair Value | 1,724,514 | 1,714,035 | ||
Residential Credit Securities Mortgage Backed Securities | CRT | ||||
Mortgage-Backed Securities Portfolio [Line Items] | ||||
Principal / Notional | 593,949 | 542,374 | ||
Remaining Premium | 24,891 | 28,444 | ||
Remaining Discount | (16,883) | (15,466) | ||
Amortized Cost | 601,957 | 555,352 | ||
Unrealized Gains | 9,488 | 7,879 | ||
Unrealized Losses | (3,500) | (11,134) | ||
Estimated Fair Value | 607,945 | 552,097 | ||
Residential Credit Securities Mortgage Backed Securities | Alt-A | ||||
Mortgage-Backed Securities Portfolio [Line Items] | ||||
Principal / Notional | 215,630 | 202,889 | ||
Remaining Premium | 374 | 349 | ||
Remaining Discount | (30,467) | (31,238) | ||
Amortized Cost | 185,537 | 172,000 | ||
Unrealized Gains | 12,926 | 10,559 | ||
Unrealized Losses | (95) | (198) | ||
Estimated Fair Value | 198,368 | 182,361 | ||
Residential Credit Securities Mortgage Backed Securities | Prime | ||||
Mortgage-Backed Securities Portfolio [Line Items] | ||||
Principal / Notional | 312,534 | 353,108 | ||
Remaining Premium | 2,205 | 2,040 | ||
Remaining Discount | (21,319) | (23,153) | ||
Amortized Cost | 293,420 | 331,995 | ||
Unrealized Gains | 16,786 | 12,821 | ||
Unrealized Losses | (179) | (830) | ||
Estimated Fair Value | 310,027 | 343,986 | ||
Residential Credit Securities Mortgage Backed Securities | Subprime | ||||
Mortgage-Backed Securities Portfolio [Line Items] | ||||
Principal / Notional | 393,362 | 423,166 | ||
Remaining Premium | 1,480 | 1,776 | ||
Remaining Discount | (61,911) | (65,005) | ||
Amortized Cost | 332,931 | 359,937 | ||
Unrealized Gains | 38,800 | 35,278 | ||
Unrealized Losses | (446) | (594) | ||
Estimated Fair Value | 371,285 | 394,621 | ||
Residential Credit Securities Mortgage Backed Securities | NPL/RPL | ||||
Mortgage-Backed Securities Portfolio [Line Items] | ||||
Principal / Notional | 3,431 | 3,431 | ||
Remaining Premium | 0 | 0 | ||
Remaining Discount | (22) | (30) | ||
Amortized Cost | 3,409 | 3,401 | ||
Unrealized Gains | 27 | 37 | ||
Unrealized Losses | 0 | 0 | ||
Estimated Fair Value | 3,436 | 3,438 | ||
Residential Credit Securities Mortgage Backed Securities | Prime jumbo (2010 vintage) | ||||
Mortgage-Backed Securities Portfolio [Line Items] | ||||
Principal / Notional | 220,289 | 225,567 | ||
Remaining Premium | 1,070 | 1,087 | ||
Remaining Discount | (4,626) | (4,691) | ||
Amortized Cost | 216,733 | 221,963 | ||
Unrealized Gains | 3,004 | 1,439 | ||
Unrealized Losses | (915) | (2,744) | ||
Estimated Fair Value | 218,822 | 220,658 | ||
Residential Credit Securities Mortgage Backed Securities | Prime jumbo (2010 vintage) Interest-only | ||||
Mortgage-Backed Securities Portfolio [Line Items] | ||||
Principal / Notional | 837,030 | 860,085 | ||
Remaining Premium | 12,445 | 12,820 | ||
Remaining Discount | 0 | 0 | ||
Amortized Cost | 12,445 | 12,820 | ||
Unrealized Gains | 2,517 | 4,054 | ||
Unrealized Losses | (331) | 0 | ||
Estimated Fair Value | 14,631 | 16,874 | ||
Residential Investments | ||||
Mortgage-Backed Securities Portfolio [Line Items] | ||||
Principal / Notional | 106,441,451 | 96,446,316 | ||
Remaining Premium | 5,400,421 | 5,301,717 | ||
Remaining Discount | (183,408) | (183,239) | ||
Amortized Cost | 105,299,061 | 94,697,701 | ||
Unrealized Gains | 987,331 | 377,960 | ||
Unrealized Losses | (1,468,352) | (2,608,631) | ||
Estimated Fair Value | 104,818,040 | 92,467,030 | ||
Commercial Mortgage-Backed Securities | ||||
Mortgage-Backed Securities Portfolio [Line Items] | ||||
Principal / Notional | 180,992 | 155,921 | ||
Remaining Premium | 497 | 9,778 | ||
Remaining Discount | (9,513) | (9,740) | ||
Amortized Cost | 171,976 | 155,959 | ||
Unrealized Gains | 3,546 | 1,659 | ||
Unrealized Losses | (291) | (860) | ||
Estimated Fair Value | $ 175,231 | $ 156,758 | ||
[1] | (3) Excludes $273.4 million and $83.6 million at March 31, 2019 and December 31, 2018, respectively, of non-Agency mortgage-backed securities and $246.6 million and $224.3 million at March 31, 2019 and December 31, 2018, respectively, of commercial mortgage-backed securities in consolidated VIEs pledged as collateral and eliminated from the Company’s Consolidated Statements of Financial Condition. | |||
[2] | (1) Derived from the audited consolidated financial statements at December 31, 2018. |
SECURITIES - Component of Agenc
SECURITIES - Component of Agency Mortgage-Backed Securities Portfolio by Issuing Agency Concentration (Details) - USD ($) $ in Thousands | Mar. 31, 2019 | Dec. 31, 2018 | ||
Mortgage-Backed Securities Portfolio [Line Items] | ||||
Securities (includes pledged assets of $95,845,559 and $87,193,316, respectively) (3) | [1] | $ 104,993,271 | $ 92,623,788 | [2] |
Agency mortgage-backed securities, at fair value | ||||
Mortgage-Backed Securities Portfolio [Line Items] | ||||
Securities (includes pledged assets of $95,845,559 and $87,193,316, respectively) (3) | 103,093,526 | 90,752,995 | ||
Agency mortgage-backed securities, at fair value | Fannie Mae | ||||
Mortgage-Backed Securities Portfolio [Line Items] | ||||
Securities (includes pledged assets of $95,845,559 and $87,193,316, respectively) (3) | 66,385,692 | 60,270,432 | ||
Agency mortgage-backed securities, at fair value | Freddie Mac | ||||
Mortgage-Backed Securities Portfolio [Line Items] | ||||
Securities (includes pledged assets of $95,845,559 and $87,193,316, respectively) (3) | 36,564,254 | 30,397,556 | ||
Agency mortgage-backed securities, at fair value | Ginnie Mae | ||||
Mortgage-Backed Securities Portfolio [Line Items] | ||||
Securities (includes pledged assets of $95,845,559 and $87,193,316, respectively) (3) | $ 143,580 | $ 85,007 | ||
[1] | (3) Excludes $273.4 million and $83.6 million at March 31, 2019 and December 31, 2018, respectively, of non-Agency mortgage-backed securities and $246.6 million and $224.3 million at March 31, 2019 and December 31, 2018, respectively, of commercial mortgage-backed securities in consolidated VIEs pledged as collateral and eliminated from the Company’s Consolidated Statements of Financial Condition. | |||
[2] | (1) Derived from the audited consolidated financial statements at December 31, 2018. |
SECURITIES - Weighted Average L
SECURITIES - Weighted Average Life (Details) - USD ($) $ in Thousands | Mar. 31, 2019 | Dec. 31, 2018 | ||
Estimated Fair Value | ||||
Total | [1] | $ 104,993,271 | $ 92,623,788 | [2] |
Amortized Cost | ||||
Total | 105,471,037 | 94,853,660 | ||
Residential Investments | ||||
Estimated Fair Value | ||||
Less than one year | 13,863 | 13,447 | ||
Greater than one year through five years | 16,081,685 | 11,710,172 | ||
Greater than five years through ten years | 87,693,108 | 80,202,479 | ||
Greater than ten years | 1,029,384 | 540,932 | ||
Total | 104,818,040 | 92,467,030 | ||
Amortized Cost | ||||
Less than one year | 14,032 | 13,670 | ||
Greater than one year through five years | 16,091,945 | 11,928,973 | ||
Greater than five years through ten years | 88,181,059 | 82,218,464 | ||
Greater than ten years | 1,012,025 | 536,594 | ||
Total | $ 105,299,061 | $ 94,697,701 | ||
[1] | (3) Excludes $273.4 million and $83.6 million at March 31, 2019 and December 31, 2018, respectively, of non-Agency mortgage-backed securities and $246.6 million and $224.3 million at March 31, 2019 and December 31, 2018, respectively, of commercial mortgage-backed securities in consolidated VIEs pledged as collateral and eliminated from the Company’s Consolidated Statements of Financial Condition. | |||
[2] | (1) Derived from the audited consolidated financial statements at December 31, 2018. |
SECURITIES - Unrealized Loss Po
SECURITIES - Unrealized Loss Position (Details) $ in Thousands | Mar. 31, 2019USD ($)security | Dec. 31, 2018USD ($)security |
Unrealized Loss Position For: | ||
Estimated Fair Value | $ 54,652,187 | $ 65,552,879 |
Gross Unrealized Losses | $ (1,223,601) | $ (2,285,609) |
Number of Securities (security) | security | 1,602 | 2,189 |
Available For Sale Securities, Continuous Unrealized Loss Positions, Less Than 12 Months | ||
Unrealized Loss Position For: | ||
Estimated Fair Value | $ 12,188,284 | $ 22,418,036 |
Gross Unrealized Losses | $ (197,039) | $ (432,352) |
Number of Securities (security) | security | 89 | 713 |
Available For Sale Securities, Continuous Unrealized Loss Positions, Greater Than 12 Months | ||
Unrealized Loss Position For: | ||
Estimated Fair Value | $ 42,463,903 | $ 43,134,843 |
Gross Unrealized Losses | $ (1,026,562) | $ (1,853,257) |
Number of Securities (security) | security | 1,513 | 1,476 |
SECURITIES - Additional Informa
SECURITIES - Additional Information (Details) - USD ($) $ in Millions | 3 Months Ended | |
Mar. 31, 2019 | Mar. 31, 2018 | |
Investments, Debt and Equity Securities [Abstract] | ||
Residential Investment securities sold, carrying value | $ 10,500 | $ 463.4 |
Residential Investment securities sold, net realized gain (loss) | $ (92.5) | $ 13 |
LOANS - Additional Information
LOANS - Additional Information (Details) - USD ($) | 3 Months Ended | 12 Months Ended | |||||
Mar. 31, 2019 | Dec. 31, 2018 | Mar. 31, 2018 | Dec. 31, 2018 | ||||
Mortgage Loans on Real Estate [Line Items] | |||||||
Assets | $ 119,172,549,000 | $ 105,787,527,000 | [1] | $ 105,787,527,000 | [1] | ||
Loans receivable with variable rates of interest | 90.00% | 88.00% | |||||
Loan loss provision recorded during period | $ 5,703,000 | 3,500,000 | $ 0 | ||||
Balance of the loan loss provision | 9,200,000 | 3,500,000 | $ 3,500,000 | ||||
Residential mortgages loans | [2] | 3,879,324,000 | 4,585,975,000 | [1] | 4,585,975,000 | [1] | |
Corporate Loans | |||||||
Mortgage Loans on Real Estate [Line Items] | |||||||
Residential mortgages loans | 44,500,000 | 0 | 0 | ||||
Commercial Mortgage Loan | |||||||
Mortgage Loans on Real Estate [Line Items] | |||||||
Residential mortgages loans | 42,000,000 | $ 42,200,000 | $ 42,200,000 | ||||
Residential Mortgage | |||||||
Mortgage Loans on Real Estate [Line Items] | |||||||
Assets | $ 1,300,000,000 | ||||||
Percent of adjustable-rate loans | 45.00% | 47.00% | 47.00% | ||||
Residential mortgages loans | $ 101,300,000 | $ 97,500,000 | $ 97,500,000 | ||||
Minimum | |||||||
Mortgage Loans on Real Estate [Line Items] | |||||||
Senior secured loans, stated maturity | 5 years | ||||||
Maximum | |||||||
Mortgage Loans on Real Estate [Line Items] | |||||||
Senior secured loans, stated maturity | 7 years | ||||||
Commercial Mortgage Loan | |||||||
Mortgage Loans on Real Estate [Line Items] | |||||||
Debt instrument face amount | $ 516,113,000 | $ 516,834,000 | $ 516,834,000 | ||||
[1] | (1) Derived from the audited consolidated financial statements at December 31, 2018. | ||||||
[2] | (4) Includes $101.3 million and $97.5 million of residential mortgage loans held for sale, $42.0 million and $42.2 million of commercial mortgage loans held for sale and $44.5 million and $0 of corporate loans held for sale at March 31, 2019 and December 31, 2018, respectively. |
LOANS - Investment Loan Activit
LOANS - Investment Loan Activity (Details) $ in Thousands | 3 Months Ended | |
Mar. 31, 2019USD ($) | ||
Mortgage Loans on Real Estate [Line Items] | ||
Beginning balance January 1, 2019 | $ 4,585,975 | [1],[2] |
Purchases | 716,097 | |
Sales and transfers | (1,357,997) | |
Principal Payments | (66,755) | |
Gains / (losses) | (1,243) | |
Amortization / accretion | 3,247 | |
Mortgage Loans on Real Estate | 3,879,324 | [2] |
Residential | ||
Mortgage Loans on Real Estate [Line Items] | ||
Beginning balance January 1, 2019 | 1,359,806 | |
Purchases | 425,488 | |
Sales and transfers | (444,963) | |
Principal Payments | (32,676) | |
Gains / (losses) | 4,460 | |
Amortization / accretion | (395) | |
Mortgage Loans on Real Estate | 1,311,720 | |
Commercial | ||
Mortgage Loans on Real Estate [Line Items] | ||
Beginning balance January 1, 2019 | 1,338,987 | |
Purchases | 165,258 | |
Sales and transfers | (733,922) | |
Principal Payments | (534) | |
Gains / (losses) | (5,703) | |
Amortization / accretion | 911 | |
Mortgage Loans on Real Estate | 764,997 | |
Corporate | ||
Mortgage Loans on Real Estate [Line Items] | ||
Beginning balance January 1, 2019 | 1,887,182 | |
Purchases | 125,351 | |
Sales and transfers | (179,112) | |
Principal Payments | (33,545) | |
Gains / (losses) | 0 | |
Amortization / accretion | 2,731 | |
Mortgage Loans on Real Estate | $ 1,802,607 | |
[1] | (1) Derived from the audited consolidated financial statements at December 31, 2018. | |
[2] | (4) Includes $101.3 million and $97.5 million of residential mortgage loans held for sale, $42.0 million and $42.2 million of commercial mortgage loans held for sale and $44.5 million and $0 of corporate loans held for sale at March 31, 2019 and December 31, 2018, respectively. |
LOANS - Fair Value and Unpaid P
LOANS - Fair Value and Unpaid Principal of Residential Mortgage Loan Portfolio (Details) - Residential Mortgage - USD ($) $ in Thousands | Mar. 31, 2019 | Dec. 31, 2018 |
Mortgage Loans on Real Estate [Line Items] | ||
Fair value | $ 2,737,388 | $ 2,454,637 |
Unpaid principal balance | $ 2,686,557 | $ 2,425,657 |
LOANS - Summary of Comprehensiv
LOANS - Summary of Comprehensive Income (Loss) (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2019 | Mar. 31, 2018 | |
Mortgage Loans on Real Estate [Line Items] | ||
Interest income | $ 218,491 | $ 512,066 |
Net gains (losses) on disposal of investments | (93,916) | 13,468 |
Net income (loss) attributable to Annaly | (849,150) | 1,327,800 |
Residential Mortgage | ||
Mortgage Loans on Real Estate [Line Items] | ||
Interest income | 29,991 | 13,495 |
Net gains (losses) on disposal of investments | (5,223) | (1,758) |
Net unrealized gains (losses) on instruments measured at fair value through earnings | 17,821 | (9,864) |
Net income (loss) attributable to Annaly | $ 42,589 | $ 1,873 |
LOANS - Geographic Concentratio
LOANS - Geographic Concentrations Based on Unpaid Principal Balances (Details) - Residential mortgage loans - Geographic Concentration Risk | 3 Months Ended | 12 Months Ended |
Mar. 31, 2019 | Dec. 31, 2018 | |
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 | 54.20% | 53.70% |
New York | ||
Mortgage Loans on Real Estate [Line Items] | ||
Geographic Concentrations of Residential Mortgage Loans | 6.10% | 6.60% |
Florida | ||
Mortgage Loans on Real Estate [Line Items] | ||
Geographic Concentrations of Residential Mortgage Loans | 6.70% | 7.10% |
Other | ||
Mortgage Loans on Real Estate [Line Items] | ||
Geographic Concentrations of Residential Mortgage Loans | 33.00% | 32.60% |
LOANS - Additional Informatio_2
LOANS - Additional Information about Residential Mortgage Loans (Details) - Residential Mortgage $ in Thousands | 3 Months Ended | 12 Months Ended |
Mar. 31, 2019USD ($)point | Dec. 31, 2018USD ($)point | |
Mortgage Loans on Real Estate [Line Items] | ||
Unpaid principal balance | $ 2,686,557 | $ 2,425,657 |
Minimum | ||
Mortgage Loans on Real Estate [Line Items] | ||
Unpaid principal balance | $ 1 | $ 0 |
Interest rate | 2.00% | 2.00% |
FICO score at loan origination | point | 505 | 505 |
Loan-to-value ratio at loan origination | 8.00% | 8.00% |
Maximum | ||
Mortgage Loans on Real Estate [Line Items] | ||
Unpaid principal balance | $ 3,448 | $ 3,500 |
Interest rate | 9.25% | 7.75% |
FICO score at loan origination | point | 823 | 823 |
Loan-to-value ratio at loan origination | 111.00% | 111.00% |
Weighted Average | ||
Mortgage Loans on Real Estate [Line Items] | ||
Unpaid principal balance | $ 457 | $ 457 |
Interest rate | 4.85% | 4.72% |
FICO score at loan origination | point | 752 | 752 |
Loan-to-value ratio at loan origination | 68.00% | 68.00% |
LOANS - Summary of Commercial R
LOANS - Summary of Commercial Real Estate Investments Held for Investment (Details) - USD ($) $ in Thousands | Mar. 31, 2019 | Dec. 31, 2018 | Dec. 31, 2017 |
Mortgage Loans on Real Estate [Line Items] | |||
Outstanding Principal | $ 106,622,443 | $ 96,602,237 | |
Carrying value, unamortized origination fees | 8,300 | 7,600 | |
Commercial Mortgage | |||
Mortgage Loans on Real Estate [Line Items] | |||
Outstanding Principal | 1,474,288 | 1,307,911 | |
Carrying Value | $ 1,456,826 | $ 1,296,803 | $ 1,029,327 |
Percentage of Loan Portfolio | 100.00% | 100.00% | |
Commercial Mortgage | Senior mortgages | |||
Mortgage Loans on Real Estate [Line Items] | |||
Outstanding Principal | $ 405,968 | $ 988,248 | |
Carrying Value | $ 403,497 | $ 981,202 | 625,900 |
Percentage of Loan Portfolio | 27.60% | 75.60% | |
Commercial Mortgage | Senior Securitized Mortgages | |||
Mortgage Loans on Real Estate [Line Items] | |||
Outstanding Principal | $ 739,058 | $ 0 | |
Carrying Value | $ 733,864 | $ 0 | |
Percentage of Loan Portfolio | 50.10% | 0.00% | |
Mezzanine loans | Commercial Mortgage | |||
Mortgage Loans on Real Estate [Line Items] | |||
Outstanding Principal | $ 329,262 | $ 319,663 | |
Carrying Value | $ 319,465 | $ 315,601 | $ 394,442 |
Percentage of Loan Portfolio | 22.30% | 24.40% |
LOANS - CRE Debt and Preferred
LOANS - CRE Debt and Preferred Equity Investments - Based on Outstanding Principal (Details) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended |
Mar. 31, 2019 | Dec. 31, 2018 | |
Real Estate [Line Items] | ||
Principal payments | $ (66,755) | |
Commercial Mortgage | ||
Real Estate [Line Items] | ||
Net carrying value, beginning balance | 1,296,803 | $ 1,029,327 |
Originations & advances (principal) | 905,673 | 628,177 |
Principal payments | (385) | (353,424) |
Transfers | (738,910) | |
Net (increase) decrease in origination fees | (1,857) | (6,994) |
Amortization of net origination fees | 1,205 | 3,213 |
Allowance for loan losses | (5,703) | (3,496) |
Net carrying value, ending balance | 1,456,826 | 1,296,803 |
Commercial Mortgage | Senior mortgages | ||
Real Estate [Line Items] | ||
Net carrying value, beginning balance | 981,202 | 625,900 |
Originations & advances (principal) | 148,341 | 575,953 |
Principal payments | (385) | (216,849) |
Transfers | (730,235) | |
Net (increase) decrease in origination fees | 3,815 | (6,624) |
Amortization of net origination fees | 759 | 2,822 |
Allowance for loan losses | 0 | 0 |
Net carrying value, ending balance | 403,497 | 981,202 |
Commercial Mortgage | Senior Securitized Mortgages | ||
Real Estate [Line Items] | ||
Net carrying value, beginning balance | 0 | |
Originations & advances (principal) | 739,058 | |
Principal payments | 0 | |
Transfers | 0 | |
Net (increase) decrease in origination fees | (5,488) | |
Amortization of net origination fees | 294 | |
Allowance for loan losses | 0 | |
Net carrying value, ending balance | 733,864 | 0 |
Commercial Mortgage | Preferred equity | ||
Real Estate [Line Items] | ||
Net carrying value, beginning balance | 0 | 8,985 |
Originations & advances (principal) | 0 | 0 |
Principal payments | 0 | (9,000) |
Transfers | 0 | |
Net (increase) decrease in origination fees | 0 | 0 |
Amortization of net origination fees | 0 | 15 |
Allowance for loan losses | 0 | 0 |
Net carrying value, ending balance | 0 | 0 |
Mezzanine loans | Commercial Mortgage | ||
Real Estate [Line Items] | ||
Net carrying value, beginning balance | 315,601 | 394,442 |
Originations & advances (principal) | 18,274 | 52,224 |
Principal payments | 0 | (127,575) |
Transfers | (8,675) | |
Net (increase) decrease in origination fees | (184) | (370) |
Amortization of net origination fees | 152 | 376 |
Allowance for loan losses | (5,703) | (3,496) |
Net carrying value, ending balance | $ 319,465 | $ 315,601 |
LOANS - Internal Loan and Prefe
LOANS - Internal Loan and Preferred Equity Ratings (Details) | 3 Months Ended | 12 Months Ended | ||
Mar. 31, 2019USD ($) | Dec. 31, 2018USD ($) | Mar. 31, 2018USD ($) | Dec. 31, 2018USD ($)loan | |
Real Estate [Line Items] | ||||
Outstanding Principal | $ 106,622,443,000 | $ 96,602,237,000 | $ 96,602,237,000 | |
Loan loss provision recorded during period | 5,703,000 | 3,500,000 | $ 0 | |
Commercial Mortgage | ||||
Real Estate [Line Items] | ||||
Outstanding Principal | $ 1,474,288,000 | $ 1,307,911,000 | $ 1,307,911,000 | |
Percentage of CRE Debt and Preferred Equity Portfolio | 100.00% | 100.00% | 100.00% | |
Performing | $ 882,458,000 | $ 793,842,000 | $ 793,842,000 | |
Performing - Closely Monitored | 332,437,000 | 254,676,000 | 254,676,000 | |
Performing - Special Mention | 151,400,000 | 151,400,000 | 151,400,000 | |
Substandard | 64,390,000 | 100,993,000 | 100,993,000 | |
Doubtful | 43,603,000 | 7,000,000 | 7,000,000 | |
Loss | 0 | 0 | $ 0 | |
Number of rated loans | loan | 1 | |||
Senior mortgages | Commercial Mortgage | ||||
Real Estate [Line Items] | ||||
Outstanding Principal | $ 405,968,000 | $ 988,248,000 | $ 988,248,000 | |
Percentage of CRE Debt and Preferred Equity Portfolio | 27.60% | 75.60% | 75.60% | |
Performing | $ 276,479,000 | $ 653,066,000 | $ 653,066,000 | |
Performing - Closely Monitored | 65,099,000 | 215,792,000 | 215,792,000 | |
Performing - Special Mention | 0 | 55,000,000 | 55,000,000 | |
Substandard | 64,390,000 | 64,390,000 | 64,390,000 | |
Doubtful | 0 | 0 | 0 | |
Loss | 0 | 0 | 0 | |
Senior Securitized Mortgages | Commercial Mortgage | ||||
Real Estate [Line Items] | ||||
Outstanding Principal | $ 739,058,000 | 0 | 0 | |
Percentage of CRE Debt and Preferred Equity Portfolio | 50.10% | |||
Performing | $ 466,258,000 | |||
Performing - Closely Monitored | 217,800,000 | |||
Performing - Special Mention | 55,000,000 | |||
Substandard | 0 | |||
Doubtful | 0 | |||
Loss | 0 | |||
Mezzanine loans | Commercial Mortgage | ||||
Real Estate [Line Items] | ||||
Outstanding Principal | $ 329,262,000 | $ 319,663,000 | $ 319,663,000 | |
Percentage of CRE Debt and Preferred Equity Portfolio | 22.30% | 24.40% | 24.40% | |
Performing | $ 139,721,000 | $ 140,776,000 | $ 140,776,000 | |
Performing - Closely Monitored | 49,538,000 | 38,884,000 | 38,884,000 | |
Performing - Special Mention | 96,400,000 | 96,400,000 | 96,400,000 | |
Substandard | 0 | 36,603,000 | 36,603,000 | |
Doubtful | 43,603,000 | 7,000,000 | 7,000,000 | |
Loss | $ 0 | $ 0 | $ 0 |
LOANS - Schedule of Industry an
LOANS - Schedule of Industry and Rate Sensitivity (Details) - USD ($) $ in Thousands | Mar. 31, 2019 | Dec. 31, 2018 |
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | $ 1,802,607 | $ 1,887,182 |
Fixed Rate | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 0 | 0 |
Floating Rate | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 1,802,607 | 1,887,182 |
Aircraft and parts | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 41,394 | 41,342 |
Aircraft and parts | Fixed Rate | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 0 | 0 |
Aircraft and parts | Floating Rate | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 41,394 | 41,342 |
Arrangement of transportation of freight & cargo | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 21,715 | 21,632 |
Arrangement of transportation of freight & cargo | Fixed Rate | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 0 | 0 |
Arrangement of transportation of freight & cargo | Floating Rate | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 21,715 | 21,632 |
Coating, engraving and allied services | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 54,532 | 57,223 |
Coating, engraving and allied services | Fixed Rate | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 0 | 0 |
Coating, engraving and allied services | Floating Rate | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 54,532 | 57,223 |
Computer programming, data processing & other computer related services | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 282,060 | 242,185 |
Computer programming, data processing & other computer related services | Fixed Rate | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 0 | 0 |
Computer programming, data processing & other computer related services | Floating Rate | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 282,060 | 242,185 |
Drugs | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 35,926 | 35,882 |
Drugs | Fixed Rate | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 0 | 0 |
Drugs | Floating Rate | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 35,926 | 35,882 |
Electrical work | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 41,598 | 41,760 |
Electrical work | Fixed Rate | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 0 | 0 |
Electrical work | Floating Rate | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 41,598 | 41,760 |
Electronic components & accessories | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 24,083 | 24,059 |
Electronic components & accessories | Fixed Rate | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 0 | 0 |
Electronic components & accessories | Floating Rate | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 24,083 | 24,059 |
Engineering, architectural & surveying | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 109,823 | 80,748 |
Engineering, architectural & surveying | Fixed Rate | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 0 | 0 |
Engineering, architectural & surveying | Floating Rate | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 109,823 | 80,748 |
Grocery stores | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 23,394 | 23,431 |
Grocery stores | Fixed Rate | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 0 | 0 |
Grocery stores | Floating Rate | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 23,394 | 23,431 |
Insurance agents, brokers and services | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 48,661 | 48,942 |
Insurance agents, brokers and services | Fixed Rate | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 0 | 0 |
Insurance agents, brokers and services | Floating Rate | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 48,661 | 48,942 |
Mailing, reproduction, commercial art and photography, and stenographic | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 14,819 | 14,843 |
Mailing, reproduction, commercial art and photography, and stenographic | Fixed Rate | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 0 | 0 |
Mailing, reproduction, commercial art and photography, and stenographic | Floating Rate | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 14,819 | 14,843 |
Management and public relations services | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 312,807 | 487,046 |
Management and public relations services | Fixed Rate | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 0 | 0 |
Management and public relations services | Floating Rate | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 312,807 | 487,046 |
Medical and dental laboratories | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 26,811 | 26,858 |
Medical and dental laboratories | Fixed Rate | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 0 | 0 |
Medical and dental laboratories | Floating Rate | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 26,811 | 26,858 |
Metal cans & shipping containers | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 118,385 | 118,248 |
Metal cans & shipping containers | Fixed Rate | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 0 | 0 |
Metal cans & shipping containers | Floating Rate | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 118,385 | 118,248 |
Miscellaneous business services | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 19,581 | 19,622 |
Miscellaneous business services | Fixed Rate | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 0 | 0 |
Miscellaneous business services | Floating Rate | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 19,581 | 19,622 |
Miscellaneous equipment rental and leasing | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 49,674 | 49,552 |
Miscellaneous equipment rental and leasing | Fixed Rate | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 0 | 0 |
Miscellaneous equipment rental and leasing | Floating Rate | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 49,674 | 49,552 |
Miscellaneous health and allied services, not elsewhere classified | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 69,217 | 56,003 |
Miscellaneous health and allied services, not elsewhere classified | Fixed Rate | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 0 | 0 |
Miscellaneous health and allied services, not elsewhere classified | Floating Rate | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 69,217 | 56,003 |
Miscellaneous plastic products | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 10,037 | 9,953 |
Miscellaneous plastic products | Fixed Rate | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 0 | 0 |
Miscellaneous plastic products | Floating Rate | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 10,037 | 9,953 |
Motor vehicles and motor vehicle equipment | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 16,417 | 16,563 |
Motor vehicles and motor vehicle equipment | Fixed Rate | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 0 | 0 |
Motor vehicles and motor vehicle equipment | Floating Rate | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 16,417 | 16,563 |
Motor vehicles and motor vehicle parts and supplies | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 28,984 | 29,046 |
Motor vehicles and motor vehicle parts and supplies | Fixed Rate | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 0 | 0 |
Motor vehicles and motor vehicle parts and supplies | Floating Rate | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 28,984 | 29,046 |
Nonferrous foundries (castings) | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 12,933 | 12,948 |
Nonferrous foundries (castings) | Fixed Rate | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 0 | 0 |
Nonferrous foundries (castings) | Floating Rate | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 12,933 | 12,948 |
Offices and clinics of doctors of medicine | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 97,841 | 97,877 |
Offices and clinics of doctors of medicine | Fixed Rate | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 0 | 0 |
Offices and clinics of doctors of medicine | Floating Rate | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 97,841 | 97,877 |
Offices of clinics and other health practitioners | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 21,051 | 21,100 |
Offices of clinics and other health practitioners | Fixed Rate | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 0 | 0 |
Offices of clinics and other health practitioners | Floating Rate | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 21,051 | 21,100 |
Public warehousing and storage | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 97,245 | 84,278 |
Public warehousing and storage | Fixed Rate | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 0 | 0 |
Public warehousing and storage | Floating Rate | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 97,245 | 84,278 |
Research, development and testing services | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 45,676 | 33,381 |
Research, development and testing services | Fixed Rate | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 0 | 0 |
Research, development and testing services | Floating Rate | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 45,676 | 33,381 |
Schools and educational services, not elsewhere classified | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 19,809 | 19,805 |
Schools and educational services, not elsewhere classified | Fixed Rate | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 0 | 0 |
Schools and educational services, not elsewhere classified | Floating Rate | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 19,809 | 19,805 |
Services allied with the exchange of securities | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 0 | 14,877 |
Services allied with the exchange of securities | Fixed Rate | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 0 | 0 |
Services allied with the exchange of securities | Floating Rate | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 0 | 14,877 |
Surgical, medical, and dental instruments and supplies | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 96,768 | 96,607 |
Surgical, medical, and dental instruments and supplies | Fixed Rate | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 0 | 0 |
Surgical, medical, and dental instruments and supplies | Floating Rate | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 96,768 | 96,607 |
Telephone communications | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 61,366 | 61,371 |
Telephone communications | Fixed Rate | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 0 | 0 |
Telephone communications | Floating Rate | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | $ 61,366 | $ 61,371 |
LOANS - Aggregate Positions in
LOANS - Aggregate Positions in Capital Structure of Borrowers (Details) - USD ($) $ in Thousands | Mar. 31, 2019 | Dec. 31, 2018 |
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | $ 1,802,607 | $ 1,887,182 |
First lien loans | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 1,232,524 | 1,346,356 |
Second lien loans | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | $ 570,083 | $ 540,826 |
MORTGAGE SERVICING RIGHTS - Pre
MORTGAGE SERVICING RIGHTS - Presentation of Activity Related to MSR (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2019 | Mar. 31, 2018 | |
Servicing Asset at Fair Value, Amount [Roll Forward] | ||
Fair value, beginning of period | $ 557,813 | $ 580,860 |
Changes in valuation inputs or assumptions | (43,089) | 36,674 |
Other changes, including realization of expected cash flows | (13,979) | (21,156) |
Fair value, end of period | $ 500,745 | $ 596,378 |
MORTGAGE SERVICING RIGHTS - Add
MORTGAGE SERVICING RIGHTS - Additional Information (Details) - USD ($) $ in Millions | 3 Months Ended | |
Mar. 31, 2019 | Mar. 31, 2018 | |
Transfers and Servicing [Abstract] | ||
Service income fee | $ 27.8 | $ 28.5 |
VARIABLE INTEREST ENTITIES - Ad
VARIABLE INTEREST ENTITIES - Additional Information (Details) - USD ($) | 1 Months Ended | 3 Months Ended | |||||||||
Aug. 31, 2017 | Mar. 31, 2019 | Mar. 31, 2018 | Feb. 28, 2019 | Jan. 31, 2019 | Dec. 31, 2018 | Oct. 31, 2018 | Jul. 31, 2018 | Jul. 31, 2017 | |||
Variable Interest Entity [Line Items] | |||||||||||
Residential mortgages loans | [1] | $ 3,879,324,000 | $ 4,585,975,000 | [2] | |||||||
Other secured financings | 4,144,623,000 | 4,183,311,000 | [2] | ||||||||
Securitized debt of consolidated VIEs | 3,693,766,000 | 3,347,062,000 | [2] | ||||||||
Securities (includes pledged assets of $95,845,559 and $87,193,316, respectively) (3) | [3] | 104,993,271,000 | 92,623,788,000 | [2] | |||||||
Costs incurred in connection with securitization | 83,737,000 | $ 62,510,000 | |||||||||
Pingora | |||||||||||
Variable Interest Entity [Line Items] | |||||||||||
Variable interest entity, ownership percentage | 100.00% | ||||||||||
Consolidated VIEs | |||||||||||
Variable Interest Entity [Line Items] | |||||||||||
Exposure to obligations of VIEs | 2,100,000,000 | ||||||||||
Consolidated VIEs | Consolidation, Eliminations | |||||||||||
Variable Interest Entity [Line Items] | |||||||||||
Securities (includes pledged assets of $95,845,559 and $87,193,316, respectively) (3) | 246,600,000 | 224,300,000 | |||||||||
Consolidated VIEs | NLY 2019-FL2 | |||||||||||
Variable Interest Entity [Line Items] | |||||||||||
Mortgage loans, unpaid principal balance | 739,100,000 | ||||||||||
Residential mortgages loans | $ 857,300,000 | ||||||||||
Securitized debt of consolidated VIEs | 629,000,000 | ||||||||||
Contractual principal amount of debt held by third parties | 628,900,000 | ||||||||||
Costs incurred in connection with securitization | 8,300,000 | ||||||||||
Consolidated VIEs | NLY 2019-FL2 | Consolidation, Eliminations | |||||||||||
Variable Interest Entity [Line Items] | |||||||||||
Securities (includes pledged assets of $95,845,559 and $87,193,316, respectively) (3) | 0 | ||||||||||
Consolidated VIEs | OBX Trust | |||||||||||
Variable Interest Entity [Line Items] | |||||||||||
Residential mortgages loans | 327,500,000 | $ 394,000,000 | $ 384,000,000 | $ 383,400,000 | |||||||
Securitized debt of consolidated VIEs | 966,400,000 | ||||||||||
Contractual principal amount of debt held by third parties | 963,400,000 | ||||||||||
Costs incurred in connection with securitization | 1,700,000 | $ 1,500,000 | |||||||||
Consolidated VIEs | OBX Trust | Consolidation, Eliminations | |||||||||||
Variable Interest Entity [Line Items] | |||||||||||
Securities (includes pledged assets of $95,845,559 and $87,193,316, respectively) (3) | 363,000,000 | ||||||||||
CMBS Securitization Trust | Consolidated VIEs | Collateralized Mortgage Backed Securities | |||||||||||
Variable Interest Entity [Line Items] | |||||||||||
Commitments to purchase subordinated tranche in securitization trust | 94,000,000 | ||||||||||
Commercial Trusts | Consolidated VIEs | |||||||||||
Variable Interest Entity [Line Items] | |||||||||||
Mortgage loans, unpaid principal balance | 2,200,000,000 | ||||||||||
Residential mortgages loans | 0 | 0 | |||||||||
Gain (Loss) attributable to instrument- specific credit risk | 0 | ||||||||||
Other secured financings | 0 | 0 | |||||||||
Commercial Trusts | Consolidated VIEs | 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 | ||||||||||
Residential Trusts | Consolidated VIEs | |||||||||||
Variable Interest Entity [Line Items] | |||||||||||
Residential mortgages loans | 0 | 0 | |||||||||
Other secured financings | 0 | $ 0 | |||||||||
Contractual principal amount of debt held by third parties | 82,800,000 | ||||||||||
Borrower | |||||||||||
Variable Interest Entity [Line Items] | |||||||||||
Credit facility, maximum borrowing capacity | 400,000,000 | ||||||||||
Other secured financings | 350,100,000 | ||||||||||
Borrower | Consolidation, Eliminations | |||||||||||
Variable Interest Entity [Line Items] | |||||||||||
Intercompany receivable | 350,100,000 | ||||||||||
Borrower | Corporate debt held for sale, net | |||||||||||
Variable Interest Entity [Line Items] | |||||||||||
Transferred loans pledged as collateral for credit facility | 555,400,000 | ||||||||||
Borrower | July 2017 Credit Facility | Consolidated VIEs | |||||||||||
Variable Interest Entity [Line Items] | |||||||||||
Credit facility, maximum borrowing capacity | $ 150,000,000 | ||||||||||
Borrower | July 2017 Credit Facility | Consolidated VIEs | Corporate debt held for sale, net | |||||||||||
Variable Interest Entity [Line Items] | |||||||||||
Transferred loans pledged as collateral for credit facility | 233,800,000 | ||||||||||
Other secured financings | $ 148,500,000 | ||||||||||
Borrower | January 2019 Credit Facility | Consolidated VIEs | |||||||||||
Variable Interest Entity [Line Items] | |||||||||||
Credit facility, maximum borrowing capacity | $ 200,000,000 | ||||||||||
[1] | (4) Includes $101.3 million and $97.5 million of residential mortgage loans held for sale, $42.0 million and $42.2 million of commercial mortgage loans held for sale and $44.5 million and $0 of corporate loans held for sale at March 31, 2019 and December 31, 2018, respectively. | ||||||||||
[2] | (1) Derived from the audited consolidated financial statements at December 31, 2018. | ||||||||||
[3] | (3) Excludes $273.4 million and $83.6 million at March 31, 2019 and December 31, 2018, respectively, of non-Agency mortgage-backed securities and $246.6 million and $224.3 million at March 31, 2019 and December 31, 2018, respectively, of commercial mortgage-backed securities in consolidated VIEs pledged as collateral and eliminated from the Company’s Consolidated Statements of Financial Condition. |
VARIABLE INTEREST ENTITIES - St
VARIABLE INTEREST ENTITIES - Statement of Financial Condition of VIEs Reflected in Consolidated Statements of Financial Condition (Details) - USD ($) $ in Thousands | Mar. 31, 2019 | Dec. 31, 2018 | ||
Assets | ||||
Cash and cash equivalents | [1] | $ 1,522,605 | $ 1,735,749 | [2] |
Residential mortgages loans | [3] | 3,879,324 | 4,585,975 | [2] |
Assets transferred or pledged to securitization vehicles | 4,365,300 | 3,833,200 | [2] | |
Mortgage servicing rights | 500,745 | 557,813 | [2] | |
Interest receivable | 390,930 | 357,365 | [2] | |
Other assets | 441,706 | 333,988 | [2] | |
Total assets | 119,172,549 | 105,787,527 | [2] | |
Liabilities | ||||
Other secured financing | 4,144,623 | 4,183,311 | [2] | |
Interest payable | 424,391 | 570,928 | [2] | |
Other liabilities | 89,982 | 74,580 | [2] | |
Total liabilities | 103,391,105 | 91,669,726 | [2] | |
Consolidated VIEs | ||||
Assets | ||||
Cash and cash equivalents | 40,700 | 30,400 | ||
Consolidated VIEs | Commercial Trusts | ||||
Assets | ||||
Cash and cash equivalents | 0 | 0 | ||
Residential mortgages loans | 0 | 0 | ||
Assets transferred or pledged to securitization vehicles | 2,205,768 | 2,738,369 | ||
Mortgage servicing rights | 0 | 0 | ||
Interest receivable | 11,269 | 11,451 | ||
Derivative assets | 0 | |||
Other assets | 0 | 0 | ||
Total assets | 2,217,037 | 2,749,820 | ||
Liabilities | ||||
Debt issued by securitization vehicles (non-recourse) | 2,016,202 | 2,509,264 | ||
Other secured financing | 0 | 0 | ||
Payable for unsettled trades | 0 | |||
Interest payable | 4,334 | 4,594 | ||
Other liabilities | 0 | 0 | ||
Total liabilities | 2,020,536 | 2,513,858 | ||
Consolidated VIEs | Residential Trusts | ||||
Assets | ||||
Cash and cash equivalents | 0 | 0 | ||
Residential mortgages loans | 0 | 0 | ||
Assets transferred or pledged to securitization vehicles | 101,994 | 105,003 | ||
Mortgage servicing rights | 0 | 0 | ||
Interest receivable | 540 | 539 | ||
Derivative assets | 0 | |||
Other assets | 0 | 4 | ||
Total assets | 102,534 | 105,546 | ||
Liabilities | ||||
Debt issued by securitization vehicles (non-recourse) | 82,220 | 71,324 | ||
Other secured financing | 0 | 0 | ||
Payable for unsettled trades | 0 | |||
Interest payable | 196 | 238 | ||
Other liabilities | 179 | 0 | ||
Total liabilities | 82,595 | 71,562 | ||
Consolidated VIEs | MSR Silo | ||||
Assets | ||||
Cash and cash equivalents | 40,714 | 30,444 | ||
Residential mortgages loans | 101,344 | 97,464 | ||
Assets transferred or pledged to securitization vehicles | 0 | 0 | ||
Mortgage servicing rights | 500,744 | 557,813 | ||
Interest receivable | 0 | 0 | ||
Derivative assets | 15 | |||
Other assets | 27,290 | 28,756 | ||
Total assets | 670,107 | 714,477 | ||
Liabilities | ||||
Debt issued by securitization vehicles (non-recourse) | 0 | 0 | ||
Other secured financing | 57,667 | 68,385 | ||
Payable for unsettled trades | 15,924 | |||
Interest payable | 0 | 0 | ||
Other liabilities | 1,736 | 1,975 | ||
Total liabilities | 75,327 | 70,360 | ||
Residential Mortgage | ||||
Assets | ||||
Residential mortgages loans | 101,300 | $ 97,500 | ||
Total assets | $ 1,300,000 | |||
[1] | (2) Includes cash of consolidated Variable Interest Entities (“VIEs”) of $40.7 million and $30.4 million at March 31, 2019 and December 31, 2018, respectively. | |||
[2] | (1) Derived from the audited consolidated financial statements at December 31, 2018. | |||
[3] | (4) Includes $101.3 million and $97.5 million of residential mortgage loans held for sale, $42.0 million and $42.2 million of commercial mortgage loans held for sale and $44.5 million and $0 of corporate loans held for sale at March 31, 2019 and December 31, 2018, respectively. |
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 | 3 Months Ended |
Mar. 31, 2019USD ($) | |
Commercial Trusts | |
Concentration Risk [Line Items] | |
Principal Balance | $ 3,050,513 |
Commercial Trusts | Texas | |
Concentration Risk [Line Items] | |
Principal Balance | 546,190 |
Commercial Trusts | California | |
Concentration Risk [Line Items] | |
Principal Balance | 461,478 |
Commercial Trusts | Maryland | |
Concentration Risk [Line Items] | |
Principal Balance | 407,266 |
Commercial Trusts | Maryland | |
Concentration Risk [Line Items] | |
Principal Balance | 349,921 |
Commercial Trusts | Pennsylvania | |
Concentration Risk [Line Items] | |
Principal Balance | 280,201 |
Commercial Trusts | Other | |
Concentration Risk [Line Items] | |
Principal Balance | $ 1,005,457 |
Commercial Trusts | Securitized Loans | Geographic Concentration Risk | |
Concentration Risk [Line Items] | |
% of Balance | 100.00% |
Commercial Trusts | Securitized Loans | Geographic Concentration Risk | Texas | |
Concentration Risk [Line Items] | |
% of Balance | 17.90% |
Commercial Trusts | Securitized Loans | Geographic Concentration Risk | California | |
Concentration Risk [Line Items] | |
% of Balance | 15.10% |
Commercial Trusts | Securitized Loans | Geographic Concentration Risk | Maryland | |
Concentration Risk [Line Items] | |
% of Balance | 13.40% |
Commercial Trusts | Securitized Loans | Geographic Concentration Risk | Maryland | |
Concentration Risk [Line Items] | |
% of Balance | 11.50% |
Commercial Trusts | Securitized Loans | Geographic Concentration Risk | Pennsylvania | |
Concentration Risk [Line Items] | |
% of Balance | 9.20% |
Commercial Trusts | Securitized Loans | Geographic Concentration Risk | Other | |
Concentration Risk [Line Items] | |
% of Balance | 32.90% |
Residential Trusts | |
Concentration Risk [Line Items] | |
Principal Balance | $ 101,267 |
Residential Trusts | Texas | |
Concentration Risk [Line Items] | |
Principal Balance | 13,261 |
Residential Trusts | California | |
Concentration Risk [Line Items] | |
Principal Balance | 45,023 |
Residential Trusts | Other | |
Concentration Risk [Line Items] | |
Principal Balance | 23,155 |
Residential Trusts | Washington | |
Concentration Risk [Line Items] | |
Principal Balance | 7,466 |
Residential Trusts | Illinois | |
Concentration Risk [Line Items] | |
Principal Balance | 7,197 |
Residential Trusts | Florida | |
Concentration Risk [Line Items] | |
Principal Balance | $ 5,165 |
Residential Trusts | Securitized Loans | Geographic Concentration Risk | |
Concentration Risk [Line Items] | |
% of Balance | 100.00% |
Residential Trusts | Securitized Loans | Geographic Concentration Risk | Texas | |
Concentration Risk [Line Items] | |
% of Balance | 13.10% |
Residential Trusts | Securitized Loans | Geographic Concentration Risk | California | |
Concentration Risk [Line Items] | |
% of Balance | 44.50% |
Residential Trusts | Securitized Loans | Geographic Concentration Risk | Other | |
Concentration Risk [Line Items] | |
% of Balance | 22.80% |
Residential Trusts | Securitized Loans | Geographic Concentration Risk | Washington | |
Concentration Risk [Line Items] | |
% of Balance | 7.40% |
Residential Trusts | Securitized Loans | Geographic Concentration Risk | Illinois | |
Concentration Risk [Line Items] | |
% of Balance | 7.10% |
Residential Trusts | Securitized Loans | Geographic Concentration Risk | Florida | |
Concentration Risk [Line Items] | |
% of Balance | 5.10% |
REAL ESTATE - Summary of Estima
REAL ESTATE - Summary of Estimated Useful Lives of Assets (Details) | 3 Months Ended |
Mar. 31, 2019 | |
Building and building improvements | Minimum | |
Property, Plant and Equipment [Line Items] | |
Estimated useful lives of assets | 1 year |
Building and building improvements | Maximum | |
Property, Plant and Equipment [Line Items] | |
Estimated useful lives of assets | 44 years |
Furniture, fixtures and equipment | Minimum | |
Property, Plant and Equipment [Line Items] | |
Estimated useful lives of assets | 1 year |
Furniture, fixtures and equipment | Maximum | |
Property, Plant and Equipment [Line Items] | |
Estimated useful lives of assets | 4 years |
REAL ESTATE - Additional Inform
REAL ESTATE - Additional Information (Details) | 3 Months Ended | 12 Months Ended | ||
Mar. 31, 2019USD ($) | Mar. 31, 2018USD ($) | Dec. 31, 2018USD ($)property | Dec. 31, 2017USD ($) | |
Real Estate Properties [Line Items] | ||||
Real estate acquired in settlement of residential mortgage loans | $ 0 | $ 0 | ||
Number of commercial real estate acquired (property) | property | 0 | |||
Proceeds from sales of real estate | $ 6,661,000 | $ 0 | ||
Gain on sale of real estate | $ 2,700,000 | |||
Weighted average amortization period | 5 years | |||
General and Administrative Expense | ||||
Real Estate Properties [Line Items] | ||||
Depreciation expense | $ 5,800,000 | $ 3,700,000 |
REAL ESTATE - Total Commercial
REAL ESTATE - Total Commercial Real Estate Held for Investments (Details) - USD ($) $ in Thousands | Mar. 31, 2019 | Dec. 31, 2018 | |
Real estate held for investment, at amortized cost | |||
Real estate held for investment, at amortized cost | $ 718,514 | $ 721,664 | |
Less: accumulated depreciation | (72,008) | (67,026) | |
Total real estate held for investment, at amortized cost, net | 646,506 | 654,638 | |
Equity in unconsolidated joint ventures | 87,733 | 84,835 | |
Investments in commercial real estate, net | 734,239 | 739,473 | [1] |
Land | |||
Real estate held for investment, at amortized cost | |||
Real estate held for investment, at amortized cost | 128,114 | 128,742 | |
Buildings and improvements | |||
Real estate held for investment, at amortized cost | |||
Real estate held for investment, at amortized cost | 578,067 | 581,320 | |
Furniture, fixtures and equipment | |||
Real estate held for investment, at amortized cost | |||
Real estate held for investment, at amortized cost | $ 12,333 | $ 11,602 | |
[1] | (1) Derived from the audited consolidated financial statements at December 31, 2018. |
REAL ESTATE - Minimum Future Re
REAL ESTATE - Minimum Future Rentals to be Received on Noncancelable Operating Leases (Details) $ in Thousands | Mar. 31, 2019USD ($) |
Real Estate Properties Base Purchase Price [Abstract] | |
2019 (remaining) | $ 38,061 |
2020 | 45,616 |
2021 | 44,314 |
2022 | 40,459 |
2023 | 37,635 |
Later years | 208,841 |
Total | $ 414,926 |
DERIVATIVE INSTRUMENTS - Additi
DERIVATIVE INSTRUMENTS - Additional Information (Details) $ in Millions | Mar. 31, 2019USD ($) |
Interest rate swaps | |
Derivative [Line Items] | |
Centrally cleared interest rate swaps at fair value, reduction | $ 126 |
DERIVATIVE INSTRUMENTS - Summar
DERIVATIVE INSTRUMENTS - Summary of Fair Value Information about Derivative Assets and Liabilities (Details) - USD ($) | Mar. 31, 2019 | Dec. 31, 2018 | |
Derivatives, Fair Value [Line Items] | |||
Interest rate swaps, at fair value | $ 26,020,000 | $ 48,114,000 | |
Derivative assets | 148,178,000 | 200,503,000 | [1] |
Interest rate swaps, at fair value | 509,485,000 | 420,365,000 | |
Derivative liabilities | 775,980,000 | 889,750,000 | [1] |
Futures contracts | |||
Derivatives, Fair Value [Line Items] | |||
Other derivative assets, at fair value | 357,000 | 0 | |
Derivative assets | 357,000 | ||
Other derivative liabilities, at fair value | 260,354,000 | 462,309,000 | |
Derivative liabilities | 260,354,000 | 462,309,000 | |
Purchase commitments | |||
Derivatives, Fair Value [Line Items] | |||
Other derivative assets, at fair value | 2,434,000 | 844,000 | |
Derivative assets | 2,434,000 | 844,000 | |
Other derivative liabilities, at fair value | 478,000 | 33,000 | |
Derivative liabilities | 478,000 | 33,000 | |
Interest rate swaptions | |||
Derivatives, Fair Value [Line Items] | |||
Other derivative assets, at fair value | 8,250,000 | 7,216,000 | |
Derivative assets | 8,250,000 | 7,216,000 | |
TBA derivatives | |||
Derivatives, Fair Value [Line Items] | |||
Other derivative assets, at fair value | 106,960,000 | 141,688,000 | |
Derivative assets | 106,960,000 | 141,688,000 | |
Other derivative liabilities, at fair value | 5,212,000 | 0 | |
Derivative liabilities | 5,212,000 | ||
Credit derivatives | |||
Derivatives, Fair Value [Line Items] | |||
Other derivative assets, at fair value | 4,157,000 | 2,641,000 | |
Derivative assets | 4,157,000 | 2,641,000 | |
Other derivative liabilities, at fair value | 451,000 | 7,043,000 | |
Derivative liabilities | 451,000 | 7,043,000 | |
Notional amount of derivative assets | 45,000,000 | 30,000,000 | |
Notional | $ 346,000,000 | $ 451,000,000 | |
[1] | (1) Derived from the audited consolidated financial statements at December 31, 2018. |
DERIVATIVE INSTRUMENTS - Summ_2
DERIVATIVE INSTRUMENTS - Summary of Characteristics of Interest Rate Swaps (Details) - USD ($) | 3 Months Ended | 12 Months Ended |
Mar. 31, 2019 | Dec. 31, 2018 | |
Interest rate swaps | ||
Derivative [Line Items] | ||
Current Notional | $ 67,458,400,000 | $ 70,465,700,000 |
Weighted Average Pay Rate | 2.20% | 2.17% |
Weighted Average Receive Rate | 2.66% | 2.68% |
Weighted Average Underlying Years to Maturity | 4 years 9 months 8 days | 4 years 2 months 34 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 | $ 32,201,400,000 | $ 31,900,200,000 |
Weighted Average Pay Rate | 1.93% | 1.84% |
Weighted Average Receive Rate | 2.66% | 2.73% |
Weighted Average Underlying Years to Maturity | 1 year 4 months 46 days | 1 year 2 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 | $ 13,567,000,000 | $ 16,603,200,000 |
Weighted Average Pay Rate | 2.12% | 2.29% |
Weighted Average Receive Rate | 2.63% | 2.70% |
Weighted Average Underlying Years to Maturity | 4 years 2 months 18 days | 4 years 3 months 18 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 | $ 18,112,000,000 | $ 18,060,900,000 |
Weighted Average Pay Rate | 2.52% | 2.57% |
Weighted Average Receive Rate | 2.70% | 2.56% |
Weighted Average Underlying Years to Maturity | 8 years 11 months 10 days | 8 years 7 months 12 days |
Interest rate swaps | Greater than 10 years | ||
Derivative [Line Items] | ||
Derivative Instruments minimum maturity period | 10 years | 10 years |
Current Notional | $ 3,578,000,000 | $ 3,901,400,000 |
Weighted Average Pay Rate | 3.59% | 3.63% |
Weighted Average Receive Rate | 2.58% | 2.59% |
Weighted Average Underlying Years to Maturity | 17 years 9 months 21 days | 17 years 3 months 29 days |
Forward Starting Pay Fixed Swaps | ||
Derivative [Line Items] | ||
Current Notional | $ 0 | $ 0 |
DERIVATIVE INSTRUMENTS - Summ_3
DERIVATIVE INSTRUMENTS - Summary of Swaptions Outstanding (Details) - Interest rate swaptions - Long - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended |
Mar. 31, 2019 | Dec. 31, 2018 | |
Derivative [Line Items] | ||
Current Notional | $ 2,800,000 | $ 4,075,000 |
Weighted Average Underlying Pay Rate | 3.12% | 3.30% |
Weighted Average Underlying Years to Maturity | 10 years 4 months | 10 years 1 month |
Weighted Average Months to Expiration | 6 months 21 days | 3 months 2 days |
DERIVATIVE INSTRUMENTS - Summ_4
DERIVATIVE INSTRUMENTS - Summary of Characteristics of TBA Derivatives (Details) - TBA derivatives - Purchase contracts - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended |
Mar. 31, 2019 | Dec. 31, 2018 | |
Notional | ||
Purchase contracts | $ 15,526,000 | $ 13,803,000 |
Implied Cost Basis | 15,779,271 | 13,823,109 |
Implied Market Value | 15,881,019 | 13,964,797 |
Net Carrying Value | $ 101,748 | $ 141,688 |
DERIVATIVE INSTRUMENTS - Summ_5
DERIVATIVE INSTRUMENTS - Summary of Certain Characteristics of Futures Derivatives (Details) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended | ||
Mar. 31, 2019 | Dec. 31, 2018 | Dec. 31, 2017 | Mar. 31, 2018 | |
Swap equivalent Eurodollar futures contract | 2 Year | ||||
Derivative [Line Items] | ||||
Derivative Instruments, maturity period | 2 years | 2 years | ||
Weighted Average Underlying Years to Maturity | 1 year 11 months 20 days | 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 | $ (1,166,000) | $ (2,500,000) | ||
U.S. Treasury futures | 2 Year | ||||
Derivative [Line Items] | ||||
Weighted Average Underlying Years to Maturity | 1 year 11 months 6 days | |||
U.S. Treasury futures | 2 Year | Long | ||||
Derivative [Line Items] | ||||
Notional | $ 0 | |||
U.S. Treasury futures | 2 Year | Short | ||||
Derivative [Line Items] | ||||
Notional | $ (2,872,400) | |||
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 22 days | 4 years 4 months 22 days | ||
U.S. Treasury futures | 5 Year | Long | ||||
Derivative [Line Items] | ||||
Notional | $ 0 | $ 0 | ||
U.S. Treasury futures | 5 Year | Short | ||||
Derivative [Line Items] | ||||
Notional | $ (6,469,400) | $ (6,359,400) | ||
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 | 6 years 10 months 3 days | 7 years 1 month 7 days | ||
U.S. Treasury futures | 10 Year and Greater | Long | ||||
Derivative [Line Items] | ||||
Notional | $ (109,000) | $ 0 | ||
U.S. Treasury futures | 10 Year and Greater | Short | ||||
Derivative [Line Items] | ||||
Notional | $ (9,589,900) | $ (11,152,600) | ||
Futures contracts | ||||
Derivative [Line Items] | ||||
Weighted Average Underlying Years to Maturity | 4 years 10 months 19 days | 5 years 10 months 10 days | ||
Futures contracts | Long | ||||
Derivative [Line Items] | ||||
Notional | $ (109,000) | $ 0 | ||
Futures contracts | Short | ||||
Derivative [Line Items] | ||||
Notional | $ (21,431,700) | $ (18,678,000) |
DERIVATIVE INSTRUMENTS - Offset
DERIVATIVE INSTRUMENTS - Offsetting of Derivative Assets and Liabilities (Details) - USD ($) $ in Thousands | Mar. 31, 2019 | Dec. 31, 2018 | |
Assets | |||
Derivative assets | $ 148,178 | $ 200,503 | [1] |
Liabilities | |||
Gross Amounts | 775,980 | 889,750 | [1] |
Futures contracts | |||
Assets | |||
Derivative assets | 357 | ||
Amounts Eligible for Offset, Financial Instruments | (33) | ||
Amounts Eligible for Offset, Cash Collateral | 0 | ||
Net Amounts | 324 | ||
Liabilities | |||
Gross Amounts | 260,354 | 462,309 | |
Amounts Eligible for Offset, Financial Instruments | (33) | 0 | |
Amounts Eligible for Offset, Cash Collateral | (260,321) | (462,309) | |
Net Amounts | 0 | 0 | |
Purchase commitments | |||
Assets | |||
Derivative assets | 2,434 | 844 | |
Amounts Eligible for Offset, Financial Instruments | 0 | 0 | |
Amounts Eligible for Offset, Cash Collateral | 0 | 0 | |
Net Amounts | 2,434 | 844 | |
Liabilities | |||
Gross Amounts | 478 | 33 | |
Amounts Eligible for Offset, Financial Instruments | 0 | 0 | |
Amounts Eligible for Offset, Cash Collateral | 0 | 0 | |
Net Amounts | 478 | 33 | |
Interest rate swaps | |||
Assets | |||
Derivative assets | 26,020 | 48,114 | |
Amounts Eligible for Offset, Financial Instruments | (14,498) | (29,308) | |
Amounts Eligible for Offset, Cash Collateral | 0 | 0 | |
Net Amounts | 11,522 | 18,806 | |
Liabilities | |||
Gross Amounts | 509,485 | 420,365 | |
Amounts Eligible for Offset, Financial Instruments | (14,498) | (29,308) | |
Amounts Eligible for Offset, Cash Collateral | (41,756) | (11,856) | |
Net Amounts | 453,231 | 379,201 | |
Interest rate swaptions | |||
Assets | |||
Derivative assets | 8,250 | 7,216 | |
Amounts Eligible for Offset, Financial Instruments | 0 | 0 | |
Amounts Eligible for Offset, Cash Collateral | 0 | 0 | |
Net Amounts | 8,250 | 7,216 | |
TBA derivatives | |||
Assets | |||
Derivative assets | 106,960 | 141,688 | |
Amounts Eligible for Offset, Financial Instruments | (5,212) | 0 | |
Amounts Eligible for Offset, Cash Collateral | 0 | 0 | |
Net Amounts | 101,748 | 141,688 | |
Liabilities | |||
Gross Amounts | 5,212 | ||
Amounts Eligible for Offset, Financial Instruments | (5,212) | ||
Amounts Eligible for Offset, Cash Collateral | 0 | ||
Net Amounts | 0 | ||
Credit derivatives | |||
Assets | |||
Derivative assets | 4,157 | 2,641 | |
Amounts Eligible for Offset, Financial Instruments | (451) | (2,641) | |
Amounts Eligible for Offset, Cash Collateral | 0 | 0 | |
Net Amounts | 3,706 | 0 | |
Liabilities | |||
Gross Amounts | 451 | 7,043 | |
Amounts Eligible for Offset, Financial Instruments | (451) | (2,641) | |
Amounts Eligible for Offset, Cash Collateral | 0 | (4,402) | |
Net Amounts | $ 0 | $ 0 | |
[1] | (1) Derived from the audited consolidated financial statements at December 31, 2018. |
DERIVATIVE INSTRUMENTS - Effect
DERIVATIVE INSTRUMENTS - Effect of Interest Rate Swaps on Consolidated Statements of Comprehensive Income (Loss) (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2019 | Mar. 31, 2018 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | ||
Net Interest Component of Interest Rate Swaps | $ 134,035 | $ (48,160) |
Realized Gains (Losses) on Termination of Interest Rate Swaps | (588,256) | 834 |
Unrealized Gains (Losses) on Interest Rate Swaps | $ (390,556) | $ 977,285 |
DERIVATIVE INSTRUMENTS - Effe_2
DERIVATIVE INSTRUMENTS - Effect of Other Derivative Contracts on the Consolidated Statements of Operations and Comprehensive Income (Loss) (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2019 | Mar. 31, 2018 | |
Derivative [Line Items] | ||
Unrealized Gains (Losses) on Interest Rate Swaps | $ (390,556) | $ 977,285 |
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives | (115,159) | (47,145) |
U.S. Treasury futures | ||
Derivative [Line Items] | ||
Realized Gain (Loss) | (491,741) | 495,013 |
Unrealized Gains (Losses) on Interest Rate Swaps | 202,312 | (328,512) |
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives | (289,429) | 166,501 |
Purchase commitments | ||
Derivative [Line Items] | ||
Realized Gain (Loss) | 0 | 0 |
Unrealized Gains (Losses) on Interest Rate Swaps | 1,145 | 366 |
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives | 1,145 | 366 |
TBA derivatives | ||
Derivative [Line Items] | ||
Realized Gain (Loss) | 213,725 | (277,901) |
Unrealized Gains (Losses) on Interest Rate Swaps | (39,940) | 17,917 |
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives | 173,785 | (259,984) |
Interest rate swaptions | ||
Derivative [Line Items] | ||
Realized Gain (Loss) | (29,992) | (21,434) |
Unrealized Gains (Losses) on Interest Rate Swaps | 19,684 | 67,221 |
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives | (10,308) | 45,787 |
Credit derivatives | ||
Derivative [Line Items] | ||
Realized Gain (Loss) | 2,302 | 1,513 |
Unrealized Gains (Losses) on Interest Rate Swaps | 7,346 | (1,328) |
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives | $ 9,648 | $ 185 |
FAIR VALUE MEASUREMENTS - Estim
FAIR VALUE MEASUREMENTS - Estimated Fair Values of Financial Instruments (Details) - USD ($) $ in Thousands | Mar. 31, 2019 | Dec. 31, 2018 | Mar. 31, 2018 | Dec. 31, 2017 | ||
Assets | ||||||
Securities (includes pledged assets of $95,845,559 and $87,193,316, respectively) (3) | [1] | $ 104,993,271 | $ 92,623,788 | [2] | ||
Mortgage servicing rights | 500,745 | 557,813 | $ 596,378 | $ 580,860 | ||
Assets transferred or pledged to securitization vehicles | 4,365,300 | 3,833,200 | [2] | |||
Interest rate swaps | 26,020 | 48,114 | ||||
Liabilities | ||||||
Interest rate swaps | 509,485 | 420,365 | ||||
Residential Mortgage | ||||||
Assets | ||||||
Residential mortgage loans | 2,737,388 | 2,454,637 | ||||
Level 1 | ||||||
Liabilities | ||||||
Securitized debt of consolidated VIEs | 0 | |||||
Level 2 | ||||||
Liabilities | ||||||
Securitized debt of consolidated VIEs | 3,347,062 | |||||
Level 3 | ||||||
Liabilities | ||||||
Securitized debt of consolidated VIEs | 0 | |||||
Fair Value, Measurements, Recurring | ||||||
Assets | ||||||
Agency mortgage-backed securities | 103,093,526 | 90,752,995 | ||||
Credit risk transfer securities | 607,945 | 552,097 | ||||
Mortgage servicing rights | 500,745 | 557,813 | ||||
Assets transferred or pledged to securitization vehicles | 4,365,300 | 3,833,200 | ||||
Interest rate swaps | 26,020 | 48,114 | ||||
Other derivatives | 122,158 | 152,389 | ||||
Total assets | 111,319,214 | 98,575,110 | ||||
Liabilities | ||||||
Securitized debt of consolidated VIEs | 3,693,766 | 3,347,062 | ||||
Interest rate swaps | 509,485 | 420,365 | ||||
Other derivatives | 266,495 | 469,385 | ||||
Total liabilities | 4,469,746 | 4,236,812 | ||||
Fair Value, Measurements, Recurring | Commercial Securities | ||||||
Assets | ||||||
Securities (includes pledged assets of $95,845,559 and $87,193,316, respectively) (3) | 175,231 | 156,758 | ||||
Fair Value, Measurements, Recurring | Residential Mortgage | ||||||
Assets | ||||||
Residential mortgage loans | 1,311,720 | 1,359,806 | ||||
Fair Value, Measurements, Recurring | Non-Agency Mortgage-backed Securities | ||||||
Assets | ||||||
Securities (includes pledged assets of $95,845,559 and $87,193,316, respectively) (3) | 1,116,569 | 1,161,938 | ||||
Fair Value, Measurements, Recurring | Level 1 | ||||||
Assets | ||||||
Agency mortgage-backed securities | 0 | 0 | ||||
Credit risk transfer securities | 0 | 0 | ||||
Mortgage servicing rights | 0 | 0 | ||||
Assets transferred or pledged to securitization vehicles | 0 | 0 | ||||
Interest rate swaps | 0 | 0 | ||||
Other derivatives | 357 | 0 | ||||
Total assets | 357 | 0 | ||||
Liabilities | ||||||
Securitized debt of consolidated VIEs | 0 | |||||
Interest rate swaps | 0 | 0 | ||||
Other derivatives | 260,354 | 462,309 | ||||
Total liabilities | 260,354 | 462,309 | ||||
Fair Value, Measurements, Recurring | Level 1 | Commercial Securities | ||||||
Assets | ||||||
Securities (includes pledged assets of $95,845,559 and $87,193,316, respectively) (3) | 0 | 0 | ||||
Fair Value, Measurements, Recurring | Level 1 | Residential Mortgage | ||||||
Assets | ||||||
Residential mortgage loans | 0 | 0 | ||||
Fair Value, Measurements, Recurring | Level 1 | Non-Agency Mortgage-backed Securities | ||||||
Assets | ||||||
Securities (includes pledged assets of $95,845,559 and $87,193,316, respectively) (3) | 0 | 0 | ||||
Fair Value, Measurements, Recurring | Level 2 | ||||||
Assets | ||||||
Agency mortgage-backed securities | 103,093,526 | 90,752,995 | ||||
Credit risk transfer securities | 607,945 | 552,097 | ||||
Mortgage servicing rights | 0 | 0 | ||||
Assets transferred or pledged to securitization vehicles | 4,365,300 | 3,833,200 | ||||
Interest rate swaps | 26,020 | 48,114 | ||||
Other derivatives | 121,801 | 152,389 | ||||
Total assets | 110,818,112 | 98,017,297 | ||||
Liabilities | ||||||
Securitized debt of consolidated VIEs | 3,693,766 | |||||
Interest rate swaps | 509,485 | 420,365 | ||||
Other derivatives | 6,141 | 7,076 | ||||
Total liabilities | 4,209,392 | 3,774,503 | ||||
Fair Value, Measurements, Recurring | Level 2 | Commercial Securities | ||||||
Assets | ||||||
Securities (includes pledged assets of $95,845,559 and $87,193,316, respectively) (3) | 175,231 | 156,758 | ||||
Fair Value, Measurements, Recurring | Level 2 | Residential Mortgage | ||||||
Assets | ||||||
Residential mortgage loans | 1,311,720 | 1,359,806 | ||||
Fair Value, Measurements, Recurring | Level 2 | Non-Agency Mortgage-backed Securities | ||||||
Assets | ||||||
Securities (includes pledged assets of $95,845,559 and $87,193,316, respectively) (3) | 1,116,569 | 1,161,938 | ||||
Fair Value, Measurements, Recurring | Level 3 | ||||||
Assets | ||||||
Agency mortgage-backed securities | 0 | 0 | ||||
Credit risk transfer securities | 0 | 0 | ||||
Mortgage servicing rights | 500,745 | 557,813 | ||||
Assets transferred or pledged to securitization vehicles | 0 | 0 | ||||
Interest rate swaps | 0 | 0 | ||||
Other derivatives | 0 | 0 | ||||
Total assets | 500,745 | 557,813 | ||||
Liabilities | ||||||
Securitized debt of consolidated VIEs | 0 | |||||
Interest rate swaps | 0 | 0 | ||||
Other derivatives | 0 | 0 | ||||
Total liabilities | 0 | 0 | ||||
Fair Value, Measurements, Recurring | Level 3 | Commercial Securities | ||||||
Assets | ||||||
Securities (includes pledged assets of $95,845,559 and $87,193,316, respectively) (3) | 0 | 0 | ||||
Fair Value, Measurements, Recurring | Level 3 | Residential Mortgage | ||||||
Assets | ||||||
Residential mortgage loans | 0 | 0 | ||||
Fair Value, Measurements, Recurring | Level 3 | Non-Agency Mortgage-backed Securities | ||||||
Assets | ||||||
Securities (includes pledged assets of $95,845,559 and $87,193,316, respectively) (3) | $ 0 | $ 0 | ||||
[1] | (3) Excludes $273.4 million and $83.6 million at March 31, 2019 and December 31, 2018, respectively, of non-Agency mortgage-backed securities and $246.6 million and $224.3 million at March 31, 2019 and December 31, 2018, respectively, of commercial mortgage-backed securities in consolidated VIEs pledged as collateral and eliminated from the Company’s Consolidated Statements of Financial Condition. | |||||
[2] | (1) Derived from the audited consolidated financial statements at December 31, 2018. |
FAIR VALUE MEASUREMENTS - Infor
FAIR VALUE MEASUREMENTS - Information about Significant Unobservable Inputs Used for Recurring Fair Value Measurements for Level 3 MSRs (Detail) - Fair Value, Measurements, Recurring - Level 3 - Mortgage Servicing Rights - USD ($) | 3 Months Ended | 12 Months Ended |
Mar. 31, 2019 | Dec. 31, 2018 | |
Minimum | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Unobservable input, discount rate | 9.00% | 9.00% |
Unobservable input, prepayment rate | 5.30% | 4.70% |
Unobservable input, delinquency rate | 0.00% | 0.00% |
Unobservable input, cost to service | $ 82 | $ 82 |
Maximum | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Unobservable input, discount rate | 12.00% | 12.00% |
Unobservable input, prepayment rate | 23.60% | 13.90% |
Unobservable input, delinquency rate | 5.00% | 5.00% |
Unobservable input, cost to service | $ 139 | $ 138 |
Weighted Average | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Unobservable input, discount rate | 9.40% | 9.40% |
Unobservable input, prepayment rate | 11.50% | 8.00% |
Unobservable input, delinquency rate | 2.30% | 2.30% |
Unobservable input, cost to service | $ 110 | $ 110 |
FAIR VALUE MEASUREMENTS - Est_2
FAIR VALUE MEASUREMENTS - Estimated Fair Values for All Financial Assets and Liabilities (Detail) - USD ($) $ in Thousands | Mar. 31, 2019 | Dec. 31, 2018 | ||
Financial assets | ||||
Residential mortgages loans | [1] | $ 3,879,324 | $ 4,585,975 | [2] |
Mortgage servicing rights | 500,745 | 557,813 | [2] | |
Interest rate swaps | 26,020 | 48,114 | ||
Financial liabilities | ||||
Other secured financing | 4,144,623 | 4,183,311 | [2] | |
Securitized debt of consolidated VIEs | 3,693,766 | 3,347,062 | [2] | |
Interest rate swaps | 509,485 | 420,365 | ||
Carrying Value | Level 2 | ||||
Financial assets | ||||
Corporate debt | 1,758,082 | 1,887,182 | ||
Corporate debt held for sale, net | 44,525 | 0 | ||
Financial liabilities | ||||
Repurchase agreements | 88,554,170 | 81,115,874 | ||
Other secured financing | 4,144,623 | 4,183,311 | ||
Carrying Value | Level 3 | ||||
Financial assets | ||||
Commercial real estate debt and preferred equity, held for investment | 722,962 | 1,296,803 | ||
Commercial loans held for sale, net | 42,035 | 42,184 | ||
Financial liabilities | ||||
Mortgage payable | 510,386 | 511,056 | ||
Fair Value | Level 2 | ||||
Financial assets | ||||
Corporate debt | 1,742,320 | 1,863,524 | ||
Corporate debt held for sale, net | 44,525 | 0 | ||
Financial liabilities | ||||
Repurchase agreements | 88,554,170 | 81,115,874 | ||
Other secured financing | 4,144,491 | 4,183,805 | ||
Fair Value | Level 3 | ||||
Financial assets | ||||
Commercial real estate debt and preferred equity, held for investment | 726,687 | 1,303,487 | ||
Commercial loans held for sale, net | 42,035 | 42,184 | ||
Financial liabilities | ||||
Mortgage payable | $ 519,748 | $ 507,770 | ||
[1] | (4) Includes $101.3 million and $97.5 million of residential mortgage loans held for sale, $42.0 million and $42.2 million of commercial mortgage loans held for sale and $44.5 million and $0 of corporate loans held for sale at March 31, 2019 and December 31, 2018, respectively. | |||
[2] | (1) Derived from the audited consolidated financial statements at December 31, 2018. |
GOODWILL AND INTANGIBLE ASSET_2
GOODWILL AND INTANGIBLE ASSETS - Additional Information (Details) - USD ($) | Mar. 31, 2019 | Dec. 31, 2018 |
Goodwill and Intangible Assets Disclosure [Abstract] | ||
Goodwill | $ 71,800,000 | $ 71,815,000 |
GOODWILL AND INTANGIBLE ASSET_3
GOODWILL AND INTANGIBLE ASSETS - Summary of Indefinite and Finite-Lived Intangible Assets (Details) $ in Thousands | 3 Months Ended |
Mar. 31, 2019USD ($) | |
Intangible Assets [Roll Forward] | |
Intangible Assets, net beginning of period | $ 29,039 |
Intangible assets divested | (151) |
Less: amortization expense | (2,152) |
Intangible Assets, net end of period | $ 26,736 |
SECURED FINANCING - Additional
SECURED FINANCING - Additional Information (Details) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended | |
Mar. 31, 2019 | Dec. 31, 2018 | ||
Repurchase Agreements: | |||
Repurchase agreements outstanding | $ 88,554,170 | $ 81,115,874 | [1] |
Repurchase agreements - weighted average effective borrowing rates | 2.48% | 2.36% | |
Repurchase agreements - weighted average remaining maturities | 72 days | 77 days | |
Maximum repurchase agreements available under counterparty arrangements | $ 1,100,000 | ||
Commitments available to be drawn | 900,000 | ||
Other secured financing long term, amount | 4,144,623 | $ 4,183,311 | [1] |
Secured financings and interest rate swaps - collateral held, estimated fair value | 98,100,000 | 90,200,000 | |
Secured financings and interest rate swaps - collateral held, accrued interest | 322,700 | 303,100 | |
Fair value of collateral received in reverse repurchase agreements | $ 538,100 | $ 650,000 | |
Minimum | |||
Repurchase Agreements: | |||
Maturity period | 5 years | ||
Maximum | |||
Repurchase Agreements: | |||
Maturity period | 7 years | ||
Maturity Period Beyond Three Years | Period Two | Minimum | |||
Repurchase Agreements: | |||
Maturity period | 1 year | 1 year | |
Maturity Period Beyond Three Years | Period Two | Maximum | |||
Repurchase Agreements: | |||
Maturity period | 3 years | 3 years | |
FHLB De Moines | |||
Repurchase Agreements: | |||
Debt weighted average interest rate | 2.99% | 2.78% | |
Stock held in FHLB | $ 147,900 | $ 147,900 | |
FHLB De Moines | Maturity Period Beyond Three Years | Period One | |||
Repurchase Agreements: | |||
Other secured financing long term, amount | 90,000 | ||
FHLB De Moines | Maturity Period Beyond Three Years | Period Two | |||
Repurchase Agreements: | |||
Other secured financing long term, amount | 3,500,000 | 3,600,000 | |
U.S. Treasury Securities | |||
Repurchase Agreements: | |||
Repurchase agreements outstanding | 640,465 | ||
1 day | |||
Repurchase Agreements: | |||
Repurchase agreements outstanding | 19,083,282 | 0 | |
1 day | U.S. Treasury Securities | |||
Repurchase Agreements: | |||
Repurchase agreements outstanding | 0 | ||
2 to 29 days | |||
Repurchase Agreements: | |||
Repurchase agreements outstanding | 19,107,841 | 32,012,641 | |
2 to 29 days | U.S. Treasury Securities | |||
Repurchase Agreements: | |||
Repurchase agreements outstanding | 640,465 | ||
30 to 59 days | |||
Repurchase Agreements: | |||
Repurchase agreements outstanding | 5,220,636 | 8,164,165 | |
30 to 59 days | U.S. Treasury Securities | |||
Repurchase Agreements: | |||
Repurchase agreements outstanding | 0 | ||
60 to 89 days | |||
Repurchase Agreements: | |||
Repurchase agreements outstanding | 20,762,400 | 18,689,772 | |
60 to 89 days | U.S. Treasury Securities | |||
Repurchase Agreements: | |||
Repurchase agreements outstanding | 0 | ||
90 to 119 days | |||
Repurchase Agreements: | |||
Repurchase agreements outstanding | 1,867,443 | 10,067,183 | |
90 to 119 days | U.S. Treasury Securities | |||
Repurchase Agreements: | |||
Repurchase agreements outstanding | 0 | ||
Over 120 days | |||
Repurchase Agreements: | |||
Repurchase agreements outstanding | $ 22,512,568 | 12,182,113 | |
Over 120 days | U.S. Treasury Securities | |||
Repurchase Agreements: | |||
Repurchase agreements outstanding | $ 0 | ||
[1] | (1) Derived from the audited consolidated financial statements at December 31, 2018. |
SECURED FINANCING - Repurchase
SECURED FINANCING - Repurchase Agreements - Remaining Maturities, Collateral Types and Weighted Average Rate (Details) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended | |||
Mar. 31, 2019 | Mar. 31, 2018 | Dec. 31, 2017 | Dec. 31, 2018 | ||
Repurchase Agreements: | |||||
Repurchase agreements outstanding | $ 88,554,170 | $ 81,115,874 | [1] | ||
Weighted Average Rate | 2.86% | 2.97% | |||
Percentage of total repurchase agreements with remaining maturity of 1 year | 1.00% | 1.00% | 1.00% | ||
CRTs | |||||
Repurchase Agreements: | |||||
Repurchase agreements outstanding | $ 340,426 | $ 373,536 | |||
Non-Agency Mortgage-Backed Securities | |||||
Repurchase Agreements: | |||||
Repurchase agreements outstanding | 797,087 | 721,304 | |||
Commercial Loans | |||||
Repurchase Agreements: | |||||
Repurchase agreements outstanding | 200,040 | 693,939 | |||
Agency Mortgage-Backed Securities | |||||
Repurchase Agreements: | |||||
Repurchase agreements outstanding | 86,939,320 | 78,482,373 | |||
Commercial Mortgage-Backed Securities | |||||
Repurchase Agreements: | |||||
Repurchase agreements outstanding | 277,297 | 204,257 | |||
U.S. Treasury Securities | |||||
Repurchase Agreements: | |||||
Repurchase agreements outstanding | 640,465 | ||||
1 day | |||||
Repurchase Agreements: | |||||
Repurchase agreements outstanding | $ 19,083,282 | $ 0 | |||
Weighted Average Rate | 3.41% | 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 | 19,025,744 | 0 | |||
1 day | Commercial Mortgage-Backed Securities | |||||
Repurchase Agreements: | |||||
Repurchase agreements outstanding | 57,538 | 0 | |||
1 day | U.S. Treasury Securities | |||||
Repurchase Agreements: | |||||
Repurchase agreements outstanding | 0 | ||||
2 to 29 days | |||||
Repurchase Agreements: | |||||
Repurchase agreements outstanding | $ 19,107,841 | $ 32,012,641 | |||
Weighted Average Rate | 2.64% | 3.50% | |||
2 to 29 days | CRTs | |||||
Repurchase Agreements: | |||||
Repurchase agreements outstanding | $ 283,222 | $ 284,906 | |||
2 to 29 days | Non-Agency Mortgage-Backed Securities | |||||
Repurchase Agreements: | |||||
Repurchase agreements outstanding | 438,446 | 353,429 | |||
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 | 18,313,263 | 30,661,001 | |||
2 to 29 days | Commercial Mortgage-Backed Securities | |||||
Repurchase Agreements: | |||||
Repurchase agreements outstanding | 72,910 | 72,840 | |||
2 to 29 days | U.S. Treasury Securities | |||||
Repurchase Agreements: | |||||
Repurchase agreements outstanding | 640,465 | ||||
30 to 59 days | |||||
Repurchase Agreements: | |||||
Repurchase agreements outstanding | $ 5,220,636 | $ 8,164,165 | |||
Weighted Average Rate | 2.68% | 2.33% | |||
30 to 59 days | CRTs | |||||
Repurchase Agreements: | |||||
Repurchase agreements outstanding | $ 0 | $ 0 | |||
30 to 59 days | Non-Agency Mortgage-Backed Securities | |||||
Repurchase Agreements: | |||||
Repurchase agreements outstanding | 0 | 0 | |||
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 | 5,190,135 | 8,164,165 | |||
30 to 59 days | Commercial Mortgage-Backed Securities | |||||
Repurchase Agreements: | |||||
Repurchase agreements outstanding | 30,501 | 0 | |||
30 to 59 days | U.S. Treasury Securities | |||||
Repurchase Agreements: | |||||
Repurchase agreements outstanding | 0 | ||||
60 to 89 days | |||||
Repurchase Agreements: | |||||
Repurchase agreements outstanding | $ 20,762,400 | $ 18,689,772 | |||
Weighted Average Rate | 2.69% | 2.62% | |||
60 to 89 days | CRTs | |||||
Repurchase Agreements: | |||||
Repurchase agreements outstanding | $ 57,204 | $ 88,630 | |||
60 to 89 days | Non-Agency Mortgage-Backed Securities | |||||
Repurchase Agreements: | |||||
Repurchase agreements outstanding | 245,553 | 251,441 | |||
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 | 20,414,594 | 18,326,399 | |||
60 to 89 days | Commercial Mortgage-Backed Securities | |||||
Repurchase Agreements: | |||||
Repurchase agreements outstanding | 45,049 | 23,302 | |||
60 to 89 days | U.S. Treasury Securities | |||||
Repurchase Agreements: | |||||
Repurchase agreements outstanding | 0 | ||||
90 to 119 days | |||||
Repurchase Agreements: | |||||
Repurchase agreements outstanding | $ 1,867,443 | $ 10,067,183 | |||
Weighted Average Rate | 2.70% | 2.54% | |||
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 | 1,867,443 | 10,067,183 | |||
90 to 119 days | Commercial Mortgage-Backed Securities | |||||
Repurchase Agreements: | |||||
Repurchase agreements outstanding | 0 | 0 | |||
90 to 119 days | U.S. Treasury Securities | |||||
Repurchase Agreements: | |||||
Repurchase agreements outstanding | 0 | ||||
Over 120 days | |||||
Repurchase Agreements: | |||||
Repurchase agreements outstanding | $ 22,512,568 | $ 12,182,113 | |||
Weighted Average Rate | 2.77% | 2.92% | |||
Over 120 days | CRTs | |||||
Repurchase Agreements: | |||||
Repurchase agreements outstanding | $ 0 | $ 0 | |||
Over 120 days | Non-Agency Mortgage-Backed Securities | |||||
Repurchase Agreements: | |||||
Repurchase agreements outstanding | 113,088 | 116,434 | |||
Over 120 days | Commercial Loans | |||||
Repurchase Agreements: | |||||
Repurchase agreements outstanding | 200,040 | 693,939 | |||
Over 120 days | Agency Mortgage-Backed Securities | |||||
Repurchase Agreements: | |||||
Repurchase agreements outstanding | 22,128,141 | 11,263,625 | |||
Over 120 days | Commercial Mortgage-Backed Securities | |||||
Repurchase Agreements: | |||||
Repurchase agreements outstanding | $ 71,299 | 108,115 | |||
Over 120 days | U.S. Treasury Securities | |||||
Repurchase Agreements: | |||||
Repurchase agreements outstanding | $ 0 | ||||
[1] | (1) Derived from the audited consolidated financial statements at December 31, 2018. |
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 | 3 Months Ended | 12 Months Ended | |
Mar. 31, 2019 | Dec. 31, 2018 | ||
Debt Disclosure [Abstract] | |||
Gross amounts -reverse repurchase agreements | $ 2,123,449 | $ 650,040 | |
Amounts offset - reverse repurchase agreement | (1,600,000) | 0 | |
Reverse repurchase agreements | 523,449 | 650,040 | [1] |
Gross amounts -repurchase agreement | 90,154,170 | 81,115,874 | |
Amounts offset -repurchase agreement | (1,600,000) | 0 | |
Repurchase agreements outstanding | $ 88,554,170 | $ 81,115,874 | [1] |
[1] | (1) Derived from the audited consolidated financial statements at December 31, 2018. |
SECURED FINANCING - Mortgage Lo
SECURED FINANCING - Mortgage Loans Payable (Details) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended |
Mar. 31, 2019 | Dec. 31, 2018 | |
Debt Instrument [Line Items] | ||
Variable interest rate | 90.00% | 88.00% |
Commercial Mortgage Loan | ||
Debt Instrument [Line Items] | ||
Long-term debt, gross | $ 510,386 | $ 511,056 |
Debt instrument face amount | 516,113 | 516,834 |
Joint Ventures | Commercial Mortgage Loan | ||
Debt Instrument [Line Items] | ||
Long-term debt, gross | 316,380 | 316,275 |
Debt instrument face amount | $ 318,664 | $ 318,664 |
Joint Ventures | Commercial Mortgage Loan | Minimum | ||
Debt Instrument [Line Items] | ||
Interest rate | 4.03% | 4.03% |
Joint Ventures | Commercial Mortgage Loan | Maximum | ||
Debt Instrument [Line Items] | ||
Interest rate | 4.96% | 4.96% |
Joint Ventures | Commercial Mortgage Loan | LIBOR | ||
Debt Instrument [Line Items] | ||
Long-term debt, gross | $ 16,125 | $ 16,125 |
Debt instrument face amount | $ 16,125 | $ 16,125 |
Variable interest rate | 2.75% | 2.75% |
Maryland | Commercial Mortgage Loan | ||
Debt Instrument [Line Items] | ||
Long-term debt, gross | $ 95,364 | $ 95,827 |
Debt instrument face amount | $ 97,187 | $ 97,667 |
Maryland | Commercial Mortgage Loan | Minimum | ||
Debt Instrument [Line Items] | ||
Interest rate | 2.34% | 2.75% |
Maryland | Commercial Mortgage Loan | Maximum | ||
Debt Instrument [Line Items] | ||
Interest rate | 4.53% | 4.96% |
Texas | Commercial Mortgage Loan | ||
Debt Instrument [Line Items] | ||
Long-term debt, gross | $ 32,060 | $ 32,189 |
Debt instrument face amount | $ 33,597 | $ 33,735 |
Interest rate | 3.28% | 3.28% |
Utah | Commercial Mortgage Loan | ||
Debt Instrument [Line Items] | ||
Long-term debt, gross | $ 9,744 | $ 9,703 |
Debt instrument face amount | $ 9,706 | $ 9,706 |
Interest rate | 3.69% | 3.69% |
Utah | Commercial Mortgage Loan | LIBOR | ||
Debt Instrument [Line Items] | ||
Long-term debt, gross | $ 7,156 | $ 7,279 |
Debt instrument face amount | $ 7,175 | $ 7,201 |
Variable interest rate | 3.50% | 3.50% |
Minnesota | Commercial Mortgage Loan | ||
Debt Instrument [Line Items] | ||
Long-term debt, gross | $ 13,390 | $ 13,438 |
Debt instrument face amount | $ 13,425 | $ 13,473 |
Interest rate | 3.69% | 3.69% |
Tennessee | Commercial Mortgage Loan | ||
Debt Instrument [Line Items] | ||
Long-term debt, gross | $ 12,303 | $ 12,328 |
Debt instrument face amount | $ 12,350 | $ 12,350 |
Interest rate | 4.01% | 4.01% |
Wisconsin | Commercial Mortgage Loan | ||
Debt Instrument [Line Items] | ||
Long-term debt, gross | $ 7,864 | $ 7,892 |
Debt instrument face amount | $ 7,884 | $ 7,913 |
Interest rate | 3.69% | 3.69% |
SECURED FINANCING - Future Mort
SECURED FINANCING - Future Mortgage Loan Principal Payments (Details) $ in Thousands | Mar. 31, 2019USD ($) |
Debt Disclosure [Abstract] | |
2019 (remaining) | $ 25,680 |
2020 | 29,113 |
2021 | 3,490 |
2022 | 3,708 |
2023 | 3,843 |
Later years | 450,279 |
Total | $ 516,113 |
CAPITAL STOCK - Additional Info
CAPITAL STOCK - Additional Information (Details) - USD ($) $ / shares in Units, $ in Millions | Sep. 07, 2018 | Jan. 31, 2018 | Mar. 31, 2019 | Mar. 31, 2018 | Dec. 31, 2018 |
Class of Stock [Line Items] | |||||
Options exercised under incentive plans (in shares) | 0 | 0 | |||
Preferred Stock, par value (in dollars per share) | $ 0.01 | $ 0.01 | |||
Preferred stock, redemption price (in dollars per share) | $ 25 | ||||
Preferred Stock, shares issued (in shares) | 73,400,000 | 73,400,000 | |||
6.50% Series G Cumulative Redeemable Preferred Stock | |||||
Class of Stock [Line Items] | |||||
Preferred Stock, shares issued (in shares) | 17,000,000 | 17,000,000 | 17,000,000 | ||
Preferred stock dividend rate, percentage | 6.50% | 6.50% | |||
Net proceeds from issuances of preferred stock | $ 425 | ||||
7.625% Series C Cumulative Redeemable Preferred Stock | |||||
Class of Stock [Line Items] | |||||
Preferred Stock, shares issued (in shares) | 7,000,000 | 7,000,000 | |||
Preferred stock dividend rate, percentage | 7.625% | ||||
Preferred stock redeemed (in shares) | 5,000,000 | ||||
Redemption of preferred stock | $ 125 | ||||
7.625% Series E Cumulative Redeemable Preferred Stock | |||||
Class of Stock [Line Items] | |||||
Preferred stock redeemed (in shares) | 11,500,000 | ||||
Redemption of preferred stock | $ 287.5 | ||||
6.95% Series F Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | |||||
Class of Stock [Line Items] | |||||
Preferred Stock, shares issued (in shares) | 28,800,000 | 28,800,000 | |||
Preferred stock dividend rate, percentage | 6.95% | ||||
8.125% Series H Cumulative Redeemable Preferred Stock | |||||
Class of Stock [Line Items] | |||||
Preferred Stock, shares issued (in shares) | 2,200,000 | 2,200,000 | |||
Preferred stock dividend rate, percentage | 8.125% | ||||
Public Offering | |||||
Class of Stock [Line Items] | |||||
Sale of stock, shares issued (in shares) | 75,000,000 | ||||
Proceeds from sale of stock | $ 730.5 | ||||
Over-Allotment Option | |||||
Class of Stock [Line Items] | |||||
Sale of stock, shares issued (in shares) | 11,300,000 | ||||
Proceeds from sale of stock | $ 109.6 | ||||
Option to purchase additional shares, period | 30 days | ||||
At-the-market Sale Program | |||||
Class of Stock [Line Items] | |||||
Sale of stock, shares issued (in shares) | 48,000,000 | ||||
Proceeds from sale of stock | $ 489 | ||||
Aggregate stock offering price | $ 1,500 | ||||
Mountain Merger Sub Corporation | |||||
Class of Stock [Line Items] | |||||
Shares issued as part of the consideration for asset acquisition (in shares) | 43,600,000 | ||||
Mountain Merger Sub Corporation | 8.125% Series H Cumulative Redeemable Preferred Stock | |||||
Class of Stock [Line Items] | |||||
Preferred Stock, par value (in dollars per share) | $ 0.01 |
CAPITAL STOCK - Schedule of Com
CAPITAL STOCK - Schedule of Common Stock (Details) - $ / shares | Mar. 31, 2019 | Dec. 31, 2018 |
Equity [Abstract] | ||
Common stock, shares authorized (in shares) | 1,924,050,000 | 1,924,050,000 |
Common stock, shares issued (in shares) | 1,448,103,248 | 1,313,763,450 |
Common stock, par value (in dollars per share) | $ 0.01 | $ 0.01 |
CAPITAL STOCK - Summary of Divi
CAPITAL STOCK - Summary of Dividend Reinvestment Plan (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2019 | Mar. 31, 2018 | |
Equity [Abstract] | ||
Shares issued through direct purchase and dividend reinvestment program (in shares) | 87,000 | 70,000 |
Amount raised from direct purchase and dividend reinvestment program | $ 892 | $ 746 |
CAPITAL STOCK - Schedule of Pre
CAPITAL STOCK - Schedule of Preferred Stock (Details) - USD ($) $ in Thousands | 3 Months Ended | |||
Mar. 31, 2019 | Mar. 31, 2018 | Dec. 31, 2018 | ||
Class of Stock [Line Items] | ||||
Preferred Stock, shares authorized (in shares) | 75,950,000 | 75,950,000 | ||
Preferred Stock, shares issued (in shares) | 73,400,000 | 73,400,000 | ||
Preferred Stock, shares outstanding (in shares) | 73,400,000 | 73,400,000 | ||
Preferred Stock, carrying value | $ 1,778,168 | $ 1,778,168 | [1] | |
Series C Preferred Stock | ||||
Class of Stock [Line Items] | ||||
Preferred Stock, shares authorized (in shares) | 7,000,000 | 7,000,000 | ||
Preferred Stock, shares issued (in shares) | 7,000,000 | 7,000,000 | ||
Preferred Stock, shares outstanding (in shares) | 7,000,000 | 7,000,000 | ||
Preferred Stock, carrying value | $ 169,466 | $ 169,466 | ||
Preferred Stock,, contractual rate | 7.625% | |||
Series D Preferred Stock | ||||
Class of Stock [Line Items] | ||||
Preferred Stock, shares authorized (in shares) | 18,400,000 | 18,400,000 | ||
Preferred Stock, shares issued (in shares) | 18,400,000 | 18,400,000 | ||
Preferred Stock, shares outstanding (in shares) | 18,400,000 | 18,400,000 | ||
Preferred Stock, carrying value | $ 445,457 | $ 445,457 | ||
Preferred Stock,, contractual rate | 7.50% | |||
Series H Preferred Stock | ||||
Class of Stock [Line Items] | ||||
Preferred Stock, shares authorized (in shares) | 2,200,000 | 2,200,000 | ||
Preferred Stock, shares issued (in shares) | 2,200,000 | 2,200,000 | ||
Preferred Stock, shares outstanding (in shares) | 2,200,000 | 2,200,000 | ||
Preferred Stock, carrying value | $ 55,000 | $ 55,000 | ||
Preferred Stock,, contractual rate | 8.125% | |||
Series F Preferred Stock | ||||
Class of Stock [Line Items] | ||||
Preferred Stock, shares authorized (in shares) | 28,800,000 | 28,800,000 | ||
Preferred Stock, shares issued (in shares) | 28,800,000 | 28,800,000 | ||
Preferred Stock, shares outstanding (in shares) | 28,800,000 | 28,800,000 | ||
Preferred Stock, carrying value | $ 696,910 | $ 696,910 | ||
Preferred Stock,, contractual rate | 6.95% | |||
Preferred Stock, floating annual rate | 4.993% | |||
Series G Preferred Stock | ||||
Class of Stock [Line Items] | ||||
Preferred Stock, shares authorized (in shares) | 19,550,000 | 19,550,000 | ||
Preferred Stock, shares issued (in shares) | 17,000,000 | 17,000,000 | 17,000,000 | |
Preferred Stock, shares outstanding (in shares) | 17,000,000 | 17,000,000 | ||
Preferred Stock, carrying value | $ 411,335 | $ 411,335 | ||
Preferred Stock,, contractual rate | 6.50% | 6.50% | ||
Preferred Stock, floating annual rate | 4.172% | |||
[1] | (1) Derived from the audited consolidated financial statements at December 31, 2018. |
CAPITAL STOCK - Summary of Di_2
CAPITAL STOCK - Summary of Dividend Distribution Activity (Details) - USD ($) | 3 Months Ended | |
Mar. 31, 2019 | Mar. 31, 2018 | |
Dividends Payable [Line Items] | ||
Distributions declared to common stockholders | $ 434,627,000 | $ 347,897,000 |
Distributions declared per common share (in dollars per share) | $ 0.30 | $ 0.30 |
Distributions paid to common stockholders after period end | $ 434,431,000 | $ 347,897,000 |
Distributions paid per common share after period end (in dollars per share) | $ 0.30 | $ 0.30 |
Series C Preferred Stock | ||
Dividends Payable [Line Items] | ||
Preferred dividends declared | $ 3,336,000 | $ 4,316,000 |
Preferred series dividends declared (in dollars per share) | $ 0.477 | $ 0.477 |
Series D Preferred Stock | ||
Dividends Payable [Line Items] | ||
Preferred dividends declared | $ 8,625,000 | $ 8,625,000 |
Preferred series dividends declared (in dollars per share) | $ 0.469 | $ 0.469 |
Series E Preferred Stock | ||
Dividends Payable [Line Items] | ||
Preferred dividends declared | $ 0 | $ 2,253,000 |
Preferred series dividends declared (in dollars per share) | $ 0 | $ 0.196 |
Series F Preferred Stock | ||
Dividends Payable [Line Items] | ||
Preferred dividends declared | $ 12,510,000 | $ 12,510,000 |
Preferred series dividends declared (in dollars per share) | $ 0.434 | $ 0.434 |
Series G Preferred Stock | ||
Dividends Payable [Line Items] | ||
Preferred dividends declared | $ 6,906,000 | $ 6,062,000 |
Preferred series dividends declared (in dollars per share) | $ 0.406 | $ 0.357 |
Series H Preferred Stock | ||
Dividends Payable [Line Items] | ||
Preferred dividends declared | $ 1,117,000 | $ 0 |
Preferred series dividends declared (in dollars per share) | $ 0.508 | $ 0 |
INTEREST INCOME AND INTEREST _3
INTEREST INCOME AND INTEREST EXPENSE - Components of Company's Interest Income and Interest Expense (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2019 | Mar. 31, 2018 | |
Interest income | ||
Residential securities | $ 709,774 | $ 779,588 |
Residential mortgage loans | 29,991 | 15,505 |
Commercial investment portfolio | 100,952 | 72,457 |
Reverse repurchase agreements | 25,469 | 11,937 |
Total interest income | 866,186 | 879,487 |
Interest expense | ||
Repurchase agreements | 579,514 | 331,374 |
Debt issued by securitization vehicles | 34,207 | 15,652 |
Other | 33,974 | 20,395 |
Total interest expense | 647,695 | 367,421 |
Net interest income | $ 218,491 | $ 512,066 |
NET INCOME (LOSS) PER COMMON _3
NET INCOME (LOSS) PER COMMON SHARE - Schedule of Net Income (Loss) per Share Reconciliation (Details) - USD ($) $ / shares in Units, $ in Thousands | 3 Months Ended | |
Mar. 31, 2019 | Mar. 31, 2018 | |
Earnings Per Share [Abstract] | ||
Net income (loss) | $ (849,251) | $ 1,327,704 |
Net income (loss) attributable to noncontrolling interests | (101) | (96) |
Net income (loss) attributable to Annaly | (849,150) | 1,327,800 |
Dividends on preferred stock | 32,494 | 33,766 |
Net income (loss) available (related) to common stockholders | $ (881,644) | $ 1,294,034 |
Weighted average shares of common stock outstanding-basic (in shares) | 1,398,614,205 | 1,159,617,848 |
Add: Effect of stock awards, if dilutive (in shares) | 0 | 485,337 |
Weighted average shares of common stock outstanding-diluted (in shares) | 1,398,614,205 | 1,160,103,185 |
Net income (loss) per share available (related) to common share | ||
Basic (in dollars per share) | $ (0.63) | $ 1.12 |
Diluted (in dollars per share) | $ (0.63) | $ 1.12 |
NET INCOME (LOSS) PER COMMON _4
NET INCOME (LOSS) PER COMMON SHARE - Additional Information (Details) - shares shares in Millions | 3 Months Ended | |
Mar. 31, 2019 | Mar. 31, 2018 | |
Earnings Per Share [Abstract] | ||
Options to purchase common stock outstanding that would be considered anti-dilutive (in shares) | 0.2 | 0.8 |
INCOME TAXES - Additional Infor
INCOME TAXES - Additional Information (Details) - USD ($) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2019 | Mar. 31, 2018 | Mar. 31, 2017 | |
Income Taxes: | |||
REIT Taxable income distributed | 100.00% | ||
Income tax expense | $ 2,581 | $ 564 | |
Taxable REIT Subsidiary | |||
Income Taxes: | |||
Income tax expense | $ 2,600 | $ 600 |
RELATED PARTY TRANSACTIONS - Ad
RELATED PARTY TRANSACTIONS - Additional Information (Details) $ in Thousands | Mar. 27, 2019USD ($) | Mar. 31, 2019USD ($) | Mar. 31, 2018USD ($) | Mar. 26, 2019 | Dec. 31, 2018USD ($) |
Ratio of percentage of stockholders' equity paid up to predetermined amount | 0.000875 | 0.000875 | |||
Ratio of percentage of stockholders' equity paid over a predetermined amount | 0.000625 | ||||
Predetermined amount of stockholders equity used in calculating monthly management fee | $ 17,280,000 | ||||
Portion of calculated stockholders' equity used to determine management fee | 0.083 | ||||
Compensation and management fee | $ 44,833 | $ 44,529 | |||
Ratio of independent directors or holders of a majority of the outstanding shares | 0.0067 | ||||
Management Agreement | |||||
Compensation and management fee | $ 44,800 | $ 44,500 | |||
Management fee payable | 17,100 | $ 16,000 | |||
Reimbursement payments | $ 7,100 | ||||
Renewal term | 2 years | ||||
Accelerated period for agreement termination, if election to terminate is not made | 90 days | ||||
Management Agreement | Minimum | |||||
Accelerated period for agreement termination, if election to terminate is made | 7 days | ||||
Management Agreement | Maximum | |||||
Accelerated period for agreement termination, if election to terminate is made | 90 days |
LEASE COMMITMENTS AND CONTING_3
LEASE COMMITMENTS AND CONTINGENCIES - Supplemental Information Regarding Leases (Details) $ in Thousands | 3 Months Ended |
Mar. 31, 2019USD ($) | |
Leases [Abstract] | |
Operating lease right-of-use assets | $ 17,691 |
Operating lease liabilities | $ 22,756 |
Weighted average remaining lease term | 6 years 4 months 24 days |
Weighted average discount rate | 2.90% |
Operating lease cost | $ 791 |
Operating cash flows from operating leases | $ 928 |
LEASE COMMITMENTS AND CONTING_4
LEASE COMMITMENTS AND CONTINGENCIES - Details of Future Lease Payments (Details) $ in Thousands | Mar. 31, 2019USD ($) |
Commitments and Contingencies Disclosure [Abstract] | |
2019 (remaining) | $ 2,784 |
2020 | 3,799 |
2021 | 3,918 |
2022 | 3,862 |
2023 | 3,862 |
Later years | 6,757 |
Total lease payments | 24,982 |
Less imputed interest | 2,226 |
Present value of lease liabilities | $ 22,756 |
LEASE COMMITMENTS AND CONTING_5
LEASE COMMITMENTS AND CONTINGENCIES - Narrative (Details) - USD ($) | 3 Months Ended | |
Mar. 31, 2019 | Dec. 31, 2018 | |
Commitments and Contingencies Disclosure [Abstract] | ||
Remaining lease term, in years | 6 years | |
Option to extend, in years | 5 years | |
Material contingencies | $ 0 | $ 0 |
ARCOLA REGULATORY REQUIREMENTS
ARCOLA REGULATORY REQUIREMENTS - Additional Information (Details) - RCap $ in Millions | Mar. 31, 2019USD ($) |
Minimum net capital requirement | $ 0.3 |
Regulatory net capital | 389.5 |
Regulatory net capital, excess net capital | $ 389.2 |
ACQUISITION OF MTGE INVESTMEN_3
ACQUISITION OF MTGE INVESTMENT CORP - Additional Information (Details) - USD ($) $ / shares in Units, $ in Thousands, shares in Millions | Sep. 07, 2018 | Mar. 31, 2019 | Dec. 31, 2018 |
Business Acquisition [Line Items] | |||
Preferred Stock, par value (in dollars per share) | $ 0.01 | $ 0.01 | |
8.125% Series H Cumulative Redeemable Preferred Stock | |||
Business Acquisition [Line Items] | |||
Preferred stock dividend rate, percentage | 8.125% | ||
Mountain Merger Sub Corporation | Series A Preferred Stock | |||
Business Acquisition [Line Items] | |||
Preferred stock dividend rate, percentage | 8.125% | ||
Preferred Stock, par value (in dollars per share) | $ 0.01 | ||
Mountain Merger Sub Corporation | |||
Business Acquisition [Line Items] | |||
Total consideration | $ 906,200 | ||
Equity issued | 455,900 | ||
Cash | $ 450,287 | ||
Shares issued as part of the consideration for asset acquisition (in shares) | 43.6 | ||
Mountain Merger Sub Corporation | 8.125% Series H Cumulative Redeemable Preferred Stock | |||
Business Acquisition [Line Items] | |||
Preferred Stock, par value (in dollars per share) | $ 0.01 |
ACQUISITION OF MTGE INVESTMEN_4
ACQUISITION OF MTGE INVESTMENT CORP - Summary of Acquired Assets (Details) - USD ($) $ in Thousands | Sep. 07, 2018 | Mar. 31, 2019 | Dec. 31, 2018 | Mar. 31, 2018 | ||
Net Assets: | ||||||
Cash and cash equivalents | [1] | $ 1,522,605 | $ 1,735,749 | [2] | ||
Securities | 104,993,271 | 92,623,788 | ||||
Real estate, net | 734,239 | 739,473 | [2] | |||
Derivative assets | 148,178 | 200,503 | [2] | |||
Reverse repurchase agreements | 523,449 | 650,040 | [2] | |||
Receivable for unsettled trades | 1,574,251 | 68,779 | [2] | $ 45,126 | ||
Interest receivable | 390,930 | 357,365 | [2] | |||
Intangible assets, net | 98,551 | 100,854 | [2] | |||
Other assets | 441,706 | 333,988 | [2] | |||
Total assets | 119,172,549 | 105,787,527 | [2] | |||
Repurchase agreements | 88,554,170 | 81,115,874 | [2] | |||
Mortgages payable | 510,386 | 511,056 | [2] | |||
Derivative liabilities | 775,980 | 889,750 | [2] | |||
Interest payable | 424,391 | 570,928 | [2] | |||
Dividends payable | 434,431 | 394,129 | [2] | $ 347,897 | ||
Other liabilities | 89,982 | 74,580 | [2] | |||
Total liabilities | $ 103,391,105 | $ 91,669,726 | [2] | |||
Mountain Merger Sub Corporation | ||||||
Consideration Transferred: | ||||||
Cash | $ 450,287 | |||||
Equity issued | 455,900 | |||||
Total consideration | 961,230 | |||||
Net Assets: | ||||||
Cash and cash equivalents | 191,953 | |||||
Securities | 4,111,930 | |||||
Real estate, net | 277,648 | |||||
Derivative assets | 18,629 | |||||
Reverse repurchase agreements | 938,251 | |||||
Receivable for unsettled trades | 6,809 | |||||
Principal receivable | 44,462 | |||||
Interest receivable | 14,282 | |||||
Intangible assets, net | 14,483 | |||||
Other assets | 50,105 | |||||
Total assets | 5,668,552 | |||||
Repurchase agreements | 3,561,816 | |||||
Mortgages payable | 201,629 | |||||
U.S. Treasury securities sold, not yet purchased | 934,149 | |||||
Derivative liabilities | 2,498 | |||||
Interest payable | 22,220 | |||||
Dividends payable | 819 | |||||
Other liabilities | 28,715 | |||||
Total liabilities | 4,751,846 | |||||
Net assets acquired | 916,706 | |||||
Common Stock | Mountain Merger Sub Corporation | ||||||
Consideration Transferred: | ||||||
Equity issued | 455,943 | |||||
Preferred Stock | Mountain Merger Sub Corporation | ||||||
Consideration Transferred: | ||||||
Equity issued | $ 55,000 | |||||
[1] | (2) Includes cash of consolidated Variable Interest Entities (“VIEs”) of $40.7 million and $30.4 million at March 31, 2019 and December 31, 2018, respectively. | |||||
[2] | (1) Derived from the audited consolidated financial statements at December 31, 2018. |
SUBSEQUENT EVENTS (Details)
SUBSEQUENT EVENTS (Details) - USD ($) $ / shares in Units, $ in Thousands, shares in Millions | May 01, 2019 | Apr. 30, 2019 | Mar. 31, 2019 | Dec. 31, 2018 | [2] | |
Subsequent Event [Line Items] | ||||||
Residential mortgages loans | [1] | $ 3,879,324 | $ 4,585,975 | |||
Preferred stock, redemption price (in dollars per share) | $ 25 | |||||
Subsequent Event | ||||||
Subsequent Event [Line Items] | ||||||
Preferred stock, redemption price (in dollars per share) | $ 25 | |||||
OBX 2019-EXP1 | Consolidated VIEs | Subsequent Event | ||||||
Subsequent Event [Line Items] | ||||||
Residential mortgages loans | $ 388,200 | |||||
Series H Preferred Stock | Subsequent Event | ||||||
Subsequent Event [Line Items] | ||||||
Preferred stock to be redeemed (in shares) | 2.2 | |||||
[1] | (4) Includes $101.3 million and $97.5 million of residential mortgage loans held for sale, $42.0 million and $42.2 million of commercial mortgage loans held for sale and $44.5 million and $0 of corporate loans held for sale at March 31, 2019 and December 31, 2018, respectively. | |||||
[2] | (1) Derived from the audited consolidated financial statements at December 31, 2018. |