COVER PAGE
COVER PAGE - USD ($) $ in Billions | 12 Months Ended | ||
Dec. 31, 2019 | Jan. 31, 2020 | Jun. 30, 2019 | |
Document Information [Line Items] | |||
Document Type | 10-K | ||
Amendment Flag | false | ||
Document Annual Report | true | ||
Document Period End Date | Dec. 31, 2019 | ||
Current Fiscal Year End Date | --12-31 | ||
Document Fiscal Year Focus | 2019 | ||
Document Fiscal Period Focus | FY | ||
Document Transition Report | false | ||
Entity File Number | 1-13447 | ||
Entity Registrant Name | ANNALY CAPITAL MANAGEMENT INC | ||
Entity Central Index Key | 0001043219 | ||
Entity Incorporation, State or Country Code | MD | ||
Entity Tax Identification Number | 22-3479661 | ||
Entity Address, Address Line One | 1211 Avenue of the Americas | ||
Entity Address, City or Town | New York, | ||
Entity Address, State or Province | NY | ||
Entity Address, Postal Zip Code | 10036 | ||
City Area Code | 212 | ||
Local Phone Number | 696-0100 | ||
Entity Well-known Seasoned Issuer | Yes | ||
Entity Voluntary Filers | No | ||
Entity Current Reporting Status | Yes | ||
Entity Interactive Data Current | Yes | ||
Entity Filer Category | Large Accelerated Filer | ||
Entity Small Business | false | ||
Entity Emerging Growth Company | false | ||
Entity Shell Company | false | ||
Entity Public Float | $ 13.3 | ||
Entity Common Stock, Shares Outstanding | 1,430,324,298 | ||
Documents Incorporated by Reference | The registrant intends to file a definitive proxy statement pursuant to Regulation 14A within 120 days of the end of the fiscal year ended December 31, 2019 . Portions of such proxy statement are incorporated by reference into Part III of this Form 10-K. | ||
Common Stock, par value $0.01 per share | |||
Document Information [Line Items] | |||
Title of Each Class | Common Stock, par value $0.01 per share | ||
Trading Symbol | NLY | ||
Name of Each Exchange on Which Registered | NYSE | ||
7.50% Series D Cumulative Redeemable Preferred Stock | |||
Document Information [Line Items] | |||
Title of Each Class | 7.50% Series D Cumulative Redeemable Preferred Stock | ||
Trading Symbol | NLY.D | ||
Name of Each Exchange on Which Registered | NYSE | ||
6.95% Series F Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | |||
Document Information [Line Items] | |||
Title of Each Class | 6.95% Series F Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | ||
Trading Symbol | NLY.F | ||
Name of Each Exchange on Which Registered | NYSE | ||
6.50% Series G Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | |||
Document Information [Line Items] | |||
Title of Each Class | 6.50% Series G Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | ||
Trading Symbol | NLY.G | ||
Name of Each Exchange on Which Registered | NYSE | ||
6.75% Series I Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | |||
Document Information [Line Items] | |||
Title of Each Class | 6.75% Series I Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | ||
Trading Symbol | NLY.I | ||
Name of Each Exchange on Which Registered | NYSE |
CONSOLIDATED STATEMENTS OF FINA
CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION - USD ($) $ in Thousands | Dec. 31, 2019 | Dec. 31, 2018 | |
Assets | |||
Cash and cash equivalents (includes pledged assets of $1,648,545 and $1,581,775, respectively) | [1] | $ 1,850,729 | $ 1,735,749 |
Securities (includes pledged assets of $108,809,569 and $87,193,316, respectively) | [2] | 114,833,580 | 92,623,788 |
Loans, net (includes pledged assets of $3,240,583 and $2,997,051, respectively) | [3] | 4,462,350 | 4,585,975 |
Mortgage servicing rights (includes pledged assets of $3,336 and $3,616, respectively) | 378,078 | 557,813 | |
Assets transferred or pledged to securitization vehicles | 7,002,460 | 3,833,200 | |
Real estate, net | 725,638 | 739,473 | |
Derivative assets | 113,556 | 200,503 | |
Reverse repurchase agreements | 0 | 650,040 | |
Receivable for unsettled trades | 4,792 | 68,779 | |
Principal and interest receivable | 449,906 | 357,365 | |
Goodwill and intangible assets, net | 92,772 | 100,854 | |
Other assets | 381,220 | 333,988 | |
Total assets | 130,295,081 | 105,787,527 | |
Liabilities | |||
Repurchase agreements | 101,740,728 | 81,115,874 | |
Other secured financing | 4,455,700 | 4,183,311 | |
Debt issued by securitization vehicles | 5,622,801 | 3,347,062 | |
Mortgages payable | 485,005 | 511,056 | |
Derivative liabilities | 803,866 | 889,750 | |
Payable for unsettled trades | 463,387 | 583,036 | |
Interest payable | 476,335 | 570,928 | |
Dividends payable | 357,527 | 394,129 | |
Other liabilities | 93,388 | 74,580 | |
Total liabilities | 114,498,737 | 91,669,726 | |
Stockholders’ equity | |||
Preferred stock, par value $0.01 per share, 85,150,000 and 75,950,000 authorized, 81,900,000 and 73,400,000 issued and outstanding, respectively | 1,982,026 | 1,778,168 | |
Common stock, par value $0.01 per share, 2,914,850,000 and 1,924,050,000 authorized, 1,430,106,199 and 1,313,763,450 issued and outstanding, respectively | 14,301 | 13,138 | |
Additional paid-in capital | 19,966,923 | 18,794,331 | |
Accumulated other comprehensive income (loss) | 2,138,191 | (1,979,865) | |
Accumulated deficit | (8,309,424) | (4,493,660) | |
Total stockholders’ equity | 15,792,017 | 14,112,112 | |
Noncontrolling interests | 4,327 | 5,689 | |
Total equity | 15,796,344 | 14,117,801 | |
Total liabilities and equity | 130,295,081 | 105,787,527 | |
Residential Mortgage Loans | |||
Assets | |||
Total assets | 1,600,000 | 1,400,000 | |
Consolidated VIEs | |||
Assets | |||
Cash and cash equivalents (includes pledged assets of $1,648,545 and $1,581,775, respectively) | 67,500 | 30,400 | |
Consolidated VIEs | Agency Mortgage-backed Securities | |||
Assets | |||
Securities (includes pledged assets of $108,809,569 and $87,193,316, respectively) | 102,500 | 0 | |
Consolidated VIEs | Non-Agency Mortgage-backed Securities | |||
Assets | |||
Securities (includes pledged assets of $108,809,569 and $87,193,316, respectively) | 468,000 | 83,600 | |
Consolidation, Eliminations | Consolidated VIEs | |||
Assets | |||
Securities (includes pledged assets of $108,809,569 and $87,193,316, respectively) | $ 500,300 | $ 224,300 | |
[1] | Includes cash of consolidated Variable Interest Entities (“VIEs”) of $67.5 million and $30.4 million at December 31, 2019 and 2018 , respectively. | ||
[2] | Excludes $102.5 million and $0 at December 31, 2019 and 2018 , respectively, of agency mortgage-backed securities, $468.0 million and $83.6 million at December 31, 2019 and 2018 , respectively, of non-Agency mortgage-backed securities and $500.3 million and $224.3 million | ||
[3] | Includes $66.7 million and $97.5 million of residential mortgage loans held for sale and $0 and $42.2 million of commercial mortgage loans held for sale at December 31, 2019 and 2018 , respectively. |
CONSOLIDATED STATEMENTS OF FI_2
CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION (Parenthetical) - USD ($) $ in Thousands | Dec. 31, 2019 | Dec. 31, 2018 |
Cash pledged as collateral | $ 1,648,545 | $ 1,581,775 |
Loans, pledged assets | $ 3,240,583 | $ 2,997,051 |
Preferred stock, par value (in dollars per share) | $ 0.01 | $ 0.01 |
Preferred stock, shares authorized (in shares) | 85,150,000 | 75,950,000 |
Preferred stock, shares issued (in shares) | 81,900,000 | 73,400,000 |
Preferred stock, shares outstanding (in shares) | 81,900,000 | 73,400,000 |
Common Stock, par value (in dollars per share) | $ 0.01 | $ 0.01 |
Common Stock, shares authorized (in shares) | 2,914,850,000 | 1,924,050,000 |
Common Stock, shares issued (in shares) | 1,430,106,199 | 1,313,763,450 |
Common Stock, shares outstanding (in shares) | 1,430,106,199 | 1,313,763,450 |
Non-Agency Mortgage-backed Securities | ||
Pledged assets | $ 3,336 | $ 3,616 |
Agency Mortgage-Backed Securities | ||
Pledged assets | $ 108,809,569 | $ 87,193,316 |
CONSOLIDATED STATEMENTS OF COMP
CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS) - USD ($) | 12 Months Ended | ||
Dec. 31, 2019 | Dec. 31, 2018 | Dec. 31, 2017 | |
Net interest income | |||
Interest income | $ 3,787,297,000 | $ 3,332,563,000 | $ 2,493,126,000 |
Interest expense | 2,784,875,000 | 1,897,860,000 | 1,008,354,000 |
Net interest income | 1,002,422,000 | 1,434,703,000 | 1,484,772,000 |
Realized and unrealized gains (losses) | |||
Net interest component of interest rate swaps | 351,375,000 | 100,553,000 | (371,108,000) |
Realized gains (losses) on termination or maturity of interest rate swaps | (1,442,964,000) | 1,409,000 | (160,133,000) |
Unrealized gains (losses) on interest rate swaps | (1,210,276,000) | 424,081,000 | 512,918,000 |
Subtotal | (2,301,865,000) | 526,043,000 | (18,323,000) |
Net gains (losses) on disposal of investments | (47,944,000) | (1,124,448,000) | (3,938,000) |
Net gains (losses) on other derivatives | (680,770,000) | (403,001,000) | 261,438,000 |
Net unrealized gains (losses) on instruments measured at fair value through earnings | 36,021,000 | (158,082,000) | (39,684,000) |
Loan loss provision | (16,569,000) | (3,496,000) | 0 |
Subtotal | (709,262,000) | (1,689,027,000) | 217,816,000 |
Total realized and unrealized gains (losses) | (3,011,127,000) | (1,162,984,000) | 199,493,000 |
Other income (loss) | 136,413,000 | 109,927,000 | 115,857,000 |
General and administrative expenses | |||
Compensation and management fee | 170,628,000 | 179,841,000 | 164,322,000 |
Other general and administrative expenses | 131,006,000 | 150,032,000 | 59,802,000 |
Total general and administrative expenses | 301,634,000 | 329,873,000 | 224,124,000 |
Income (loss) before income taxes | (2,173,926,000) | 51,773,000 | 1,575,998,000 |
Income taxes | (10,835,000) | (2,375,000) | 6,982,000 |
Net income (loss) | (2,163,091,000) | 54,148,000 | 1,569,016,000 |
Net income (loss) attributable to noncontrolling interests | (226,000) | (260,000) | (588,000) |
Net income (loss) attributable to Annaly | (2,162,865,000) | 54,408,000 | 1,569,604,000 |
Dividends on preferred stock | 136,576,000 | 129,312,000 | 109,635,000 |
Net income (loss) available (related) to common stockholders | $ (2,299,441,000) | $ (74,904,000) | $ 1,459,969,000 |
Net income (loss) per share available (related) to common stockholders | |||
Basic (in dollars per share) | $ (1.60) | $ (0.06) | $ 1.37 |
Diluted (in dollars per share) | $ (1.60) | $ (0.06) | $ 1.37 |
Weighted average number of common shares outstanding | |||
Basic (in shares) | 1,434,912,682 | 1,209,601,809 | 1,065,923,652 |
Diluted (in shares) | 1,434,912,682 | 1,209,601,809 | 1,066,351,616 |
Net income (loss) | $ (2,163,091,000) | $ 54,148,000 | $ 1,569,016,000 |
Other comprehensive income (loss) | |||
Unrealized gains (losses) on available-for-sale securities | 4,135,862,000 | (2,004,166,000) | (89,997,000) |
Reclassification adjustment for net (gains) losses included in net income (loss) | (17,806,000) | 1,150,321,000 | 49,870,000 |
Other comprehensive income (loss) | 4,118,056,000 | (853,845,000) | (40,127,000) |
Comprehensive income (loss) | 1,954,965,000 | (799,697,000) | 1,528,889,000 |
Comprehensive income (loss) attributable to noncontrolling interests | (226,000) | (260,000) | (588,000) |
Comprehensive income (loss) attributable to Annaly | 1,955,191,000 | (799,437,000) | 1,529,477,000 |
Dividends on preferred stock | 136,576,000 | 129,312,000 | 109,635,000 |
Comprehensive income (loss) attributable to common stockholders | $ 1,818,615,000 | $ (928,749,000) | $ 1,419,842,000 |
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, 2016 | $ 1,200,559 | $ 10,189 | $ 15,579,342 | $ (1,085,893) | $ (3,136,017) | $ 7,792 | ||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||||
Stock compensation expense | 1,406 | |||||||||
Issuance | 696,910 | 1,405 | 1,646,201 | |||||||
Acquisition of subsidiary | 0 | 0 | 0 | |||||||
Redemption of preferred stock | (177,088) | (8,224) | ||||||||
Buyback of common stock | 0 | 0 | ||||||||
Direct purchase and dividend reinvestment | 2 | 2,540 | ||||||||
Unrealized gains (losses) on available-for-sale securities | $ (89,997) | (89,997) | ||||||||
Reclassification adjustment for net gains (losses) included in net income (loss) | 49,870 | 49,870 | ||||||||
Net income (loss) attributable to Annaly | 1,569,604 | 1,569,604 | ||||||||
Dividends declared on preferred stock | [1] | (109,635) | ||||||||
Dividends and dividend equivalents declared on common stock and share-based awards | [1] | (1,285,701) | ||||||||
Net income (loss) attributable to noncontrolling interests | 588 | (588) | ||||||||
Equity contributions from (distributions to) noncontrolling interests | (1,104) | |||||||||
Ending balance at Dec. 31, 2017 | 14,871,573 | 1,720,381 | 11,596 | 17,221,265 | (1,126,020) | (2,961,749) | $ 14,865,473 | 6,100 | ||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||||
Stock compensation expense | 1,961 | |||||||||
Issuance | 411,335 | 1,103 | 1,116,409 | |||||||
Acquisition of subsidiary | 55,000 | 436 | 455,507 | |||||||
Redemption of preferred stock | (408,548) | (3,952) | ||||||||
Buyback of common stock | 0 | 0 | ||||||||
Direct purchase and dividend reinvestment | 3,144 | 3 | 3,141 | |||||||
Unrealized gains (losses) on available-for-sale securities | (2,004,166) | (2,004,166) | ||||||||
Reclassification adjustment for net gains (losses) included in net income (loss) | 1,150,321 | 1,150,321 | ||||||||
Net income (loss) attributable to Annaly | 54,408 | 54,408 | ||||||||
Dividends declared on preferred stock | [1] | (129,312) | ||||||||
Dividends and dividend equivalents declared on common stock and share-based awards | (1,457,007) | (1,457,007) | [1] | |||||||
Net income (loss) attributable to noncontrolling interests | 260 | (260) | ||||||||
Equity contributions from (distributions to) noncontrolling interests | (151) | |||||||||
Ending balance at Dec. 31, 2018 | 14,117,801 | 1,778,168 | 13,138 | 18,794,331 | (1,979,865) | (4,493,660) | 14,112,112 | 5,689 | ||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||||
Stock compensation expense | 2,162 | |||||||||
Issuance | 428,324 | 1,422 | 1,397,484 | |||||||
Acquisition of subsidiary | 0 | 0 | 0 | |||||||
Redemption of preferred stock | (224,466) | (5,534) | ||||||||
Buyback of common stock | (261) | (223,313) | ||||||||
Direct purchase and dividend reinvestment | 1,795 | 2 | 1,793 | |||||||
Unrealized gains (losses) on available-for-sale securities | 4,135,862 | 4,135,862 | ||||||||
Reclassification adjustment for net gains (losses) included in net income (loss) | (17,806) | (17,806) | ||||||||
Net income (loss) attributable to Annaly | (2,162,865) | (2,162,865) | ||||||||
Dividends declared on preferred stock | [1] | (136,576) | ||||||||
Dividends and dividend equivalents declared on common stock and share-based awards | (1,516,323) | (1,516,323) | [1] | |||||||
Net income (loss) attributable to noncontrolling interests | 226 | (226) | ||||||||
Equity contributions from (distributions to) noncontrolling interests | (1,136) | |||||||||
Ending balance at Dec. 31, 2019 | $ 15,796,344 | $ 1,982,026 | $ 14,301 | $ 19,966,923 | $ 2,138,191 | $ (8,309,424) | $ 15,792,017 | $ 4,327 | ||
[1] | See Note titled “Capital Stock” for dividends per share for each class of shares. |
CONSOLIDATED STATEMENTS OF CASH
CONSOLIDATED STATEMENTS OF CASH FLOWS | 12 Months Ended | ||
Dec. 31, 2019USD ($) | Dec. 31, 2018USD ($) | Dec. 31, 2017USD ($) | |
Statement of Cash Flows [Abstract] | |||
Net income (loss) | $ (2,163,091,000) | $ 54,148,000 | $ 1,569,016,000 |
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities | |||
Amortization of premiums and discounts of investments, net | 1,113,273,000 | 692,811,000 | 872,346,000 |
Amortization of securitized debt premiums and discounts and deferred financing costs | (11,854,000) | (3,439,000) | (3,596,000) |
Depreciation, amortization and other noncash expenses | 31,559,000 | 72,364,000 | 27,956,000 |
Net (gains) losses on disposals of investments | 47,944,000 | 1,123,969,000 | 3,938,000 |
Net (gains) losses on investments and derivatives | 1,855,025,000 | 136,673,000 | (734,672,000) |
Income from unconsolidated joint ventures | 6,893,000 | 2,840,000 | 2,864,000 |
Loan loss provision | 16,569,000 | 3,496,000 | 0 |
Payments on purchases of loans held for sale | (250,348,000) | (227,871,000) | (309,473,000) |
Proceeds from sales and repayments of loans held for sale | 282,693,000 | 97,913,000 | 410,285,000 |
Net receipts (payments) on derivatives | (1,939,634,000) | 480,216,000 | (233,915,000) |
Net change in | |||
Due to / from brokers | 0 | 0 | (16,000) |
Other assets | (39,880,000) | 98,104,000 | (58,715,000) |
Interest receivable | (85,951,000) | (19,563,000) | (52,202,000) |
Interest payable | (94,593,000) | 295,640,000 | 89,777,000 |
Other liabilities | 31,838,000 | (185,283,000) | 48,646,000 |
Net cash provided by (used in) operating activities | (1,199,557,000) | 2,622,018,000 | 1,632,239,000 |
Cash flows from investing activities | |||
Payments on purchases of Residential Securities | (62,794,871,000) | (44,624,006,000) | |
Payments on purchases of Residential Securities | (40,287,765,000) | ||
Proceeds from sales of Residential Securities | 25,513,227,000 | 33,256,888,000 | |
Proceeds from sales of Residential Securities | 13,402,428,000 | ||
Principal payments on Residential Securities | 17,156,148,000 | 11,365,683,000 | 12,016,190,000 |
Payments on purchases of MSRs | 0 | (381,000) | (11,493,000) |
Proceeds from sales of MSRs | 0 | 0 | 33,000 |
Payments on purchases of corporate debt | (890,042,000) | (1,241,818,000) | (693,095,000) |
Proceeds from sales of corporate debt | 265,218,000 | 0 | 0 |
Principal payments on corporate debt | 368,927,000 | 378,865,000 | 462,622,000 |
Originations and purchases of commercial real estate investments | (1,299,047,000) | (815,252,000) | (504,952,000) |
Proceeds from sales of commercial real estate investments | 193,846,000 | 150,059,000 | 11,960,000 |
Principal repayments on commercial real estate investments | 1,968,621,000 | 1,504,032,000 | 1,669,900,000 |
Proceeds from sales of real estate | 24,955,000 | 0 | |
Proceeds from reverse repurchase agreements | 98,339,755,000 | 85,318,562,000 | 67,675,100,000 |
Payments on reverse repurchase agreements | (97,689,715,000) | (85,030,351,000) | (67,675,100,000) |
Distributions in excess of cumulative earnings from unconsolidated joint ventures | 3,155,000 | 26,228,000 | 7,998,000 |
Payments on purchases of residential mortgage loans held for investment | (2,647,129,000) | (1,286,046,000) | (928,512,000) |
Proceeds from repayments of residential mortgage loans held for investment | 845,281,000 | 347,451,000 | 185,391,000 |
Payments on purchases of equity securities | 0 | 0 | (2,104,000) |
Cash paid related to asset acquisition, net of cash acquired | 0 | (258,334,000) | 0 |
Net payment from disposal of subsidiary | 0 | 0 | 5,451,000 |
Net cash provided by (used in) investing activities | (20,641,671,000) | (908,420,000) | (14,665,948,000) |
Cash flows from financing activities | |||
Proceeds from repurchase agreements and other secured financing | 5,470,733,256,000 | 5,117,155,986,000 | 3,606,915,741,000 |
Principal payments on repurchase agreements and other secured financing | (5,449,836,013,000) | (5,116,952,444,000) | (3,594,482,419,000) |
Proceeds from issuances of securitized debt | 3,444,055,000 | 920,142,000 | 0 |
Principal repayments on securitized debt | (2,031,959,000) | (1,384,333,000) | (1,022,994,000) |
Payment of deferred financing cost | (12,228,000) | (1,072,000) | (2,054,000) |
Principal payments on participation sold | 0 | 0 | (12,827,000) |
Principal payments on mortgages payable | (26,202,000) | (716,000) | (2,365,000) |
Net contributions (distributions) from (to) noncontrolling interests | (1,136,000) | (971,000) | (1,104,000) |
Net proceeds from stock offerings, direct purchases and dividend reinvestments | 1,829,025,000 | 1,532,356,000 | 2,347,058,000 |
Redemptions of preferred stock | (230,000,000) | (412,500,000) | (185,312,000) |
Net payments on share repurchases | (223,574,000) | 0 | 0 |
Dividends paid | (1,689,016,000) | (1,540,886,000) | (1,353,172,000) |
Net cash provided by (used in) financing activities | 21,956,208,000 | (684,438,000) | 12,200,552,000 |
Net (decrease) increase in cash and cash equivalents | 114,980,000 | 1,029,160,000 | (833,157,000) |
Cash and cash equivalents including cash pledged as collateral, beginning of period | 1,735,749,000 | 706,589,000 | 1,539,746,000 |
Cash and cash equivalents including cash pledged as collateral, end of period | 1,850,729,000 | 1,735,749,000 | 706,589,000 |
Supplemental disclosure of cash flow information | |||
Interest received | 4,811,218,000 | 3,894,478,000 | 3,447,308,000 |
Dividends received | 8,395,000 | 7,564,000 | 5,238,000 |
Interest paid (excluding interest paid on interest rate swaps) | 2,902,644,000 | 1,726,887,000 | 987,958,000 |
Net interest received (paid) on interest rate swaps | (323,028,000) | (1,894,000) | 369,660,000 |
Taxes received (paid) | 2,284,000 | (295,000) | (1,502,000) |
Noncash investing activities | |||
Receivable for unsettled trades | 4,792,000 | 68,779,000 | 1,232,000 |
Payable for unsettled trades | 463,387,000 | 583,036,000 | 656,581,000 |
Net change in unrealized gains (losses) on available-for-sale securities, net of reclassification adjustment | 4,118,056,000 | (853,845,000) | (40,127,000) |
Noncash financing activities | |||
Dividends declared, not yet paid | 357,527,000 | 394,129,000 | 347,876,000 |
Securitized debt assumed through consolidation of VIEs | $ 874,694,000 | $ 0 | $ 315,111,000 |
BASIS OF PRESENTATION
BASIS OF PRESENTATION | 12 Months Ended |
Dec. 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 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. |
DESCRIPTION OF BUSINESS
DESCRIPTION OF BUSINESS | 12 Months Ended |
Dec. 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 optimize its returns through prudent management of its diversified investment strategies. 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 debt 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”). |
SIGNIFICANT ACCOUNTING POLICIES
SIGNIFICANT ACCOUNTING POLICIES | 12 Months Ended |
Dec. 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 $1.6 billion at December 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. Items for which the fair value option has been elected are 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 interest-only securities, multifamily and reverse mortgages), 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 adopted the new standard on January 1, 2020.The ASU requires the measurement of expected credit losses under the CECL model 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 and loan commitments impacted by the adoption and established appropriate internal controls and is drafting financial statement disclosures. Key implementation efforts have included model testing and validation and development of internal controls. The Company recorded an increase in the allowance as a result of adoption of the new guidance, but the increase was not significant. Further, the amended guidance for available-for-sale debt securities did not have a significant impact to the Company’s securities portfolio. 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 | 12 Months Ended |
Dec. 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 December 31, 2019 and 2018 . Financial Instruments (1) Balance Sheet Line Item Type / Form Measurement Basis December 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 $ 112,124,958 $ 89,840,322 Securities Agency mortgage-backed securities (3) Fair value, with unrealized gains (losses) through earnings 768,409 912,673 Securities Credit risk transfer securities Fair value, with unrealized gains (losses) through earnings 531,322 552,097 Securities Non-agency mortgage-backed securities Fair value, with unrealized gains (losses) through earnings 1,135,868 1,161,938 Securities Commercial real estate debt investments - CMBS Fair value, with unrealized gains (losses) through other comprehensive income 64,655 138,242 Securities Commercial real estate debt investments - CMBS (4) Fair value, with unrealized gains (losses) through earnings 208,368 18,516 Total securities 114,833,580 92,623,788 Loans, net Residential mortgage loans Fair value, with unrealized gains (losses) through earnings 1,647,787 1,359,806 Loans, net Commercial real estate debt and preferred equity, held for investment Amortized cost 669,713 1,296,803 Loans, net Commercial loans held for sale, net Lower of amortized cost or fair value — 42,184 Loans, net Corporate debt held for investment, net Amortized cost 2,144,850 1,887,182 Total loans, net 4,462,350 4,585,975 Assets transferred or pledged to securitization vehicles Agency mortgage-backed securities Fair value, with unrealized gains (losses) through other comprehensive income 1,122,588 — Assets transferred or pledged to securitization vehicles Residential mortgage loans Fair value, with unrealized gains (losses) through earnings 2,598,374 1,094,831 Assets transferred or pledged to securitization vehicles Commercial mortgage loans Fair value, with unrealized gains (losses) through earnings 2,345,120 2,738,369 Assets transferred or pledged to securitization vehicles Commercial mortgage loans Amortized cost 936,378 — Total assets transferred or pledged to securitization vehicles 7,002,460 3,833,200 Reverse repurchase agreements Reverse repurchase agreements Amortized cost — 650,040 Liabilities Repurchase agreements Repurchase agreements Amortized cost 101,740,728 81,115,874 Other secured financing Loans Amortized cost 4,455,700 4,183,311 Debt issued by securitization vehicles Securities Fair value, with unrealized gains (losses) through earnings 5,622,801 3,347,062 Mortgages payable Loans Amortized cost 485,005 511,056 (1) Receivable for unsettled trades, Principal and 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 | 12 Months Ended |
Dec. 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 years ended December 31, 2019 , 2018 and 2017 . 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, excluding securities transferred or pledged to securitization vehicles, for the year ended December 31, 2019 : Residential Securities Commercial Securities Total (dollars in thousands) Beginning balance January 1, 2019 $ 92,467,030 $ 156,758 $ 92,623,788 Purchases 62,703,862 244,820 62,948,682 Sales and transfers (1) (26,506,345 ) (92,366 ) (26,598,711 ) Principal paydowns (17,180,225 ) (43,746 ) (17,223,971 ) (Amortization) / accretion (1,114,344 ) 778 (1,113,566 ) Fair value adjustment 4,190,579 6,779 4,197,358 Ending balance December 31, 2019 $ 114,560,557 $ 273,023 $ 114,833,580 (1) Includes transfers to securitization vehicles. The following tables present the Company’s securities portfolio, excluding securities transferred or pledged to securitization vehicles, that was carried at their fair value at December 31, 2019 and 2018 : December 31, 2019 Principal / Remaining Premium Remaining Discount Amortized Unrealized Unrealized Estimated Fair Value Agency (dollars in thousands) Fixed-rate pass-through $ 102,448,565 $ 4,345,053 $ (46,614 ) $ 106,747,004 $ 2,071,583 $ (95,173 ) $ 108,723,414 Adjustable-rate pass-through 1,474,818 72,245 (1,400 ) 1,545,663 10,184 (31,516 ) 1,524,331 CMO 156,937 2,534 — 159,471 545 — 160,016 Interest-only 4,486,845 862,905 — 862,905 2,787 (157,130 ) 708,562 Multifamily 1,619,900 19,981 (2,280 ) 1,637,601 82,292 (2,696 ) 1,717,197 Reverse mortgages 54,553 5,053 — 59,606 550 (309 ) 59,847 Total agency securities $ 110,241,618 $ 5,307,771 $ (50,294 ) $ 111,012,250 $ 2,167,941 $ (286,824 ) $ 112,893,367 Residential credit CRT (1) $ 517,110 $ 15,850 $ (2,085 ) $ 515,950 $ 16,605 $ (1,233 ) $ 531,322 Alt-A 160,957 250 (22,306 ) 138,901 12,482 — 151,383 Prime 277,076 3,362 (17,794 ) 262,644 14,142 (529 ) 276,257 Prime interest-only 391,234 3,757 — 3,757 — (590 ) 3,167 Subprime 370,263 1,356 (59,727 ) 311,892 37,205 (118 ) 348,979 NPL/RPL 164,180 351 (440 ) 164,091 191 (14 ) 164,268 Prime jumbo (>=2010 vintage) 182,709 1,026 (4,281 ) 179,454 5,360 (150 ) 184,664 Prime jumbo (>=2010 vintage) Interest-only 554,189 9,001 — 9,001 — (1,851 ) 7,150 Total residential credit securities $ 2,617,718 $ 34,953 $ (106,633 ) $ 1,585,690 $ 85,985 $ (4,485 ) $ 1,667,190 Total Residential Securities $ 112,859,336 $ 5,342,724 $ (156,927 ) $ 112,597,940 $ 2,253,926 $ (291,309 ) $ 114,560,557 Commercial Commercial Securities $ 263,965 10,873 $ (9,393 ) $ 265,445 $ 7,710 $ (132 ) $ 273,023 Total securities $ 113,123,301 $ 5,353,597 $ (166,320 ) $ 112,863,385 $ 2,261,636 $ (291,441 ) $ 114,833,580 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 (1) Principal/Notional amount includes $14.9 million of a CRT interest-only security as of December 31, 2019 . The following table presents the Company’s Agency mortgage-backed securities portfolio, excluding securities transferred or pledged to securitization vehicles, by issuing Agency at December 31, 2019 and 2018 : December 31, 2019 December 31, 2018 Investment Type (dollars in thousands) Fannie Mae $ 76,656,831 $ 60,270,432 Freddie Mac 36,087,100 30,397,556 Ginnie Mae 149,436 85,007 Total $ 112,893,367 $ 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 affected by periodic payments and prepayments of principal on the underlying mortgages. The following table summarizes the Company’s Residential Securities, excluding securities transferred or pledged to securitization vehicles, at December 31, 2019 and 2018 , according to their estimated weighted average life classifications: December 31, 2019 December 31, 2018 Estimated Fair Value Amortized Estimated Fair Value Amortized Estimated weighted average life (dollars in thousands) Less than one year $ 3,997 $ 4,543 $ 13,447 $ 13,670 Greater than one year through five years 36,290,254 35,581,833 11,710,172 11,928,973 Greater than five years through ten years 77,732,756 76,504,845 80,202,479 82,218,464 Greater than ten years 533,550 506,719 540,932 536,594 Total $ 114,560,557 $ 112,597,940 $ 92,467,030 $ 94,697,701 The estimated weighted average lives of the Residential Securities at December 31, 2019 and 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 December 31, 2019 and 2018 . December 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 $ 7,388,239 $ (24,056 ) 139 $ 22,418,036 $ (432,352 ) 713 12 Months or more 11,619,280 (105,329 ) 352 43,134,843 (1,853,257 ) 1,476 Total $ 19,007,519 $ (129,385 ) 491 $ 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 year ended December 31, 2019 , the Company disposed of $25.5 billion of Residential Securities, resulting in a net realized loss of ($37.8) million . During the year ended December 31, 2018 , the Company disposed of $45.6 billion of Residential Securities, resulting in a net realized loss of ($1.1) billion . During the year ended December 31, 2017 , the Company disposed of $12.9 billion of Residential Securities, resulting in a net realized loss of ($6.4) million . |
LOANS
LOANS | 12 Months Ended |
Dec. 31, 2019 | |
SEC Schedule, 12-29, Real Estate Companies, Investment in 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 December 31, 2019 and 2018 , the Company reported $1.6 billion and $1.4 billion , respectively, 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. The Company recorded loan loss provisions of $16.6 million and $3.5 million for the years ended December 31, 2019 and 2018 , respectively, on loans with aggregate principal balances of $63.2 million and $7.0 million as of December 31, 2019 and 2018 , respectively and carrying values of $43.1 million and $3.5 million as of December 31, 2019 and 2018 , respectively. There was no provision for loan loss recorded for the year ended December 31, 2017. As of December 31, 2019 and 2018 , the Company’s loan loss provision was $20.1 million and $3.5 million , respectively. The following table presents the activity of the Company’s loan investments, including loans held for sale and excluding loans transferred or pledged to securitization vehicles, for the year ended December 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 2,905,112 589,530 890,042 4,384,684 Sales and transfers (1) (2,417,798 ) (1,085,230 ) (265,218 ) (3,768,246 ) Principal payments (190,336 ) (166,801 ) (368,927 ) (726,064 ) Gains / (losses) (6,130 ) (9,207 ) (5,498 ) (20,835 ) (Amortization) / accretion (2,867 ) 2,434 7,269 6,836 Ending balance December 31, 2019 $ 1,647,787 $ 669,713 $ 2,144,850 $ 4,462,350 (1) Includes securitizations, syndications and transfers to securitization vehicles. The carrying value of the Company’s residential loans held for sale was $66.7 million and $97.5 million at December 31, 2019 and 2018 , respectively. The carrying value of the Company’s commercial loans held for sale was $0 and $42.2 million at December 31, 2019 and 2018 , respectively. 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. 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 December 31, 2019 and 2018 : December 31, 2019 December 31, 2018 (dollars in thousands) Fair value $ 4,246,161 $ 2,454,637 Unpaid principal balance $ 4,133,149 $ 2,425,657 The following table provides information regarding the line items and amounts recognized in the Consolidated Statements of Comprehensive Income (Loss) for December 31, 2019 and 2018 for these investments: For the Years Ended December 31, 2019 December 31, 2018 (dollars in thousands) Interest income $ 150,066 $ 83,259 Net gains (losses) on disposal of investments (18,619 ) (12,934 ) Net unrealized gains (losses) on instruments measured at fair value through earnings 51,290 1,102 Total included in net income (loss) $ 182,737 $ 71,427 The following table provides the geographic concentrations based on the unpaid principal balances at December 31, 2019 and 2018 for the residential mortgage loans, including loans transferred or pledged to securitization vehicles: Geographic Concentrations of Residential Mortgage Loans December 31, 2019 December 31, 2018 Property location % of Balance Property location % of Balance California 52.1% California 53.7% New York 10.5% Florida 7.1% Florida 5.3% New York 6.6% All other (none individually greater than 5%) 32.1% 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 December 31, 2019 and 2018 : December 31, 2019 December 31, 2018 Portfolio Range Portfolio Weighted Portfolio Range Portfolio Weighted Average (dollars in thousands) Unpaid principal balance $1 - $3,448 $459 $0 - $3,500 $457 Interest rate 2.00% - 8.38% 4.94% 2.00% - 7.75% 4.72% Maturity 1/1/2028 - 12/1/2059 12/29/2047 1/1/2028 - 11/1/2058 1/11/2046 FICO score at loan origination 505 - 829 758 505 - 823 752 Loan-to-value ratio at loan origination 8% - 105% 67% 8% - 111% 68% At December 31, 2019 and 2018 , approximately 36% 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 and preferred equity interests 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. At December 31, 2019 , the Company had unfunded commercial real estate loan commitments of $181.4 million . At December 31, 2019 and 2018 , approximately 92% 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 December 31, 2019 and 2018 , commercial real estate investments held for investment were comprised of the following: December 31, 2019 December 31, 2018 Outstanding Principal Carrying (1) Percentage (2) Outstanding Principal Carrying (1) Percentage (2) (dollars in thousands) Senior mortgages $ 503,499 $ 499,690 30.9 % $ 988,248 $ 981,202 75.6 % Senior securitized mortgages (3) 940,546 936,378 57.8 % — — — % Mezzanine loans 183,064 170,023 11.3 % 319,663 315,601 24.4 % Total $ 1,627,109 $ 1,606,091 100.0 % $ 1,307,911 $ 1,296,803 100.0 % (1) Carrying value includes unamortized origination fees of $8.3 million and $7.6 million at December 31, 2019 and 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 December 31, 2019 and 2018 : December 31, 2019 Senior Senior Securitized Mortgages (1) Mezzanine Total (dollars in thousands) Net carrying value (January 1, 2019) $ 981,202 $ — $ 315,601 $ 1,296,803 Originations & advances (principal) 572,204 — 21,709 593,913 Principal payments (16,785 ) (150,245 ) (149,633 ) (316,663 ) Transfers (1,034,754 ) 1,083,487 (8,675 ) 40,058 Net (increase) decrease in origination fees (4,200 ) — (184 ) (4,384 ) Amortization of net origination fees 2,023 3,136 412 5,571 Allowance for loan losses — — (9,207 ) (9,207 ) Net carrying value (December 31, 2019) $ 499,690 $ 936,378 $ 170,023 $ 1,606,091 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 December 31, 2019 and 2018 . December 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 (3) Total (dollars in thousands) Senior mortgages $ 503,499 30.9 % $ 94,711 $ 253,069 $ 112,619 $ 43,100 $ — $ — $ 503,499 Senior securitized mortgages (4) 940,546 57.8 % 429,209 333,942 127,395 50,000 — — 940,546 Mezzanine loans 183,064 11.3 % 60,156 62,205 — 17,100 36,603 7,000 183,064 Total $ 1,627,109 100.0 % $ 584,076 $ 649,216 $ 240,014 $ 110,200 $ 36,603 7,000 $ 1,627,109 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 three loans as of December 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 one loan as Doubtful and evaluated for impairment for which a loan loss allowance of $5.7 million was recognized for the year ended December 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 year ended December 31, 2018 . (3) The Company transferred a loan from Doubtful to Loss during the year ended December 31, 2019. (4) 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. As of and for the year ended December 31, 2019 , the Company recorded a loan loss provision of $7.4 million on a corporate loan with a principal balance and carrying value of $19.6 million and $12.2 million , respectively. There was no provision for loan loss recorded for the years ended December 31, 2018 and 2017. As of December 31, 2019 , the Company had unfunded corporate loan commitments of $81.2 million . The Company invests in corporate loans through its Annaly Middle Market Lending Group. The industry and rate attributes of the portfolio at December 31, 2019 and 2018 are as follows: Industry Dispersion December 31, 2019 December 31, 2018 Fixed Rate Floating Rate Total Fixed Rate Floating Rate Total (dollars in thousands) Aircraft and parts $ — $ — $ — $ — $ 41,342 $ 41,342 Arrangement of transportation of freight & cargo — — — — 21,632 21,632 Chemicals & Allied Products — 15,002 15,002 — — — Coating, engraving and allied services — 47,249 47,249 — 57,223 57,223 Computer programming, data processing & other computer — 394,193 394,193 — 242,185 242,185 Drugs — 15,923 15,923 — 35,882 35,882 Electrical work — 43,175 43,175 — 41,760 41,760 Electronic components & accessories — 24,000 24,000 — 24,059 24,059 Engineering, architectural & surveying — 124,201 124,201 — 80,748 80,748 Grocery stores — 23,248 23,248 — 23,431 23,431 Home health care services — 29,361 29,361 — — — Insurance agents, brokers and services — 75,410 75,410 — 48,942 48,942 Mailing, reproduction, commercial art and photography, and stenographic — 14,755 14,755 — 14,843 14,843 Management and public relations services — 339,179 339,179 — 487,046 487,046 Medical and dental laboratories — 41,344 41,344 — 26,858 26,858 Metal cans & shipping containers — 118,456 118,456 — 118,248 118,248 Miscellaneous business services — 164,033 164,033 — 19,622 19,622 Miscellaneous equipment rental and leasing — 49,776 49,776 — 49,552 49,552 Miscellaneous health and allied services, not elsewhere classified — 78,908 78,908 — 56,003 56,003 Miscellaneous plastic products — 10,000 10,000 — 9,953 9,953 Motor vehicles and motor vehicle equipment — — — — 16,563 16,563 Motor vehicles and motor vehicle parts and supplies — 28,815 28,815 — 29,046 29,046 Nonferrous foundries (castings) — 30,191 30,191 — 12,948 12,948 Offices and clinics of doctors of medicine — 106,993 106,993 — 97,877 97,877 Offices of clinics and other health practitioners — 10,098 10,098 — 21,100 21,100 Petroleum and petroleum products — 24,923 24,923 — — — Public warehousing and storage — 107,029 107,029 — 84,278 84,278 Research, development and testing services — 45,610 45,610 — 33,381 33,381 Schools and educational services, not elsewhere classified — 19,586 19,586 — 19,805 19,805 Services allied with the exchange of securities — — — — 14,877 14,877 Surgical, medical, and dental instruments and supplies — 102,182 102,182 — 96,607 96,607 Telephone communications — 61,210 61,210 — 61,371 61,371 Total $ — $ 2,144,850 $ 2,144,850 $ — $ 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 December 31, 2019 and 2018 . December 31, 2019 December 31, 2018 (dollars in thousands) First lien loans $ 1,396,140 $ 1,346,356 Second lien loans 748,710 540,826 Total $ 2,144,850 $ 1,887,182 |
MORTGAGE SERVICING RIGHTS
MORTGAGE SERVICING RIGHTS | 12 Months Ended |
Dec. 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 the years ended December 31, 2019 and 2018 : December 31, 2019 December 31, 2018 (dollars in thousands) Fair value, beginning of period $ 557,813 $ 580,860 Other (1) — (4 ) Change in fair value due to Changes in valuation inputs or assumptions (2) (102,016 ) 56,721 Other changes, including realization of expected cash flows (77,719 ) (79,764 ) Fair value, end of period $ 378,078 $ 557,813 (1) Includes adjustments to original purchase price from early payoffs, defaults, or loans that were delivered but were deemed to be not acceptable. (2) Principally represents changes in discount rates and prepayment speed inputs used in valuation model, primarily due to changes in interest rates. For the years ended December 31, 2019 and 2018 , the Company recognized $108.0 million and $112.7 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 | 12 Months Ended |
Dec. 31, 2019 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
VARIABLE INTEREST ENTITIES | 8. VARIABLE INTEREST ENTITIES Commercial Trusts The Company has invested in subordinate mortgage-backed securities issued by commercial securitization trusts (“Commercial Trusts”) and determined that it is the primary beneficiary as a result of its ability to replace the special servicer without cause through its ownership of the subordinate securities and its current designation as the directing certificate holder. Information regarding these securitization trusts are summarized in the table below. Type of Underlying Collateral Settlement Date Cut-off Date Principal Balance Face Value of Company’s Variable Interest at Settlement Date (dollars in thousands) Multifamily April 2015 $ 1,192,607 $ 89,446 Hotels June 2018 $ 982,000 $ 93,500 Multifamily August 2019 $ 271,700 $ 20,270 Office Building October 2019 $ 60,000 $ 60,000 Multifamily October 2019 $ 415,000 $ 75,359 Multifamily December 2019 $ 394,000 $ 110,350 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 and commercial 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 $2.3 billion and $2.7 billion at December 31, 2019 and 2018 , respectively. At December 31, 2019 and 2018 , 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 December 31, 2019 and 2018 based upon the Company’s process of monitoring events of default on the underlying mortgage loans. Commercial Securitizations The Company also invests in commercial mortgage-backed securities issued by entities that are VIEs because they do not have sufficient equity at risk for the entities to finance their activities without additional subordinated financial support from other parties, but the Company is not the primary beneficiary because it does not have the power to direct the activities that most significantly impact the VIEs’ economic performance. For these entities, the Company’s maximum exposure to loss is the amortized cost basis of the securities it owns and it does not provide any liquidity arrangements, guarantees or other commitments to these VIEs. See the “Securities” Note for further information on Commercial Securities. Collateralized Loan Obligation 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 December 31, 2019 a total of $635.7 million of notes were held by third parties and the Company retained or purchased $223.9 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 year ended December 31, 2019 . The aggregate unpaid principal balance of loans in the CLO was $857.3 million at December 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 December 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 $633.9 million at December 31, 2019 . Multifamily Securitization In November 2019, the Company repackaged multifamily mortgage-backed securities with a principal cut-off balance of $1.0 billion and retained interest only securities with a notional balance of $1.0 billion and senior securities with a principal balance of $28.5 million . The Company determined that it was the primary beneficiary based upon its involvement in the design of the variable interest entity. The Company incurred $1.9 million of costs in connection with this multifamily securitization that were expensed as incurred during the year ended December 31, 2019 . Residential Trusts 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 $57.3 million and $72.1 million at December 31, 2019 and 2018 , respectively. Residential Securitizations The Company also invests in residential mortgage-backed securities issued by entities that are VIEs because they do not have sufficient equity at risk for the entities to finance their activities without additional subordinated financial support from other parties, but the Company is not the primary beneficiary because it does not have the power to direct the activities that most significantly impact the VIEs’ economic performance. For these entities, the Company’s maximum exposure to loss is the amortized cost basis of the securities it owns and it does not provide any liquidity arrangements, guarantees or other commitments to these VIEs. See the “Securities” Note for further information on Residential Securities. OBX Trusts The entities in the table below 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. Securitization Date of Closing Face Value at Closing (dollars in thousands) OBX 2018-1 March 2018 $ 327,162 OBX 2018-EXP1 August 2018 $ 383,451 OBX 2018-EXP2 October 2018 $ 384,027 OBX 2019-INV1 January 2019 $ 393,961 OBX 2019-EXP1 April 2019 $ 388,156 OBX 2019-INV2 June 2019 $ 383,760 OBX 2019-EXP2 July 2019 $ 463,405 OBX 2019-EXP3 October 2019 $ 465,492 As of December 31, 2019 and 2018 , a total of $2.0 billion and $766.5 million , respectively, of bonds were held by third parties and the Company retained $565.7 million and $221.3 million , respectively, 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. During the years ended December 31, 2019 and 2018 , the Company incurred $9.0 million and $5.4 million , respectively, of costs in connection with these securitizations that were expensed as incurred. The contractual principal amount of the OBX Trusts’ debt held by third parties was $1.9 billion and $769.0 million at December 31, 2019 and 2018 , respectively. 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. Credit Facility VIEs In June 2016, a consolidated subsidiary of the Company entered into a credit facility with a third party financial institution. As of December 31, 2019 and 2018 , the borrowing limit on this facility was $625.0 million and $400.0 million , respectively. 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 $741.3 million and $568.7 million at December 31, 2019 and 2018 , respectively. The transfers did not qualify for sale accounting and are reflected as an intercompany secured borrowing that is eliminated upon consolidation. At December 31, 2019 and 2018 , the subsidiary had an intercompany receivable of $426.6 million and $376.6 million , respectively, which eliminates upon consolidation and an Other secured financing of $426.6 million and $376.6 million , respectively, to the third party financial institution. In July 2017, a consolidated subsidiary of the Company entered into a credit facility with a third party financial institution. As of December 31, 2019 and 2018 , the borrowing limit on this facility was $320.0 million and $150.0 million , respectively. 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 $413.7 million and $234.8 million at December 31, 2019 and 2018 , respectively, which continue to be reflected in the Company’s Consolidated Statements of Financial Condition under Loans, net. At December 31, 2019 and 2018 , the subsidiary had an Other secured financing of $244.2 million and $150.0 million , respectively, to the third party financial institution. In January 2019, a consolidated subsidiary of the Company (the “Borrower”) entered into a $300.0 million credit facility with a third party financial institution. At of December 31, 2019 , the Borrower had an Other secured financing of $157.5 million to the third party financial institution. MSR Silo 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 $3.3 billion at December 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, multifamily securitization 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 December 31, 2019 and 2018 are as follows: December 31, 2019 Commercial Trusts Residential Trusts MSR Silo Assets (dollars in thousands) Cash and cash equivalents $ — $ — $ 67,455 Loans — — 66,722 Assets transferred or pledged to securitization vehicles 2,345,120 75,924 — Mortgage servicing rights — — 378,078 Principal and interest receivable 7,085 408 — Other assets — — 27,021 Total assets $ 2,352,205 $ 76,332 $ 539,276 Liabilities Debt issued by securitization vehicles (non-recourse) $ 1,967,523 $ 57,905 $ — Other secured financing — — 38,981 Payable for unsettled trades — — 18,364 Interest payable 3,008 137 — Other liabilities — 78 2,393 Total liabilities $ 1,970,531 $ 58,120 $ 59,738 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 Principal and 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 December 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) California $ 1,270,650 38.7 % California $ 34,578 45.9 % Texas 478,048 14.5 % Texas 10,116 13.4 % New York 353,800 10.8 % Illinois 7,055 9.4 % Other (1) 1,184,587 36.0 % Washington 3,880 5.1 % Other (1) 19,753 26.2 % Total $ 3,287,085 100.0 % $ 75,382 100.0 % (1) No individual state greater than 5% . |
REAL ESTATE
REAL ESTATE | 12 Months Ended |
Dec. 31, 2019 | |
Real Estate [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 December 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. There were no acquisitions of new real estate holdings during the year ended December 31, 2019 . The Company acquired real estate holdings in connection with the acquisition of MTGE Investment Corp. (“MTGE” and such acquisition, the “MTGE Acquisition”) during the year ended December 31, 2018; refer to the “Acquisition of MTGE Investment Corp.” Note for additional information. The company sold two of its wholly owned triple net leased properties during the year ended December 31, 2019 for $25.2 million and recognized a gain on sale of $7.5 million . There were no dispositions of real estate holdings during the year ended December 31, 2018. The weighted average amortization period for intangible assets and liabilities at December 31, 2019 is 6.0 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. December 31, 2019 December 31, 2018 Real estate, net (dollars in thousands) Land $ 121,720 $ 128,742 Buildings and improvements 571,396 581,320 Furniture, fixtures and equipment 11,238 11,602 Subtotal 704,354 721,664 Less: accumulated depreciation (87,532 ) (67,026 ) Total real estate held for investment, at amortized cost, net 616,822 654,638 Equity in unconsolidated joint ventures 108,816 84,835 Total real estate, net $ 725,638 $ 739,473 Depreciation expense was $23.7 million and $18.1 million for the years ended December 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 December 31, 2019 for consolidated investments in real estate are as follows: December 31, 2019 (dollars in thousands) 2020 $ 46,885 2021 46,758 2022 42,918 2023 40,211 2024 34,332 Later years 177,936 Total $ 389,040 |
DERIVATIVE INSTRUMENTS
DERIVATIVE INSTRUMENTS | 12 Months Ended |
Dec. 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 December 31, 2019 and 2018 , $517.8 million and ($496.2) million , respectively, of variation margin was reported as an adjustment 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. The Company may enter into interest rate swap agreements where the floating leg is linked to the London Interbank Offered Rate (“LIBOR”), the overnight index swap rate or another index. 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. The Company’s swaptions 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 are estimated using internal pricing models and compared to the counterparty market values. 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. The table below summarizes fair value information about our derivative assets and liabilities at December 31, 2019 and 2018 : Derivatives Instruments December 31, 2019 December 31, 2018 Assets (dollars in thousands) Interest rate swaps $ 1,199 $ 48,114 Interest rate swaptions 11,580 7,216 TBA derivatives 15,181 141,688 Futures contracts 77,889 — Purchase commitments 2,050 844 Credit derivatives (1) 5,657 2,641 $ 113,556 $ 200,503 Liabilities Interest rate swaps $ 706,862 $ 420,365 TBA derivatives 11,316 — Futures contracts 84,781 462,309 Purchase commitments 907 33 Credit derivatives (1) — 7,043 $ 803,866 $ 889,750 (1) The notional amount of the credit derivatives in which the Company purchased protection was $10.0 million and $30.0 million at December 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 $345.0 million and $451.0 million at December 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 AA and BBB-. The following table summarizes certain characteristics of the Company’s interest rate swaps at December 31, 2019 and 2018 : December 31, 2019 Maturity Current Notional (1)(2) Weighted Average Pay Rate Weighted Average Receive Rate Weighted Average Years to Maturity (dollars in thousands) 0 - 3 years $ 38,942,400 1.60 % 1.84 % 1.29 3 - 6 years 16,097,450 1.77 % 1.87 % 4.30 6 - 10 years 16,176,500 2.20 % 2.02 % 9.00 Greater than 10 years 2,930,000 3.76 % 1.86 % 17.88 Total / Weighted average $ 74,146,350 1.84 % 1.89 % 4.23 December 31, 2018 Maturity Current Notional (1)(2) 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) As of December 31, 2019 , 75% and 25% of the Company’s interest rate swaps were linked to LIBOR and the overnight index swap rate, respectively. As of December 31, 2018 , all of the Company’s interest rate swaps were linked to LIBOR. (2) There were no forward starting swaps at December 31, 2019 and December 31, 2018 . The following table presents swaptions outstanding at December 31, 2019 and 2018. December 31, 2019 Current Underlying Notional Weighted Average Underlying Fixed Rate Weighted Average Underlying Floating Rate Weighted Average Underlying Years to Maturity Weighted Average Months to Expiration (dollars in thousands) Long pay $4,675,000 2.53% 3M LIBOR 9.22 4.66 Long receive $2,000,000 1.49% 3M LIBOR 10.29 3.40 December 31, 2018 Current Underlying Notional Weighted Average Underlying Fixed Rate Weighted Average Underlying Floating Rate Weighted Average Underlying Years to Maturity Weighted Average Months to Expiration (dollars in thousands) Long pay $4,075,000 3.30% 3M LIBOR 10.08 3.06 The following table summarizes certain characteristics of the Company’s TBA derivatives at December 31, 2019 and 2018 : December 31, 2019 Purchase and sale contracts for derivative TBAs Notional Implied Cost Basis Implied Market Value Net Carrying Value (dollars in thousands) Purchase contracts $ 10,043,000 $ 10,182,891 $ 10,192,038 $ 9,147 Sale contracts (3,144,000 ) (3,294,486 ) (3,299,768 ) (5,282 ) Net TBA derivatives $ 6,899,000 $ 6,888,405 $ 6,892,270 $ 3,865 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 December 31, 2019 and 2018 : December 31, 2019 Notional - Long Notional - Short Weighted Average (dollars in thousands) U.S. Treasury futures - 2 year $ — $ (180,000 ) 1.96 U.S. Treasury futures - 5 year — (2,953,300 ) 4.42 U.S. Treasury futures - 10 year and greater 2,600,000 (5,806,400 ) 9.74 Total $ 2,600,000 $ (8,939,700 ) 8.26 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 be offset on our Consolidated Statements of Financial Condition at December 31, 2019 and 2018 , respectively. December 31, 2019 Amounts Eligible for Offset Gross Amounts Financial Instruments Cash Collateral Net Amounts Assets (dollars in thousands) Interest rate swaps, at fair value $ 1,199 $ (951 ) $ — $ 248 Interest rate swaptions, at fair value 11,580 — — 11,580 TBA derivatives, at fair value 15,181 (5,018 ) — 10,163 Futures contracts, at fair value 77,889 (10,902 ) — 66,987 Purchase commitments 2,050 — — 2,050 Credit derivatives 5,657 — — 5,657 Liabilities Interest rate swaps, at fair value $ 706,862 $ (951 ) $ (104,205 ) $ 601,706 TBA derivatives, at fair value 11,316 (5,018 ) — 6,298 Futures contracts, at fair value 84,781 (10,902 ) (73,879 ) — Purchase commitments 907 — — 907 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 years ended (dollars in thousands) December 31, 2019 $ 351,375 $ (1,442,964 ) $ (1,210,276 ) December 31, 2018 $ 100,553 $ 1,409 $ 424,081 December 31, 2017 $ (371,108 ) $ (160,133 ) $ 512,918 The effect of other derivative contracts on the Company’s Consolidated Statements of Comprehensive Income (Loss) is as follows: Year Ended December 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 $ 464,575 $ (137,823 ) $ 326,752 Net interest rate swaptions (47,863 ) (15,961 ) (63,824 ) Futures (1,418,143 ) 455,417 (962,726 ) Purchase commitments — 333 333 Credit derivatives 8,077 10,618 18,695 Total $ (680,770 ) Year Ended December 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 $ (343,594 ) $ 134,397 $ (209,197 ) Net interest rate swaptions (98,248 ) 2,679 (95,569 ) Futures 564,418 (668,384 ) (103,966 ) Purchase commitments — 1,002 1,002 Credit derivatives 9,662 (5,945 ) 3,717 Total $ (404,013 ) Certain of the Company’s derivative contracts are subject to International Swaps and Derivatives Association Master Agreements or other similar agreements which may contain provisions that grant counterparties certain rights with respect to the applicable agreement upon the occurrence of certain events such as (i) a decline in stockholders’ equity in excess of specified thresholds or dollar amounts over set periods of time, (ii) the Company’s failure to maintain its REIT status, (iii) the Company’s failure to comply with limits on the amount of leverage, and (iv) the Company’s stock being delisted from the New York Stock Exchange. Upon the occurrence of any one of items (i) through (iv), or another default under the agreement, the counterparty to the applicable agreement has a right to terminate the agreement in accordance with its provisions. The aggregate fair value of all derivative instruments with the aforementioned features that are in a net liability position at December 31, 2019 was approximately $672.2 million , which represents the maximum amount the Company would be required to pay upon termination. This amount is fully collateralized. |
FAIR VALUE MEASUREMENTS
FAIR VALUE MEASUREMENTS | 12 Months Ended |
Dec. 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 and MSRs that are accounted for at fair value. The fair value of a financial instrument and MSR 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 and MSRs 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 and MSRs 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, TBA derivatives 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 and MSRs measured at fair value on a recurring basis. There were no transfers between levels of the fair value hierarchy during the periods presented. December 31, 2019 Level 1 Level 2 Level 3 Total Assets (dollars in thousands) Securities Agency mortgage-backed securities $ — $ 112,893,367 $ — $ 112,893,367 Credit risk transfer securities — 531,322 — 531,322 Non-Agency mortgage-backed securities — 1,135,868 — 1,135,868 Commercial mortgage-backed securities — 273,023 — 273,023 Loans Residential mortgage loans — 1,647,787 — 1,647,787 Mortgage servicing rights — — 378,078 378,078 Assets transferred or pledged to securitization vehicles — 6,066,082 — 6,066,082 Derivative assets Interest rate swaps — 1,199 — 1,199 Other derivatives 77,889 34,468 — 112,357 Total assets $ 77,889 $ 122,583,116 $ 378,078 $ 123,039,083 Liabilities Debt issued by securitization vehicles — 5,622,801 — 5,622,801 Derivative liabilities Interest rate swaps — 706,862 — 706,862 Other derivatives 84,781 12,223 — 97,004 Total liabilities $ 84,781 $ 6,341,886 $ — $ 6,426,667 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. December 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% (9.3%) Discount rate 9.0% -12.0% (9.4%) Prepayment rate 6.3% - 26.6% (13.7%) Prepayment rate 4.7% - 13.9% (8.0%) Delinquency rate 0.0% - 4.0% (2.2%) Delinquency rate 0.0% - 5.0% (2.3%) Cost to service $81 - $135 ($107) 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 December 31, 2019 and 2018 . December 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 (1) 3 $ 1,606,091 $ 1,619,018 $ 1,296,803 $ 1,303,487 Commercial loans held for sale, net 3 — — 42,184 42,184 Corporate debt held for investment 2 2,144,850 2,081,327 1,887,182 1,863,524 Financial liabilities Repurchase agreements 1,2 $ 101,740,728 $ 101,740,728 $ 81,115,874 $ 81,115,874 Other secured financing 1,2 4,455,700 4,455,700 4,183,311 4,183,805 Mortgage payable 3 485,005 515,994 511,056 507,770 (1) Includes assets of consolidated VIEs. |
GOODWILL AND INTANGIBLE ASSETS
GOODWILL AND INTANGIBLE ASSETS | 12 Months Ended |
Dec. 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 December 31, 2019 and 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 year ended December 31, 2019 . Intangible Assets, net (dollars in thousands) Balance at December 31, 2018 $ 29,039 Intangible assets divested (454 ) Less: amortization expense (7,628 ) Balance at December 31, 2019 $ 20,957 |
SECURED FINANCING
SECURED FINANCING | 12 Months Ended |
Dec. 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 $101.7 billion and $81.1 billion of repurchase agreements with weighted average borrowing rates of 1.99% 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 65 days and 77 days at December 31, 2019 and 2018 , respectively. The Company has select arrangements with counterparties to enter into repurchase agreements for $1.1 billion with remaining capacity of $796.9 million at December 31, 2019 . At December 31, 2019 and 2018 , the repurchase agreements had the following remaining maturities, collateral types and weighted average rates: December 31, 2019 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 36,030,104 237,897 698,091 — 416,439 — 37,382,531 2.15 % 30 to 59 days 15,079,989 — 115,805 — 104,363 — 15,300,157 2.00 % 60 to 89 days 21,931,335 30,841 151,920 — 3,639 — 22,117,735 1.97 % 90 to 119 days 9,992,914 — — — — — 9,992,914 1.97 % Over 119 days (1) 16,557,123 — 58,712 303,078 28,478 — 16,947,391 1.90 % Total $ 99,591,465 $ 268,738 $ 1,024,528 $ 303,078 $ 552,919 $ — $ 101,740,728 2.03 % 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 119 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) No repurchase agreements had a remaining maturity over 1 year at December 31, 2019 . Approximately 1% of the total repurchase agreements had a remaining maturity over 1 year at December 31, 2018 . The following table summarizes the gross amounts of reverse repurchase agreements and repurchase agreements, amounts offset in accordance with netting arrangements and net amounts of repurchase agreements and reverse repurchase agreements as presented in the Consolidated Statements of Financial Condition at December 31, 2019 and 2018 . Refer to the “Derivative Instruments” Note for information related to the effect of netting arrangements on the Company’s derivative instruments. December 31, 2019 December 31, 2018 Reverse Repurchase Agreements Repurchase Agreements Reverse Repurchase Agreements Repurchase Agreements (dollars in thousands) Gross amounts $ 100,000 $ 101,840,728 $ 650,040 $ 81,115,874 Amounts offset (100,000 ) (100,000 ) — — Netted amounts $ — $ 101,740,728 $ 650,040 $ 81,115,874 The fair value of collateral received in connection with reverse repurchase agreements was $0 and $650.0 million , which the Company fully repledged, as of December 31, 2019 and 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 December 31, 2019 , $1.4 billion of advances from the FHLB Des Moines matures in less than one year and $2.1 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 2.16% and 2.78% at December 31, 2019 and 2018 , respectively. The Company held $147.9 million of capital stock in the FHLB Des Moines at December 31, 2019 and 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 $112.8 billion and $357.9 million , respectively, at December 31, 2019 and $90.2 billion and $303.1 million , respectively, at December 31, 2018 . Mortgage loans payable at December 31, 2019 and 2018 , were as follows: December 31, 2019 Property Mortgage Mortgage Interest Rate Fixed/Floating Maturity Date Priority (dollars in thousands) Joint Ventures $ 316,566 $ 318,562 4.03% - 4.96% Fixed 2024 - 2029 First liens Joint Ventures 16,029 16,325 L+2.15% Floating 2/27/2022 First liens Virginia 82,940 84,702 2.34% - 4.55% Fixed 2036 - 2053 First liens Texas 31,667 33,167 3.28% Fixed 1/1/2048 and 1/1/2053 First liens Utah 9,706 9,706 L+3.50% Floating 1/31/2020 First liens Utah 7,077 7,096 3.69% Fixed 6/1/2053 First liens Minnesota 13,243 13,276 3.69% Fixed 6/1/2053 First liens Wisconsin 7,777 7,797 3.69% Fixed 6/1/2053 First liens Total $ 485,005 $ 490,631 December 31, 2018 Property Mortgage Mortgage Interest Rate Fixed/Floating Maturity Date Priority (dollars in thousands) Joint Ventures $ 316,275 $ 318,664 4.03% - 4.96% Fixed 2024 - 2029 First liens Joint Ventures 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 9,703 9,706 L+3.50% Floating 1/31/2019 First liens Utah 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 December 31, 2019 : Mortgage Loan Principal Payments (dollars in thousands) 2020 $ 12,989 2021 3,491 2022 20,034 2023 3,844 2024 3,980 Later years 446,293 Total $ 490,631 |
CAPITAL STOCK
CAPITAL STOCK | 12 Months Ended |
Dec. 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 December 31, 2019 and 2018 . Shares authorized Shares issued and outstanding December 31, 2019 December 31, 2018 December 31, 2019 December 31, 2018 Par Value Common stock 2,914,850,000 1,924,050,000 1,430,106,199 1,313,763,450 $0.01 During the year ended December 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. During the year ended December 31, 2018 , the Company closed the public offering of an original issuance of 75.0 million shares of common stock for proceeds of $762.8 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 $114.4 million in proceeds before deducting offering expenses. During the year ended December 31, 2018 , the Company issued 43.6 million shares of common stock as part of the consideration for the MTGE Acquisition. In June 2019, the Company announced that its board of directors (“Board”) had authorized the repurchase of up to $1.5 billion of its outstanding shares of common stock through December 31, 2020. During the year ended December 31, 2019 , the Company repurchased 26.2 million shares of its common stock for an aggregate amount of $223.2 million , excluding commission costs. All common shares purchased were part of a publicly announced plan in open-market transactions. The following table provides a summary of activity related to the Company’s Direct Purchase and Dividend Reinvestment Program. December 31, 2019 December 31, 2018 (dollars in thousands) Shares issued through direct purchase and dividend reinvestment program 180,000 302,000 Amount raised from direct purchase and dividend reinvestment program $ 1,795 $ 3,144 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 years ended December 31, 2019 and 2018 , the Company issued 56.0 million shares of common stock for proceeds of $569.1 million , net of commissions and fees, and 24.0 million shares for proceeds of $251.1 million , net of commissions and fees, respectively, under the at-the-market sales program. (B) Preferred Stock The following is a summary of the Company’s cumulative redeemable preferred stock outstanding at December 31, 2019 and 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 December 31, 2019 December 31, 2018 December 31, 2019 December 31, 2018 December 31, 2019 December 31, 2018 Fixed-rate (dollars in thousands) Series C — 7,000,000 — 7,000,000 $ — $ 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 — 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% Series I 18,400,000 — 17,700,000 — 428,324 — 6.75% 6/30/2024 6/30/2024 3M LIBOR + 4.989% Total 85,150,000 75,950,000 81,900,000 73,400,000 $ 1,982,026 $ 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 December 31, 2019 , the Company had declared and paid all required quarterly dividends on the Company’s preferred stock. During the year ended December 31, 2019 , the Company redeemed all 7.0 million of its issued and outstanding shares of 7.625% Series C Cumulative Redeemable Preferred Stock (“Series C Preferred Stock”) for $175.0 million . The cash redemption amount for each share of Series C Preferred Stock was $25.00 plus accrued and unpaid dividends to, but not including, the redemption date of July 21, 2019. During the year ended December 31, 2019 , the Company redeemed all 2.2 million of its issued and outstanding shares of 8.125% Series H Cumulative Redeemable Preferred Stock (“Series H Preferred Stock”) for $55.0 million . The cash redemption amount for each share of Series H Preferred Stock was $25.00 plus accrued and unpaid dividends to, but not including, the redemption date of May 31, 2019. During the year ended December 31, 2019 , the Company issued 17.7 million shares of its 6.750% Seri es I Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock (“Series I Preferred Stock”) for gross proceeds o f $442.5 million befo re deducting the underwriting discount and other estimated offering expenses. During the year ended December 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 and 2.2 million shares of its Series H Preferred Stock in connection with the acquisition of MTGE. Refer to the “Acquisition of MTGE Investment Corp.” Note for additional information related to the Company’s Series H Preferred Stock. During the year ended December 31, 2018 , the Company redeemed 5.0 million shares of its Series C Preferred Stock for $125.0 million and all 11.5 million of its issued and outstanding shares of 7.625% Series E Cumulative Redeemable Preferred Stock for $287.5 million . The Series D Cumulative Redeemable Preferred Stock, Series F Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, Series G Preferred Stock and Series I Preferred Stock rank senior to the common stock of the Company. (C) Distributions to Stockholders The following table provides a summary of the Company’s dividend distribution activity for the periods presented: For the Years Ended December 31, 2019 December 31, 2018 (dollars in thousands, except per share data) Dividends and dividend equivalents declared on common stock and share-based awards $ 1,516,323 $ 1,457,007 Distributions declared per common share $ 1.05 $ 1.20 Distributions paid to common stockholders after period end $ 357,527 $ 394,129 Distributions paid per common share after period end $ 0.25 $ 0.30 Date of distributions paid to common stockholders after period end January 31, 2020 January 31, 2019 Dividends declared to series C preferred stockholders $ 7,414 $ 14,323 Dividends declared per share of series C preferred stock $ 1.060 $ 1.906 Dividends declared to series D preferred stockholders $ 34,500 $ 34,500 Dividends declared per share of series D preferred stock $ 1.875 $ 1.875 Dividends declared to series E preferred stockholders $ — $ 2,253 Dividends declared per share of series E preferred stock $ — $ 0.196 Dividends declared to series F preferred stockholders $ 50,040 $ 50,040 Dividends declared per share of series F preferred stock $ 1.738 $ 1.738 Dividends declared to series G preferred stockholders $ 27,624 $ 26,781 Dividends declared per share of series G preferred stock $ 1.625 $ 1.575 Dividends declared to series H preferred stockholders $ 1,862 $ 1,415 Dividends declared per share of series H preferred stock $ 0.846 $ 0.643 Dividends declared to series I preferred stockholders $ 15,135 $ — Dividends declared per share of series I preferred stock $ 0.858 $ — |
INTEREST INCOME AND INTEREST EX
INTEREST INCOME AND INTEREST EXPENSE | 12 Months Ended |
Dec. 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 years ended December 31, 2019 , 2018 and 2017 . For the Years Ended December 31, 2019 2018 2017 Interest income (dollars in thousands) Residential Securities (1) $ 3,195,546 $ 2,830,521 $ 2,170,041 Residential mortgage loans (1) 150,066 83,260 30,540 Commercial investment portfolio (1) (2) 378,395 356,981 273,884 U.S. Treasury securities — 160 — Reverse repurchase agreements 63,290 61,641 18,661 Total interest income $ 3,787,297 $ 3,332,563 $ 2,493,126 Interest expense Repurchase agreements 2,513,282 1,698,930 891,819 Debt issued by securitization vehicles 141,981 98,013 60,304 Participation sold — — 195 Other 129,612 100,917 56,036 Total interest expense 2,784,875 1,897,860 1,008,354 Net interest income $ 1,002,422 $ 1,434,703 $ 1,484,772 (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 | 12 Months Ended |
Dec. 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 years ended December 31, 2019 , 2018 and 2017 . For the Years Ended December 31, 2019 December 31, 2018 December 31, 2017 (dollars in thousands, except per share data) Net income (loss) $ (2,163,091 ) $ 54,148 $ 1,569,016 Net income (loss) attributable to noncontrolling interests (226 ) (260 ) (588 ) Net income (loss) attributable to Annaly (2,162,865 ) 54,408 1,569,604 Dividends on preferred stock 136,576 129,312 109,635 Net income (loss) available (related) to common stockholders $ (2,299,441 ) $ (74,904 ) $ 1,459,969 Weighted average shares of common stock outstanding-basic 1,434,912,682 1,209,601,809 1,065,923,652 Add: Effect of stock awards, if dilutive — — 427,964 Weighted average shares of common stock outstanding-diluted 1,434,912,682 1,209,601,809 1,066,351,616 Net income (loss) per share available (related) to common share Basic $ (1.60 ) $ (0.06 ) $ 1.37 Diluted $ (1.60 ) $ (0.06 ) $ 1.37 No options to purchase shares of common stock were outstanding for the year ended December 31, 2019 . 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 years ended December 31, 2018 and 2017 |
INCOME TAXES
INCOME TAXES | 12 Months Ended |
Dec. 31, 2019 | |
Income Tax Disclosure [Abstract] | |
INCOME TAXES | 17. INCOME TAXES For the year ended December 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 December 31, 2019 and 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 years ended December 31, 2019 , 2018 and 2017 the Company recorded ($10.8) million , ($2.4) million and $7.0 million , respectively, of income tax expense (benefit) attributable to its TRSs. The Company’s federal, state and local tax returns from 2016 and forward remain open for examination. |
RISK MANAGEMENT
RISK MANAGEMENT | 12 Months Ended |
Dec. 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 | 12 Months Ended |
Dec. 31, 2019 | |
Related Party Transactions [Abstract] | |
RELATED PARTY TRANSACTIONS | 19. RELATED PARTY TRANSACTIONS Management Agreement Until the closing of the Internalization (as defined in Note 24), management of the Company will continue to be conducted by the Manager through the authority delegated to it in the Management Agreement and pursuant to the policies established by the Board. The management agreement was amended and restated on August 1, 2018, and further amended on March 27, 2019 (the management agreement, as amended and restated, is referred to as “Management Agreement”). On February 12, 2020, the Company entered an internalization agreement (the “Internalization Agreement”) with the Manager pursuant to which, upon closing, the Management Agreement will be terminated. If the closing does not occur, the Management Agreement will remain in place on the terms and conditions described herein. 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. 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 years ended December 31, 2019 , 2018 and 2017 , the compensation and management fee was $170.6 million (includes $5.9 million related to compensation expense for the employees of the Company’s subsidiaries), $179.8 million (includes $5.2 million related to compensation expense for the employees of the Company’s subsidiaries), and $164.3 million (includes $7.2 million related to compensation expense for the employees of the Company’s subsidiaries), 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. As part of an expense management initiative undertaken by the Manager, expense reimbursement payments were voluntarily waived for the three months ended September 30, 2019 . Expense reimbursements and related waivers are routinely reviewed with the Audit Committee of the Board in conformance with established policies. For the years ended December 31, 2019 , and 2018 reimbursement payments to the Manager were $21.4 million and $9.2 million , respectively. There were no reimbursement payments to the Manager during the years ended 2017 . None of the reimbursement payments are attributable to compensation of the Company’s executive officers. At December 31, 2019 and 2018 , the Company had amounts payable to the Manager of $15.8 million and $16.0 million , respectively. The Management Agreement’s current term ends on December 31, 2021 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 | 12 Months Ended |
Dec. 31, 2019 | |
Leases [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. The lease cost for the year ended December 31, 2019 was $3.2 million . Supplemental information related to leases as of and for the year ended December 31, 2019 was as follows: Operating Leases Classification December 31, 2019 Assets (dollars in thousands) Operating lease right-of-use assets Other assets $ 15,786 Liabilities Operating lease liabilities (1) Other liabilities $ 20,439 Lease term and discount rate Weighted average remaining lease term 5.7 years Weighted average discount rate (1) 2.9% Cash paid for amounts included in the measurement of lease liabilities Operating cash flows from operating leases $ 3,712 (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 ended December 31, (dollars in thousands) 2020 $ 3,799 2021 3,918 2022 3,862 2023 3,862 2024 3,862 Later years 2,895 Total lease payments $ 22,198 Less imputed interest 1,759 Present value of lease liabilities $ 20,439 Contingencies From time to time, the Company is involved in various claims and legal actions arising in the ordinary course of business. In the opinion of management, the ultimate disposition of these matters will not have a material effect on the Company’s consolidated financial statements. There were no material contingencies at December 31, 2019 and 2018 . |
ARCOLA REGULATORY REQUIREMENTS
ARCOLA REGULATORY REQUIREMENTS | 12 Months Ended |
Dec. 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 December 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 December 31, 2019 was $406.8 million with excess net capital of $406.5 million . |
ACQUISITION OF MTGE INVESTMENT
ACQUISITION OF MTGE INVESTMENT CORP. | 12 Months Ended |
Dec. 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, 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 |
SUMMARIZED QUARTERLY RESULTS (U
SUMMARIZED QUARTERLY RESULTS (UNAUDITED) | 12 Months Ended |
Dec. 31, 2019 | |
Quarterly Financial Information Disclosure [Abstract] | |
SUMMARIZED QUARTERLY RESULTS (UNAUDITED) | 23. SUMMARIZED QUARTERLY RESULTS (UNAUDITED) The following is a presentation of summarized quarterly results of operations for the years ended December 31, 2019 and 2018 . These quarterly results were prepared in accordance with GAAP and reflect all adjustments that are, in the opinion of management, necessary for a fair statement of the results. These adjustments are of a normal, recurring nature. For the Quarters Ended December 31, 2019 September 30, June 30, March 31, (dollars in thousands, expect per share data) Interest income $ 1,074,214 $ 919,299 $ 927,598 $ 866,186 Interest expense 620,058 766,905 750,217 647,695 Net interest income 454,156 152,394 177,381 218,491 Total realized and unrealized gains (losses) 785,687 (875,406 ) (1,909,482 ) (1,011,926 ) Total other income (loss) 42,656 35,074 28,181 30,502 Less: Total general and administrative expenses 73,351 66,138 78,408 83,737 Income (loss) before income taxes 1,209,148 (754,076 ) (1,782,328 ) (846,670 ) Less: Income taxes (594 ) (6,907 ) (5,915 ) 2,581 Net income (loss) 1,209,742 (747,169 ) (1,776,413 ) (849,251 ) Less: Net income attributable to noncontrolling interests 68 (110 ) (83 ) (101 ) Less: Dividends on preferred stock (1) 35,509 36,151 32,422 32,494 Net income (loss) available (related) to common stockholders $ 1,174,165 $ (783,210 ) $ (1,808,752 ) $ (881,644 ) Net income (loss) available (related) per share to common stockholders Basic $ 0.82 $ (0.54 ) $ (1.24 ) $ (0.63 ) Diluted $ 0.82 $ (0.54 ) $ (1.24 ) $ (0.63 ) For the Quarters Ended December 31, 2018 September 30, June 30, March 31, (dollars in thousands, expect per share data) Interest income $ 859,674 $ 816,596 $ 776,806 $ 879,487 Interest expense 586,774 500,973 442,692 367,421 Net interest income 272,900 315,623 334,114 512,066 Total realized and unrealized gains (losses) (2,502,035 ) 199,716 294,646 844,689 Total other income (loss) 52,377 (10,643 ) 34,170 34,023 Less: Total general and administrative expenses 77,073 126,509 63,781 62,510 Income (loss) before income taxes (2,253,831 ) 378,187 599,149 1,328,268 Less: Income taxes 1,041 (7,242 ) 3,262 564 Net income (loss) (2,254,872 ) 385,429 595,887 1,327,704 Less: Net income attributable to noncontrolling interests 17 (149 ) (32 ) (96 ) Less: Dividends on preferred stock 32,494 31,675 31,377 33,766 Net income (loss) available (related) to common stockholders $ (2,287,383 ) $ 353,903 $ 564,542 $ 1,294,034 Net income (loss) available (related) per share to common stockholders Basic $ (1.74 ) $ 0.29 $ 0.49 $ 1.12 Diluted $ (1.74 ) $ 0.29 $ 0.49 $ 1.12 (1) The quarter ended September 30, 2019 excludes, and the quarter ended June 30, 2019 includes, cumulative and undeclared dividends of $0.3 million on the Company's Series I Preferred Stock as of June 30, 2019. |
SUBSEQUENT EVENTS
SUBSEQUENT EVENTS | 12 Months Ended |
Dec. 31, 2019 | |
Subsequent Events [Abstract] | |
SUBSEQUENT EVENTS | 24. SUBSEQUENT EVENTS In January 2020, the Company completed and closed its securitization of residential mortgage loans, OBX 2020-INV1 Trust, with a face value of $374.6 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 February 12, 2020, the Company entered into an Internalization Agreement with the Manager and certain affiliates of the Manager. Pursuant to the Internalization Agreement, the Company agreed to acquire all of the outstanding equity interests of the Manager and the Manager’s direct and indirect parent companies from their respective owners (the “Internalization”) for nominal cash consideration ($1.00). As a result of the Internalization, the Manager will cease to perform any outside management services for the Company and the Company will become an internally-managed REIT. While Glenn A. Votek, the Company’s interim Chief Executive Officer and President, intends to transition to a temporary advisory role with the Company and to continue serving as an active member of the Board following the appointment of a permanent chief executive officer and president, the Company’s other executive officers have entered into employment agreements that will become effective upon the closing of the Internalization. In addition, the Management Agreement will be terminated at the closing of the Internalization, and the Manager has agreed to waive any Acceleration Fee (as defined in the Management Agreement) solely as related to the closing of the Internalization. If the closing does not occur, the Management Agreement will revert to the form it was in immediately prior to the execution of the Internalization Agreement in all respects, including with respect to the Acceleration Fee. The Company anticipates that the closing will occur in the second quarter of 2020. |
Schedule III - Real Estate and
Schedule III - Real Estate and Accumulated Depreciation | 12 Months Ended |
Dec. 31, 2019 | |
SEC Schedule, 12-28, Real Estate Companies, Investment in Real Estate and Accumulated Depreciation Disclosure [Abstract] | |
Schedule III - Real Estate and Accumulated Depreciation | Schedule III - Real Estate and Accumulated Depreciation December 31, 2019 Initial Cost to Company Cost Capitalized Subsequent to Gross Amounts Carried at Location Number of Properties Encumbrances Land Buildings and Improvements Improvements Land Buildings and Improvements Total (1) Accumulated Depreciation Year of Construction Date Acquired Weighted-Average Depreciable Life (in years) Retail - Carrollton, TX 1 $ 12,875 $ 3,961 $ 14,672 $ 9 $ 3,970 $ 14,672 $ 18,642 $ (3,007 ) 1996 11/25/2015 38 Retail - Plano, TX 1 11,817 4,616 12,691 207 4,616 12,898 17,514 (2,967 ) 1994 11/25/2015 38 Retail - Grapevine, TX 1 12,692 4,713 13,888 — 4,713 13,888 18,601 (2,644 ) 1998 11/25/2015 38 Retail - Flower Mound, TX 1 13,085 4,963 14,477 51 4,963 14,528 19,491 (2,928 ) 1999 11/25/2015 38 Retail - Grapevine, TX 1 9,797 3,932 9,972 17 3,932 9,989 13,921 (2,151 ) 1994 11/25/2015 38 Retail - Flower Mound, TX 1 7,492 2,696 7,351 187 2,696 7,538 10,234 (2,205 ) 1992 11/25/2015 38 Retail - Flower Mound, TX 1 8,929 3,571 8,280 219 3,571 8,499 12,070 (1,552 ) 1996 11/25/2015 38 Retail - Plano, TX 1 4,638 1,459 4,533 32 1,459 4,565 6,024 (1,943 ) 1995 11/25/2015 38 Retail - Largo, FL 1 12,750 4,973 12,812 309 4,973 13,121 18,094 (2,746 ) 1988 8/14/2015 27 Retail - Grass Valley, CA 1 25,900 9,872 28,680 483 9,872 29,163 39,035 (7,039 ) 1988 10/27/2015 25 Multifamily - Washington, DC 1 57,500 31,999 42,623 757 31,999 43,380 75,379 (6,871 ) 1978, 2008 10/20/2015 28 Retail - Penfield, NY 1 23,558 4,121 22,413 1,480 4,122 23,892 28,014 (7,077 ) 1957 11/10/2014 24 Retail - Orchard Park, NY 1 12,888 4,204 20,617 139 4,189 20,771 24,960 (4,813 ) 1997, 2000 11/10/2014 32 Retail - Cheektowaga, NY 1 9,447 1,961 12,259 238 1,939 12,519 14,458 (2,879 ) 1978 11/10/2014 25 Retail - Amherst, NY 1 8,270 2,131 9,740 342 2,132 10,081 12,213 (2,539 ) 1986 11/10/2014 28 Retail - Ontario, NY 1 5,406 575 6,813 27 574 6,841 7,415 (1,980 ) 1998 11/10/2014 31 Retail - Irondequoit, NY 1 15,000 2,438 14,684 607 2,438 15,291 17,729 (4,256 ) 1972 11/10/2014 27 Retail - LeRoy, NY 1 3,492 374 4,922 405 343 5,358 5,701 (1,571 ) 1997 11/10/2014 29 Retail - Jamestown, NY 1 7,356 820 4,915 — 820 4,915 5,735 (1,689 ) 1997 11/10/2014 29 Retail - Warsaw, NY 1 3,415 407 4,117 7 407 4,124 4,531 (1,122 ) 1998 11/10/2014 31 Retail - Chillicothe, OH 1 7,888 1,262 10,819 57 1,262 10,876 12,138 (2,534 ) 1981, 1998 11/10/2014 26 Retail - Loganville, GA 1 7,230 3,217 8,386 511 3,217 8,897 12,114 (2,152 ) 1996 11/10/2014 28 Retail - Chillicothe, OH 1 7,700 2,282 9,566 209 2,282 9,775 12,057 (2,084 ) 1995 7/22/2015 25 Retail - Knoxville, TN 1 — 3,503 13,309 399 3,503 13,708 17,211 (2,538 ) 2002 4/9/2014 34 Healthcare - Abingdon, VA 1 13,151 370 15,061 — 370 15,061 15,431 (647 ) 2012 9/7/2018 44 Healthcare - Abingdon, VA 1 7,511 160 11,894 — 160 11,894 12,054 (627 ) 2004 9/7/2018 36 Healthcare - Fredericksburg, VA 1 14,657 3,110 18,830 — 3,110 18,830 21,940 (970 ) 1986 9/7/2018 18 Healthcare - Gainesville, VA 1 13,080 1,470 13,894 — 1,470 13,894 15,364 (676 ) 2006 9/7/2018 38 Healthcare - Pennington Gap, VA 1 5,731 190 11,549 — 190 11,549 11,739 (637 ) 2001 9/7/2018 33 Healthcare - Manassas, VA 1 13,154 2,040 14,041 — 2,040 14,041 16,081 (681 ) 2006 9/7/2018 38 Healthcare - Radford, VA 1 6,690 370 12,623 — 370 12,623 12,993 (634 ) 2002 9/7/2018 34 Healthcare - Hopewell, VA 1 8,536 560 12,181 — 560 12,181 12,741 (632 ) 2005 9/7/2018 37 Healthcare - Clifton Forge, VA 1 2,192 710 5,368 — 710 5,368 6,078 (481 ) 1986 9/7/2018 18 Healthcare - Allen, TX 1 9,000 800 10,858 — 800 10,858 11,658 (830 ) 2000 9/7/2018 22 Healthcare - Frisco, TX 1 6,672 1,000 7,420 — 1,000 7,420 8,420 (473 ) 1999 9/7/2018 31 Healthcare - Garland, TX 1 9,155 740 10,705 — 740 10,705 11,445 (572 ) 2004 9/7/2018 36 Healthcare - Denison, TX 1 4,306 650 6,527 — 650 6,527 7,177 (616 ) 1992 9/7/2018 19 Healthcare - Lewisville, TX 1 4,034 870 7,020 — 870 7,020 7,890 (507 ) 2004 9/7/2018 26 Healthcare - Kaukauna, WI 1 7,797 240 8,904 — 240 8,904 9,144 (455 ) 2009, 2013 9/7/2018 34 Healthcare - Mankato, MN 1 7,487 660 9,040 — 660 9,040 9,700 (633 ) 2004 9/7/2018 21 Healthcare - Mankato, MN 1 5,789 410 6,618 — 410 6,618 7,028 (330 ) 2014 9/7/2018 31 Healthcare - St. George, UT 1 9,706 1,050 13,422 — 1,050 13,422 14,472 (588 ) 2014 9/7/2018 36 Healthcare - St. George, UT 1 7,096 690 7,670 — 690 7,670 8,360 (380 ) 2011 9/7/2018 33 Healthcare - Covington, LA 1 16,548 410 19,216 261 410 19,477 19,887 (986 ) 2009 9/7/2018 31 Healthcare - Blue Ridge, GA 1 12,889 630 15,576 3,117 630 18,693 19,323 (784 ) 2016 9/7/2018 38 Healthcare - Mission, KS 1 16,325 600 21,501 47 598 21,550 22,148 (1,106 ) 2015 9/7/2018 32 46 $ 490,631 $ 121,780 $ 572,457 $ 10,117 $ 121,720 $ 582,634 $ 704,354 $ (87,532 ) (1) The aggregate cost of land, buildings and improvements, before depreciation, for Federal income tax purposes at December 31, 2019 was $735.1 million (unaudited). The following table presents our real estate activity during the periods presented: 2019 2018 2017 Real Estate (dollars in thousands) Beginning balance $ 721,664 $ 441,971 $ 448,620 Acquisitions and improvements 5,811 279,693 1,231 Property sold (23,121 ) — (7,880 ) Ending balance $ 704,354 $ 721,664 $ 441,971 Accumulated Depreciation Beginning balance $ 67,026 $ 48,920 $ 34,221 Property sold (3,166 ) — (1,052 ) Depreciation 23,672 18,106 15,751 Ending balance $ 87,532 $ 67,026 $ 48,920 |
Schedule IV - Mortgage Loans on
Schedule IV - Mortgage Loans on Commercial Real Estate | 12 Months Ended |
Dec. 31, 2019 | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Abstract] | |
Schedule IV - Mortgage Loans on Commercial Real Estate | December 31, 2019 Schedule IV - Mortgage Loans on Commercial Real Estate Description Location Prior Liens (1) Face Amount Carrying Amount Interest Rate (2) LIBOR Floor Payment Terms Maturity Date (3) Mezzanine debt investments (dollars in thousands) Retail MA $ 62,053 $ 10,000 $ 10,000 10.14% N/A Interest Only 9/6/2023 Office LA 60,989 8,700 8,700 10.75% N/A Interest Only 10/1/2023 Mixed Use OH 126,577 36,603 30,900 9.50% N/A Interest Only 12/1/2023 Office TX 50,420 7,000 — 10.10% N/A Interest Only 12/1/2024 Office CA 104,682 23,013 23,013 LIBOR+5.79% N/A Interest Only 1/2/2021 Office CA 104,682 10,281 10,281 LIBOR+6.54% N/A Interest Only 1/2/2021 Hotel LA 95,588 14,706 14,706 LIBOR+9.50% N/A Interest Only 9/9/2020 Retail CO — 470 470 LIBOR+5.00% 0.50% Interest Only 10/8/2020 Office FL — 18,363 18,301 LIBOR+3.30% 0.50% Interest Only 5/9/2021 Retail DC — 17,100 17,100 LIBOR+7.73% 0.50% Interest Only 1/9/2020 Office TX — 19,136 18,992 LIBOR+3.75% 1.25% Interest Only 8/9/2022 Office TX — 15,000 14,892 LIBOR+3.45% 2.25% Interest Only 3/5/2022 Retail NC — 2,692 2,668 LIBOR+3.40% 2.25% Interest Only 3/9/2022 First mortgages Office NJ $ — $ 64,390 $ 64,390 LIBOR+4.50% 0.25% Interest Only 2/7/2020 Office VA — 33,498 33,284 LIBOR+4.00% 1.25% Interest Only 4/9/2021 Office VA — 43,100 42,873 LIBOR+2.80% 1.90% Interest Only 8/9/2021 Industrial TN — 21,250 21,132 LIBOR+3.00% 2.00% Interest Only 9/1/2021 Office CO — 1,868 1,901 LIBOR+3.60% 1.00% Interest Only 8/9/2020 Retail TN — 85 89 LIBOR+4.50% 1.20% Interest Only 11/6/2020 Office CA — 417 422 LIBOR+3.25% 1.00% Interest Only 5/9/2022 Office TX — 65,081 64,673 LIBOR+3.75% 1.25% Interest Only 8/9/2022 Hotel TX — 1,288 1,305 LIBOR+3.75% 2.00% Interest Only 10/9/2020 Office CA — 2,320 2,320 LIBOR+3.50% 2.00% Interest Only 11/9/2020 Multifamily TX — 70 70 LIBOR+2.90% 2.25% Interest Only 2/1/2022 Retail TX — 12,000 11,913 LIBOR+3.45% 2.25% Interest Only 3/5/2022 Retail NC — 9,390 9,319 LIBOR+3.40% 2.25% Interest Only 3/9/2022 Multifamily CA — 350 350 LIBOR+3.00% 2.40% Interest Only 5/5/2022 Office MD — 16,100 15,805 LIBOR+4.60% 2.30% Interest Only 9/1/2022 Retail CA — 65,366 64,775 LIBOR+3.40% 2.06% Interest Only 3/5/2022 Healthcare WA — 19,044 18,874 LIBOR+3.40% 1.75% Interest Only 10/1/2021 Retail DE — 31,469 31,180 LIBOR+2.90% 1.75% Interest Only 11/8/2021 Industrial AZ — 14,300 14,041 LIBOR+3.50% 1.60% Interest Only 12/9/2022 Industrial NC — 47,813 47,268 LIBOR+2.85% 1.85% Interest Only 12/9/2022 Multifamily NY — 54,300 53,706 LIBOR+3.25% 1.75% Interest Only 1/9/2023 $ 686,563 $ 669,713 (1) Represents third-party priority liens. (2) LIBOR represents the one month London Interbank Offer Rate. (3) |
SIGNIFICANT ACCOUNTING POLICI_2
SIGNIFICANT ACCOUNTING POLICIES (Policies) | 12 Months Ended |
Dec. 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. 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 and commercial 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 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 |
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 – |
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. Items for which the fair value option has been elected are 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 and MSRs that are accounted for at fair value. The fair value of a financial instrument and MSR 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 and MSRs 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 and MSRs 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 interest-only securities, multifamily and reverse mortgages), 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 adopted the new standard on January 1, 2020.The ASU requires the measurement of expected credit losses under the CECL model 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 and loan commitments impacted by the adoption and established appropriate internal controls and is drafting financial statement disclosures. Key implementation efforts have included model testing and validation and development of internal controls. The Company recorded an increase in the allowance as a result of adoption of the new guidance, but the increase was not significant. Further, the amended guidance for available-for-sale debt securities did not have a significant impact to the Company’s securities portfolio. 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 | 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. 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, TBA derivatives 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. |
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 |
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 |
DESCRIPTION OF BUSINESS (Tables
DESCRIPTION OF BUSINESS (Tables) | 12 Months Ended |
Dec. 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 debt financing to private equity-backed middle market businesses across the capital structure. |
SIGNIFICANT ACCOUNTING POLICI_3
SIGNIFICANT ACCOUNTING POLICIES (Tables) | 12 Months Ended |
Dec. 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 adopted the new standard on January 1, 2020.The ASU requires the measurement of expected credit losses under the CECL model 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 and loan commitments impacted by the adoption and established appropriate internal controls and is drafting financial statement disclosures. Key implementation efforts have included model testing and validation and development of internal controls. The Company recorded an increase in the allowance as a result of adoption of the new guidance, but the increase was not significant. Further, the amended guidance for available-for-sale debt securities did not have a significant impact to the Company’s securities portfolio. 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) | 12 Months Ended |
Dec. 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 December 31, 2019 and 2018 . Financial Instruments (1) Balance Sheet Line Item Type / Form Measurement Basis December 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 $ 112,124,958 $ 89,840,322 Securities Agency mortgage-backed securities (3) Fair value, with unrealized gains (losses) through earnings 768,409 912,673 Securities Credit risk transfer securities Fair value, with unrealized gains (losses) through earnings 531,322 552,097 Securities Non-agency mortgage-backed securities Fair value, with unrealized gains (losses) through earnings 1,135,868 1,161,938 Securities Commercial real estate debt investments - CMBS Fair value, with unrealized gains (losses) through other comprehensive income 64,655 138,242 Securities Commercial real estate debt investments - CMBS (4) Fair value, with unrealized gains (losses) through earnings 208,368 18,516 Total securities 114,833,580 92,623,788 Loans, net Residential mortgage loans Fair value, with unrealized gains (losses) through earnings 1,647,787 1,359,806 Loans, net Commercial real estate debt and preferred equity, held for investment Amortized cost 669,713 1,296,803 Loans, net Commercial loans held for sale, net Lower of amortized cost or fair value — 42,184 Loans, net Corporate debt held for investment, net Amortized cost 2,144,850 1,887,182 Total loans, net 4,462,350 4,585,975 Assets transferred or pledged to securitization vehicles Agency mortgage-backed securities Fair value, with unrealized gains (losses) through other comprehensive income 1,122,588 — Assets transferred or pledged to securitization vehicles Residential mortgage loans Fair value, with unrealized gains (losses) through earnings 2,598,374 1,094,831 Assets transferred or pledged to securitization vehicles Commercial mortgage loans Fair value, with unrealized gains (losses) through earnings 2,345,120 2,738,369 Assets transferred or pledged to securitization vehicles Commercial mortgage loans Amortized cost 936,378 — Total assets transferred or pledged to securitization vehicles 7,002,460 3,833,200 Reverse repurchase agreements Reverse repurchase agreements Amortized cost — 650,040 Liabilities Repurchase agreements Repurchase agreements Amortized cost 101,740,728 81,115,874 Other secured financing Loans Amortized cost 4,455,700 4,183,311 Debt issued by securitization vehicles Securities Fair value, with unrealized gains (losses) through earnings 5,622,801 3,347,062 Mortgages payable Loans Amortized cost 485,005 511,056 (1) Receivable for unsettled trades, Principal and 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) | 12 Months Ended |
Dec. 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, excluding securities transferred or pledged to securitization vehicles, for the year ended December 31, 2019 : Residential Securities Commercial Securities Total (dollars in thousands) Beginning balance January 1, 2019 $ 92,467,030 $ 156,758 $ 92,623,788 Purchases 62,703,862 244,820 62,948,682 Sales and transfers (1) (26,506,345 ) (92,366 ) (26,598,711 ) Principal paydowns (17,180,225 ) (43,746 ) (17,223,971 ) (Amortization) / accretion (1,114,344 ) 778 (1,113,566 ) Fair value adjustment 4,190,579 6,779 4,197,358 Ending balance December 31, 2019 $ 114,560,557 $ 273,023 $ 114,833,580 (1) Includes transfers to securitization vehicles. |
Schedule of Available-for-sale Securities Reconciliation | The following tables present the Company’s securities portfolio, excluding securities transferred or pledged to securitization vehicles, that was carried at their fair value at December 31, 2019 and 2018 : December 31, 2019 Principal / Remaining Premium Remaining Discount Amortized Unrealized Unrealized Estimated Fair Value Agency (dollars in thousands) Fixed-rate pass-through $ 102,448,565 $ 4,345,053 $ (46,614 ) $ 106,747,004 $ 2,071,583 $ (95,173 ) $ 108,723,414 Adjustable-rate pass-through 1,474,818 72,245 (1,400 ) 1,545,663 10,184 (31,516 ) 1,524,331 CMO 156,937 2,534 — 159,471 545 — 160,016 Interest-only 4,486,845 862,905 — 862,905 2,787 (157,130 ) 708,562 Multifamily 1,619,900 19,981 (2,280 ) 1,637,601 82,292 (2,696 ) 1,717,197 Reverse mortgages 54,553 5,053 — 59,606 550 (309 ) 59,847 Total agency securities $ 110,241,618 $ 5,307,771 $ (50,294 ) $ 111,012,250 $ 2,167,941 $ (286,824 ) $ 112,893,367 Residential credit CRT (1) $ 517,110 $ 15,850 $ (2,085 ) $ 515,950 $ 16,605 $ (1,233 ) $ 531,322 Alt-A 160,957 250 (22,306 ) 138,901 12,482 — 151,383 Prime 277,076 3,362 (17,794 ) 262,644 14,142 (529 ) 276,257 Prime interest-only 391,234 3,757 — 3,757 — (590 ) 3,167 Subprime 370,263 1,356 (59,727 ) 311,892 37,205 (118 ) 348,979 NPL/RPL 164,180 351 (440 ) 164,091 191 (14 ) 164,268 Prime jumbo (>=2010 vintage) 182,709 1,026 (4,281 ) 179,454 5,360 (150 ) 184,664 Prime jumbo (>=2010 vintage) Interest-only 554,189 9,001 — 9,001 — (1,851 ) 7,150 Total residential credit securities $ 2,617,718 $ 34,953 $ (106,633 ) $ 1,585,690 $ 85,985 $ (4,485 ) $ 1,667,190 Total Residential Securities $ 112,859,336 $ 5,342,724 $ (156,927 ) $ 112,597,940 $ 2,253,926 $ (291,309 ) $ 114,560,557 Commercial Commercial Securities $ 263,965 10,873 $ (9,393 ) $ 265,445 $ 7,710 $ (132 ) $ 273,023 Total securities $ 113,123,301 $ 5,353,597 $ (166,320 ) $ 112,863,385 $ 2,261,636 $ (291,441 ) $ 114,833,580 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 (1) Principal/Notional amount includes $14.9 million of a CRT interest-only security as of December 31, 2019 . |
Types of Agency Mortgage Backed Securities | The following table presents the Company’s Agency mortgage-backed securities portfolio, excluding securities transferred or pledged to securitization vehicles, by issuing Agency at December 31, 2019 and 2018 : December 31, 2019 December 31, 2018 Investment Type (dollars in thousands) Fannie Mae $ 76,656,831 $ 60,270,432 Freddie Mac 36,087,100 30,397,556 Ginnie Mae 149,436 85,007 Total $ 112,893,367 $ 90,752,995 |
Schedule of Residential Investment Securities by Estimated Weighted Average Life Classification | The following table summarizes the Company’s Residential Securities, excluding securities transferred or pledged to securitization vehicles, at December 31, 2019 and 2018 , according to their estimated weighted average life classifications: December 31, 2019 December 31, 2018 Estimated Fair Value Amortized Estimated Fair Value Amortized Estimated weighted average life (dollars in thousands) Less than one year $ 3,997 $ 4,543 $ 13,447 $ 13,670 Greater than one year through five years 36,290,254 35,581,833 11,710,172 11,928,973 Greater than five years through ten years 77,732,756 76,504,845 80,202,479 82,218,464 Greater than ten years 533,550 506,719 540,932 536,594 Total $ 114,560,557 $ 112,597,940 $ 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 December 31, 2019 and 2018 . December 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 $ 7,388,239 $ (24,056 ) 139 $ 22,418,036 $ (432,352 ) 713 12 Months or more 11,619,280 (105,329 ) 352 43,134,843 (1,853,257 ) 1,476 Total $ 19,007,519 $ (129,385 ) 491 $ 65,552,879 $ (2,285,609 ) 2,189 (1) Excludes interest-only mortgage-backed securities and reverse mortgages. |
LOANS (Tables)
LOANS (Tables) | 12 Months Ended |
Dec. 31, 2019 | |
SEC Schedule, 12-29, Real Estate Companies, Investment in 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 and excluding loans transferred or pledged to securitization vehicles, for the year ended December 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 2,905,112 589,530 890,042 4,384,684 Sales and transfers (1) (2,417,798 ) (1,085,230 ) (265,218 ) (3,768,246 ) Principal payments (190,336 ) (166,801 ) (368,927 ) (726,064 ) Gains / (losses) (6,130 ) (9,207 ) (5,498 ) (20,835 ) (Amortization) / accretion (2,867 ) 2,434 7,269 6,836 Ending balance December 31, 2019 $ 1,647,787 $ 669,713 $ 2,144,850 $ 4,462,350 (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 December 31, 2019 and 2018 : December 31, 2019 December 31, 2018 (dollars in thousands) Fair value $ 4,246,161 $ 2,454,637 Unpaid principal balance $ 4,133,149 $ 2,425,657 |
Summary of Comprehensive Income (Loss) | The following table provides information regarding the line items and amounts recognized in the Consolidated Statements of Comprehensive Income (Loss) for December 31, 2019 and 2018 for these investments: For the Years Ended December 31, 2019 December 31, 2018 (dollars in thousands) Interest income $ 150,066 $ 83,259 Net gains (losses) on disposal of investments (18,619 ) (12,934 ) Net unrealized gains (losses) on instruments measured at fair value through earnings 51,290 1,102 Total included in net income (loss) $ 182,737 $ 71,427 |
Geographic Concentrations Based on Unpaid Principal Balances | The following table provides the geographic concentrations based on the unpaid principal balances at December 31, 2019 and 2018 for the residential mortgage loans, including loans transferred or pledged to securitization vehicles: Geographic Concentrations of Residential Mortgage Loans December 31, 2019 December 31, 2018 Property location % of Balance Property location % of Balance California 52.1% California 53.7% New York 10.5% Florida 7.1% Florida 5.3% New York 6.6% All other (none individually greater than 5%) 32.1% 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 December 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) California $ 1,270,650 38.7 % California $ 34,578 45.9 % Texas 478,048 14.5 % Texas 10,116 13.4 % New York 353,800 10.8 % Illinois 7,055 9.4 % Other (1) 1,184,587 36.0 % Washington 3,880 5.1 % Other (1) 19,753 26.2 % Total $ 3,287,085 100.0 % $ 75,382 100.0 % (1) No individual state greater than 5% . |
Residential Mortgage Loans | The following table provides additional data on the Company’s residential mortgage loans, including loans transferred or pledged to securitization vehicles, at December 31, 2019 and 2018 : December 31, 2019 December 31, 2018 Portfolio Range Portfolio Weighted Portfolio Range Portfolio Weighted Average (dollars in thousands) Unpaid principal balance $1 - $3,448 $459 $0 - $3,500 $457 Interest rate 2.00% - 8.38% 4.94% 2.00% - 7.75% 4.72% Maturity 1/1/2028 - 12/1/2059 12/29/2047 1/1/2028 - 11/1/2058 1/11/2046 FICO score at loan origination 505 - 829 758 505 - 823 752 Loan-to-value ratio at loan origination 8% - 105% 67% 8% - 111% 68% |
Schedule of Commercial Mortgage Loans Held for Investment | At December 31, 2019 and 2018 , commercial real estate investments held for investment were comprised of the following: December 31, 2019 December 31, 2018 Outstanding Principal Carrying (1) Percentage (2) Outstanding Principal Carrying (1) Percentage (2) (dollars in thousands) Senior mortgages $ 503,499 $ 499,690 30.9 % $ 988,248 $ 981,202 75.6 % Senior securitized mortgages (3) 940,546 936,378 57.8 % — — — % Mezzanine loans 183,064 170,023 11.3 % 319,663 315,601 24.4 % Total $ 1,627,109 $ 1,606,091 100.0 % $ 1,307,911 $ 1,296,803 100.0 % (1) Carrying value includes unamortized origination fees of $8.3 million and $7.6 million at December 31, 2019 and 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 December 31, 2019 and 2018 : December 31, 2019 Senior Senior Securitized Mortgages (1) Mezzanine Total (dollars in thousands) Net carrying value (January 1, 2019) $ 981,202 $ — $ 315,601 $ 1,296,803 Originations & advances (principal) 572,204 — 21,709 593,913 Principal payments (16,785 ) (150,245 ) (149,633 ) (316,663 ) Transfers (1,034,754 ) 1,083,487 (8,675 ) 40,058 Net (increase) decrease in origination fees (4,200 ) — (184 ) (4,384 ) Amortization of net origination fees 2,023 3,136 412 5,571 Allowance for loan losses — — (9,207 ) (9,207 ) Net carrying value (December 31, 2019) $ 499,690 $ 936,378 $ 170,023 $ 1,606,091 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. |
Schedule of Commercial Mortgage Loans Held for Investment Internal Ratings | The following table provides the internal loan risk ratings of commercial real estate investments held for investment as of December 31, 2019 and 2018 . December 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 (3) Total (dollars in thousands) Senior mortgages $ 503,499 30.9 % $ 94,711 $ 253,069 $ 112,619 $ 43,100 $ — $ — $ 503,499 Senior securitized mortgages (4) 940,546 57.8 % 429,209 333,942 127,395 50,000 — — 940,546 Mezzanine loans 183,064 11.3 % 60,156 62,205 — 17,100 36,603 7,000 183,064 Total $ 1,627,109 100.0 % $ 584,076 $ 649,216 $ 240,014 $ 110,200 $ 36,603 7,000 $ 1,627,109 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 three loans as of December 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 one loan as Doubtful and evaluated for impairment for which a loan loss allowance of $5.7 million was recognized for the year ended December 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 year ended December 31, 2018 . (3) The Company transferred a loan from Doubtful to Loss during the year ended December 31, 2019. (4) Assets of consolidated VIEs. |
Schedule of Industry and Rate Attributes of Corporate Loans | The Company invests in corporate loans through its Annaly Middle Market Lending Group. The industry and rate attributes of the portfolio at December 31, 2019 and 2018 are as follows: Industry Dispersion December 31, 2019 December 31, 2018 Fixed Rate Floating Rate Total Fixed Rate Floating Rate Total (dollars in thousands) Aircraft and parts $ — $ — $ — $ — $ 41,342 $ 41,342 Arrangement of transportation of freight & cargo — — — — 21,632 21,632 Chemicals & Allied Products — 15,002 15,002 — — — Coating, engraving and allied services — 47,249 47,249 — 57,223 57,223 Computer programming, data processing & other computer — 394,193 394,193 — 242,185 242,185 Drugs — 15,923 15,923 — 35,882 35,882 Electrical work — 43,175 43,175 — 41,760 41,760 Electronic components & accessories — 24,000 24,000 — 24,059 24,059 Engineering, architectural & surveying — 124,201 124,201 — 80,748 80,748 Grocery stores — 23,248 23,248 — 23,431 23,431 Home health care services — 29,361 29,361 — — — Insurance agents, brokers and services — 75,410 75,410 — 48,942 48,942 Mailing, reproduction, commercial art and photography, and stenographic — 14,755 14,755 — 14,843 14,843 Management and public relations services — 339,179 339,179 — 487,046 487,046 Medical and dental laboratories — 41,344 41,344 — 26,858 26,858 Metal cans & shipping containers — 118,456 118,456 — 118,248 118,248 Miscellaneous business services — 164,033 164,033 — 19,622 19,622 Miscellaneous equipment rental and leasing — 49,776 49,776 — 49,552 49,552 Miscellaneous health and allied services, not elsewhere classified — 78,908 78,908 — 56,003 56,003 Miscellaneous plastic products — 10,000 10,000 — 9,953 9,953 Motor vehicles and motor vehicle equipment — — — — 16,563 16,563 Motor vehicles and motor vehicle parts and supplies — 28,815 28,815 — 29,046 29,046 Nonferrous foundries (castings) — 30,191 30,191 — 12,948 12,948 Offices and clinics of doctors of medicine — 106,993 106,993 — 97,877 97,877 Offices of clinics and other health practitioners — 10,098 10,098 — 21,100 21,100 Petroleum and petroleum products — 24,923 24,923 — — — Public warehousing and storage — 107,029 107,029 — 84,278 84,278 Research, development and testing services — 45,610 45,610 — 33,381 33,381 Schools and educational services, not elsewhere classified — 19,586 19,586 — 19,805 19,805 Services allied with the exchange of securities — — — — 14,877 14,877 Surgical, medical, and dental instruments and supplies — 102,182 102,182 — 96,607 96,607 Telephone communications — 61,210 61,210 — 61,371 61,371 Total $ — $ 2,144,850 $ 2,144,850 $ — $ 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 December 31, 2019 and 2018 . December 31, 2019 December 31, 2018 (dollars in thousands) First lien loans $ 1,396,140 $ 1,346,356 Second lien loans 748,710 540,826 Total $ 2,144,850 $ 1,887,182 |
MORTGAGE SERVICING RIGHTS (Tabl
MORTGAGE SERVICING RIGHTS (Tables) | 12 Months Ended |
Dec. 31, 2019 | |
Transfers and Servicing [Abstract] | |
Presentation of Activity Related to MSR | The following table presents activity related to MSRs for the years ended December 31, 2019 and 2018 : December 31, 2019 December 31, 2018 (dollars in thousands) Fair value, beginning of period $ 557,813 $ 580,860 Other (1) — (4 ) Change in fair value due to Changes in valuation inputs or assumptions (2) (102,016 ) 56,721 Other changes, including realization of expected cash flows (77,719 ) (79,764 ) Fair value, end of period $ 378,078 $ 557,813 (1) Includes adjustments to original purchase price from early payoffs, defaults, or loans that were delivered but were deemed to be not acceptable. (2) 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) | 12 Months Ended |
Dec. 31, 2019 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Schedule of Variable Interest Entities | Information regarding these securitization trusts are summarized in the table below. Type of Underlying Collateral Settlement Date Cut-off Date Principal Balance Face Value of Company’s Variable Interest at Settlement Date (dollars in thousands) Multifamily April 2015 $ 1,192,607 $ 89,446 Hotels June 2018 $ 982,000 $ 93,500 Multifamily August 2019 $ 271,700 $ 20,270 Office Building October 2019 $ 60,000 $ 60,000 Multifamily October 2019 $ 415,000 $ 75,359 Multifamily December 2019 $ 394,000 $ 110,350 The entities in the table below 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. Securitization Date of Closing Face Value at Closing (dollars in thousands) OBX 2018-1 March 2018 $ 327,162 OBX 2018-EXP1 August 2018 $ 383,451 OBX 2018-EXP2 October 2018 $ 384,027 OBX 2019-INV1 January 2019 $ 393,961 OBX 2019-EXP1 April 2019 $ 388,156 OBX 2019-INV2 June 2019 $ 383,760 OBX 2019-EXP2 July 2019 $ 463,405 OBX 2019-EXP3 October 2019 $ 465,492 |
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, multifamily securitization 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 December 31, 2019 and 2018 are as follows: December 31, 2019 Commercial Trusts Residential Trusts MSR Silo Assets (dollars in thousands) Cash and cash equivalents $ — $ — $ 67,455 Loans — — 66,722 Assets transferred or pledged to securitization vehicles 2,345,120 75,924 — Mortgage servicing rights — — 378,078 Principal and interest receivable 7,085 408 — Other assets — — 27,021 Total assets $ 2,352,205 $ 76,332 $ 539,276 Liabilities Debt issued by securitization vehicles (non-recourse) $ 1,967,523 $ 57,905 $ — Other secured financing — — 38,981 Payable for unsettled trades — — 18,364 Interest payable 3,008 137 — Other liabilities — 78 2,393 Total liabilities $ 1,970,531 $ 58,120 $ 59,738 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 Principal and 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 December 31, 2019 and 2018 for the residential mortgage loans, including loans transferred or pledged to securitization vehicles: Geographic Concentrations of Residential Mortgage Loans December 31, 2019 December 31, 2018 Property location % of Balance Property location % of Balance California 52.1% California 53.7% New York 10.5% Florida 7.1% Florida 5.3% New York 6.6% All other (none individually greater than 5%) 32.1% 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 December 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) California $ 1,270,650 38.7 % California $ 34,578 45.9 % Texas 478,048 14.5 % Texas 10,116 13.4 % New York 353,800 10.8 % Illinois 7,055 9.4 % Other (1) 1,184,587 36.0 % Washington 3,880 5.1 % Other (1) 19,753 26.2 % Total $ 3,287,085 100.0 % $ 75,382 100.0 % (1) No individual state greater than 5% . |
REAL ESTATE (Tables)
REAL ESTATE (Tables) | 12 Months Ended |
Dec. 31, 2019 | |
Real Estate [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 | December 31, 2019 December 31, 2018 Real estate, net (dollars in thousands) Land $ 121,720 $ 128,742 Buildings and improvements 571,396 581,320 Furniture, fixtures and equipment 11,238 11,602 Subtotal 704,354 721,664 Less: accumulated depreciation (87,532 ) (67,026 ) Total real estate held for investment, at amortized cost, net 616,822 654,638 Equity in unconsolidated joint ventures 108,816 84,835 Total real estate, net $ 725,638 $ 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 December 31, 2019 for consolidated investments in real estate are as follows: December 31, 2019 (dollars in thousands) 2020 $ 46,885 2021 46,758 2022 42,918 2023 40,211 2024 34,332 Later years 177,936 Total $ 389,040 |
DERIVATIVE INSTRUMENTS (Tables)
DERIVATIVE INSTRUMENTS (Tables) | 12 Months Ended |
Dec. 31, 2019 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Summarizes Fair Value Information about Derivative Assets Liabilities | The table below summarizes fair value information about our derivative assets and liabilities at December 31, 2019 and 2018 : Derivatives Instruments December 31, 2019 December 31, 2018 Assets (dollars in thousands) Interest rate swaps $ 1,199 $ 48,114 Interest rate swaptions 11,580 7,216 TBA derivatives 15,181 141,688 Futures contracts 77,889 — Purchase commitments 2,050 844 Credit derivatives (1) 5,657 2,641 $ 113,556 $ 200,503 Liabilities Interest rate swaps $ 706,862 $ 420,365 TBA derivatives 11,316 — Futures contracts 84,781 462,309 Purchase commitments 907 33 Credit derivatives (1) — 7,043 $ 803,866 $ 889,750 (1) The notional amount of the credit derivatives in which the Company purchased protection was $10.0 million and $30.0 million at December 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 $345.0 million and $451.0 million at December 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 AA and BBB-. |
Summary of Certain Characteristics of Derivatives | The following table summarizes certain characteristics of the Company’s interest rate swaps at December 31, 2019 and 2018 : December 31, 2019 Maturity Current Notional (1)(2) Weighted Average Pay Rate Weighted Average Receive Rate Weighted Average Years to Maturity (dollars in thousands) 0 - 3 years $ 38,942,400 1.60 % 1.84 % 1.29 3 - 6 years 16,097,450 1.77 % 1.87 % 4.30 6 - 10 years 16,176,500 2.20 % 2.02 % 9.00 Greater than 10 years 2,930,000 3.76 % 1.86 % 17.88 Total / Weighted average $ 74,146,350 1.84 % 1.89 % 4.23 December 31, 2018 Maturity Current Notional (1)(2) 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) As of December 31, 2019 , 75% and 25% of the Company’s interest rate swaps were linked to LIBOR and the overnight index swap rate, respectively. As of December 31, 2018 , all of the Company’s interest rate swaps were linked to LIBOR. (2) There were no forward starting swaps at December 31, 2019 and December 31, 2018 . The following table presents swaptions outstanding at December 31, 2019 and 2018. December 31, 2019 Current Underlying Notional Weighted Average Underlying Fixed Rate Weighted Average Underlying Floating Rate Weighted Average Underlying Years to Maturity Weighted Average Months to Expiration (dollars in thousands) Long pay $4,675,000 2.53% 3M LIBOR 9.22 4.66 Long receive $2,000,000 1.49% 3M LIBOR 10.29 3.40 December 31, 2018 Current Underlying Notional Weighted Average Underlying Fixed Rate Weighted Average Underlying Floating Rate Weighted Average Underlying Years to Maturity Weighted Average Months to Expiration (dollars in thousands) Long pay $4,075,000 3.30% 3M LIBOR 10.08 3.06 The following table summarizes certain characteristics of the Company’s TBA derivatives at December 31, 2019 and 2018 : December 31, 2019 Purchase and sale contracts for derivative TBAs Notional Implied Cost Basis Implied Market Value Net Carrying Value (dollars in thousands) Purchase contracts $ 10,043,000 $ 10,182,891 $ 10,192,038 $ 9,147 Sale contracts (3,144,000 ) (3,294,486 ) (3,299,768 ) (5,282 ) Net TBA derivatives $ 6,899,000 $ 6,888,405 $ 6,892,270 $ 3,865 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 December 31, 2019 and 2018 : December 31, 2019 Notional - Long Notional - Short Weighted Average (dollars in thousands) U.S. Treasury futures - 2 year $ — $ (180,000 ) 1.96 U.S. Treasury futures - 5 year — (2,953,300 ) 4.42 U.S. Treasury futures - 10 year and greater 2,600,000 (5,806,400 ) 9.74 Total $ 2,600,000 $ (8,939,700 ) 8.26 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 | The following tables present information about derivative assets and liabilities that are subject to such provisions and can be offset on our Consolidated Statements of Financial Condition at December 31, 2019 and 2018 , respectively. December 31, 2019 Amounts Eligible for Offset Gross Amounts Financial Instruments Cash Collateral Net Amounts Assets (dollars in thousands) Interest rate swaps, at fair value $ 1,199 $ (951 ) $ — $ 248 Interest rate swaptions, at fair value 11,580 — — 11,580 TBA derivatives, at fair value 15,181 (5,018 ) — 10,163 Futures contracts, at fair value 77,889 (10,902 ) — 66,987 Purchase commitments 2,050 — — 2,050 Credit derivatives 5,657 — — 5,657 Liabilities Interest rate swaps, at fair value $ 706,862 $ (951 ) $ (104,205 ) $ 601,706 TBA derivatives, at fair value 11,316 (5,018 ) — 6,298 Futures contracts, at fair value 84,781 (10,902 ) (73,879 ) — Purchase commitments 907 — — 907 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 years ended (dollars in thousands) December 31, 2019 $ 351,375 $ (1,442,964 ) $ (1,210,276 ) December 31, 2018 $ 100,553 $ 1,409 $ 424,081 December 31, 2017 $ (371,108 ) $ (160,133 ) $ 512,918 |
Effect of Other Derivative Contracts on the Consolidated Statements of Operations and Comprehensive Income (Loss) | The effect of other derivative contracts on the Company’s Consolidated Statements of Comprehensive Income (Loss) is as follows: Year Ended December 31, 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 $ 464,575 $ (137,823 ) $ 326,752 Net interest rate swaptions (47,863 ) (15,961 ) (63,824 ) Futures (1,418,143 ) 455,417 (962,726 ) Purchase commitments — 333 333 Credit derivatives 8,077 10,618 18,695 Total $ (680,770 ) Year Ended December 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 $ (343,594 ) $ 134,397 $ (209,197 ) Net interest rate swaptions (98,248 ) 2,679 (95,569 ) Futures 564,418 (668,384 ) (103,966 ) Purchase commitments — 1,002 1,002 Credit derivatives 9,662 (5,945 ) 3,717 Total $ (404,013 ) |
FAIR VALUE MEASUREMENTS (Tables
FAIR VALUE MEASUREMENTS (Tables) | 12 Months Ended |
Dec. 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 and MSRs measured at fair value on a recurring basis. There were no transfers between levels of the fair value hierarchy during the periods presented. December 31, 2019 Level 1 Level 2 Level 3 Total Assets (dollars in thousands) Securities Agency mortgage-backed securities $ — $ 112,893,367 $ — $ 112,893,367 Credit risk transfer securities — 531,322 — 531,322 Non-Agency mortgage-backed securities — 1,135,868 — 1,135,868 Commercial mortgage-backed securities — 273,023 — 273,023 Loans Residential mortgage loans — 1,647,787 — 1,647,787 Mortgage servicing rights — — 378,078 378,078 Assets transferred or pledged to securitization vehicles — 6,066,082 — 6,066,082 Derivative assets Interest rate swaps — 1,199 — 1,199 Other derivatives 77,889 34,468 — 112,357 Total assets $ 77,889 $ 122,583,116 $ 378,078 $ 123,039,083 Liabilities Debt issued by securitization vehicles — 5,622,801 — 5,622,801 Derivative liabilities Interest rate swaps — 706,862 — 706,862 Other derivatives 84,781 12,223 — 97,004 Total liabilities $ 84,781 $ 6,341,886 $ — $ 6,426,667 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. December 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% (9.3%) Discount rate 9.0% -12.0% (9.4%) Prepayment rate 6.3% - 26.6% (13.7%) Prepayment rate 4.7% - 13.9% (8.0%) Delinquency rate 0.0% - 4.0% (2.2%) Delinquency rate 0.0% - 5.0% (2.3%) Cost to service $81 - $135 ($107) 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 December 31, 2019 and 2018 . December 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 (1) 3 $ 1,606,091 $ 1,619,018 $ 1,296,803 $ 1,303,487 Commercial loans held for sale, net 3 — — 42,184 42,184 Corporate debt held for investment 2 2,144,850 2,081,327 1,887,182 1,863,524 Financial liabilities Repurchase agreements 1,2 $ 101,740,728 $ 101,740,728 $ 81,115,874 $ 81,115,874 Other secured financing 1,2 4,455,700 4,455,700 4,183,311 4,183,805 Mortgage payable 3 485,005 515,994 511,056 507,770 (1) Includes assets of consolidated VIEs. |
GOODWILL AND INTANGIBLE ASSETS
GOODWILL AND INTANGIBLE ASSETS (Tables) | 12 Months Ended |
Dec. 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 year ended December 31, 2019 . Intangible Assets, net (dollars in thousands) Balance at December 31, 2018 $ 29,039 Intangible assets divested (454 ) Less: amortization expense (7,628 ) Balance at December 31, 2019 $ 20,957 |
SECURED FINANCING (Tables)
SECURED FINANCING (Tables) | 12 Months Ended |
Dec. 31, 2019 | |
Debt Disclosure [Abstract] | |
Schedule of Repurchase Agreements Remaining Maturity ,Collateral Types and Weighted Average Rates | At December 31, 2019 and 2018 , the repurchase agreements had the following remaining maturities, collateral types and weighted average rates: December 31, 2019 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 36,030,104 237,897 698,091 — 416,439 — 37,382,531 2.15 % 30 to 59 days 15,079,989 — 115,805 — 104,363 — 15,300,157 2.00 % 60 to 89 days 21,931,335 30,841 151,920 — 3,639 — 22,117,735 1.97 % 90 to 119 days 9,992,914 — — — — — 9,992,914 1.97 % Over 119 days (1) 16,557,123 — 58,712 303,078 28,478 — 16,947,391 1.90 % Total $ 99,591,465 $ 268,738 $ 1,024,528 $ 303,078 $ 552,919 $ — $ 101,740,728 2.03 % 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 119 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) No repurchase agreements had a remaining maturity over 1 year at December 31, 2019 . Approximately 1% of the total repurchase agreements had a remaining maturity over 1 year at December 31, 2018 . |
Summary of Gross Amounts, Amounts Offset and net Amounts of Repurchase Agreement and Reverse Repurchase Agreement | December 31, 2019 and 2018 . Refer to the “Derivative Instruments” Note for information related to the effect of netting arrangements on the Company’s derivative instruments. December 31, 2019 December 31, 2018 Reverse Repurchase Agreements Repurchase Agreements Reverse Repurchase Agreements Repurchase Agreements (dollars in thousands) Gross amounts $ 100,000 $ 101,840,728 $ 650,040 $ 81,115,874 Amounts offset (100,000 ) (100,000 ) — — Netted amounts $ — $ 101,740,728 $ 650,040 $ 81,115,874 |
Schedule Of Mortgage Notes Payable | Mortgage loans payable at December 31, 2019 and 2018 , were as follows: December 31, 2019 Property Mortgage Mortgage Interest Rate Fixed/Floating Maturity Date Priority (dollars in thousands) Joint Ventures $ 316,566 $ 318,562 4.03% - 4.96% Fixed 2024 - 2029 First liens Joint Ventures 16,029 16,325 L+2.15% Floating 2/27/2022 First liens Virginia 82,940 84,702 2.34% - 4.55% Fixed 2036 - 2053 First liens Texas 31,667 33,167 3.28% Fixed 1/1/2048 and 1/1/2053 First liens Utah 9,706 9,706 L+3.50% Floating 1/31/2020 First liens Utah 7,077 7,096 3.69% Fixed 6/1/2053 First liens Minnesota 13,243 13,276 3.69% Fixed 6/1/2053 First liens Wisconsin 7,777 7,797 3.69% Fixed 6/1/2053 First liens Total $ 485,005 $ 490,631 December 31, 2018 Property Mortgage Mortgage Interest Rate Fixed/Floating Maturity Date Priority (dollars in thousands) Joint Ventures $ 316,275 $ 318,664 4.03% - 4.96% Fixed 2024 - 2029 First liens Joint Ventures 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 9,703 9,706 L+3.50% Floating 1/31/2019 First liens Utah 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 December 31, 2019 : Mortgage Loan Principal Payments (dollars in thousands) 2020 $ 12,989 2021 3,491 2022 20,034 2023 3,844 2024 3,980 Later years 446,293 Total $ 490,631 |
CAPITAL STOCK (Tables)
CAPITAL STOCK (Tables) | 12 Months Ended |
Dec. 31, 2019 | |
Equity [Abstract] | |
Schedule of Stock by Class | The following is a summary of the Company’s cumulative redeemable preferred stock outstanding at December 31, 2019 and 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 December 31, 2019 December 31, 2018 December 31, 2019 December 31, 2018 December 31, 2019 December 31, 2018 Fixed-rate (dollars in thousands) Series C — 7,000,000 — 7,000,000 $ — $ 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 — 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% Series I 18,400,000 — 17,700,000 — 428,324 — 6.75% 6/30/2024 6/30/2024 3M LIBOR + 4.989% Total 85,150,000 75,950,000 81,900,000 73,400,000 $ 1,982,026 $ 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. The following table provides a summary of the Company’s common shares authorized and issued and outstanding at December 31, 2019 and 2018 . Shares authorized Shares issued and outstanding December 31, 2019 December 31, 2018 December 31, 2019 December 31, 2018 Par Value Common stock 2,914,850,000 1,924,050,000 1,430,106,199 1,313,763,450 $0.01 |
Summary of Dividend Reinvestment Plan | The following table provides a summary of activity related to the Company’s Direct Purchase and Dividend Reinvestment Program. December 31, 2019 December 31, 2018 (dollars in thousands) Shares issued through direct purchase and dividend reinvestment program 180,000 302,000 Amount raised from direct purchase and dividend reinvestment program $ 1,795 $ 3,144 |
Summary of Dividend Distribution Activity | The following table provides a summary of the Company’s dividend distribution activity for the periods presented: For the Years Ended December 31, 2019 December 31, 2018 (dollars in thousands, except per share data) Dividends and dividend equivalents declared on common stock and share-based awards $ 1,516,323 $ 1,457,007 Distributions declared per common share $ 1.05 $ 1.20 Distributions paid to common stockholders after period end $ 357,527 $ 394,129 Distributions paid per common share after period end $ 0.25 $ 0.30 Date of distributions paid to common stockholders after period end January 31, 2020 January 31, 2019 Dividends declared to series C preferred stockholders $ 7,414 $ 14,323 Dividends declared per share of series C preferred stock $ 1.060 $ 1.906 Dividends declared to series D preferred stockholders $ 34,500 $ 34,500 Dividends declared per share of series D preferred stock $ 1.875 $ 1.875 Dividends declared to series E preferred stockholders $ — $ 2,253 Dividends declared per share of series E preferred stock $ — $ 0.196 Dividends declared to series F preferred stockholders $ 50,040 $ 50,040 Dividends declared per share of series F preferred stock $ 1.738 $ 1.738 Dividends declared to series G preferred stockholders $ 27,624 $ 26,781 Dividends declared per share of series G preferred stock $ 1.625 $ 1.575 Dividends declared to series H preferred stockholders $ 1,862 $ 1,415 Dividends declared per share of series H preferred stock $ 0.846 $ 0.643 Dividends declared to series I preferred stockholders $ 15,135 $ — Dividends declared per share of series I preferred stock $ 0.858 $ — |
INTEREST INCOME AND INTEREST _2
INTEREST INCOME AND INTEREST EXPENSE (Tables) | 12 Months Ended |
Dec. 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 years ended December 31, 2019 , 2018 and 2017 . For the Years Ended December 31, 2019 2018 2017 Interest income (dollars in thousands) Residential Securities (1) $ 3,195,546 $ 2,830,521 $ 2,170,041 Residential mortgage loans (1) 150,066 83,260 30,540 Commercial investment portfolio (1) (2) 378,395 356,981 273,884 U.S. Treasury securities — 160 — Reverse repurchase agreements 63,290 61,641 18,661 Total interest income $ 3,787,297 $ 3,332,563 $ 2,493,126 Interest expense Repurchase agreements 2,513,282 1,698,930 891,819 Debt issued by securitization vehicles 141,981 98,013 60,304 Participation sold — — 195 Other 129,612 100,917 56,036 Total interest expense 2,784,875 1,897,860 1,008,354 Net interest income $ 1,002,422 $ 1,434,703 $ 1,484,772 (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) | 12 Months Ended |
Dec. 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 years ended December 31, 2019 , 2018 and 2017 . For the Years Ended December 31, 2019 December 31, 2018 December 31, 2017 (dollars in thousands, except per share data) Net income (loss) $ (2,163,091 ) $ 54,148 $ 1,569,016 Net income (loss) attributable to noncontrolling interests (226 ) (260 ) (588 ) Net income (loss) attributable to Annaly (2,162,865 ) 54,408 1,569,604 Dividends on preferred stock 136,576 129,312 109,635 Net income (loss) available (related) to common stockholders $ (2,299,441 ) $ (74,904 ) $ 1,459,969 Weighted average shares of common stock outstanding-basic 1,434,912,682 1,209,601,809 1,065,923,652 Add: Effect of stock awards, if dilutive — — 427,964 Weighted average shares of common stock outstanding-diluted 1,434,912,682 1,209,601,809 1,066,351,616 Net income (loss) per share available (related) to common share Basic $ (1.60 ) $ (0.06 ) $ 1.37 Diluted $ (1.60 ) $ (0.06 ) $ 1.37 |
LEASE COMMITMENTS AND CONTING_2
LEASE COMMITMENTS AND CONTINGENCIES (Tables) | 12 Months Ended |
Dec. 31, 2019 | |
Leases [Abstract] | |
Supplemental Lease Information | Supplemental information related to leases as of and for the year ended December 31, 2019 was as follows: Operating Leases Classification December 31, 2019 Assets (dollars in thousands) Operating lease right-of-use assets Other assets $ 15,786 Liabilities Operating lease liabilities (1) Other liabilities $ 20,439 Lease term and discount rate Weighted average remaining lease term 5.7 years Weighted average discount rate (1) 2.9% Cash paid for amounts included in the measurement of lease liabilities Operating cash flows from operating leases $ 3,712 (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 ended December 31, (dollars in thousands) 2020 $ 3,799 2021 3,918 2022 3,862 2023 3,862 2024 3,862 Later years 2,895 Total lease payments $ 22,198 Less imputed interest 1,759 Present value of lease liabilities $ 20,439 |
ACQUISITION OF MTGE INVESTMEN_2
ACQUISITION OF MTGE INVESTMENT CORP. (Tables) | 12 Months Ended |
Dec. 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 |
SUMMARIZED QUARTERLY RESULTS (T
SUMMARIZED QUARTERLY RESULTS (Tables) | 12 Months Ended |
Dec. 31, 2019 | |
Quarterly Financial Information Disclosure [Abstract] | |
Summary of Quarterly Results of Operations | The following is a presentation of summarized quarterly results of operations for the years ended December 31, 2019 and 2018 . These quarterly results were prepared in accordance with GAAP and reflect all adjustments that are, in the opinion of management, necessary for a fair statement of the results. These adjustments are of a normal, recurring nature. For the Quarters Ended December 31, 2019 September 30, June 30, March 31, (dollars in thousands, expect per share data) Interest income $ 1,074,214 $ 919,299 $ 927,598 $ 866,186 Interest expense 620,058 766,905 750,217 647,695 Net interest income 454,156 152,394 177,381 218,491 Total realized and unrealized gains (losses) 785,687 (875,406 ) (1,909,482 ) (1,011,926 ) Total other income (loss) 42,656 35,074 28,181 30,502 Less: Total general and administrative expenses 73,351 66,138 78,408 83,737 Income (loss) before income taxes 1,209,148 (754,076 ) (1,782,328 ) (846,670 ) Less: Income taxes (594 ) (6,907 ) (5,915 ) 2,581 Net income (loss) 1,209,742 (747,169 ) (1,776,413 ) (849,251 ) Less: Net income attributable to noncontrolling interests 68 (110 ) (83 ) (101 ) Less: Dividends on preferred stock (1) 35,509 36,151 32,422 32,494 Net income (loss) available (related) to common stockholders $ 1,174,165 $ (783,210 ) $ (1,808,752 ) $ (881,644 ) Net income (loss) available (related) per share to common stockholders Basic $ 0.82 $ (0.54 ) $ (1.24 ) $ (0.63 ) Diluted $ 0.82 $ (0.54 ) $ (1.24 ) $ (0.63 ) For the Quarters Ended December 31, 2018 September 30, June 30, March 31, (dollars in thousands, expect per share data) Interest income $ 859,674 $ 816,596 $ 776,806 $ 879,487 Interest expense 586,774 500,973 442,692 367,421 Net interest income 272,900 315,623 334,114 512,066 Total realized and unrealized gains (losses) (2,502,035 ) 199,716 294,646 844,689 Total other income (loss) 52,377 (10,643 ) 34,170 34,023 Less: Total general and administrative expenses 77,073 126,509 63,781 62,510 Income (loss) before income taxes (2,253,831 ) 378,187 599,149 1,328,268 Less: Income taxes 1,041 (7,242 ) 3,262 564 Net income (loss) (2,254,872 ) 385,429 595,887 1,327,704 Less: Net income attributable to noncontrolling interests 17 (149 ) (32 ) (96 ) Less: Dividends on preferred stock 32,494 31,675 31,377 33,766 Net income (loss) available (related) to common stockholders $ (2,287,383 ) $ 353,903 $ 564,542 $ 1,294,034 Net income (loss) available (related) per share to common stockholders Basic $ (1.74 ) $ 0.29 $ 0.49 $ 1.12 Diluted $ (1.74 ) $ 0.29 $ 0.49 $ 1.12 (1) The quarter ended September 30, 2019 excludes, and the quarter ended June 30, 2019 includes, cumulative and undeclared dividends of $0.3 million on the Company's Series I Preferred Stock as of June 30, 2019. |
SIGNIFICANT ACCOUNTING POLICI_4
SIGNIFICANT ACCOUNTING POLICIES - Additional Information (Details) - USD ($) $ in Billions | Dec. 31, 2019 | Dec. 31, 2018 |
Interest Rate Swaps | ||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||
Margin deposit assets | $ 1.6 | $ 1.6 |
FINANCIAL INSTRUMENTS - Summary
FINANCIAL INSTRUMENTS - Summary of Characteristics of Financial Instruments (Details) - USD ($) $ in Thousands | Dec. 31, 2019 | Dec. 31, 2018 |
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items] | ||
Assets | $ 130,295,081 | $ 105,787,527 |
Liabilities | 114,498,737 | 91,669,726 |
Total securities | ||
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items] | ||
Assets | 114,833,580 | 92,623,788 |
Agency mortgage-backed securities, recognized through comprehensive income | ||
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items] | ||
Assets | 112,124,958 | 89,840,322 |
Agency mortgage-backed securities, recognized through earnings | ||
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items] | ||
Assets | 768,409 | 912,673 |
Credit risk transfer securities | ||
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items] | ||
Assets | 531,322 | 552,097 |
Non-agency mortgage-backed securities | ||
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items] | ||
Assets | 1,135,868 | 1,161,938 |
Commercial real estate debt investment, securities, recognized through other comprehensive income | ||
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items] | ||
Assets | 64,655 | 138,242 |
Commercial real estate debt investment, securities, recognized through earnings | ||
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items] | ||
Assets | 208,368 | 18,516 |
Total loans, net | ||
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items] | ||
Assets | 4,462,350 | 4,585,975 |
Residential mortgage loans | ||
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items] | ||
Assets | 1,647,787 | 1,359,806 |
Commercial real estate debt and preferred equity, held for investment | ||
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items] | ||
Assets | 669,713 | 1,296,803 |
Commercial loans held for sale, net | ||
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items] | ||
Assets | 0 | 42,184 |
Corporate debt held for investment, net | ||
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items] | ||
Assets | 2,144,850 | 1,887,182 |
Total assets transferred or pledged to securitization vehicles | ||
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items] | ||
Assets | 7,002,460 | 3,833,200 |
Mortgage-backed securities, recognized through other comprehensive income | ||
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items] | ||
Assets | 1,122,588 | 0 |
Residential mortgage loans, recognized through earnings | ||
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items] | ||
Assets | 2,598,374 | 1,094,831 |
Commercial mortgage loans, recognized through earnings | ||
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items] | ||
Assets | 2,345,120 | 2,738,369 |
Commercial mortgage loans | ||
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items] | ||
Assets | 936,378 | 0 |
Reverse repurchase agreements | ||
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items] | ||
Assets | 0 | 650,040 |
Repurchase agreements | ||
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items] | ||
Liabilities | 101,740,728 | 81,115,874 |
Other secured financing | ||
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items] | ||
Liabilities | 4,455,700 | 4,183,311 |
Debt issued by securitization vehicles | ||
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items] | ||
Liabilities | 5,622,801 | 3,347,062 |
Mortgages payable | ||
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items] | ||
Liabilities | $ 485,005 | $ 511,056 |
SECURITIES - Summary of Residen
SECURITIES - Summary of Residential Securities and CMBS (Details) $ in Thousands | 12 Months Ended |
Dec. 31, 2019USD ($) | |
Debt Securities, Available-For-Sale [Roll Forward] | |
Beginning balance | $ 92,623,788 |
Purchases | 62,948,682 |
Sales and transfers | 26,598,711 |
Principal paydowns | (17,223,971) |
(Amortization) / accretion | (1,113,566) |
Fair value adjustment | 4,197,358 |
Ending balance | 114,833,580 |
Residential Securities | |
Debt Securities, Available-For-Sale [Roll Forward] | |
Beginning balance | 92,467,030 |
Purchases | 62,703,862 |
Sales and transfers | 26,506,345 |
Principal paydowns | (17,180,225) |
(Amortization) / accretion | (1,114,344) |
Fair value adjustment | 4,190,579 |
Ending balance | 114,560,557 |
Commercial Securities | |
Debt Securities, Available-For-Sale [Roll Forward] | |
Beginning balance | 156,758 |
Purchases | 244,820 |
Sales and transfers | 92,366 |
Principal paydowns | (43,746) |
(Amortization) / accretion | 778 |
Fair value adjustment | 6,779 |
Ending balance | $ 273,023 |
SECURITIES - Portfolio (Details
SECURITIES - Portfolio (Details) - USD ($) $ in Thousands | Dec. 31, 2019 | Dec. 31, 2018 |
Mortgage-Backed Securities Portfolio [Line Items] | ||
Principal / notional | $ 113,123,301 | $ 96,602,237 |
Remaining premium | 5,353,597 | |
Remaining premium | 5,311,495 | |
Remaining discount | (166,320) | |
Remaining discount | (192,979) | |
Amortized cost | 112,863,385 | 94,853,660 |
Unrealized gains | 2,261,636 | 379,619 |
Unrealized losses | (291,441) | (2,609,491) |
Estimated fair value | 114,833,580 | 92,623,788 |
Agency Securities | ||
Mortgage-Backed Securities Portfolio [Line Items] | ||
Principal / notional | 110,241,618 | 93,835,696 |
Remaining premium | 5,307,771 | |
Remaining premium | 5,255,201 | |
Remaining discount | (50,294) | |
Remaining discount | (43,656) | |
Amortized cost | 111,012,250 | 93,040,233 |
Unrealized gains | 2,167,941 | 305,893 |
Unrealized losses | (286,824) | (2,593,131) |
Estimated fair value | 112,893,367 | 90,752,995 |
Agency Securities | Fixed-rate pass-through | ||
Mortgage-Backed Securities Portfolio [Line Items] | ||
Principal / notional | 102,448,565 | 81,144,650 |
Remaining premium | 4,345,053 | |
Remaining premium | 3,810,808 | |
Remaining discount | (46,614) | |
Remaining discount | (36,987) | |
Amortized cost | 106,747,004 | 84,918,471 |
Unrealized gains | 2,071,583 | 264,443 |
Unrealized losses | (95,173) | (2,130,362) |
Estimated fair value | 108,723,414 | 83,052,552 |
Agency Securities | Adjustable-rate pass-through | ||
Mortgage-Backed Securities Portfolio [Line Items] | ||
Principal / notional | 1,474,818 | 4,835,983 |
Remaining premium | 72,245 | |
Remaining premium | 247,981 | |
Remaining discount | (1,400) | |
Remaining discount | (1,337) | |
Amortized cost | 1,545,663 | 5,082,627 |
Unrealized gains | 10,184 | 7,127 |
Unrealized losses | (31,516) | (151,770) |
Estimated fair value | 1,524,331 | 4,937,984 |
Agency Securities | CMO | ||
Mortgage-Backed Securities Portfolio [Line Items] | ||
Principal / notional | 156,937 | 11,113 |
Remaining premium | 2,534 | |
Remaining premium | 53 | |
Remaining discount | 0 | |
Remaining discount | 0 | |
Amortized cost | 159,471 | 11,166 |
Unrealized gains | 545 | 55 |
Unrealized losses | 0 | 0 |
Estimated fair value | 160,016 | 11,221 |
Agency Securities | Interest-only | ||
Mortgage-Backed Securities Portfolio [Line Items] | ||
Principal / notional | 4,486,845 | 6,007,008 |
Remaining premium | 862,905 | |
Remaining premium | 1,179,855 | |
Remaining discount | 0 | |
Remaining discount | 0 | |
Amortized cost | 862,905 | 1,179,855 |
Unrealized gains | 2,787 | 1,446 |
Unrealized losses | (157,130) | (307,412) |
Estimated fair value | 708,562 | 873,889 |
Agency Securities | Multifamily | ||
Mortgage-Backed Securities Portfolio [Line Items] | ||
Principal / notional | 1,619,900 | 1,802,292 |
Remaining premium | 19,981 | |
Remaining premium | 12,329 | |
Remaining discount | (2,280) | |
Remaining discount | (5,332) | |
Amortized cost | 1,637,601 | 1,809,289 |
Unrealized gains | 82,292 | 32,753 |
Unrealized losses | (2,696) | (3,477) |
Estimated fair value | 1,717,197 | 1,838,565 |
Agency Securities | Reverse mortgages | ||
Mortgage-Backed Securities Portfolio [Line Items] | ||
Principal / notional | 54,553 | 34,650 |
Remaining premium | 5,053 | |
Remaining premium | 4,175 | |
Remaining discount | 0 | |
Remaining discount | 0 | |
Amortized cost | 59,606 | 38,825 |
Unrealized gains | 550 | 69 |
Unrealized losses | (309) | (110) |
Estimated fair value | 59,847 | 38,784 |
Residential Credit Securities Mortgage Backed Securities | ||
Mortgage-Backed Securities Portfolio [Line Items] | ||
Principal / notional | 2,617,718 | 2,610,620 |
Remaining premium | 34,953 | |
Remaining premium | 46,516 | |
Remaining discount | (106,633) | |
Remaining discount | (139,583) | |
Amortized cost | 1,585,690 | 1,657,468 |
Unrealized gains | 85,985 | 72,067 |
Unrealized losses | (4,485) | (15,500) |
Estimated fair value | 1,667,190 | 1,714,035 |
Residential Credit Securities Mortgage Backed Securities | CRT | ||
Mortgage-Backed Securities Portfolio [Line Items] | ||
Principal / notional | 517,110 | 542,374 |
Remaining premium | 15,850 | |
Remaining premium | 28,444 | |
Remaining discount | (2,085) | |
Remaining discount | (15,466) | |
Amortized cost | 515,950 | 555,352 |
Unrealized gains | 16,605 | 7,879 |
Unrealized losses | (1,233) | (11,134) |
Estimated fair value | 531,322 | 552,097 |
Residential Credit Securities Mortgage Backed Securities | CRT Interest-Only Security | ||
Mortgage-Backed Securities Portfolio [Line Items] | ||
Principal / notional | 14,900 | |
Residential Credit Securities Mortgage Backed Securities | Alt-A | ||
Mortgage-Backed Securities Portfolio [Line Items] | ||
Principal / notional | 160,957 | 202,889 |
Remaining premium | 250 | |
Remaining premium | 349 | |
Remaining discount | (22,306) | |
Remaining discount | (31,238) | |
Amortized cost | 138,901 | 172,000 |
Unrealized gains | 12,482 | 10,559 |
Unrealized losses | 0 | (198) |
Estimated fair value | 151,383 | 182,361 |
Residential Credit Securities Mortgage Backed Securities | Prime | ||
Mortgage-Backed Securities Portfolio [Line Items] | ||
Principal / notional | 277,076 | 353,108 |
Remaining premium | 3,362 | |
Remaining premium | 2,040 | |
Remaining discount | (17,794) | |
Remaining discount | (23,153) | |
Amortized cost | 262,644 | 331,995 |
Unrealized gains | 14,142 | 12,821 |
Unrealized losses | (529) | (830) |
Estimated fair value | 276,257 | 343,986 |
Residential Credit Securities Mortgage Backed Securities | Prime interest-only | ||
Mortgage-Backed Securities Portfolio [Line Items] | ||
Principal / notional | 391,234 | |
Remaining premium | 3,757 | |
Remaining discount | 0 | |
Amortized cost | 3,757 | |
Unrealized gains | 0 | |
Unrealized losses | (590) | |
Estimated fair value | 3,167 | |
Residential Credit Securities Mortgage Backed Securities | Subprime | ||
Mortgage-Backed Securities Portfolio [Line Items] | ||
Principal / notional | 370,263 | 423,166 |
Remaining premium | 1,356 | |
Remaining premium | 1,776 | |
Remaining discount | (59,727) | |
Remaining discount | (65,005) | |
Amortized cost | 311,892 | 359,937 |
Unrealized gains | 37,205 | 35,278 |
Unrealized losses | (118) | (594) |
Estimated fair value | 348,979 | 394,621 |
Residential Credit Securities Mortgage Backed Securities | NPL/RPL | ||
Mortgage-Backed Securities Portfolio [Line Items] | ||
Principal / notional | 164,180 | 3,431 |
Remaining premium | 351 | |
Remaining premium | 0 | |
Remaining discount | (440) | |
Remaining discount | (30) | |
Amortized cost | 164,091 | 3,401 |
Unrealized gains | 191 | 37 |
Unrealized losses | (14) | 0 |
Estimated fair value | 164,268 | 3,438 |
Residential Credit Securities Mortgage Backed Securities | Prime jumbo (2010 vintage) | ||
Mortgage-Backed Securities Portfolio [Line Items] | ||
Principal / notional | 182,709 | 225,567 |
Remaining premium | 1,026 | |
Remaining premium | 1,087 | |
Remaining discount | (4,281) | |
Remaining discount | (4,691) | |
Amortized cost | 179,454 | 221,963 |
Unrealized gains | 5,360 | 1,439 |
Unrealized losses | (150) | (2,744) |
Estimated fair value | 184,664 | 220,658 |
Residential Credit Securities Mortgage Backed Securities | Prime jumbo (2010 vintage) Interest-only | ||
Mortgage-Backed Securities Portfolio [Line Items] | ||
Principal / notional | 554,189 | 860,085 |
Remaining premium | 9,001 | |
Remaining premium | 12,820 | |
Remaining discount | 0 | |
Remaining discount | 0 | |
Amortized cost | 9,001 | 12,820 |
Unrealized gains | 0 | 4,054 |
Unrealized losses | (1,851) | 0 |
Estimated fair value | 7,150 | 16,874 |
Residential Investments | ||
Mortgage-Backed Securities Portfolio [Line Items] | ||
Principal / notional | 112,859,336 | 96,446,316 |
Remaining premium | 5,342,724 | |
Remaining premium | 5,301,717 | |
Remaining discount | (156,927) | |
Remaining discount | (183,239) | |
Amortized cost | 112,597,940 | 94,697,701 |
Unrealized gains | 2,253,926 | 377,960 |
Unrealized losses | (291,309) | (2,608,631) |
Estimated fair value | 114,560,557 | 92,467,030 |
Commercial Mortgage-Backed Securities | ||
Mortgage-Backed Securities Portfolio [Line Items] | ||
Principal / notional | 263,965 | 155,921 |
Remaining premium | 10,873 | |
Remaining premium | 9,778 | |
Remaining discount | (9,393) | |
Remaining discount | (9,740) | |
Amortized cost | 265,445 | 155,959 |
Unrealized gains | 7,710 | 1,659 |
Unrealized losses | (132) | (860) |
Estimated fair value | $ 273,023 | $ 156,758 |
SECURITIES - Component of Agenc
SECURITIES - Component of Agency Mortgage-Backed Securities Portfolio by Issuing Agency Concentration (Details) - USD ($) $ in Thousands | Dec. 31, 2019 | Dec. 31, 2018 | |
Mortgage-Backed Securities Portfolio [Line Items] | |||
Estimated fair value | [1] | $ 114,833,580 | $ 92,623,788 |
Agency Mortgage-Backed Securities | |||
Mortgage-Backed Securities Portfolio [Line Items] | |||
Estimated fair value | 112,893,367 | 90,752,995 | |
Agency Mortgage-Backed Securities | Fannie Mae | |||
Mortgage-Backed Securities Portfolio [Line Items] | |||
Estimated fair value | 76,656,831 | 60,270,432 | |
Agency Mortgage-Backed Securities | Freddie Mac | |||
Mortgage-Backed Securities Portfolio [Line Items] | |||
Estimated fair value | 36,087,100 | 30,397,556 | |
Agency Mortgage-Backed Securities | Ginnie Mae | |||
Mortgage-Backed Securities Portfolio [Line Items] | |||
Estimated fair value | $ 149,436 | $ 85,007 | |
[1] | Excludes $102.5 million and $0 at December 31, 2019 and 2018 , respectively, of agency mortgage-backed securities, $468.0 million and $83.6 million at December 31, 2019 and 2018 , respectively, of non-Agency mortgage-backed securities and $500.3 million and $224.3 million |
SECURITIES - Weighted Average L
SECURITIES - Weighted Average Life (Details) - USD ($) $ in Thousands | Dec. 31, 2019 | Dec. 31, 2018 | |
Estimated Fair Value | |||
Total | [1] | $ 114,833,580 | $ 92,623,788 |
Amortized Cost | |||
Total | 112,863,385 | 94,853,660 | |
Residential Investments | |||
Estimated Fair Value | |||
Less than one year | 3,997 | 13,447 | |
Greater than one year through five years | 36,290,254 | 11,710,172 | |
Greater than five years through ten years | 77,732,756 | 80,202,479 | |
Greater than ten years | 533,550 | 540,932 | |
Total | 114,560,557 | 92,467,030 | |
Amortized Cost | |||
Less than one year | 4,543 | 13,670 | |
Greater than one year through five years | 35,581,833 | 11,928,973 | |
Greater than five years through ten years | 76,504,845 | 82,218,464 | |
Greater than ten years | 506,719 | 536,594 | |
Total | $ 112,597,940 | $ 94,697,701 | |
[1] | Excludes $102.5 million and $0 at December 31, 2019 and 2018 , respectively, of agency mortgage-backed securities, $468.0 million and $83.6 million at December 31, 2019 and 2018 , respectively, of non-Agency mortgage-backed securities and $500.3 million and $224.3 million |
SECURITIES - Unrealized Loss Po
SECURITIES - Unrealized Loss Position (Details) $ in Thousands | Dec. 31, 2019USD ($)security | Dec. 31, 2018USD ($)security |
Unrealized Loss Position For: | ||
Estimated fair value | $ 114,833,580 | $ 92,623,788 |
Gross unrealized losses | (291,441) | (2,609,491) |
Agency Mortgage-Backed Securities | ||
Unrealized Loss Position For: | ||
Estimated fair value | 19,007,519 | 65,552,879 |
Gross unrealized losses | $ (129,385) | $ (2,285,609) |
Number of securities | security | 491 | 2,189 |
Available For Sale Securities, Continuous Unrealized Loss Positions, Less Than 12 Months | Agency Mortgage-Backed Securities | ||
Unrealized Loss Position For: | ||
Estimated fair value | $ 7,388,239 | $ 22,418,036 |
Gross unrealized losses | $ (24,056) | $ (432,352) |
Number of securities | security | 139 | 713 |
Available For Sale Securities, Continuous Unrealized Loss Positions, Greater Than 12 Months | Agency Mortgage-Backed Securities | ||
Unrealized Loss Position For: | ||
Estimated fair value | $ 11,619,280 | $ 43,134,843 |
Gross unrealized losses | $ (105,329) | $ (1,853,257) |
Number of securities | security | 352 | 1,476 |
SECURITIES - Additional Informa
SECURITIES - Additional Information (Details) - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2019 | Dec. 31, 2018 | Dec. 31, 2017 | |
Investments, Debt and Equity Securities [Abstract] | |||
Residential investment securities sold, carrying value | $ 25,500 | $ 45,600 | $ 12,900 |
Residential investment securities sold, net realized gain (loss) | $ (37.8) | $ (1,100) | $ (6.4) |
LOANS - Additional Information
LOANS - Additional Information (Details) - USD ($) | 12 Months Ended | ||
Dec. 31, 2019 | Dec. 31, 2018 | Dec. 31, 2017 | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Assets | $ 130,295,081,000 | $ 105,787,527,000 | |
Loan loss provision | 16,569,000 | 3,496,000 | $ 0 |
Aggregate principal balance | 63,200,000 | 7,000,000 | |
Carrying value | 43,100,000 | 3,500,000 | |
Balance of the loan loss provision | 20,100,000 | $ 3,500,000 | |
Loans | $ 669,713,000 | ||
Loans receivable with variable rates of interest | 92.00% | 88.00% | |
Residential Mortgage Loans | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Assets | $ 1,600,000,000 | $ 1,400,000,000 | |
Loans | $ 66,700,000 | $ 97,500,000 | |
Percent of adjustable-rate loans | 36.00% | 47.00% | |
Commercial Mortgage Loans | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Loans | $ 0 | $ 42,200,000 | |
Unfunded corporate loan commitments | 181,400,000 | ||
Corporate Loans | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Loan loss provision | 7,400,000 | ||
Aggregate principal balance | 19,600,000 | ||
Carrying value | 12,200,000 | ||
Unfunded corporate loan commitments | $ 81,200,000 | ||
Minimum | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Senior secured loans, stated maturity | 5 years | ||
Maximum | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Senior secured loans, stated maturity | 7 years |
LOANS - Investment Loan Activit
LOANS - Investment Loan Activity (Details) $ in Thousands | 12 Months Ended | |
Dec. 31, 2019USD ($) | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Movement in Mortgage Loans on Real Estate [Roll Forward] | ||
Beginning balance | $ 4,585,975 | [1] |
Purchases | 4,384,684 | |
Sales and transfers | (3,768,246) | |
Principal payments | (726,064) | |
Gains / (losses) | (20,835) | |
(Amortization) / accretion | (6,836) | |
Ending balance, carrying value | 669,713 | |
Ending balance | 4,462,350 | [1] |
Residential | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Movement in Mortgage Loans on Real Estate [Roll Forward] | ||
Beginning balance | 1,359,806 | |
Purchases | 2,905,112 | |
Sales and transfers | (2,417,798) | |
Principal payments | (190,336) | |
Gains / (losses) | (6,130) | |
(Amortization) / accretion | 2,867 | |
Ending balance | 1,647,787 | |
Commercial | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Movement in Mortgage Loans on Real Estate [Roll Forward] | ||
Beginning balance | 1,338,987 | |
Purchases | 589,530 | |
Sales and transfers | (1,085,230) | |
Principal payments | (166,801) | |
Gains / (losses) | (9,207) | |
(Amortization) / accretion | (2,434) | |
Ending balance | 669,713 | |
Corporate | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Movement in Mortgage Loans on Real Estate [Roll Forward] | ||
Beginning balance | 1,887,182 | |
Purchases | 890,042 | |
Sales and transfers | (265,218) | |
Principal payments | (368,927) | |
Gains / (losses) | (5,498) | |
(Amortization) / accretion | (7,269) | |
Ending balance | $ 2,144,850 | |
[1] | Includes $66.7 million and $97.5 million of residential mortgage loans held for sale and $0 and $42.2 million of commercial mortgage loans held for sale at December 31, 2019 and 2018 , respectively. |
LOANS - Fair Value and Unpaid P
LOANS - Fair Value and Unpaid Principal of Residential Mortgage Loan Portfolio (Details) - Residential Mortgage Loans - USD ($) $ in Thousands | Dec. 31, 2019 | Dec. 31, 2018 |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Fair value | $ 4,246,161 | $ 2,454,637 |
Unpaid principal balance | $ 4,133,149 | $ 2,425,657 |
LOANS - Summary of Comprehensiv
LOANS - Summary of Comprehensive Income (Loss) (Details) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended | |||||||||
Dec. 31, 2019 | Sep. 30, 2019 | Jun. 30, 2019 | Mar. 31, 2019 | Dec. 31, 2018 | Sep. 30, 2018 | Jun. 30, 2018 | Mar. 31, 2018 | Dec. 31, 2019 | Dec. 31, 2018 | Dec. 31, 2017 | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||||||||||
Interest income | $ 454,156 | $ 152,394 | $ 177,381 | $ 218,491 | $ 272,900 | $ 315,623 | $ 334,114 | $ 512,066 | $ 1,002,422 | $ 1,434,703 | $ 1,484,772 |
Net gains (losses) on disposal of investments | (47,944) | (1,123,969) | (3,938) | ||||||||
Net income (loss) attributable to Annaly | (2,162,865) | 54,408 | $ 1,569,604 | ||||||||
Residential Mortgage Loans | |||||||||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||||||||||
Interest income | 150,066 | 83,259 | |||||||||
Net gains (losses) on disposal of investments | (18,619) | (12,934) | |||||||||
Net unrealized gains (losses) on instruments measured at fair value through earnings | 51,290 | 1,102 | |||||||||
Net income (loss) attributable to Annaly | $ 182,737 | $ 71,427 |
LOANS - Geographic Concentratio
LOANS - Geographic Concentrations Based on Unpaid Principal Balances (Details) - Residential mortgage loans - Geographic Concentration Risk | 12 Months Ended | |
Dec. 31, 2019 | Dec. 31, 2018 | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Geographic concentrations of residential mortgage loans | 100.00% | 100.00% |
California | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Geographic concentrations of residential mortgage loans | 52.10% | 53.70% |
New York | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Geographic concentrations of residential mortgage loans | 10.50% | 6.60% |
Florida | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Geographic concentrations of residential mortgage loans | 5.30% | 7.10% |
Other | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Geographic concentrations of residential mortgage loans | 32.10% | 32.60% |
LOANS - Additional Informatio_2
LOANS - Additional Information about Residential Mortgage Loans (Details) - Residential Mortgage Loans $ in Thousands | 12 Months Ended | ||
Dec. 31, 2019USD ($)point | Dec. 31, 2018USD ($)point | Dec. 31, 2017USD ($)point | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Unpaid principal balance | $ 4,133,149 | $ 2,425,657 | |
Minimum | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in 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 | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Unpaid principal balance | $ 3,448 | $ 3,500 | |
Interest rate | 8.38% | 7.75% | |
FICO score at loan origination | point | 829 | 823 | |
Loan-to-value ratio at loan origination | 105.00% | 111.00% | |
Weighted Average | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Unpaid principal balance | $ 459 | $ 457 | |
Interest rate | 4.94% | 4.72% | |
FICO score at loan origination | point | 758 | 752 | |
Loan-to-value ratio at loan origination | 67.00% | 68.00% |
LOANS - Summary of Commercial R
LOANS - Summary of Commercial Real Estate Investments Held for Investment (Details) - USD ($) $ in Thousands | Dec. 31, 2019 | Dec. 31, 2018 | Dec. 31, 2017 |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Outstanding principal | $ 113,123,301 | $ 96,602,237 | |
Loans | 669,713 | ||
Carrying value, unamortized origination fees | 8,300 | 7,600 | |
Commercial Mortgage | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Outstanding principal | 1,627,109 | 1,307,911 | |
Loans | $ 1,606,091 | $ 1,296,803 | $ 1,029,327 |
Percentage of loan portfolio | 100.00% | 100.00% | |
Commercial Mortgage | Senior Mortgages | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Outstanding principal | $ 503,499 | $ 988,248 | |
Loans | $ 499,690 | $ 981,202 | 625,900 |
Percentage of loan portfolio | 30.90% | 75.60% | |
Commercial Mortgage | Senior Securitized Mortgages | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Outstanding principal | $ 940,546 | $ 0 | |
Loans | $ 936,378 | $ 0 | |
Percentage of loan portfolio | 57.80% | 0.00% | |
Commercial Mortgage | Preferred Equity | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Loans | $ 0 | 8,985 | |
Mezzanine Loans | Commercial Mortgage | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Outstanding principal | $ 183,064 | 319,663 | |
Loans | $ 170,023 | $ 315,601 | $ 394,442 |
Percentage of loan portfolio | 11.30% | 24.40% |
LOANS - CRE Debt and Preferred
LOANS - CRE Debt and Preferred Equity Investments - Based on Outstanding Principal (Details) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2019 | Dec. 31, 2018 | |
Real Estate [Roll Forward] | ||
Principal payments | $ (726,064) | |
Ending balance, carrying value | 669,713 | |
Commercial Mortgage | ||
Real Estate [Roll Forward] | ||
Beginning balance, carrying value | 1,296,803 | $ 1,029,327 |
Originations & advances (principal) | 593,913 | 628,177 |
Principal payments | (316,663) | (353,424) |
Transfers | 40,058 | |
Net (increase) decrease in origination fees | (4,384) | (6,994) |
Amortization of net origination fees | 5,571 | 3,213 |
Allowance for loan losses | (9,207) | (3,496) |
Ending balance, carrying value | 1,606,091 | 1,296,803 |
Commercial Mortgage | Senior Mortgages | ||
Real Estate [Roll Forward] | ||
Beginning balance, carrying value | 981,202 | 625,900 |
Originations & advances (principal) | 572,204 | 575,953 |
Principal payments | (16,785) | (216,849) |
Transfers | (1,034,754) | |
Net (increase) decrease in origination fees | (4,200) | (6,624) |
Amortization of net origination fees | 2,023 | 2,822 |
Allowance for loan losses | 0 | 0 |
Ending balance, carrying value | 499,690 | 981,202 |
Commercial Mortgage | Senior Securitized Mortgages | ||
Real Estate [Roll Forward] | ||
Beginning balance, carrying value | 0 | |
Originations & advances (principal) | 0 | |
Principal payments | (150,245) | |
Transfers | 1,083,487 | |
Net (increase) decrease in origination fees | 0 | |
Amortization of net origination fees | 3,136 | |
Allowance for loan losses | 0 | |
Ending balance, carrying value | 936,378 | 0 |
Commercial Mortgage | Preferred Equity | ||
Real Estate [Roll Forward] | ||
Beginning balance, carrying value | 0 | 8,985 |
Originations & advances (principal) | 0 | |
Principal payments | (9,000) | |
Net (increase) decrease in origination fees | 0 | |
Amortization of net origination fees | 15 | |
Allowance for loan losses | 0 | |
Ending balance, carrying value | 0 | |
Mezzanine Loans | Commercial Mortgage | ||
Real Estate [Roll Forward] | ||
Beginning balance, carrying value | 315,601 | 394,442 |
Originations & advances (principal) | 21,709 | 52,224 |
Principal payments | (149,633) | (127,575) |
Transfers | (8,675) | |
Net (increase) decrease in origination fees | (184) | (370) |
Amortization of net origination fees | 412 | 376 |
Allowance for loan losses | (9,207) | (3,496) |
Ending balance, carrying value | $ 170,023 | $ 315,601 |
LOANS - Internal Loan and Prefe
LOANS - Internal Loan and Preferred Equity Ratings (Details) | 12 Months Ended | ||
Dec. 31, 2019USD ($)loan | Dec. 31, 2018USD ($)loan | Dec. 31, 2017USD ($) | |
Real Estate [Line Items] | |||
Outstanding principal | $ 113,123,301,000 | $ 96,602,237,000 | |
Balance of the loan loss provision | 20,100,000 | 3,500,000 | |
Loan loss provision | 16,569,000 | 3,496,000 | $ 0 |
Commercial Mortgage | |||
Real Estate [Line Items] | |||
Outstanding principal | $ 1,627,109,000 | $ 1,307,911,000 | |
Percentage of CRE debt and preferred equity portfolio | 100.00% | 100.00% | |
Performing | $ 584,076,000 | $ 793,842,000 | |
Performing - closely monitored | 649,216,000 | 254,676,000 | |
Performing - special mention | 240,014,000 | 151,400,000 | |
Substandard | 110,200,000 | 100,993,000 | |
Doubtful | 36,603,000 | 7,000,000 | |
Loss | $ 7,000,000 | $ 0 | |
Commercial Mortgage | Substandard | |||
Real Estate [Line Items] | |||
Number of rated loans | loan | 3 | 2 | |
Commercial Mortgage | Doubtful | |||
Real Estate [Line Items] | |||
Number of rated loans | loan | 1 | 1 | |
Balance of the loan loss provision | $ 5,700,000 | ||
Loan loss provision | $ 3,500,000 | ||
Senior Mortgages | Commercial Mortgage | |||
Real Estate [Line Items] | |||
Outstanding principal | $ 503,499,000 | $ 988,248,000 | |
Percentage of CRE debt and preferred equity portfolio | 30.90% | 75.60% | |
Performing | $ 94,711,000 | $ 653,066,000 | |
Performing - closely monitored | 253,069,000 | 215,792,000 | |
Performing - special mention | 112,619,000 | 55,000,000 | |
Substandard | 43,100,000 | 64,390,000 | |
Doubtful | 0 | 0 | |
Loss | 0 | 0 | |
Senior Securitized Mortgages | Commercial Mortgage | |||
Real Estate [Line Items] | |||
Outstanding principal | $ 940,546,000 | 0 | |
Percentage of CRE debt and preferred equity portfolio | 57.80% | ||
Performing | $ 429,209,000 | ||
Performing - closely monitored | 333,942,000 | ||
Performing - special mention | 127,395,000 | ||
Substandard | 50,000,000 | ||
Doubtful | 0 | ||
Loss | 0 | ||
Mezzanine Loans | Commercial Mortgage | |||
Real Estate [Line Items] | |||
Outstanding principal | $ 183,064,000 | $ 319,663,000 | |
Percentage of CRE debt and preferred equity portfolio | 11.30% | 24.40% | |
Performing | $ 60,156,000 | $ 140,776,000 | |
Performing - closely monitored | 62,205,000 | 38,884,000 | |
Performing - special mention | 0 | 96,400,000 | |
Substandard | 17,100,000 | 36,603,000 | |
Doubtful | 36,603,000 | 7,000,000 | |
Loss | $ 7,000,000 | $ 0 |
LOANS - Schedule of Industry an
LOANS - Schedule of Industry and Rate Sensitivity (Details) - USD ($) $ in Thousands | Dec. 31, 2019 | Dec. 31, 2018 | Dec. 31, 2017 |
Schedule of Held-to-maturity Securities [Line Items] | |||
Corporate debt | $ 2,144,850 | $ 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 | 2,144,850 | 1,887,182 | |
Aircraft and parts | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Corporate debt | 0 | 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 | 0 | 41,342 | |
Arrangement of transportation of freight & cargo | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Corporate debt | 0 | 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 | 0 | 21,632 | |
Chemicals & Allied Products | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Corporate debt | 15,002 | 0 | |
Chemicals & Allied Products | Fixed Rate | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Corporate debt | 0 | 0 | |
Chemicals & Allied Products | Floating Rate | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Corporate debt | 15,002 | 0 | |
Coating, engraving and allied services | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Corporate debt | 47,249 | 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 | 47,249 | 57,223 | |
Computer programming, data processing & other computer related services | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Corporate debt | 394,193 | 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 | 394,193 | 242,185 | |
Drugs | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Corporate debt | 15,923 | 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 | 15,923 | 35,882 | |
Electrical work | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Corporate debt | 43,175 | 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 | 43,175 | 41,760 | |
Electronic components & accessories | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Corporate debt | 24,000 | 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 | 24,000 | 24,059 | |
Engineering, architectural & surveying | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Corporate debt | 124,201 | 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 | 124,201 | 80,748 | |
Grocery stores | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Corporate debt | 23,248 | 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 | 23,248 | 23,431 | |
Home Health Care Services | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Corporate debt | 29,361 | $ 0 | |
Home Health Care Services | Fixed Rate | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Corporate debt | 0 | 0 | |
Home Health Care Services | Floating Rate | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Corporate debt | 29,361 | 0 | |
Insurance agents, brokers and services | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Corporate debt | 75,410 | 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 | 75,410 | 48,942 | |
Mailing, reproduction, commercial art and photography, and stenographic | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Corporate debt | 14,755 | 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 | 14,755 | 14,843 | |
Management and public relations services | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Corporate debt | 339,179 | 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 | 339,179 | 487,046 | |
Medical and dental laboratories | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Corporate debt | 41,344 | 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 | 41,344 | 26,858 | |
Metal cans & shipping containers | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Corporate debt | 118,456 | 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 | 118,456 | 118,248 | |
Miscellaneous business services | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Corporate debt | 164,033 | 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 | 164,033 | 19,622 | |
Miscellaneous equipment rental and leasing | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Corporate debt | 49,776 | 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 | 49,776 | 49,552 | |
Miscellaneous health and allied services, not elsewhere classified | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Corporate debt | 78,908 | 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 | 78,908 | 56,003 | |
Miscellaneous plastic products | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Corporate debt | 10,000 | 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 | 10,000 | 9,953 | |
Motor vehicles and motor vehicle equipment | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Corporate debt | 0 | 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 | 0 | 16,563 | |
Motor vehicles and motor vehicle parts and supplies | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Corporate debt | 28,815 | 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 | 28,815 | 29,046 | |
Nonferrous foundries (castings) | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Corporate debt | 30,191 | 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 | 30,191 | 12,948 | |
Offices and clinics of doctors of medicine | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Corporate debt | 106,993 | 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 | 106,993 | 97,877 | |
Offices of clinics and other health practitioners | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Corporate debt | 10,098 | 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 | 10,098 | 21,100 | |
Petroleum and petroleum products | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Corporate debt | 24,923 | 0 | |
Petroleum and petroleum products | Fixed Rate | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Corporate debt | 0 | 0 | |
Petroleum and petroleum products | Floating Rate | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Corporate debt | 24,923 | 0 | |
Public warehousing and storage | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Corporate debt | 107,029 | 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 | 107,029 | 84,278 | |
Research, development and testing services | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Corporate debt | 45,610 | 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 | 45,610 | 33,381 | |
Schools and educational services, not elsewhere classified | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Corporate debt | 19,586 | 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 | 19,586 | 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 | 102,182 | 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 | 102,182 | 96,607 | |
Telephone communications | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Corporate debt | 61,210 | 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 | $ 61,210 | $ 61,371 |
LOANS - Aggregate Positions in
LOANS - Aggregate Positions in Capital Structure of Borrowers (Details) - USD ($) $ in Thousands | Dec. 31, 2019 | Dec. 31, 2018 |
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | $ 2,144,850 | $ 1,887,182 |
First lien loans | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 1,396,140 | 1,346,356 |
Second lien loans | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | $ 748,710 | $ 540,826 |
MORTGAGE SERVICING RIGHTS - Pre
MORTGAGE SERVICING RIGHTS - Presentation of Activity Related to MSR (Details) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2019 | Dec. 31, 2018 | |
Servicing Asset at Fair Value, Amount [Roll Forward] | ||
Fair value, beginning of period | $ 557,813 | $ 580,860 |
Other | 0 | (4) |
Changes in valuation inputs or assumptions | (102,016) | 56,721 |
Other changes, including realization of expected cash flows | (77,719) | (79,764) |
Fair value, end of period | $ 378,078 | $ 557,813 |
MORTGAGE SERVICING RIGHTS - Add
MORTGAGE SERVICING RIGHTS - Additional Information (Details) - USD ($) $ in Millions | 12 Months Ended | |
Dec. 31, 2019 | Dec. 31, 2018 | |
Bank Servicing | ||
Servicing Assets at Fair Value [Line Items] | ||
Service income fee | $ 108 | $ 112.7 |
VARIABLE INTEREST ENTITIES - Ad
VARIABLE INTEREST ENTITIES - Additional Information (Details) - USD ($) | 1 Months Ended | 12 Months Ended | |||||||||||||
Nov. 30, 2019 | Aug. 31, 2017 | Dec. 31, 2019 | Dec. 31, 2018 | Dec. 31, 2017 | Oct. 31, 2019 | Jul. 31, 2019 | Jun. 30, 2019 | Apr. 30, 2019 | Feb. 28, 2019 | Jan. 31, 2019 | Oct. 31, 2018 | Jul. 31, 2018 | Mar. 31, 2018 | ||
Variable Interest Entity [Line Items] | |||||||||||||||
Loans | $ 669,713,000 | ||||||||||||||
Securitized debt of consolidated VIEs | 5,622,801,000 | $ 3,347,062,000 | |||||||||||||
Estimated fair value | [1] | 114,833,580,000 | 92,623,788,000 | ||||||||||||
Costs incurred in connection with securitization | 301,634,000 | 329,873,000 | $ 224,124,000 | ||||||||||||
Principal receivable | [2] | 4,462,350,000 | 4,585,975,000 | ||||||||||||
Other secured financings | 4,455,700,000 | 4,183,311,000 | |||||||||||||
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 | 3,300,000,000 | ||||||||||||||
Consolidated VIEs | Multifamily | |||||||||||||||
Variable Interest Entity [Line Items] | |||||||||||||||
Cut-off Date Principal Balance | $ 1,000,000,000 | ||||||||||||||
Costs incurred | 1,900,000 | ||||||||||||||
Consolidated VIEs | Multifamily | Retained Interest | |||||||||||||||
Variable Interest Entity [Line Items] | |||||||||||||||
Retained interest notional balance | 1,000,000,000 | ||||||||||||||
Consolidated VIEs | Multifamily | Senior Securities | |||||||||||||||
Variable Interest Entity [Line Items] | |||||||||||||||
Mortgage loans, unpaid principal balance | $ 28,500,000 | ||||||||||||||
Consolidated VIEs | Consolidation, Eliminations | |||||||||||||||
Variable Interest Entity [Line Items] | |||||||||||||||
Estimated fair value | 500,300,000 | 224,300,000 | |||||||||||||
Consolidated VIEs | NLY 2019-FL2 | |||||||||||||||
Variable Interest Entity [Line Items] | |||||||||||||||
Mortgage loans, unpaid principal balance | 857,300,000 | ||||||||||||||
Loans | $ 857,300,000 | ||||||||||||||
Securitized debt of consolidated VIEs | 635,700,000 | ||||||||||||||
Costs incurred in connection with securitization | 8,300,000 | ||||||||||||||
Contractual principal amount of debt held by third parties | 633,900,000 | ||||||||||||||
Consolidated VIEs | NLY 2019-FL2 | Consolidation, Eliminations | |||||||||||||||
Variable Interest Entity [Line Items] | |||||||||||||||
Estimated fair value | 223,900,000 | ||||||||||||||
Consolidated VIEs | OBX Trust | |||||||||||||||
Variable Interest Entity [Line Items] | |||||||||||||||
Loans | $ 465,492,000 | $ 463,405,000 | $ 383,760,000 | $ 388,156,000 | $ 393,961,000 | $ 384,027,000 | $ 383,451,000 | $ 327,162,000 | |||||||
Securitized debt of consolidated VIEs | 2,000,000,000 | 766,500,000 | |||||||||||||
Costs incurred in connection with securitization | 9,000,000 | 5,400,000 | |||||||||||||
Contractual principal amount of debt held by third parties | 1,900,000,000 | 769,000,000 | |||||||||||||
Consolidated VIEs | OBX Trust | Consolidation, Eliminations | |||||||||||||||
Variable Interest Entity [Line Items] | |||||||||||||||
Estimated fair value | 565,700,000 | 221,300,000 | |||||||||||||
Commercial Trusts | Consolidated VIEs | |||||||||||||||
Variable Interest Entity [Line Items] | |||||||||||||||
Mortgage loans, unpaid principal balance | 2,300,000,000 | 2,700,000,000 | |||||||||||||
Gain (loss) attributable to instrument- specific credit risk | 0 | 0 | |||||||||||||
Loans | 0 | 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 | 0 | |||||||||||||
Residential Trusts | Consolidated VIEs | |||||||||||||||
Variable Interest Entity [Line Items] | |||||||||||||||
Loans | 0 | 0 | |||||||||||||
Contractual principal amount of debt held by third parties | 57,300,000 | 72,100,000 | |||||||||||||
Other secured financings | 0 | 0 | |||||||||||||
Borrower | |||||||||||||||
Variable Interest Entity [Line Items] | |||||||||||||||
Credit facility, maximum borrowing capacity | 625,000,000 | 400,000,000 | |||||||||||||
Other secured financings | 426,600,000 | 376,600,000 | |||||||||||||
Borrower | Consolidation, Eliminations | |||||||||||||||
Variable Interest Entity [Line Items] | |||||||||||||||
Principal receivable | 426,600,000 | 376,600,000 | |||||||||||||
Borrower | Corporate Loans | |||||||||||||||
Variable Interest Entity [Line Items] | |||||||||||||||
Transferred loans pledged as collateral for credit facility | 741,300,000 | 568,700,000 | |||||||||||||
Borrower | July 2017 Credit Facility | Consolidated VIEs | |||||||||||||||
Variable Interest Entity [Line Items] | |||||||||||||||
Credit facility, maximum borrowing capacity | 320,000,000 | 150,000,000 | |||||||||||||
Borrower | July 2017 Credit Facility | Consolidated VIEs | Corporate Loans | |||||||||||||||
Variable Interest Entity [Line Items] | |||||||||||||||
Transferred loans pledged as collateral for credit facility | 413,700,000 | 234,800,000 | |||||||||||||
Other secured financings | 244,200,000 | $ 150,000,000 | |||||||||||||
Borrower | January 2019 Credit Facility | Consolidated VIEs | |||||||||||||||
Variable Interest Entity [Line Items] | |||||||||||||||
Credit facility, maximum borrowing capacity | $ 300,000,000 | ||||||||||||||
Other secured financings | $ 157,500,000 | ||||||||||||||
[1] | Excludes $102.5 million and $0 at December 31, 2019 and 2018 , respectively, of agency mortgage-backed securities, $468.0 million and $83.6 million at December 31, 2019 and 2018 , respectively, of non-Agency mortgage-backed securities and $500.3 million and $224.3 million | ||||||||||||||
[2] | Includes $66.7 million and $97.5 million of residential mortgage loans held for sale and $0 and $42.2 million of commercial mortgage loans held for sale at December 31, 2019 and 2018 , respectively. |
VARIABLE INTEREST ENTITIES - Sc
VARIABLE INTEREST ENTITIES - Schedule of Securitization Trusts (Details) - Consolidated VIEs - Commercial Trusts - USD ($) $ in Thousands | Dec. 31, 2019 | Oct. 31, 2019 | Aug. 31, 2019 | Jun. 30, 2018 | Apr. 30, 2015 |
Multifamily | |||||
Variable Interest Entity [Line Items] | |||||
Cut-off Date Principal Balance | $ 394,000 | $ 415,000 | $ 271,700 | $ 1,192,607 | |
Face Value of Company’s Variable Interest at Settlement Date | $ 110,350 | 75,359 | $ 20,270 | $ 89,446 | |
Hotels | |||||
Variable Interest Entity [Line Items] | |||||
Cut-off Date Principal Balance | $ 982,000 | ||||
Face Value of Company’s Variable Interest at Settlement Date | $ 93,500 | ||||
Office Building | |||||
Variable Interest Entity [Line Items] | |||||
Cut-off Date Principal Balance | 60,000 | ||||
Face Value of Company’s Variable Interest at Settlement Date | $ 60,000 |
VARIABLE INTEREST ENTITIES - _2
VARIABLE INTEREST ENTITIES - Schedule of the Fair Value of OBX Trusts Closed (Details) - USD ($) $ in Thousands | Dec. 31, 2019 | Oct. 31, 2019 | Jul. 31, 2019 | Jun. 30, 2019 | Apr. 30, 2019 | Jan. 31, 2019 | Oct. 31, 2018 | Jul. 31, 2018 | Mar. 31, 2018 |
Variable Interest Entity [Line Items] | |||||||||
Loans | $ 669,713 | ||||||||
OBX Trust | Consolidated VIEs | |||||||||
Variable Interest Entity [Line Items] | |||||||||
Loans | $ 465,492 | $ 463,405 | $ 383,760 | $ 388,156 | $ 393,961 | $ 384,027 | $ 383,451 | $ 327,162 |
VARIABLE INTEREST ENTITIES - St
VARIABLE INTEREST ENTITIES - Statement of Financial Condition of VIEs Reflected in Consolidated Statements of Financial Condition (Details) - USD ($) $ in Thousands | Dec. 31, 2019 | Dec. 31, 2018 | |
Assets | |||
Cash and cash equivalents | [1] | $ 1,850,729 | $ 1,735,749 |
Loans | 669,713 | ||
Assets transferred or pledged to securitization vehicles | 7,002,460 | 3,833,200 | |
Mortgage servicing rights | 378,078 | 557,813 | |
Principal and interest receivable | 449,906 | 357,365 | |
Other assets | 381,220 | 333,988 | |
Total assets | 130,295,081 | 105,787,527 | |
Liabilities | |||
Other secured financing | 4,455,700 | 4,183,311 | |
Interest payable | 476,335 | 570,928 | |
Other liabilities | 93,388 | 74,580 | |
Total liabilities | 114,498,737 | 91,669,726 | |
Consolidated VIEs | |||
Assets | |||
Cash and cash equivalents | 67,500 | 30,400 | |
Consolidated VIEs | Commercial Trusts | |||
Assets | |||
Cash and cash equivalents | 0 | 0 | |
Loans | 0 | 0 | |
Assets transferred or pledged to securitization vehicles | 2,345,120 | 2,738,369 | |
Mortgage servicing rights | 0 | 0 | |
Principal and interest receivable | 7,085 | 11,451 | |
Other assets | 0 | 0 | |
Total assets | 2,352,205 | 2,749,820 | |
Liabilities | |||
Debt issued by securitization vehicles (non-recourse) | 1,967,523 | 2,509,264 | |
Other secured financing | 0 | 0 | |
Payable for unsettled trades | 0 | ||
Interest payable | 3,008 | 4,594 | |
Other liabilities | 0 | 0 | |
Total liabilities | 1,970,531 | 2,513,858 | |
Consolidated VIEs | Residential Trusts | |||
Assets | |||
Cash and cash equivalents | 0 | 0 | |
Loans | 0 | 0 | |
Assets transferred or pledged to securitization vehicles | 75,924 | 105,003 | |
Mortgage servicing rights | 0 | 0 | |
Principal and interest receivable | 408 | 539 | |
Other assets | 0 | 4 | |
Total assets | 76,332 | 105,546 | |
Liabilities | |||
Debt issued by securitization vehicles (non-recourse) | 57,905 | 71,324 | |
Other secured financing | 0 | 0 | |
Payable for unsettled trades | 0 | ||
Interest payable | 137 | 238 | |
Other liabilities | 78 | 0 | |
Total liabilities | 58,120 | 71,562 | |
Consolidated VIEs | MSR Silo | |||
Assets | |||
Cash and cash equivalents | 67,455 | 30,444 | |
Loans | 66,722 | 97,464 | |
Assets transferred or pledged to securitization vehicles | 0 | 0 | |
Mortgage servicing rights | 378,078 | 557,813 | |
Principal and interest receivable | 0 | 0 | |
Other assets | 27,021 | 28,756 | |
Total assets | 539,276 | 714,477 | |
Liabilities | |||
Debt issued by securitization vehicles (non-recourse) | 0 | 0 | |
Other secured financing | 38,981 | 68,385 | |
Payable for unsettled trades | 18,364 | ||
Interest payable | 0 | 0 | |
Other liabilities | 2,393 | 1,975 | |
Total liabilities | $ 59,738 | $ 70,360 | |
[1] | Includes cash of consolidated Variable Interest Entities (“VIEs”) of $67.5 million and $30.4 million at December 31, 2019 and 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 | 12 Months Ended |
Dec. 31, 2019USD ($) | |
Commercial Trusts | |
Concentration Risk [Line Items] | |
Principal balance | $ 3,287,085 |
Commercial Trusts | California | |
Concentration Risk [Line Items] | |
Principal balance | 1,270,650 |
Commercial Trusts | Texas | |
Concentration Risk [Line Items] | |
Principal balance | 478,048 |
Commercial Trusts | New York | |
Concentration Risk [Line Items] | |
Principal balance | 353,800 |
Commercial Trusts | Other | |
Concentration Risk [Line Items] | |
Principal balance | $ 1,184,587 |
Commercial Trusts | Securitized Loans | Geographic Concentration Risk | |
Concentration Risk [Line Items] | |
% of balance | 100.00% |
Commercial Trusts | Securitized Loans | Geographic Concentration Risk | California | |
Concentration Risk [Line Items] | |
% of balance | 38.70% |
Commercial Trusts | Securitized Loans | Geographic Concentration Risk | Texas | |
Concentration Risk [Line Items] | |
% of balance | 14.50% |
Commercial Trusts | Securitized Loans | Geographic Concentration Risk | New York | |
Concentration Risk [Line Items] | |
% of balance | 10.80% |
Commercial Trusts | Securitized Loans | Geographic Concentration Risk | Other | |
Concentration Risk [Line Items] | |
% of balance | 36.00% |
Residential Trusts | |
Concentration Risk [Line Items] | |
Principal balance | $ 75,382 |
Residential Trusts | California | |
Concentration Risk [Line Items] | |
Principal balance | 34,578 |
Residential Trusts | Texas | |
Concentration Risk [Line Items] | |
Principal balance | 10,116 |
Residential Trusts | Illinois | |
Concentration Risk [Line Items] | |
Principal balance | 7,055 |
Residential Trusts | Washington | |
Concentration Risk [Line Items] | |
Principal balance | 3,880 |
Residential Trusts | Other | |
Concentration Risk [Line Items] | |
Principal balance | $ 19,753 |
Residential Trusts | Securitized Loans | Geographic Concentration Risk | |
Concentration Risk [Line Items] | |
% of balance | 100.00% |
Residential Trusts | Securitized Loans | Geographic Concentration Risk | California | |
Concentration Risk [Line Items] | |
% of balance | 45.90% |
Residential Trusts | Securitized Loans | Geographic Concentration Risk | Texas | |
Concentration Risk [Line Items] | |
% of balance | 13.40% |
Residential Trusts | Securitized Loans | Geographic Concentration Risk | Illinois | |
Concentration Risk [Line Items] | |
% of balance | 9.40% |
Residential Trusts | Securitized Loans | Geographic Concentration Risk | Washington | |
Concentration Risk [Line Items] | |
% of balance | 5.10% |
Residential Trusts | Securitized Loans | Geographic Concentration Risk | Other | |
Concentration Risk [Line Items] | |
% of balance | 26.20% |
REAL ESTATE - Summary of Estima
REAL ESTATE - Summary of Estimated Useful Lives of Assets (Details) | 12 Months Ended |
Dec. 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) | 9 Months Ended | 12 Months Ended | ||
Sep. 30, 2019USD ($) | Dec. 31, 2019USD ($)property | Dec. 31, 2018USD ($) | Dec. 31, 2017USD ($) | |
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 | $ 0 | $ 24,955,000 | $ 0 | |
Weighted average amortization period | 6 years | |||
MTGE Investment Corp | ||||
Real Estate Properties [Line Items] | ||||
Number of wholly owned real estate properties sold (property) | property | 2 | |||
Proceeds from sales of real estate | $ 25,200,000 | |||
Gain on sale of wholly-owned triple net leased properties | 7,500,000 | |||
General and Administrative Expense | ||||
Real Estate Properties [Line Items] | ||||
Depreciation expense | $ 23,700,000 | $ 18,100,000 |
REAL ESTATE - Total Commercial
REAL ESTATE - Total Commercial Real Estate Held for Investments (Details) - USD ($) $ in Thousands | Dec. 31, 2019 | Dec. 31, 2018 | Dec. 31, 2017 | Dec. 31, 2016 |
Real estate held for investment, at amortized cost | ||||
Real estate held for investment, at amortized cost | $ 704,354 | $ 721,664 | ||
Less: accumulated depreciation | (87,532) | (67,026) | $ (48,920) | $ (34,221) |
Total real estate held for investment, at amortized cost, net | 616,822 | 654,638 | ||
Equity in unconsolidated joint ventures | 108,816 | 84,835 | ||
Investments in commercial real estate, net | 725,638 | 739,473 | ||
Land | ||||
Real estate held for investment, at amortized cost | ||||
Real estate held for investment, at amortized cost | 121,720 | 128,742 | ||
Buildings and improvements | ||||
Real estate held for investment, at amortized cost | ||||
Real estate held for investment, at amortized cost | 571,396 | 581,320 | ||
Furniture, fixtures and equipment | ||||
Real estate held for investment, at amortized cost | ||||
Real estate held for investment, at amortized cost | $ 11,238 | $ 11,602 |
REAL ESTATE - Minimum Future Re
REAL ESTATE - Minimum Future Rentals to be Received on Noncancelable Operating Leases (Details) $ in Thousands | Dec. 31, 2019USD ($) |
Real Estate [Abstract] | |
2020 | $ 46,885 |
2021 | 46,758 |
2022 | 42,918 |
2023 | 40,211 |
2024 | 34,332 |
Later years | 177,936 |
Total | $ 389,040 |
DERIVATIVE INSTRUMENTS - Additi
DERIVATIVE INSTRUMENTS - Additional Information (Details) - USD ($) $ in Millions | Dec. 31, 2019 | Dec. 31, 2018 |
Derivative [Line Items] | ||
Aggregate fair value of derivative instruments in a net liability position | $ 672.2 | |
Interest Rate Swaps | ||
Derivative [Line Items] | ||
Variation margin reported as an adjustment to interest rate swaps | $ 517.8 | $ (496.2) |
DERIVATIVE INSTRUMENTS - Summar
DERIVATIVE INSTRUMENTS - Summary of Fair Value Information about Derivative Assets and Liabilities (Details) - USD ($) | Dec. 31, 2019 | Dec. 31, 2018 |
Derivatives, Fair Value [Line Items] | ||
Interest rate swaps | $ 1,199,000 | $ 48,114,000 |
Total derivative assets | 113,556,000 | 200,503,000 |
Interest rate swaps | 706,862,000 | 420,365,000 |
Total derivative liabilities | 803,866,000 | 889,750,000 |
Futures Contracts | ||
Derivatives, Fair Value [Line Items] | ||
Derivative assets | 77,889,000 | 0 |
Total derivative assets | 77,889,000 | |
Derivative liabilities | 84,781,000 | 462,309,000 |
Total derivative liabilities | 84,781,000 | 462,309,000 |
Purchase Commitments | ||
Derivatives, Fair Value [Line Items] | ||
Derivative assets | 2,050,000 | 844,000 |
Total derivative assets | 2,050,000 | 844,000 |
Derivative liabilities | 907,000 | 33,000 |
Total derivative liabilities | 907,000 | 33,000 |
Interest Rate Swaptions | ||
Derivatives, Fair Value [Line Items] | ||
Derivative assets | 11,580,000 | 7,216,000 |
Total derivative assets | 11,580,000 | 7,216,000 |
TBA Derivatives | ||
Derivatives, Fair Value [Line Items] | ||
Derivative assets | 15,181,000 | 141,688,000 |
Total derivative assets | 15,181,000 | 141,688,000 |
Derivative liabilities | 11,316,000 | 0 |
Total derivative liabilities | 11,316,000 | |
Notional amount of derivative assets | 6,899,000,000 | |
Credit Derivatives | ||
Derivatives, Fair Value [Line Items] | ||
Derivative assets | 5,657,000 | 2,641,000 |
Total derivative assets | 5,657,000 | 2,641,000 |
Derivative liabilities | 0 | 7,043,000 |
Total derivative liabilities | 7,043,000 | |
Notional amount of derivative assets | 10,000,000 | 30,000,000 |
Notional amount | $ 345,000,000 | $ 451,000,000 |
DERIVATIVE INSTRUMENTS - Summ_2
DERIVATIVE INSTRUMENTS - Summary of Characteristics of Interest Rate Swaps (Details) - USD ($) | 12 Months Ended | |
Dec. 31, 2019 | Dec. 31, 2018 | |
Interest Rate Swaps | ||
Derivative [Line Items] | ||
Current notional | $ 74,146,350,000 | $ 70,465,700,000 |
Weighted average pay rate | 1.84% | 2.17% |
Weighted average receive rate | 1.89% | 2.68% |
Weighted average underlying years to maturity | 4 years 2 months 23 days | 4 years 3 months 3 days |
Derivative, nonmonetary notional amount, percentage | 0.75 | |
Interest Rate Swaps | 0 - 3 years | ||
Derivative [Line Items] | ||
Current notional | $ 38,942,400,000 | $ 31,900,200,000 |
Weighted average pay rate | 1.60% | 1.84% |
Weighted average receive rate | 1.84% | 2.73% |
Weighted average underlying years to maturity | 1 year 3 months 14 days | 1 year 2 months 15 days |
Derivative instruments, minimum maturity period | 0 years | 0 years |
Derivative Instruments maximum maturity period | 3 years | 3 years |
Interest Rate Swaps | 3 - 6 years | ||
Derivative [Line Items] | ||
Current notional | $ 16,097,450,000 | $ 16,603,200,000 |
Weighted average pay rate | 1.77% | 2.29% |
Weighted average receive rate | 1.87% | 2.70% |
Weighted average underlying years to maturity | 4 years 3 months 18 days | 4 years 3 months 18 days |
Derivative instruments, minimum maturity period | 3 years | 3 years |
Derivative Instruments maximum maturity period | 6 years | 6 years |
Interest Rate Swaps | 6 - 10 years | ||
Derivative [Line Items] | ||
Current notional | $ 16,176,500,000 | $ 18,060,900,000 |
Weighted average pay rate | 2.20% | 2.57% |
Weighted average receive rate | 2.02% | 2.56% |
Weighted average underlying years to maturity | 9 years | 8 years 7 months 13 days |
Derivative instruments, minimum maturity period | 6 years | 6 years |
Derivative Instruments maximum maturity period | 10 years | 10 years |
Interest Rate Swaps | Greater than 10 years | ||
Derivative [Line Items] | ||
Current notional | $ 2,930,000,000 | $ 3,901,400,000 |
Weighted average pay rate | 3.76% | 3.63% |
Weighted average receive rate | 1.86% | 2.59% |
Weighted average underlying years to maturity | 17 years 10 months 17 days | 17 years 3 months 29 days |
Derivative instruments, minimum maturity period | 10 years | 10 years |
Forward Starting Pay Fixed Swaps | ||
Derivative [Line Items] | ||
Current notional | $ 0 | |
Overnight Index Swap | ||
Derivative [Line Items] | ||
Derivative, nonmonetary notional amount, percentage | 0.25 |
DERIVATIVE INSTRUMENTS - Summ_3
DERIVATIVE INSTRUMENTS - Summary of Swaptions Outstanding (Details) - Notional - Long Positions - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended | |
Dec. 31, 2019 | Dec. 31, 2019 | Dec. 31, 2018 | |
Long Pay | |||
Derivative [Line Items] | |||
Current notional | $ 4,675,000 | $ 4,675,000 | $ 4,075,000 |
Weighted average underlying pay rate | 2.53% | 2.53% | 3.30% |
Weighted average underlying years to maturity | 9 years 2 months 19 days | 10 years 29 days | |
Weighted average months to expiration | 4 years 7 months 28 days | 3 years 21 days | |
Long Receive | |||
Derivative [Line Items] | |||
Current notional | $ 2,000,000 | $ 2,000,000 | |
Weighted average underlying pay rate | 1.49% | 1.49% | |
Weighted average underlying years to maturity | 10 years 3 months 14 days | ||
Weighted average months to expiration | 3 years 4 months 24 days |
DERIVATIVE INSTRUMENTS - Summ_4
DERIVATIVE INSTRUMENTS - Summary of Characteristics of TBA Derivatives (Details) - TBA Derivatives - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2019 | Dec. 31, 2018 | |
Derivative [Line Items] | ||
Notional amount | $ 6,899,000 | |
Implied cost basis | 6,888,405 | |
Implied market value | 6,892,270 | |
Net carrying value | 3,865 | |
Purchase Contracts | ||
Derivative [Line Items] | ||
Notional amount | 10,043,000 | $ 13,803,000 |
Implied cost basis | 10,182,891 | 13,823,109 |
Implied market value | 10,192,038 | 13,964,797 |
Net carrying value | 9,147 | $ 141,688 |
Sale Contracts | ||
Derivative [Line Items] | ||
Notional amount | (3,144,000) | |
Implied cost basis | (3,294,486) | |
Implied market value | (3,299,768) | |
Net carrying value | $ (5,282) |
DERIVATIVE INSTRUMENTS - Summ_5
DERIVATIVE INSTRUMENTS - Summary of Certain Characteristics of Futures Derivatives (Details) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2019 | Dec. 31, 2018 | |
Swap Equivalent Eurodollar Futures Contracts | 2 Year | ||
Derivative [Line Items] | ||
Derivative instruments, maturity period | 2 years | 2 years |
U.S. Treasury Futures | 2 Year | ||
Derivative [Line Items] | ||
Weighted average underlying years to maturity | 1 year 11 months 15 days | 1 year 11 months 19 days |
U.S. Treasury Futures | 2 Year | Notional - Long Positions | ||
Derivative [Line Items] | ||
Notional amount | $ 0 | $ 0 |
U.S. Treasury Futures | 2 Year | Notional - Short Positions | ||
Derivative [Line Items] | ||
Notional amount | $ (180,000) | $ (1,166,000) |
U.S. Treasury Futures | 5 Year | ||
Derivative [Line Items] | ||
Weighted average underlying years to maturity | 4 years 5 months 1 day | 4 years 4 months 20 days |
Derivative instruments, maturity period | 5 years | 5 years |
U.S. Treasury Futures | 5 Year | Notional - Long Positions | ||
Derivative [Line Items] | ||
Notional amount | $ 0 | $ 0 |
U.S. Treasury Futures | 5 Year | Notional - Short Positions | ||
Derivative [Line Items] | ||
Notional amount | $ (2,953,300) | $ (6,359,400) |
U.S. Treasury Futures | 10 Year and Greater | ||
Derivative [Line Items] | ||
Weighted average underlying years to maturity | 9 years 8 months 26 days | 7 years 1 month 6 days |
Derivative instruments, minimum maturity period | 10 years | 10 years |
U.S. Treasury Futures | 10 Year and Greater | Notional - Long Positions | ||
Derivative [Line Items] | ||
Notional amount | $ (2,600,000) | $ 0 |
U.S. Treasury Futures | 10 Year and Greater | Notional - Short Positions | ||
Derivative [Line Items] | ||
Notional amount | $ (5,806,400) | $ (11,152,600) |
Futures Contracts | ||
Derivative [Line Items] | ||
Weighted average underlying years to maturity | 8 years 3 months 3 days | 5 years 10 months 9 days |
Futures Contracts | Notional - Long Positions | ||
Derivative [Line Items] | ||
Notional amount | $ (2,600,000) | $ 0 |
Futures Contracts | Notional - Short Positions | ||
Derivative [Line Items] | ||
Notional amount | $ (8,939,700) | $ (18,678,000) |
DERIVATIVE INSTRUMENTS - Offset
DERIVATIVE INSTRUMENTS - Offsetting of Derivative Assets and Liabilities (Details) - USD ($) $ in Thousands | Dec. 31, 2019 | Dec. 31, 2018 |
Assets | ||
Gross amounts | $ 113,556 | $ 200,503 |
Liabilities | ||
Gross amounts | 803,866 | 889,750 |
Futures Contracts | ||
Assets | ||
Gross amounts | 77,889 | |
Amounts eligible for offset, financial instruments | (10,902) | |
Amounts eligible for offset, cash collateral | 0 | |
Net amounts | 66,987 | |
Liabilities | ||
Gross amounts | 84,781 | 462,309 |
Amounts eligible for offset, financial instruments | (10,902) | 0 |
Amounts eligible for offset, cash collateral | (73,879) | (462,309) |
Net amounts | 0 | 0 |
Purchase Commitments | ||
Assets | ||
Gross amounts | 2,050 | 844 |
Amounts eligible for offset, financial instruments | 0 | 0 |
Amounts eligible for offset, cash collateral | 0 | 0 |
Net amounts | 2,050 | 844 |
Liabilities | ||
Gross amounts | 907 | 33 |
Amounts eligible for offset, financial instruments | 0 | 0 |
Amounts eligible for offset, cash collateral | 0 | 0 |
Net amounts | 907 | 33 |
Interest Rate Swaps | ||
Assets | ||
Gross amounts | 1,199 | 48,114 |
Amounts eligible for offset, financial instruments | (951) | (29,308) |
Amounts eligible for offset, cash collateral | 0 | 0 |
Net amounts | 248 | 18,806 |
Liabilities | ||
Gross amounts | 706,862 | 420,365 |
Amounts eligible for offset, financial instruments | (951) | (29,308) |
Amounts eligible for offset, cash collateral | (104,205) | (11,856) |
Net amounts | 601,706 | 379,201 |
Interest Rate Swaptions | ||
Assets | ||
Gross amounts | 11,580 | 7,216 |
Amounts eligible for offset, financial instruments | 0 | 0 |
Amounts eligible for offset, cash collateral | 0 | 0 |
Net amounts | 11,580 | 7,216 |
TBA Derivatives | ||
Assets | ||
Gross amounts | 15,181 | 141,688 |
Amounts eligible for offset, financial instruments | (5,018) | 0 |
Amounts eligible for offset, cash collateral | 0 | 0 |
Net amounts | 10,163 | 141,688 |
Liabilities | ||
Gross amounts | 11,316 | |
Amounts eligible for offset, financial instruments | (5,018) | |
Amounts eligible for offset, cash collateral | 0 | |
Net amounts | 6,298 | |
Credit Derivatives | ||
Assets | ||
Gross amounts | 5,657 | 2,641 |
Amounts eligible for offset, financial instruments | 0 | (2,641) |
Amounts eligible for offset, cash collateral | 0 | 0 |
Net amounts | $ 5,657 | 0 |
Liabilities | ||
Gross amounts | 7,043 | |
Amounts eligible for offset, financial instruments | (2,641) | |
Amounts eligible for offset, cash collateral | (4,402) | |
Net amounts | $ 0 |
DERIVATIVE INSTRUMENTS - Effect
DERIVATIVE INSTRUMENTS - Effect of Interest Rate Swaps on Consolidated Statements of Comprehensive Income (Loss) (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2019 | Dec. 31, 2018 | Dec. 31, 2017 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |||
Net interest component of interest rate swaps | $ 351,375 | $ 100,553 | $ (371,108) |
Realized gains (losses) on termination of interest rate swaps | (1,442,964) | 1,409 | (160,133) |
Unrealized gains (losses) on interest rate swaps | $ (1,210,276) | $ 424,081 | $ 512,918 |
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 | 12 Months Ended | ||
Dec. 31, 2019 | Dec. 31, 2018 | Dec. 31, 2017 | |
Derivative [Line Items] | |||
Unrealized Gain (Loss) | $ (1,210,276) | $ 424,081 | $ 512,918 |
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives | (680,770) | (404,013) | |
U.S. Treasury Futures | |||
Derivative [Line Items] | |||
Realized Gain (Loss) | (1,418,143) | 564,418 | |
Unrealized Gain (Loss) | 455,417 | (668,384) | |
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives | (962,726) | (103,966) | |
Purchase Commitments | |||
Derivative [Line Items] | |||
Realized Gain (Loss) | 0 | 0 | |
Unrealized Gain (Loss) | 333 | 1,002 | |
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives | 333 | 1,002 | |
TBA Derivatives | |||
Derivative [Line Items] | |||
Realized Gain (Loss) | 464,575 | (343,594) | |
Unrealized Gain (Loss) | (137,823) | 134,397 | |
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives | 326,752 | (209,197) | |
Interest Rate Swaptions | |||
Derivative [Line Items] | |||
Realized Gain (Loss) | (47,863) | (98,248) | |
Unrealized Gain (Loss) | (15,961) | 2,679 | |
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives | (63,824) | (95,569) | |
Credit Derivatives | |||
Derivative [Line Items] | |||
Realized Gain (Loss) | 8,077 | 9,662 | |
Unrealized Gain (Loss) | 10,618 | (5,945) | |
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives | $ 18,695 | $ 3,717 |
FAIR VALUE MEASUREMENTS - Estim
FAIR VALUE MEASUREMENTS - Estimated Fair Values of Financial Instruments (Details) - USD ($) $ in Thousands | Dec. 31, 2019 | Dec. 31, 2018 | Dec. 31, 2017 | |
Assets | ||||
Estimated fair value | [1] | $ 114,833,580 | $ 92,623,788 | |
Mortgage servicing rights | 378,078 | 557,813 | $ 580,860 | |
Assets transferred or pledged to securitization vehicles | 7,002,460 | 3,833,200 | ||
Interest rate swaps | 1,199 | 48,114 | ||
Liabilities | ||||
Interest rate swaps | 706,862 | 420,365 | ||
Residential Mortgage Loans | ||||
Assets | ||||
Residential mortgage loans | 4,246,161 | 2,454,637 | ||
Fair Value, Measurements, Recurring | ||||
Assets | ||||
Agency mortgage-backed securities | 112,893,367 | 90,752,995 | ||
Credit risk transfer securities | 531,322 | 552,097 | ||
Mortgage servicing rights | 378,078 | 557,813 | ||
Assets transferred or pledged to securitization vehicles | 6,066,082 | 3,833,200 | ||
Interest rate swaps | 1,199 | 48,114 | ||
Other derivatives | 112,357 | 152,389 | ||
Total assets | 123,039,083 | 98,575,110 | ||
Liabilities | ||||
Securitized debt of consolidated VIEs | 5,622,801 | 3,347,062 | ||
Interest rate swaps | 706,862 | 420,365 | ||
Other derivatives | 97,004 | 469,385 | ||
Total liabilities | 6,426,667 | 4,236,812 | ||
Fair Value, Measurements, Recurring | Non-Agency Mortgage-backed Securities | ||||
Assets | ||||
Estimated fair value | 1,135,868 | 1,161,938 | ||
Fair Value, Measurements, Recurring | Commercial Mortgage-Backed Securities | ||||
Assets | ||||
Estimated fair value | 273,023 | 156,758 | ||
Fair Value, Measurements, Recurring | Residential Mortgage Loans | ||||
Assets | ||||
Residential mortgage loans | 1,647,787 | 1,359,806 | ||
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 | 77,889 | 0 | ||
Total assets | 77,889 | 0 | ||
Liabilities | ||||
Securitized debt of consolidated VIEs | 0 | 0 | ||
Interest rate swaps | 0 | 0 | ||
Other derivatives | 84,781 | 462,309 | ||
Total liabilities | 84,781 | 462,309 | ||
Fair Value, Measurements, Recurring | Level 1 | Non-Agency Mortgage-backed Securities | ||||
Assets | ||||
Estimated fair value | 0 | 0 | ||
Fair Value, Measurements, Recurring | Level 1 | Commercial Mortgage-Backed Securities | ||||
Assets | ||||
Estimated fair value | 0 | 0 | ||
Fair Value, Measurements, Recurring | Level 1 | Residential Mortgage Loans | ||||
Assets | ||||
Residential mortgage loans | 0 | 0 | ||
Fair Value, Measurements, Recurring | Level 2 | ||||
Assets | ||||
Agency mortgage-backed securities | 112,893,367 | 90,752,995 | ||
Credit risk transfer securities | 531,322 | 552,097 | ||
Mortgage servicing rights | 0 | 0 | ||
Assets transferred or pledged to securitization vehicles | 6,066,082 | 3,833,200 | ||
Interest rate swaps | 1,199 | 48,114 | ||
Other derivatives | 34,468 | 152,389 | ||
Total assets | 122,583,116 | 98,017,297 | ||
Liabilities | ||||
Securitized debt of consolidated VIEs | 5,622,801 | 3,347,062 | ||
Interest rate swaps | 706,862 | 420,365 | ||
Other derivatives | 12,223 | 7,076 | ||
Total liabilities | 6,341,886 | 3,774,503 | ||
Fair Value, Measurements, Recurring | Level 2 | Non-Agency Mortgage-backed Securities | ||||
Assets | ||||
Estimated fair value | 1,135,868 | 1,161,938 | ||
Fair Value, Measurements, Recurring | Level 2 | Commercial Mortgage-Backed Securities | ||||
Assets | ||||
Estimated fair value | 273,023 | 156,758 | ||
Fair Value, Measurements, Recurring | Level 2 | Residential Mortgage Loans | ||||
Assets | ||||
Residential mortgage loans | 1,647,787 | 1,359,806 | ||
Fair Value, Measurements, Recurring | Level 3 | ||||
Assets | ||||
Agency mortgage-backed securities | 0 | 0 | ||
Credit risk transfer securities | 0 | 0 | ||
Mortgage servicing rights | 378,078 | 557,813 | ||
Assets transferred or pledged to securitization vehicles | 0 | 0 | ||
Interest rate swaps | 0 | 0 | ||
Other derivatives | 0 | 0 | ||
Total assets | 378,078 | 557,813 | ||
Liabilities | ||||
Securitized debt of consolidated VIEs | 0 | 0 | ||
Interest rate swaps | 0 | 0 | ||
Other derivatives | 0 | 0 | ||
Total liabilities | 0 | 0 | ||
Fair Value, Measurements, Recurring | Level 3 | Non-Agency Mortgage-backed Securities | ||||
Assets | ||||
Estimated fair value | 0 | 0 | ||
Fair Value, Measurements, Recurring | Level 3 | Commercial Mortgage-Backed Securities | ||||
Assets | ||||
Estimated fair value | 0 | 0 | ||
Fair Value, Measurements, Recurring | Level 3 | Residential Mortgage Loans | ||||
Assets | ||||
Residential mortgage loans | $ 0 | $ 0 | ||
[1] | Excludes $102.5 million and $0 at December 31, 2019 and 2018 , respectively, of agency mortgage-backed securities, $468.0 million and $83.6 million at December 31, 2019 and 2018 , respectively, of non-Agency mortgage-backed securities and $500.3 million and $224.3 million |
FAIR VALUE MEASUREMENTS - Infor
FAIR VALUE MEASUREMENTS - Information about Significant Unobservable Inputs Used for Recurring Fair Value Measurements for Level 3 MSRs (Detail) - Fair Value, Measurements, Recurring - Level 3 - Mortgage Servicing Rights | 12 Months Ended | |
Dec. 31, 2019USD ($) | Dec. 31, 2018USD ($) | |
Minimum | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] (Deprecated 2018-01-31) | ||
Unobservable input, cost to service | $ 81 | $ 82 |
Maximum | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] (Deprecated 2018-01-31) | ||
Unobservable input, cost to service | 135 | 138 |
Weighted Average | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] (Deprecated 2018-01-31) | ||
Unobservable input, cost to service | $ 107 | $ 110 |
Discount Rate | Minimum | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] (Deprecated 2018-01-31) | ||
MSR measurement inputs | 0.090 | 0.090 |
Discount Rate | Maximum | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] (Deprecated 2018-01-31) | ||
MSR measurement inputs | 0.120 | 0.120 |
Discount Rate | Weighted Average | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] (Deprecated 2018-01-31) | ||
MSR measurement inputs | 0.093 | 0.094 |
Prepayment Rate | Minimum | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] (Deprecated 2018-01-31) | ||
MSR measurement inputs | 0.063 | 0.047 |
Prepayment Rate | Maximum | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] (Deprecated 2018-01-31) | ||
MSR measurement inputs | 0.266 | 0.139 |
Prepayment Rate | Weighted Average | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] (Deprecated 2018-01-31) | ||
MSR measurement inputs | 0.137 | 0.080 |
Delinquency Rate | Minimum | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] (Deprecated 2018-01-31) | ||
MSR measurement inputs | 0 | 0 |
Delinquency Rate | Maximum | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] (Deprecated 2018-01-31) | ||
MSR measurement inputs | 0.040 | 0.050 |
Delinquency Rate | Weighted Average | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] (Deprecated 2018-01-31) | ||
MSR measurement inputs | 0.022 | 0.023 |
FAIR VALUE MEASUREMENTS - Est_2
FAIR VALUE MEASUREMENTS - Estimated Fair Values for All Financial Assets and Liabilities (Detail) - USD ($) $ in Thousands | Dec. 31, 2019 | Dec. 31, 2018 |
Financial liabilities | ||
Other secured financing | $ 4,455,700 | $ 4,183,311 |
Carrying Value | Level 2 | ||
Financial assets | ||
Corporate debt held for investment | 2,144,850 | 1,887,182 |
Carrying Value | Level 3 | ||
Financial assets | ||
Commercial real estate debt and preferred equity, held for investment (1) | 1,606,091 | 1,296,803 |
Commercial loans held for sale, net | 0 | 42,184 |
Financial liabilities | ||
Mortgage payable | 485,005 | 511,056 |
Carrying Value | Level 1 and 2 | ||
Financial liabilities | ||
Repurchase agreements | 101,740,728 | 81,115,874 |
Other secured financing | 4,455,700 | 4,183,311 |
Fair Value | Level 2 | ||
Financial assets | ||
Corporate debt held for investment | 2,081,327 | 1,863,524 |
Fair Value | Level 3 | ||
Financial assets | ||
Commercial real estate debt and preferred equity, held for investment (1) | 1,619,018 | 1,303,487 |
Commercial loans held for sale, net | 0 | 42,184 |
Financial liabilities | ||
Mortgage payable | 515,994 | 507,770 |
Fair Value | Level 1 and 2 | ||
Financial liabilities | ||
Repurchase agreements | 101,740,728 | 81,115,874 |
Other secured financing | $ 4,455,700 | $ 4,183,805 |
GOODWILL AND INTANGIBLE ASSET_2
GOODWILL AND INTANGIBLE ASSETS - Additional Information (Details) - USD ($) $ in Millions | Dec. 31, 2019 | Dec. 31, 2018 |
Goodwill and Intangible Assets Disclosure [Abstract] | ||
Goodwill | $ 71.8 | $ 71.8 |
GOODWILL AND INTANGIBLE ASSET_3
GOODWILL AND INTANGIBLE ASSETS - Summary of Indefinite and Finite-Lived Intangible Assets (Details) $ in Thousands | 12 Months Ended |
Dec. 31, 2019USD ($) | |
Intangible Assets [Roll Forward] | |
Intangible assets, net beginning of period | $ 29,039 |
Intangible assets divested | (454) |
Less: amortization expense | (7,628) |
Intangible assets, net end of period | $ 20,957 |
SECURED FINANCING - Additional
SECURED FINANCING - Additional Information (Details) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2019 | Dec. 31, 2018 | |
Repurchase Agreements: | ||
Repurchase agreements | $ 101,740,728 | $ 81,115,874 |
Repurchase agreements - weighted average effective borrowing rates | 1.99% | 2.36% |
Repurchase agreements - weighted average remaining maturities | 65 days | 77 days |
Maximum repurchase agreements available under counterparty arrangements | $ 1,100,000 | |
Commitments available to be drawn | 796,900 | |
Fair value of collateral received in reverse repurchase agreements | 0 | $ 650,000 |
Other secured financing long term, amount | 4,455,700 | 4,183,311 |
Secured financings and interest rate swaps - collateral held, estimated fair value | 112,800,000 | 90,200,000 |
Secured financings and interest rate swaps - collateral held, accrued interest | $ 357,900 | $ 303,100 |
Minimum | ||
Repurchase Agreements: | ||
Other secured financing short term amount, expiration period | 5 years | |
Maximum | ||
Repurchase Agreements: | ||
Other secured financing short term amount, expiration period | 7 years | |
Maturity Period Beyond Three Years | Maturity Period Between One to Three Years | Minimum | ||
Repurchase Agreements: | ||
Other secured financing short term amount, expiration period | 1 year | 1 year |
Maturity Period Beyond Three Years | Maturity Period Between One to Three Years | Maximum | ||
Repurchase Agreements: | ||
Other secured financing short term amount, expiration period | 3 years | 3 years |
FHLB De Moines | ||
Repurchase Agreements: | ||
Debt weighted average interest rate | 2.16% | 2.78% |
Stock held in FHLB | $ 147,900 | $ 147,900 |
FHLB De Moines | Maturity Period Beyond Three Years | Maturity Period in Less Than One Year | ||
Repurchase Agreements: | ||
Other secured financing long term, amount | 1,400,000 | |
FHLB De Moines | Maturity Period Beyond Three Years | Maturity Period Between One to Three Years | ||
Repurchase Agreements: | ||
Other secured financing long term, amount | $ 2,100,000 | $ 3,600,000 |
SECURED FINANCING - Repurchase
SECURED FINANCING - Repurchase Agreements - Remaining Maturities, Collateral Types and Weighted Average Rate (Details) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2018 | Dec. 31, 2019 | |
Repurchase Agreements: | ||
Repurchase agreements | $ 81,115,874 | $ 101,740,728 |
Weighted average rate | 2.97% | 2.03% |
Percentage of total repurchase agreements with remaining maturity of 1 year | 1.00% | |
CRTs | ||
Repurchase Agreements: | ||
Repurchase agreements | $ 373,536 | $ 268,738 |
Non-Agency Mortgage-Backed Securities | ||
Repurchase Agreements: | ||
Repurchase agreements | 721,304 | 1,024,528 |
Commercial Loans | ||
Repurchase Agreements: | ||
Repurchase agreements | 693,939 | 303,078 |
Agency Mortgage-Backed Securities | ||
Repurchase Agreements: | ||
Repurchase agreements | 78,482,373 | 99,591,465 |
Commercial Mortgage-Backed Securities | ||
Repurchase Agreements: | ||
Repurchase agreements | 204,257 | 552,919 |
U.S. Treasury Securities | ||
Repurchase Agreements: | ||
Repurchase agreements | 640,465 | 0 |
1 day | ||
Repurchase Agreements: | ||
Repurchase agreements | $ 0 | $ 0 |
Weighted average rate | 0.00% | 0.00% |
1 day | CRTs | ||
Repurchase Agreements: | ||
Repurchase agreements | $ 0 | $ 0 |
1 day | Non-Agency Mortgage-Backed Securities | ||
Repurchase Agreements: | ||
Repurchase agreements | 0 | 0 |
1 day | Commercial Loans | ||
Repurchase Agreements: | ||
Repurchase agreements | 0 | 0 |
1 day | Agency Mortgage-Backed Securities | ||
Repurchase Agreements: | ||
Repurchase agreements | 0 | 0 |
1 day | Commercial Mortgage-Backed Securities | ||
Repurchase Agreements: | ||
Repurchase agreements | 0 | 0 |
1 day | U.S. Treasury Securities | ||
Repurchase Agreements: | ||
Repurchase agreements | 0 | 0 |
2 to 29 days | ||
Repurchase Agreements: | ||
Repurchase agreements | $ 32,012,641 | $ 37,382,531 |
Weighted average rate | 3.50% | 2.15% |
2 to 29 days | CRTs | ||
Repurchase Agreements: | ||
Repurchase agreements | $ 284,906 | $ 237,897 |
2 to 29 days | Non-Agency Mortgage-Backed Securities | ||
Repurchase Agreements: | ||
Repurchase agreements | 353,429 | 698,091 |
2 to 29 days | Commercial Loans | ||
Repurchase Agreements: | ||
Repurchase agreements | 0 | 0 |
2 to 29 days | Agency Mortgage-Backed Securities | ||
Repurchase Agreements: | ||
Repurchase agreements | 30,661,001 | 36,030,104 |
2 to 29 days | Commercial Mortgage-Backed Securities | ||
Repurchase Agreements: | ||
Repurchase agreements | 72,840 | 416,439 |
2 to 29 days | U.S. Treasury Securities | ||
Repurchase Agreements: | ||
Repurchase agreements | 640,465 | 0 |
30 to 59 days | ||
Repurchase Agreements: | ||
Repurchase agreements | $ 8,164,165 | $ 15,300,157 |
Weighted average rate | 2.33% | 2.00% |
30 to 59 days | CRTs | ||
Repurchase Agreements: | ||
Repurchase agreements | $ 0 | $ 0 |
30 to 59 days | Non-Agency Mortgage-Backed Securities | ||
Repurchase Agreements: | ||
Repurchase agreements | 0 | 115,805 |
30 to 59 days | Commercial Loans | ||
Repurchase Agreements: | ||
Repurchase agreements | 0 | 0 |
30 to 59 days | Agency Mortgage-Backed Securities | ||
Repurchase Agreements: | ||
Repurchase agreements | 8,164,165 | 15,079,989 |
30 to 59 days | Commercial Mortgage-Backed Securities | ||
Repurchase Agreements: | ||
Repurchase agreements | 0 | 104,363 |
30 to 59 days | U.S. Treasury Securities | ||
Repurchase Agreements: | ||
Repurchase agreements | 0 | 0 |
60 to 89 days | ||
Repurchase Agreements: | ||
Repurchase agreements | $ 18,689,772 | $ 22,117,735 |
Weighted average rate | 2.62% | 1.97% |
60 to 89 days | CRTs | ||
Repurchase Agreements: | ||
Repurchase agreements | $ 88,630 | $ 30,841 |
60 to 89 days | Non-Agency Mortgage-Backed Securities | ||
Repurchase Agreements: | ||
Repurchase agreements | 251,441 | 151,920 |
60 to 89 days | Commercial Loans | ||
Repurchase Agreements: | ||
Repurchase agreements | 0 | 0 |
60 to 89 days | Agency Mortgage-Backed Securities | ||
Repurchase Agreements: | ||
Repurchase agreements | 18,326,399 | 21,931,335 |
60 to 89 days | Commercial Mortgage-Backed Securities | ||
Repurchase Agreements: | ||
Repurchase agreements | 23,302 | 3,639 |
60 to 89 days | U.S. Treasury Securities | ||
Repurchase Agreements: | ||
Repurchase agreements | 0 | 0 |
90 to 119 days | ||
Repurchase Agreements: | ||
Repurchase agreements | $ 10,067,183 | $ 9,992,914 |
Weighted average rate | 2.54% | 1.97% |
90 to 119 days | CRTs | ||
Repurchase Agreements: | ||
Repurchase agreements | $ 0 | $ 0 |
90 to 119 days | Non-Agency Mortgage-Backed Securities | ||
Repurchase Agreements: | ||
Repurchase agreements | 0 | 0 |
90 to 119 days | Commercial Loans | ||
Repurchase Agreements: | ||
Repurchase agreements | 0 | 0 |
90 to 119 days | Agency Mortgage-Backed Securities | ||
Repurchase Agreements: | ||
Repurchase agreements | 10,067,183 | 9,992,914 |
90 to 119 days | Commercial Mortgage-Backed Securities | ||
Repurchase Agreements: | ||
Repurchase agreements | 0 | 0 |
90 to 119 days | U.S. Treasury Securities | ||
Repurchase Agreements: | ||
Repurchase agreements | 0 | 0 |
Over 120 days | ||
Repurchase Agreements: | ||
Repurchase agreements | $ 12,182,113 | $ 16,947,391 |
Weighted average rate | 2.92% | 1.90% |
Over 120 days | CRTs | ||
Repurchase Agreements: | ||
Repurchase agreements | $ 0 | $ 0 |
Over 120 days | Non-Agency Mortgage-Backed Securities | ||
Repurchase Agreements: | ||
Repurchase agreements | 116,434 | 58,712 |
Over 120 days | Commercial Loans | ||
Repurchase Agreements: | ||
Repurchase agreements | 693,939 | 303,078 |
Over 120 days | Agency Mortgage-Backed Securities | ||
Repurchase Agreements: | ||
Repurchase agreements | 11,263,625 | 16,557,123 |
Over 120 days | Commercial Mortgage-Backed Securities | ||
Repurchase Agreements: | ||
Repurchase agreements | 108,115 | 28,478 |
Over 120 days | U.S. Treasury Securities | ||
Repurchase Agreements: | ||
Repurchase agreements | $ 0 | $ 0 |
SECURED FINANCING - Summary of
SECURED FINANCING - Summary of Gross Amounts, Amounts Offset and Net Amounts of Repurchase Agreement and Reverse Repurchase Agreement (Details) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2019 | Dec. 31, 2018 | |
Debt Disclosure [Abstract] | ||
Gross amounts - reverse repurchase agreements | $ 100,000 | $ 650,040 |
Amounts offset - reverse repurchase agreements | (100,000) | 0 |
Reverse repurchase agreements | 0 | 650,040 |
Gross amounts - repurchase agreements | 101,840,728 | 81,115,874 |
Amounts offset - repurchase agreements | (100,000) | 0 |
Repurchase agreements | $ 101,740,728 | $ 81,115,874 |
SECURED FINANCING - Mortgage Lo
SECURED FINANCING - Mortgage Loans Payable (Details) - USD ($) | 12 Months Ended | |
Dec. 31, 2019 | Dec. 31, 2018 | |
Debt Instrument [Line Items] | ||
Variable interest rate | 92.00% | 88.00% |
Commercial Mortgage Loans | ||
Debt Instrument [Line Items] | ||
Mortgage carrying value | $ 485,005,000 | $ 511,056,000 |
Mortgage principal | 490,631,000 | 516,834,000 |
Joint Ventures | Commercial Mortgage Loans | ||
Debt Instrument [Line Items] | ||
Mortgage carrying value | 316,566,000 | 316,275,000 |
Mortgage principal | $ 318,562,000 | $ 318,664,000 |
Joint Ventures | Commercial Mortgage Loans | Minimum | ||
Debt Instrument [Line Items] | ||
Interest rate | 4.03% | 4.03% |
Joint Ventures | Commercial Mortgage Loans | Maximum | ||
Debt Instrument [Line Items] | ||
Interest rate | 4.96% | 4.96% |
Joint Ventures | Commercial Mortgage Loans | LIBOR | ||
Debt Instrument [Line Items] | ||
Mortgage carrying value | $ 16,029,000 | $ 16,125,000 |
Mortgage principal | $ 16,325,000 | 16,125,000 |
Variable interest rate | 2.15% | |
Virginia | Commercial Mortgage Loans | ||
Debt Instrument [Line Items] | ||
Mortgage carrying value | $ 82,940,000 | 95,827,000 |
Mortgage principal | $ 84,702,000 | $ 97,667,000 |
Virginia | Commercial Mortgage Loans | Minimum | ||
Debt Instrument [Line Items] | ||
Interest rate | 2.34% | 2.75% |
Virginia | Commercial Mortgage Loans | Maximum | ||
Debt Instrument [Line Items] | ||
Interest rate | 4.55% | 4.96% |
Texas | Commercial Mortgage Loans | ||
Debt Instrument [Line Items] | ||
Mortgage carrying value | $ 31,667,000 | $ 32,189,000 |
Mortgage principal | $ 33,167,000 | $ 33,735,000 |
Interest rate | 3.28% | 3.28% |
Utah | Commercial Mortgage Loans | ||
Debt Instrument [Line Items] | ||
Mortgage carrying value | $ 7,077,000 | $ 7,279,000 |
Mortgage principal | $ 7,096,000 | $ 7,201,000 |
Interest rate | 3.69% | 3.69% |
Utah | Commercial Mortgage Loans | LIBOR | ||
Debt Instrument [Line Items] | ||
Mortgage carrying value | $ 9,706,000 | $ 9,703,000 |
Mortgage principal | $ 9,706,000 | $ 9,706,000 |
Variable interest rate | 3.50% | 3.50% |
Minnesota | Commercial Mortgage Loans | ||
Debt Instrument [Line Items] | ||
Mortgage carrying value | $ 13,243,000 | $ 13,438,000 |
Mortgage principal | $ 13,276,000 | $ 13,473,000 |
Interest rate | 3.69% | 3.69% |
Tennessee | Commercial Mortgage Loans | ||
Debt Instrument [Line Items] | ||
Mortgage carrying value | $ 12,328,000 | |
Mortgage principal | $ 12,350,000 | |
Interest rate | 4.01% | |
Tennessee | Commercial Mortgage Loans | LIBOR | ||
Debt Instrument [Line Items] | ||
Variable interest rate | 2.75% | |
Wisconsin | Commercial Mortgage Loans | ||
Debt Instrument [Line Items] | ||
Mortgage carrying value | $ 7,777,000 | $ 7,892,000 |
Mortgage principal | $ 7,797,000 | $ 7,913,000 |
Interest rate | 3.69% | 3.69% |
SECURED FINANCING - Future Mort
SECURED FINANCING - Future Mortgage Loan Principal Payments (Details) $ in Thousands | Dec. 31, 2019USD ($) |
Debt Disclosure [Abstract] | |
2020 | $ 12,989 |
2021 | 3,491 |
2022 | 20,034 |
2023 | 3,844 |
2024 | 3,980 |
Later years | 446,293 |
Total | $ 490,631 |
CAPITAL STOCK - Additional Info
CAPITAL STOCK - Additional Information (Details) - USD ($) | Sep. 07, 2018 | Jan. 31, 2018 | Dec. 31, 2019 | Dec. 31, 2019 | Dec. 31, 2018 | Jun. 30, 2019 |
Class of Stock [Line Items] | ||||||
Authorized amount of stock available for repurchase | $ 1,500,000,000 | |||||
Shares repurchased (in shares) | 26,200,000 | |||||
Shares repurchased (in shares) | $ 223,200,000 | |||||
Options exercised under incentive plans (in shares) | 11,300,000 | 11,300,000 | ||||
Preferred stock, par value (in dollars per share) | $ 0.01 | $ 0.01 | $ 0.01 | |||
Preferred stock, redemption price (in dollars per share) | $ 25 | $ 25 | ||||
Preferred stock, shares issued (in shares) | 81,900,000 | 81,900,000 | 73,400,000 | |||
7.625% Series C Cumulative Redeemable Preferred Stock | ||||||
Class of Stock [Line Items] | ||||||
Preferred stock, redemption price (in dollars per share) | $ 25 | $ 25 | ||||
Preferred stock redeemed (in shares) | 7,000,000 | 5,000,000 | ||||
Preferred stock dividend rate, percentage | 7.625% | |||||
Redemption of preferred stock | $ 175,000,000 | $ 125,000,000 | ||||
Preferred stock, shares issued (in shares) | 0 | 0 | 7,000,000 | |||
8.125% Series H Cumulative Redeemable Preferred Stock | ||||||
Class of Stock [Line Items] | ||||||
Preferred stock, redemption price (in dollars per share) | $ 25 | $ 25 | ||||
Preferred stock redeemed (in shares) | 2,200,000 | |||||
Preferred stock dividend rate, percentage | 8.125% | |||||
Redemption of preferred stock | $ 55,000,000 | |||||
Preferred stock, shares issued (in shares) | 0 | 0 | 2,200,000 | |||
Series I Preferred Stock | ||||||
Class of Stock [Line Items] | ||||||
Preferred stock dividend rate, percentage | 6.75% | |||||
Preferred stock, shares issued (in shares) | 17,700,000 | 17,700,000 | 0 | |||
Proceeds from issuance of redeemable preferred stock | $ 442,500,000 | |||||
6.50% Series G Cumulative Redeemable Preferred Stock | ||||||
Class of Stock [Line Items] | ||||||
Preferred stock dividend rate, percentage | 6.50% | 6.50% | ||||
Preferred stock, shares issued (in shares) | 17,000,000 | 17,000,000 | 17,000,000 | |||
Proceeds from issuance of redeemable preferred stock | $ 425,000,000 | |||||
7.625% Series E Cumulative Redeemable Preferred Stock | ||||||
Class of Stock [Line Items] | ||||||
Preferred stock redeemed (in shares) | 11,500,000 | |||||
Preferred stock dividend rate, percentage | 7.625% | |||||
Redemption of preferred stock | $ 287,500,000 | |||||
Public Offering | ||||||
Class of Stock [Line Items] | ||||||
Sale of stock, shares issued (in shares) | 75,000,000 | 75,000,000 | ||||
Proceeds from sale of stock | $ 730,500,000 | $ 762,800,000 | ||||
Public Offering, Additional Share Purchase Option | ||||||
Class of Stock [Line Items] | ||||||
Sale of stock, shares issued (in shares) | 11,300,000 | 11,300,000 | ||||
Proceeds from sale of stock | $ 109,600,000 | $ 114,400,000 | ||||
Option to purchase additional shares, period | 30 days | 30 days | ||||
At-the-market Sale Program | ||||||
Class of Stock [Line Items] | ||||||
Sale of stock, shares issued (in shares) | 56,000,000 | 24,000,000 | ||||
Proceeds from sale of stock | $ 569,100,000 | $ 251,100,000 | ||||
Aggregate stock offering price | $ 1,500,000,000 | |||||
Mountain Merger Sub Corporation | ||||||
Class of Stock [Line Items] | ||||||
Shares issued as part of the consideration for asset acquisition (in shares) | 43,600,000 | 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 | Dec. 31, 2019 | Dec. 31, 2018 |
Equity [Abstract] | ||
Common Stock, shares authorized (in shares) | 2,914,850,000 | 1,924,050,000 |
Common Stock, shares issued (in shares) | 1,430,106,199 | 1,313,763,450 |
Common Stock, shares outstanding (in shares) | 1,430,106,199 | 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 | 12 Months Ended | |
Dec. 31, 2019 | Dec. 31, 2018 | |
Equity [Abstract] | ||
Shares issued through direct purchase and dividend reinvestment program (in shares) | 180,000 | 302,000 |
Amount raised from direct purchase and dividend reinvestment program | $ 1,795 | $ 3,144 |
CAPITAL STOCK - Schedule of Pre
CAPITAL STOCK - Schedule of Preferred Stock (Details) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2019 | Dec. 31, 2018 | |
Class of Stock [Line Items] | ||
Preferred Stock, shares authorized (in shares) | 85,150,000 | 75,950,000 |
Preferred stock, shares issued (in shares) | 81,900,000 | 73,400,000 |
Preferred Stock, shares outstanding (in shares) | 81,900,000 | 73,400,000 |
Preferred Stock, carrying value | $ 1,982,026 | $ 1,778,168 |
Series C Preferred Stock | ||
Class of Stock [Line Items] | ||
Preferred Stock, shares authorized (in shares) | 0 | 7,000,000 |
Preferred stock, shares issued (in shares) | 0 | 7,000,000 |
Preferred Stock, shares outstanding (in shares) | 0 | 7,000,000 |
Preferred Stock, carrying value | $ 0 | $ 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) | 0 | 2,200,000 |
Preferred stock, shares issued (in shares) | 0 | 2,200,000 |
Preferred Stock, shares outstanding (in shares) | 0 | 2,200,000 |
Preferred Stock, carrying value | $ 0 | $ 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 |
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% | |
Series I Preferred Stock | ||
Class of Stock [Line Items] | ||
Preferred Stock, shares authorized (in shares) | 18,400,000 | 0 |
Preferred stock, shares issued (in shares) | 17,700,000 | 0 |
Preferred Stock, shares outstanding (in shares) | 17,700,000 | 0 |
Preferred Stock, carrying value | $ 428,324 | $ 0 |
Preferred Stock, contractual rate | 6.75% | |
Preferred Stock, floating annual rate | 4.989% |
CAPITAL STOCK - Summary of Di_2
CAPITAL STOCK - Summary of Dividend Distribution Activity (Details) - USD ($) | 12 Months Ended | |
Dec. 31, 2019 | Dec. 31, 2018 | |
Dividends Payable [Line Items] | ||
Distributions declared to common stockholders | $ 1,516,323,000 | $ 1,457,007,000 |
Distributions declared per common share (in dollars per share) | $ 1.05 | $ 1.20 |
Distributions paid to common stockholders after period end | $ 357,527,000 | $ 394,129,000 |
Distributions paid per common share after period end (in dollars per share) | $ 0.25 | $ 0.30 |
Series C Preferred Stock | ||
Dividends Payable [Line Items] | ||
Preferred dividends declared | $ 7,414,000 | $ 14,323,000 |
Preferred series dividends declared (in dollars per share) | $ 1.060 | $ 1.906 |
Series D Preferred Stock | ||
Dividends Payable [Line Items] | ||
Preferred dividends declared | $ 34,500,000 | $ 34,500,000 |
Preferred series dividends declared (in dollars per share) | $ 1.875 | $ 1.875 |
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 | $ 50,040,000 | $ 50,040,000 |
Preferred series dividends declared (in dollars per share) | $ 1.738 | $ 1.738 |
Series G Preferred Stock | ||
Dividends Payable [Line Items] | ||
Preferred dividends declared | $ 27,624,000 | $ 26,781,000 |
Preferred series dividends declared (in dollars per share) | $ 1.625 | $ 1.575 |
Series H Preferred Stock | ||
Dividends Payable [Line Items] | ||
Preferred dividends declared | $ 1,862,000 | $ 1,415,000 |
Preferred series dividends declared (in dollars per share) | $ 0.846 | $ 0.643 |
Series I Preferred Stock | ||
Dividends Payable [Line Items] | ||
Preferred dividends declared | $ 15,135,000 | $ 0 |
Preferred series dividends declared (in dollars per share) | $ 0.858 | $ 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 | 12 Months Ended | |||||||||
Dec. 31, 2019 | Sep. 30, 2019 | Jun. 30, 2019 | Mar. 31, 2019 | Dec. 31, 2018 | Sep. 30, 2018 | Jun. 30, 2018 | Mar. 31, 2018 | Dec. 31, 2019 | Dec. 31, 2018 | Dec. 31, 2017 | |
Interest income | |||||||||||
Residential Securities (1) | $ 3,195,546 | $ 2,830,521 | $ 2,170,041 | ||||||||
Residential mortgage loans | 150,066 | 83,260 | 30,540 | ||||||||
Commercial investment portfolio | 378,395 | 356,981 | 273,884 | ||||||||
U.S. Treasury securities | 0 | 160 | 0 | ||||||||
Reverse repurchase agreements | 63,290 | 61,641 | 18,661 | ||||||||
Total interest income | $ 1,074,214 | $ 919,299 | $ 927,598 | $ 866,186 | $ 859,674 | $ 816,596 | $ 776,806 | $ 879,487 | 3,787,297 | 3,332,563 | 2,493,126 |
Interest expense | |||||||||||
Repurchase agreements | 2,513,282 | 1,698,930 | 891,819 | ||||||||
Debt issued by securitization vehicles | 141,981 | 98,013 | 60,304 | ||||||||
Participation sold | 0 | 0 | 195 | ||||||||
Other | 129,612 | 100,917 | 56,036 | ||||||||
Total interest expense | 620,058 | 766,905 | 750,217 | 647,695 | 586,774 | 500,973 | 442,692 | 367,421 | 2,784,875 | 1,897,860 | 1,008,354 |
Net interest income | $ 454,156 | $ 152,394 | $ 177,381 | $ 218,491 | $ 272,900 | $ 315,623 | $ 334,114 | $ 512,066 | $ 1,002,422 | $ 1,434,703 | $ 1,484,772 |
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 | 12 Months Ended | |||||||||
Dec. 31, 2019 | Sep. 30, 2019 | Jun. 30, 2019 | Mar. 31, 2019 | Dec. 31, 2018 | Sep. 30, 2018 | Jun. 30, 2018 | Mar. 31, 2018 | Dec. 31, 2019 | Dec. 31, 2018 | Dec. 31, 2017 | |
Earnings Per Share [Abstract] | |||||||||||
Net income (loss) | $ 1,209,742 | $ (747,169) | $ (1,776,413) | $ (849,251) | $ (2,254,872) | $ 385,429 | $ 595,887 | $ 1,327,704 | $ (2,163,091) | $ 54,148 | $ 1,569,016 |
Net income (loss) attributable to noncontrolling interests | 68 | (110) | (83) | (101) | 17 | (149) | (32) | (96) | (226) | (260) | (588) |
Net income (loss) attributable to Annaly | (2,162,865) | 54,408 | 1,569,604 | ||||||||
Dividends on preferred stock | 35,509 | 36,151 | 32,422 | 32,494 | 32,494 | 31,675 | 31,377 | 33,766 | 136,576 | 129,312 | 109,635 |
Net income (loss) available (related) to common stockholders | $ 1,174,165 | $ (783,210) | $ (1,808,752) | $ (881,644) | $ (2,287,383) | $ 353,903 | $ 564,542 | $ 1,294,034 | $ (2,299,441) | $ (74,904) | $ 1,459,969 |
Weighted average shares of common stock outstanding-basic (in shares) | 1,434,912,682 | 1,209,601,809 | 1,065,923,652 | ||||||||
Add: Effect of stock awards and Convertible Senior Notes, if dilutive (in shares) | 0 | 0 | 427,964 | ||||||||
Weighted average shares of common stock outstanding-diluted (in shares) | 1,434,912,682 | 1,209,601,809 | 1,066,351,616 | ||||||||
Net income (loss) per share available (related) to common share | |||||||||||
Basic (in dollars per share) | $ 0.82 | $ (0.54) | $ (1.24) | $ (0.63) | $ (1.74) | $ 0.29 | $ 0.49 | $ 1.12 | $ (1.60) | $ (0.06) | $ 1.37 |
Diluted (in dollars per share) | $ 0.82 | $ (0.54) | $ (1.24) | $ (0.63) | $ (1.74) | $ 0.29 | $ 0.49 | $ 1.12 | $ (1.60) | $ (0.06) | $ 1.37 |
NET INCOME (LOSS) PER COMMON _4
NET INCOME (LOSS) PER COMMON SHARE - Additional Information (Details) - shares | 12 Months Ended | ||
Dec. 31, 2019 | Dec. 31, 2018 | Dec. 31, 2017 | |
Earnings Per Share [Abstract] | |||
Options to purchase common stock outstanding that would be considered anti-dilutive (in shares) | 0 | 200,000 | 800,000 |
INCOME TAXES - Additional Infor
INCOME TAXES - Additional Information (Details) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended | |||||||||
Dec. 31, 2019 | Sep. 30, 2019 | Jun. 30, 2019 | Mar. 31, 2019 | Dec. 31, 2018 | Sep. 30, 2018 | Jun. 30, 2018 | Mar. 31, 2018 | Dec. 31, 2019 | Dec. 31, 2018 | Dec. 31, 2017 | |
Income Taxes: | |||||||||||
REIT Taxable income distributed | 100.00% | ||||||||||
Income tax expense (benefit) for income and losses attributable to TRSs | $ (594) | $ (6,907) | $ (5,915) | $ 2,581 | $ 1,041 | $ (7,242) | $ 3,262 | $ 564 | $ (10,835) | $ (2,375) | $ 6,982 |
Taxable REIT Subsidiary | |||||||||||
Income Taxes: | |||||||||||
Income tax expense (benefit) for income and losses attributable to TRSs | $ (10,800) | $ (2,400) | $ 7,000 |
RELATED PARTY TRANSACTIONS - Ad
RELATED PARTY TRANSACTIONS - Additional Information (Details) | Mar. 27, 2019USD ($) | Dec. 31, 2019USD ($) | Dec. 31, 2018USD ($) | Dec. 31, 2017USD ($) |
Ratio of percentage of stockholders' equity paid up to predetermined amount | 0.0875 | |||
Ratio of percentage of stockholders' equity paid over predetermined amount | 0.0075 | |||
Predetermined amount of stockholders equity used in calculating monthly management fee | $ 17,280,000,000 | |||
Compensation and management fee | $ 170,628,000 | $ 179,841,000 | $ 164,322,000 | |
Ratio of independent directors or holders of a majority of the outstanding shares | 0.0067 | |||
Management Agreement | ||||
Compensation and management fee | $ 170,600,000 | 179,800,000 | 164,300,000 | |
Reimbursement payments | 21,400,000 | 9,200,000 | 0 | |
Management fee payable | $ 15,800,000 | 16,000,000 | ||
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 | |||
Subsidiaries | Management Agreement | ||||
Compensation expense | $ 5,900,000 | $ 5,200,000 | $ 7,200,000 |
LEASE COMMITMENTS AND CONTING_3
LEASE COMMITMENTS AND CONTINGENCIES - Additional Information (Details) - USD ($) $ in Millions | 12 Months Ended | |
Dec. 31, 2019 | Dec. 31, 2018 | |
Leases [Abstract] | ||
Remaining lease term, in years | 6 years | |
Option to extend, in years | 5 years | |
Lease cost | $ 3.2 | |
Material contingencies | $ 0 | $ 0 |
LEASE COMMITMENTS AND CONTING_4
LEASE COMMITMENTS AND CONTINGENCIES - Supplemental Lease Information (Details) $ in Thousands | 3 Months Ended |
Dec. 31, 2019USD ($) | |
Leases [Abstract] | |
Operating lease right-of-use assets | $ 15,786 |
Present value of lease liabilities | $ 20,439 |
Weighted average remaining lease term | 5 years 8 months 12 days |
Weighted average discount rate | 2.90% |
Operating cash flows from operating leases | $ 3,712 |
LEASE COMMITMENTS AND CONTING_5
LEASE COMMITMENTS AND CONTINGENCIES - Details of Future Lease Payments (Details) $ in Thousands | Dec. 31, 2019USD ($) |
Leases [Abstract] | |
2020 | $ 3,799 |
2021 | 3,918 |
2022 | 3,862 |
2023 | 3,862 |
2024 | 3,862 |
Later years | 2,895 |
Total lease payments | 22,198 |
Less imputed interest | 1,759 |
Present value of lease liabilities | $ 20,439 |
ARCOLA REGULATORY REQUIREMENTS
ARCOLA REGULATORY REQUIREMENTS - Additional Information (Details) - RCap $ in Millions | Dec. 31, 2019USD ($) |
Minimum net capital requirement | $ 0.3 |
Regulatory net capital | 406.8 |
Regulatory net capital, excess net capital | $ 406.5 |
ACQUISITION OF MTGE INVESTMEN_3
ACQUISITION OF MTGE INVESTMENT CORP. - Additional Information (Details) - USD ($) $ / shares in Units, $ in Thousands | Sep. 07, 2018 | Dec. 31, 2019 | Dec. 31, 2018 |
Business Acquisition [Line Items] | |||
Preferred stock, par value (in dollars per share) | $ 0.01 | $ 0.01 | |
Series H 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) | 43,600,000 | 43,600,000 | |
Mountain Merger Sub Corporation | Series H Preferred Stock | |||
Business Acquisition [Line Items] | |||
Preferred stock, par value (in dollars per share) | $ 0.01 | ||
Mountain Merger Sub Corporation | Mountain Merger Sub Corporation | Series H Preferred Stock | |||
Business Acquisition [Line Items] | |||
Preferred stock conversion (in shares) | 1 |
ACQUISITION OF MTGE INVESTMEN_4
ACQUISITION OF MTGE INVESTMENT CORP. - Summary of Acquired Assets (Details) - USD ($) $ in Thousands | Sep. 07, 2018 | Dec. 31, 2019 | Dec. 31, 2018 | Dec. 31, 2017 | |
Net Assets: | |||||
Cash and cash equivalents | [1] | $ 1,850,729 | $ 1,735,749 | ||
Securities | 114,833,580 | 92,623,788 | |||
Real estate, net | 725,638 | 739,473 | |||
Derivative assets | 113,556 | 200,503 | |||
Reverse repurchase agreements | 0 | 650,040 | |||
Receivable for unsettled trades | 4,792 | 68,779 | $ 1,232 | ||
Principal receivable | [2] | 4,462,350 | 4,585,975 | ||
Intangible assets, net | 92,772 | 100,854 | |||
Other assets | 381,220 | 333,988 | |||
Total assets | 130,295,081 | 105,787,527 | |||
Repurchase agreements | 101,740,728 | 81,115,874 | |||
Mortgages payable | 485,005 | 511,056 | |||
Derivative liabilities | 803,866 | 889,750 | |||
Interest payable | 476,335 | 570,928 | |||
Dividends payable | 357,527 | 394,129 | $ 347,876 | ||
Other liabilities | 93,388 | 74,580 | |||
Total liabilities | $ 114,498,737 | $ 91,669,726 | |||
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] | Includes cash of consolidated Variable Interest Entities (“VIEs”) of $67.5 million and $30.4 million at December 31, 2019 and 2018 , respectively. | ||||
[2] | Includes $66.7 million and $97.5 million of residential mortgage loans held for sale and $0 and $42.2 million of commercial mortgage loans held for sale at December 31, 2019 and 2018 , respectively. |
SUMMARIZED QUARTERLY RESULTS (D
SUMMARIZED QUARTERLY RESULTS (Details) - USD ($) $ / shares in Units, $ in Thousands | 3 Months Ended | 12 Months Ended | |||||||||
Dec. 31, 2019 | Sep. 30, 2019 | Jun. 30, 2019 | Mar. 31, 2019 | Dec. 31, 2018 | Sep. 30, 2018 | Jun. 30, 2018 | Mar. 31, 2018 | Dec. 31, 2019 | Dec. 31, 2018 | Dec. 31, 2017 | |
Quarterly Financial Information Disclosure [Abstract] | |||||||||||
Interest income | $ 1,074,214 | $ 919,299 | $ 927,598 | $ 866,186 | $ 859,674 | $ 816,596 | $ 776,806 | $ 879,487 | $ 3,787,297 | $ 3,332,563 | $ 2,493,126 |
Interest expense | 620,058 | 766,905 | 750,217 | 647,695 | 586,774 | 500,973 | 442,692 | 367,421 | 2,784,875 | 1,897,860 | 1,008,354 |
Net interest income | 454,156 | 152,394 | 177,381 | 218,491 | 272,900 | 315,623 | 334,114 | 512,066 | 1,002,422 | 1,434,703 | 1,484,772 |
Total realized and unrealized gains (losses) | 785,687 | (875,406) | (1,909,482) | (1,011,926) | (2,502,035) | 199,716 | 294,646 | 844,689 | (3,011,127) | (1,162,984) | 199,493 |
Total other income (loss) | 42,656 | 35,074 | 28,181 | 30,502 | 52,377 | (10,643) | 34,170 | 34,023 | |||
Less: Total general and administrative expenses | 73,351 | 66,138 | 78,408 | 83,737 | 77,073 | 126,509 | 63,781 | 62,510 | |||
Income (loss) before income taxes | 1,209,148 | (754,076) | (1,782,328) | (846,670) | (2,253,831) | 378,187 | 599,149 | 1,328,268 | (2,173,926) | 51,773 | 1,575,998 |
Less: Income taxes | (594) | (6,907) | (5,915) | 2,581 | 1,041 | (7,242) | 3,262 | 564 | (10,835) | (2,375) | 6,982 |
Net income (loss) | 1,209,742 | (747,169) | (1,776,413) | (849,251) | (2,254,872) | 385,429 | 595,887 | 1,327,704 | (2,163,091) | 54,148 | 1,569,016 |
Less: Net income attributable to noncontrolling interests | 68 | (110) | (83) | (101) | 17 | (149) | (32) | (96) | (226) | (260) | (588) |
Dividends on preferred stock | 35,509 | 36,151 | 32,422 | 32,494 | 32,494 | 31,675 | 31,377 | 33,766 | 136,576 | 129,312 | 109,635 |
Net income (loss) available (related) to common stockholders | $ 1,174,165 | $ (783,210) | $ (1,808,752) | $ (881,644) | $ (2,287,383) | $ 353,903 | $ 564,542 | $ 1,294,034 | $ (2,299,441) | $ (74,904) | $ 1,459,969 |
Net income (loss) available (related) per share to common stockholders: | |||||||||||
Basic (in dollars per share) | $ 0.82 | $ (0.54) | $ (1.24) | $ (0.63) | $ (1.74) | $ 0.29 | $ 0.49 | $ 1.12 | $ (1.60) | $ (0.06) | $ 1.37 |
Diluted (in dollars per share) | $ 0.82 | $ (0.54) | $ (1.24) | $ (0.63) | $ (1.74) | $ 0.29 | $ 0.49 | $ 1.12 | $ (1.60) | $ (0.06) | $ 1.37 |
Series I Preferred Stock | |||||||||||
Class of Stock [Line Items] | |||||||||||
Cumulative and undeclared dividends | $ 300 |
SUBSEQUENT EVENTS (Details)
SUBSEQUENT EVENTS (Details) - USD ($) $ in Thousands | Jan. 31, 2020 | Dec. 31, 2019 | Oct. 31, 2019 | Jul. 31, 2019 | Jun. 30, 2019 | Apr. 30, 2019 | Jan. 31, 2019 | Oct. 31, 2018 | Jul. 31, 2018 | Mar. 31, 2018 |
Subsequent Event [Line Items] | ||||||||||
Loans | $ 669,713 | |||||||||
OBX Trust | Consolidated VIEs | ||||||||||
Subsequent Event [Line Items] | ||||||||||
Loans | $ 465,492 | $ 463,405 | $ 383,760 | $ 388,156 | $ 393,961 | $ 384,027 | $ 383,451 | $ 327,162 | ||
OBX Trust | Consolidated VIEs | Subsequent Event | ||||||||||
Subsequent Event [Line Items] | ||||||||||
Loans | $ 374,600 |
Schedule III - Real Estate an_2
Schedule III - Real Estate and Accumulated Depreciation (Details) $ in Thousands | 12 Months Ended | |||
Dec. 31, 2019USD ($)property | Dec. 31, 2018USD ($) | Dec. 31, 2017USD ($) | Dec. 31, 2016USD ($) | |
SEC Schedule, 12-28, Real Estate Companies, Investment in Real Estate and Accumulated Depreciation [Line Items] | ||||
Number of properties | property | 46 | |||
Encumbrances | $ 490,631 | |||
Initial cost to company, land | 121,780 | |||
Initial cost to company, buildings and improvements | 572,457 | |||
Cost capitalized subsequent to acquisition, improvements | 10,117 | |||
Gross amounts, land | 121,720 | |||
Gross amounts, buildings and improvements | 582,634 | |||
Total | 704,354 | |||
Accumulated depreciation | (87,532) | $ (67,026) | $ (48,920) | $ (34,221) |
Land, Buildings and Improvements | ||||
SEC Schedule, 12-28, Real Estate Companies, Investment in Real Estate and Accumulated Depreciation [Line Items] | ||||
Cost of land, before depreciation for Federal income tax | $ 735,100 | |||
Retail | Texas | Retail - Carrollton, TX | ||||
SEC Schedule, 12-28, Real Estate Companies, Investment in Real Estate and Accumulated Depreciation [Line Items] | ||||
Number of properties | property | 1 | |||
Encumbrances | $ 12,875 | |||
Initial cost to company, land | 3,961 | |||
Initial cost to company, buildings and improvements | 14,672 | |||
Cost capitalized subsequent to acquisition, improvements | 9 | |||
Gross amounts, land | 3,970 | |||
Gross amounts, buildings and improvements | 14,672 | |||
Total | 18,642 | |||
Accumulated depreciation | $ (3,007) | |||
Weighted-average depreciable life (in years) | 38 years | |||
Retail | Texas | Retail - Plano, TX | Group One | ||||
SEC Schedule, 12-28, Real Estate Companies, Investment in Real Estate and Accumulated Depreciation [Line Items] | ||||
Number of properties | property | 1 | |||
Encumbrances | $ 11,817 | |||
Initial cost to company, land | 4,616 | |||
Initial cost to company, buildings and improvements | 12,691 | |||
Cost capitalized subsequent to acquisition, improvements | 207 | |||
Gross amounts, land | 4,616 | |||
Gross amounts, buildings and improvements | 12,898 | |||
Total | 17,514 | |||
Accumulated depreciation | $ (2,967) | |||
Weighted-average depreciable life (in years) | 38 years | |||
Retail | Texas | Retail - Plano, TX | Group Two | ||||
SEC Schedule, 12-28, Real Estate Companies, Investment in Real Estate and Accumulated Depreciation [Line Items] | ||||
Number of properties | property | 1 | |||
Encumbrances | $ 4,638 | |||
Initial cost to company, land | 1,459 | |||
Initial cost to company, buildings and improvements | 4,533 | |||
Cost capitalized subsequent to acquisition, improvements | 32 | |||
Gross amounts, land | 1,459 | |||
Gross amounts, buildings and improvements | 4,565 | |||
Total | 6,024 | |||
Accumulated depreciation | $ (1,943) | |||
Weighted-average depreciable life (in years) | 38 years | |||
Retail | Texas | Retail - Grapevine, TX | Group One | ||||
SEC Schedule, 12-28, Real Estate Companies, Investment in Real Estate and Accumulated Depreciation [Line Items] | ||||
Number of properties | property | 1 | |||
Encumbrances | $ 12,692 | |||
Initial cost to company, land | 4,713 | |||
Initial cost to company, buildings and improvements | 13,888 | |||
Cost capitalized subsequent to acquisition, improvements | 0 | |||
Gross amounts, land | 4,713 | |||
Gross amounts, buildings and improvements | 13,888 | |||
Total | 18,601 | |||
Accumulated depreciation | $ (2,644) | |||
Weighted-average depreciable life (in years) | 38 years | |||
Retail | Texas | Retail - Grapevine, TX | Group Two | ||||
SEC Schedule, 12-28, Real Estate Companies, Investment in Real Estate and Accumulated Depreciation [Line Items] | ||||
Number of properties | property | 1 | |||
Encumbrances | $ 9,797 | |||
Initial cost to company, land | 3,932 | |||
Initial cost to company, buildings and improvements | 9,972 | |||
Cost capitalized subsequent to acquisition, improvements | 17 | |||
Gross amounts, land | 3,932 | |||
Gross amounts, buildings and improvements | 9,989 | |||
Total | 13,921 | |||
Accumulated depreciation | $ (2,151) | |||
Weighted-average depreciable life (in years) | 38 years | |||
Retail | Texas | Retail - Flower Mound, TX | Group One | ||||
SEC Schedule, 12-28, Real Estate Companies, Investment in Real Estate and Accumulated Depreciation [Line Items] | ||||
Number of properties | property | 1 | |||
Encumbrances | $ 13,085 | |||
Initial cost to company, land | 4,963 | |||
Initial cost to company, buildings and improvements | 14,477 | |||
Cost capitalized subsequent to acquisition, improvements | 51 | |||
Gross amounts, land | 4,963 | |||
Gross amounts, buildings and improvements | 14,528 | |||
Total | 19,491 | |||
Accumulated depreciation | $ (2,928) | |||
Weighted-average depreciable life (in years) | 38 years | |||
Retail | Texas | Retail - Flower Mound, TX | Group Two | ||||
SEC Schedule, 12-28, Real Estate Companies, Investment in Real Estate and Accumulated Depreciation [Line Items] | ||||
Number of properties | property | 1 | |||
Encumbrances | $ 7,492 | |||
Initial cost to company, land | 2,696 | |||
Initial cost to company, buildings and improvements | 7,351 | |||
Cost capitalized subsequent to acquisition, improvements | 187 | |||
Gross amounts, land | 2,696 | |||
Gross amounts, buildings and improvements | 7,538 | |||
Total | 10,234 | |||
Accumulated depreciation | $ (2,205) | |||
Weighted-average depreciable life (in years) | 38 years | |||
Retail | Texas | Retail - Flower Mound, TX | Group Three | ||||
SEC Schedule, 12-28, Real Estate Companies, Investment in Real Estate and Accumulated Depreciation [Line Items] | ||||
Number of properties | property | 1 | |||
Encumbrances | $ 8,929 | |||
Initial cost to company, land | 3,571 | |||
Initial cost to company, buildings and improvements | 8,280 | |||
Cost capitalized subsequent to acquisition, improvements | 219 | |||
Gross amounts, land | 3,571 | |||
Gross amounts, buildings and improvements | 8,499 | |||
Total | 12,070 | |||
Accumulated depreciation | $ (1,552) | |||
Weighted-average depreciable life (in years) | 38 years | |||
Retail | Florida | Retail - Largo, FL | ||||
SEC Schedule, 12-28, Real Estate Companies, Investment in Real Estate and Accumulated Depreciation [Line Items] | ||||
Number of properties | property | 1 | |||
Encumbrances | $ 12,750 | |||
Initial cost to company, land | 4,973 | |||
Initial cost to company, buildings and improvements | 12,812 | |||
Cost capitalized subsequent to acquisition, improvements | 309 | |||
Gross amounts, land | 4,973 | |||
Gross amounts, buildings and improvements | 13,121 | |||
Total | 18,094 | |||
Accumulated depreciation | $ (2,746) | |||
Weighted-average depreciable life (in years) | 27 years | |||
Retail | California | Retail - Grass Valley, CA | ||||
SEC Schedule, 12-28, Real Estate Companies, Investment in Real Estate and Accumulated Depreciation [Line Items] | ||||
Number of properties | property | 1 | |||
Encumbrances | $ 25,900 | |||
Initial cost to company, land | 9,872 | |||
Initial cost to company, buildings and improvements | 28,680 | |||
Cost capitalized subsequent to acquisition, improvements | 483 | |||
Gross amounts, land | 9,872 | |||
Gross amounts, buildings and improvements | 29,163 | |||
Total | 39,035 | |||
Accumulated depreciation | $ (7,039) | |||
Weighted-average depreciable life (in years) | 25 years | |||
Retail | New York | Retail - Penfield, NY | ||||
SEC Schedule, 12-28, Real Estate Companies, Investment in Real Estate and Accumulated Depreciation [Line Items] | ||||
Number of properties | property | 1 | |||
Encumbrances | $ 23,558 | |||
Initial cost to company, land | 4,121 | |||
Initial cost to company, buildings and improvements | 22,413 | |||
Cost capitalized subsequent to acquisition, improvements | 1,480 | |||
Gross amounts, land | 4,122 | |||
Gross amounts, buildings and improvements | 23,892 | |||
Total | 28,014 | |||
Accumulated depreciation | $ (7,077) | |||
Weighted-average depreciable life (in years) | 24 years | |||
Retail | New York | Retail - Orchard Park, NY | ||||
SEC Schedule, 12-28, Real Estate Companies, Investment in Real Estate and Accumulated Depreciation [Line Items] | ||||
Number of properties | property | 1 | |||
Encumbrances | $ 12,888 | |||
Initial cost to company, land | 4,204 | |||
Initial cost to company, buildings and improvements | 20,617 | |||
Cost capitalized subsequent to acquisition, improvements | 139 | |||
Gross amounts, land | 4,189 | |||
Gross amounts, buildings and improvements | 20,771 | |||
Total | 24,960 | |||
Accumulated depreciation | $ (4,813) | |||
Weighted-average depreciable life (in years) | 32 years | |||
Retail | New York | Retail - Cheektowaga, NY | ||||
SEC Schedule, 12-28, Real Estate Companies, Investment in Real Estate and Accumulated Depreciation [Line Items] | ||||
Number of properties | property | 1 | |||
Encumbrances | $ 9,447 | |||
Initial cost to company, land | 1,961 | |||
Initial cost to company, buildings and improvements | 12,259 | |||
Cost capitalized subsequent to acquisition, improvements | 238 | |||
Gross amounts, land | 1,939 | |||
Gross amounts, buildings and improvements | 12,519 | |||
Total | 14,458 | |||
Accumulated depreciation | $ (2,879) | |||
Weighted-average depreciable life (in years) | 25 years | |||
Retail | New York | Retail - Amherst, NY | ||||
SEC Schedule, 12-28, Real Estate Companies, Investment in Real Estate and Accumulated Depreciation [Line Items] | ||||
Number of properties | property | 1 | |||
Encumbrances | $ 8,270 | |||
Initial cost to company, land | 2,131 | |||
Initial cost to company, buildings and improvements | 9,740 | |||
Cost capitalized subsequent to acquisition, improvements | 342 | |||
Gross amounts, land | 2,132 | |||
Gross amounts, buildings and improvements | 10,081 | |||
Total | 12,213 | |||
Accumulated depreciation | $ (2,539) | |||
Weighted-average depreciable life (in years) | 28 years | |||
Retail | New York | Retail - Ontario, NY | ||||
SEC Schedule, 12-28, Real Estate Companies, Investment in Real Estate and Accumulated Depreciation [Line Items] | ||||
Number of properties | property | 1 | |||
Encumbrances | $ 5,406 | |||
Initial cost to company, land | 575 | |||
Initial cost to company, buildings and improvements | 6,813 | |||
Cost capitalized subsequent to acquisition, improvements | 27 | |||
Gross amounts, land | 574 | |||
Gross amounts, buildings and improvements | 6,841 | |||
Total | 7,415 | |||
Accumulated depreciation | $ (1,980) | |||
Weighted-average depreciable life (in years) | 31 years | |||
Retail | New York | Retail - Irondequoit, NY | ||||
SEC Schedule, 12-28, Real Estate Companies, Investment in Real Estate and Accumulated Depreciation [Line Items] | ||||
Number of properties | property | 1 | |||
Encumbrances | $ 15,000 | |||
Initial cost to company, land | 2,438 | |||
Initial cost to company, buildings and improvements | 14,684 | |||
Cost capitalized subsequent to acquisition, improvements | 607 | |||
Gross amounts, land | 2,438 | |||
Gross amounts, buildings and improvements | 15,291 | |||
Total | 17,729 | |||
Accumulated depreciation | $ (4,256) | |||
Weighted-average depreciable life (in years) | 27 years | |||
Retail | New York | Retail - LeRoy, NY | ||||
SEC Schedule, 12-28, Real Estate Companies, Investment in Real Estate and Accumulated Depreciation [Line Items] | ||||
Number of properties | property | 1 | |||
Encumbrances | $ 3,492 | |||
Initial cost to company, land | 374 | |||
Initial cost to company, buildings and improvements | 4,922 | |||
Cost capitalized subsequent to acquisition, improvements | 405 | |||
Gross amounts, land | 343 | |||
Gross amounts, buildings and improvements | 5,358 | |||
Total | 5,701 | |||
Accumulated depreciation | $ (1,571) | |||
Weighted-average depreciable life (in years) | 29 years | |||
Retail | New York | Retail - Jamestown, NY | ||||
SEC Schedule, 12-28, Real Estate Companies, Investment in Real Estate and Accumulated Depreciation [Line Items] | ||||
Number of properties | property | 1 | |||
Encumbrances | $ 7,356 | |||
Initial cost to company, land | 820 | |||
Initial cost to company, buildings and improvements | 4,915 | |||
Cost capitalized subsequent to acquisition, improvements | 0 | |||
Gross amounts, land | 820 | |||
Gross amounts, buildings and improvements | 4,915 | |||
Total | 5,735 | |||
Accumulated depreciation | $ (1,689) | |||
Weighted-average depreciable life (in years) | 29 years | |||
Retail | New York | Retail - Warsaw, NY | ||||
SEC Schedule, 12-28, Real Estate Companies, Investment in Real Estate and Accumulated Depreciation [Line Items] | ||||
Number of properties | property | 1 | |||
Encumbrances | $ 3,415 | |||
Initial cost to company, land | 407 | |||
Initial cost to company, buildings and improvements | 4,117 | |||
Cost capitalized subsequent to acquisition, improvements | 7 | |||
Gross amounts, land | 407 | |||
Gross amounts, buildings and improvements | 4,124 | |||
Total | 4,531 | |||
Accumulated depreciation | $ (1,122) | |||
Weighted-average depreciable life (in years) | 31 years | |||
Retail | Ohio | Retail - Chillicothe, OH | Group One | ||||
SEC Schedule, 12-28, Real Estate Companies, Investment in Real Estate and Accumulated Depreciation [Line Items] | ||||
Number of properties | property | 1 | |||
Encumbrances | $ 7,888 | |||
Initial cost to company, land | 1,262 | |||
Initial cost to company, buildings and improvements | 10,819 | |||
Cost capitalized subsequent to acquisition, improvements | 57 | |||
Gross amounts, land | 1,262 | |||
Gross amounts, buildings and improvements | 10,876 | |||
Total | 12,138 | |||
Accumulated depreciation | $ (2,534) | |||
Weighted-average depreciable life (in years) | 26 years | |||
Retail | Ohio | Retail - Chillicothe, OH | Group Two | ||||
SEC Schedule, 12-28, Real Estate Companies, Investment in Real Estate and Accumulated Depreciation [Line Items] | ||||
Number of properties | property | 1 | |||
Encumbrances | $ 7,700 | |||
Initial cost to company, land | 2,282 | |||
Initial cost to company, buildings and improvements | 9,566 | |||
Cost capitalized subsequent to acquisition, improvements | 209 | |||
Gross amounts, land | 2,282 | |||
Gross amounts, buildings and improvements | 9,775 | |||
Total | 12,057 | |||
Accumulated depreciation | $ (2,084) | |||
Weighted-average depreciable life (in years) | 25 years | |||
Retail | Georgia | Retail - Loganville, GA | ||||
SEC Schedule, 12-28, Real Estate Companies, Investment in Real Estate and Accumulated Depreciation [Line Items] | ||||
Number of properties | property | 1 | |||
Encumbrances | $ 7,230 | |||
Initial cost to company, land | 3,217 | |||
Initial cost to company, buildings and improvements | 8,386 | |||
Cost capitalized subsequent to acquisition, improvements | 511 | |||
Gross amounts, land | 3,217 | |||
Gross amounts, buildings and improvements | 8,897 | |||
Total | 12,114 | |||
Accumulated depreciation | $ (2,152) | |||
Weighted-average depreciable life (in years) | 28 years | |||
Retail | Tennessee | Retail - Knoxville, TN | ||||
SEC Schedule, 12-28, Real Estate Companies, Investment in Real Estate and Accumulated Depreciation [Line Items] | ||||
Number of properties | property | 1 | |||
Encumbrances | $ 0 | |||
Initial cost to company, land | 3,503 | |||
Initial cost to company, buildings and improvements | 13,309 | |||
Cost capitalized subsequent to acquisition, improvements | 399 | |||
Gross amounts, land | 3,503 | |||
Gross amounts, buildings and improvements | 13,708 | |||
Total | 17,211 | |||
Accumulated depreciation | $ (2,538) | |||
Weighted-average depreciable life (in years) | 34 years | |||
Multifamily | Washington, DC | Multifamily - Washington, DC | ||||
SEC Schedule, 12-28, Real Estate Companies, Investment in Real Estate and Accumulated Depreciation [Line Items] | ||||
Number of properties | property | 1 | |||
Encumbrances | $ 57,500 | |||
Initial cost to company, land | 31,999 | |||
Initial cost to company, buildings and improvements | 42,623 | |||
Cost capitalized subsequent to acquisition, improvements | 757 | |||
Gross amounts, land | 31,999 | |||
Gross amounts, buildings and improvements | 43,380 | |||
Total | 75,379 | |||
Accumulated depreciation | $ (6,871) | |||
Weighted-average depreciable life (in years) | 28 years | |||
Healthcare | Texas | Healthcare - Hopewell, VA | ||||
SEC Schedule, 12-28, Real Estate Companies, Investment in Real Estate and Accumulated Depreciation [Line Items] | ||||
Number of properties | property | 1 | |||
Encumbrances | $ 8,536 | |||
Initial cost to company, land | 560 | |||
Initial cost to company, buildings and improvements | 12,181 | |||
Cost capitalized subsequent to acquisition, improvements | 0 | |||
Gross amounts, land | 560 | |||
Gross amounts, buildings and improvements | 12,181 | |||
Total | 12,741 | |||
Accumulated depreciation | $ (632) | |||
Weighted-average depreciable life (in years) | 37 years | |||
Healthcare | Texas | Healthcare - Clifton Forge, VA | ||||
SEC Schedule, 12-28, Real Estate Companies, Investment in Real Estate and Accumulated Depreciation [Line Items] | ||||
Number of properties | property | 1 | |||
Encumbrances | $ 2,192 | |||
Initial cost to company, land | 710 | |||
Initial cost to company, buildings and improvements | 5,368 | |||
Cost capitalized subsequent to acquisition, improvements | 0 | |||
Gross amounts, land | 710 | |||
Gross amounts, buildings and improvements | 5,368 | |||
Total | 6,078 | |||
Accumulated depreciation | $ (481) | |||
Weighted-average depreciable life (in years) | 18 years | |||
Healthcare | Texas | Healthcare - Allen, TX | ||||
SEC Schedule, 12-28, Real Estate Companies, Investment in Real Estate and Accumulated Depreciation [Line Items] | ||||
Number of properties | property | 1 | |||
Encumbrances | $ 9,000 | |||
Initial cost to company, land | 800 | |||
Initial cost to company, buildings and improvements | 10,858 | |||
Cost capitalized subsequent to acquisition, improvements | 0 | |||
Gross amounts, land | 800 | |||
Gross amounts, buildings and improvements | 10,858 | |||
Total | 11,658 | |||
Accumulated depreciation | $ (830) | |||
Weighted-average depreciable life (in years) | 22 years | |||
Healthcare | Texas | Healthcare - Frisco, TX | ||||
SEC Schedule, 12-28, Real Estate Companies, Investment in Real Estate and Accumulated Depreciation [Line Items] | ||||
Number of properties | property | 1 | |||
Encumbrances | $ 6,672 | |||
Initial cost to company, land | 1,000 | |||
Initial cost to company, buildings and improvements | 7,420 | |||
Cost capitalized subsequent to acquisition, improvements | 0 | |||
Gross amounts, land | 1,000 | |||
Gross amounts, buildings and improvements | 7,420 | |||
Total | 8,420 | |||
Accumulated depreciation | $ (473) | |||
Weighted-average depreciable life (in years) | 31 years | |||
Healthcare | Texas | Healthcare - Garland, TX | ||||
SEC Schedule, 12-28, Real Estate Companies, Investment in Real Estate and Accumulated Depreciation [Line Items] | ||||
Number of properties | property | 1 | |||
Encumbrances | $ 9,155 | |||
Initial cost to company, land | 740 | |||
Initial cost to company, buildings and improvements | 10,705 | |||
Cost capitalized subsequent to acquisition, improvements | 0 | |||
Gross amounts, land | 740 | |||
Gross amounts, buildings and improvements | 10,705 | |||
Total | 11,445 | |||
Accumulated depreciation | $ (572) | |||
Weighted-average depreciable life (in years) | 36 years | |||
Healthcare | Texas | Healthcare - Denison, TX | ||||
SEC Schedule, 12-28, Real Estate Companies, Investment in Real Estate and Accumulated Depreciation [Line Items] | ||||
Number of properties | property | 1 | |||
Encumbrances | $ 4,306 | |||
Initial cost to company, land | 650 | |||
Initial cost to company, buildings and improvements | 6,527 | |||
Cost capitalized subsequent to acquisition, improvements | 0 | |||
Gross amounts, land | 650 | |||
Gross amounts, buildings and improvements | 6,527 | |||
Total | 7,177 | |||
Accumulated depreciation | $ (616) | |||
Weighted-average depreciable life (in years) | 19 years | |||
Healthcare | Texas | Healthcare - Lewisville, TX | ||||
SEC Schedule, 12-28, Real Estate Companies, Investment in Real Estate and Accumulated Depreciation [Line Items] | ||||
Number of properties | property | 1 | |||
Encumbrances | $ 4,034 | |||
Initial cost to company, land | 870 | |||
Initial cost to company, buildings and improvements | 7,020 | |||
Cost capitalized subsequent to acquisition, improvements | 0 | |||
Gross amounts, land | 870 | |||
Gross amounts, buildings and improvements | 7,020 | |||
Total | 7,890 | |||
Accumulated depreciation | $ (507) | |||
Weighted-average depreciable life (in years) | 26 years | |||
Healthcare | Georgia | Healthcare - Blue Ridge, GA | ||||
SEC Schedule, 12-28, Real Estate Companies, Investment in Real Estate and Accumulated Depreciation [Line Items] | ||||
Number of properties | property | 1 | |||
Encumbrances | $ 12,889 | |||
Initial cost to company, land | 630 | |||
Initial cost to company, buildings and improvements | 15,576 | |||
Cost capitalized subsequent to acquisition, improvements | 3,117 | |||
Gross amounts, land | 630 | |||
Gross amounts, buildings and improvements | 18,693 | |||
Total | 19,323 | |||
Accumulated depreciation | $ (784) | |||
Weighted-average depreciable life (in years) | 38 years | |||
Healthcare | Virginia | Healthcare - Abingdon, VA | Group One | ||||
SEC Schedule, 12-28, Real Estate Companies, Investment in Real Estate and Accumulated Depreciation [Line Items] | ||||
Number of properties | property | 1 | |||
Encumbrances | $ 13,151 | |||
Initial cost to company, land | 370 | |||
Initial cost to company, buildings and improvements | 15,061 | |||
Cost capitalized subsequent to acquisition, improvements | 0 | |||
Gross amounts, land | 370 | |||
Gross amounts, buildings and improvements | 15,061 | |||
Total | 15,431 | |||
Accumulated depreciation | $ (647) | |||
Weighted-average depreciable life (in years) | 44 years | |||
Healthcare | Virginia | Healthcare - Abingdon, VA | Group Two | ||||
SEC Schedule, 12-28, Real Estate Companies, Investment in Real Estate and Accumulated Depreciation [Line Items] | ||||
Number of properties | property | 1 | |||
Encumbrances | $ 7,511 | |||
Initial cost to company, land | 160 | |||
Initial cost to company, buildings and improvements | 11,894 | |||
Cost capitalized subsequent to acquisition, improvements | 0 | |||
Gross amounts, land | 160 | |||
Gross amounts, buildings and improvements | 11,894 | |||
Total | 12,054 | |||
Accumulated depreciation | $ (627) | |||
Weighted-average depreciable life (in years) | 36 years | |||
Healthcare | Virginia | Healthcare - Fredericksburg, VA | ||||
SEC Schedule, 12-28, Real Estate Companies, Investment in Real Estate and Accumulated Depreciation [Line Items] | ||||
Number of properties | property | 1 | |||
Encumbrances | $ 14,657 | |||
Initial cost to company, land | 3,110 | |||
Initial cost to company, buildings and improvements | 18,830 | |||
Cost capitalized subsequent to acquisition, improvements | 0 | |||
Gross amounts, land | 3,110 | |||
Gross amounts, buildings and improvements | 18,830 | |||
Total | 21,940 | |||
Accumulated depreciation | $ (970) | |||
Weighted-average depreciable life (in years) | 18 years | |||
Healthcare | Virginia | Healthcare - Gainesville, VA | ||||
SEC Schedule, 12-28, Real Estate Companies, Investment in Real Estate and Accumulated Depreciation [Line Items] | ||||
Number of properties | property | 1 | |||
Encumbrances | $ 13,080 | |||
Initial cost to company, land | 1,470 | |||
Initial cost to company, buildings and improvements | 13,894 | |||
Cost capitalized subsequent to acquisition, improvements | 0 | |||
Gross amounts, land | 1,470 | |||
Gross amounts, buildings and improvements | 13,894 | |||
Total | 15,364 | |||
Accumulated depreciation | $ (676) | |||
Weighted-average depreciable life (in years) | 38 years | |||
Healthcare | Virginia | Healthcare - Pennington Gap, VA | ||||
SEC Schedule, 12-28, Real Estate Companies, Investment in Real Estate and Accumulated Depreciation [Line Items] | ||||
Number of properties | property | 1 | |||
Encumbrances | $ 5,731 | |||
Initial cost to company, land | 190 | |||
Initial cost to company, buildings and improvements | 11,549 | |||
Cost capitalized subsequent to acquisition, improvements | 0 | |||
Gross amounts, land | 190 | |||
Gross amounts, buildings and improvements | 11,549 | |||
Total | 11,739 | |||
Accumulated depreciation | $ (637) | |||
Weighted-average depreciable life (in years) | 33 years | |||
Healthcare | Virginia | Healthcare - Manassas, VA | ||||
SEC Schedule, 12-28, Real Estate Companies, Investment in Real Estate and Accumulated Depreciation [Line Items] | ||||
Number of properties | property | 1 | |||
Encumbrances | $ 13,154 | |||
Initial cost to company, land | 2,040 | |||
Initial cost to company, buildings and improvements | 14,041 | |||
Cost capitalized subsequent to acquisition, improvements | 0 | |||
Gross amounts, land | 2,040 | |||
Gross amounts, buildings and improvements | 14,041 | |||
Total | 16,081 | |||
Accumulated depreciation | $ (681) | |||
Weighted-average depreciable life (in years) | 38 years | |||
Healthcare | Virginia | Healthcare - Radford, VA | ||||
SEC Schedule, 12-28, Real Estate Companies, Investment in Real Estate and Accumulated Depreciation [Line Items] | ||||
Number of properties | property | 1 | |||
Encumbrances | $ 6,690 | |||
Initial cost to company, land | 370 | |||
Initial cost to company, buildings and improvements | 12,623 | |||
Cost capitalized subsequent to acquisition, improvements | 0 | |||
Gross amounts, land | 370 | |||
Gross amounts, buildings and improvements | 12,623 | |||
Total | 12,993 | |||
Accumulated depreciation | $ (634) | |||
Weighted-average depreciable life (in years) | 34 years | |||
Healthcare | Wisconsin | Healthcare - Kaukauna, WI | ||||
SEC Schedule, 12-28, Real Estate Companies, Investment in Real Estate and Accumulated Depreciation [Line Items] | ||||
Number of properties | property | 1 | |||
Encumbrances | $ 7,797 | |||
Initial cost to company, land | 240 | |||
Initial cost to company, buildings and improvements | 8,904 | |||
Cost capitalized subsequent to acquisition, improvements | 0 | |||
Gross amounts, land | 240 | |||
Gross amounts, buildings and improvements | 8,904 | |||
Total | 9,144 | |||
Accumulated depreciation | $ (455) | |||
Weighted-average depreciable life (in years) | 34 years | |||
Healthcare | Minnesota | Healthcare - Mankato, MN | Group One | ||||
SEC Schedule, 12-28, Real Estate Companies, Investment in Real Estate and Accumulated Depreciation [Line Items] | ||||
Number of properties | property | 1 | |||
Encumbrances | $ 7,487 | |||
Initial cost to company, land | 660 | |||
Initial cost to company, buildings and improvements | 9,040 | |||
Cost capitalized subsequent to acquisition, improvements | 0 | |||
Gross amounts, land | 660 | |||
Gross amounts, buildings and improvements | 9,040 | |||
Total | 9,700 | |||
Accumulated depreciation | $ (633) | |||
Weighted-average depreciable life (in years) | 21 years | |||
Healthcare | Minnesota | Healthcare - Mankato, MN | Group Two | ||||
SEC Schedule, 12-28, Real Estate Companies, Investment in Real Estate and Accumulated Depreciation [Line Items] | ||||
Number of properties | property | 1 | |||
Encumbrances | $ 5,789 | |||
Initial cost to company, land | 410 | |||
Initial cost to company, buildings and improvements | 6,618 | |||
Cost capitalized subsequent to acquisition, improvements | 0 | |||
Gross amounts, land | 410 | |||
Gross amounts, buildings and improvements | 6,618 | |||
Total | 7,028 | |||
Accumulated depreciation | $ (330) | |||
Weighted-average depreciable life (in years) | 31 years | |||
Healthcare | Utah | Healthcare - St. George, UT | Group One | ||||
SEC Schedule, 12-28, Real Estate Companies, Investment in Real Estate and Accumulated Depreciation [Line Items] | ||||
Number of properties | property | 1 | |||
Encumbrances | $ 9,706 | |||
Initial cost to company, land | 1,050 | |||
Initial cost to company, buildings and improvements | 13,422 | |||
Cost capitalized subsequent to acquisition, improvements | 0 | |||
Gross amounts, land | 1,050 | |||
Gross amounts, buildings and improvements | 13,422 | |||
Total | 14,472 | |||
Accumulated depreciation | $ (588) | |||
Weighted-average depreciable life (in years) | 36 years | |||
Healthcare | Utah | Healthcare - St. George, UT | Group Two | ||||
SEC Schedule, 12-28, Real Estate Companies, Investment in Real Estate and Accumulated Depreciation [Line Items] | ||||
Number of properties | property | 1 | |||
Encumbrances | $ 7,096 | |||
Initial cost to company, land | 690 | |||
Initial cost to company, buildings and improvements | 7,670 | |||
Cost capitalized subsequent to acquisition, improvements | 0 | |||
Gross amounts, land | 690 | |||
Gross amounts, buildings and improvements | 7,670 | |||
Total | 8,360 | |||
Accumulated depreciation | $ (380) | |||
Weighted-average depreciable life (in years) | 33 years | |||
Healthcare | Louisiana | Healthcare - Covington, LA | ||||
SEC Schedule, 12-28, Real Estate Companies, Investment in Real Estate and Accumulated Depreciation [Line Items] | ||||
Number of properties | property | 1 | |||
Encumbrances | $ 16,548 | |||
Initial cost to company, land | 410 | |||
Initial cost to company, buildings and improvements | 19,216 | |||
Cost capitalized subsequent to acquisition, improvements | 261 | |||
Gross amounts, land | 410 | |||
Gross amounts, buildings and improvements | 19,477 | |||
Total | 19,887 | |||
Accumulated depreciation | $ (986) | |||
Weighted-average depreciable life (in years) | 31 years | |||
Healthcare | Kansas | Healthcare - Mission, KS | ||||
SEC Schedule, 12-28, Real Estate Companies, Investment in Real Estate and Accumulated Depreciation [Line Items] | ||||
Number of properties | property | 1 | |||
Encumbrances | $ 16,325 | |||
Initial cost to company, land | 600 | |||
Initial cost to company, buildings and improvements | 21,501 | |||
Cost capitalized subsequent to acquisition, improvements | 47 | |||
Gross amounts, land | 598 | |||
Gross amounts, buildings and improvements | 21,550 | |||
Total | 22,148 | |||
Accumulated depreciation | $ (1,106) | |||
Weighted-average depreciable life (in years) | 32 years |
Schedule III - Real Estate an_3
Schedule III - Real Estate and Accumulated Depreciation -Real Estate Activity (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2019 | Dec. 31, 2018 | Dec. 31, 2017 | |
Real Estate | |||
Beginning balance | $ 721,664 | $ 441,971 | $ 448,620 |
Acquisitions and improvements | 5,811 | 279,693 | 1,231 |
Property sold | (23,121) | 0 | (7,880) |
Ending balance | 704,354 | 721,664 | 441,971 |
Accumulated Depreciation | |||
Beginning balance | 67,026 | 48,920 | 34,221 |
Property sold | (3,166) | 0 | (1,052) |
Depreciation | 23,672 | 18,106 | 15,751 |
Ending balance | $ 87,532 | $ 67,026 | $ 48,920 |
Schedule IV - Mortgage Loans _2
Schedule IV - Mortgage Loans on Commercial Real Estate (Details) $ in Thousands | 12 Months Ended |
Dec. 31, 2019USD ($) | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Face amount | $ 686,563 |
Loans | 669,713 |
Mezzanine debt investments | Retail | Massachusetts | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Prior liens | 62,053 |
Face amount | 10,000 |
Loans | $ 10,000 |
Interest rate | 10.14% |
Mezzanine debt investments | Retail | Colorado | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Prior liens | $ 0 |
Face amount | 470 |
Loans | $ 470 |
Basis spread on variable interest rate | 5.00% |
Mezzanine debt investments | Retail | Colorado | Minimum | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Interest rate | 0.50% |
Mezzanine debt investments | Retail | Washington, DC | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Prior liens | $ 0 |
Face amount | 17,100 |
Loans | $ 17,100 |
Basis spread on variable interest rate | 7.73% |
Mezzanine debt investments | Retail | Washington, DC | Minimum | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Interest rate | 0.50% |
Mezzanine debt investments | Retail | North Carolina | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Prior liens | $ 0 |
Face amount | 2,692 |
Loans | $ 2,668 |
Basis spread on variable interest rate | 3.40% |
Mezzanine debt investments | Retail | North Carolina | Minimum | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Interest rate | 2.25% |
Mezzanine debt investments | Office | Louisiana | Group One | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Prior liens | $ 60,989 |
Face amount | 8,700 |
Loans | $ 8,700 |
Interest rate | 10.75% |
Mezzanine debt investments | Office | Texas | Group One | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Prior liens | $ 50,420 |
Face amount | 7,000 |
Loans | $ 0 |
Interest rate | 10.10% |
Mezzanine debt investments | Office | Texas | Group Two | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Prior liens | $ 0 |
Face amount | 19,136 |
Loans | $ 18,992 |
Basis spread on variable interest rate | 3.75% |
Mezzanine debt investments | Office | Texas | Group Three | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Prior liens | $ 0 |
Face amount | 15,000 |
Loans | $ 14,892 |
Basis spread on variable interest rate | 3.45% |
Mezzanine debt investments | Office | Texas | Minimum | Group Two | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Interest rate | 1.25% |
Mezzanine debt investments | Office | Texas | Minimum | Group Three | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Interest rate | 2.25% |
Mezzanine debt investments | Office | California | Group One | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Prior liens | $ 104,682 |
Face amount | 23,013 |
Loans | $ 23,013 |
Basis spread on variable interest rate | 5.79% |
Mezzanine debt investments | Office | California | Group Two | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Prior liens | $ 104,682 |
Face amount | 10,281 |
Loans | $ 10,281 |
Basis spread on variable interest rate | 6.54% |
Mezzanine debt investments | Office | Florida | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Prior liens | $ 0 |
Face amount | 18,363 |
Loans | $ 18,301 |
Basis spread on variable interest rate | 3.30% |
Mezzanine debt investments | Office | Florida | Minimum | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Interest rate | 0.50% |
Mezzanine debt investments | Mixed Use | Ohio | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Prior liens | $ 126,577 |
Face amount | 36,603 |
Loans | $ 30,900 |
Interest rate | 9.50% |
Mezzanine debt investments | Hotel | Louisiana | Group Two | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Prior liens | $ 95,588 |
Face amount | 14,706 |
Loans | $ 14,706 |
Basis spread on variable interest rate | 9.50% |
First mortgages | Washington | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Prior liens | $ 0 |
Face amount | 19,044 |
Loans | $ 18,874 |
Basis spread on variable interest rate | 3.40% |
First mortgages | Washington | Minimum | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Interest rate | 1.75% |
First mortgages | Retail | Texas | Group Four | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Prior liens | $ 0 |
Face amount | 12,000 |
Loans | $ 11,913 |
Basis spread on variable interest rate | 3.45% |
First mortgages | Retail | Texas | Minimum | Group Four | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Interest rate | 2.25% |
First mortgages | Retail | California | Group Four | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Prior liens | $ 0 |
Face amount | 65,366 |
Loans | $ 64,775 |
Basis spread on variable interest rate | 3.40% |
First mortgages | Retail | California | Minimum | Group Four | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Interest rate | 2.06% |
First mortgages | Retail | North Carolina | Group One | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Prior liens | $ 0 |
Face amount | 9,390 |
Loans | $ 9,319 |
Basis spread on variable interest rate | 3.40% |
First mortgages | Retail | North Carolina | Minimum | Group One | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Interest rate | 2.25% |
First mortgages | Retail | Tennessee | Group Two | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Prior liens | $ 0 |
Face amount | 85 |
Loans | $ 89 |
Basis spread on variable interest rate | 4.50% |
First mortgages | Retail | Tennessee | Minimum | Group Two | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Interest rate | 1.20% |
First mortgages | Retail | Delaware | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Prior liens | $ 0 |
Face amount | 31,469 |
Loans | $ 31,180 |
Basis spread on variable interest rate | 2.90% |
First mortgages | Retail | Delaware | Minimum | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Interest rate | 1.75% |
First mortgages | Office | Texas | Group One | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Prior liens | $ 0 |
Face amount | 65,081 |
Loans | $ 64,673 |
Basis spread on variable interest rate | 3.75% |
First mortgages | Office | Texas | Minimum | Group One | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Interest rate | 1.25% |
First mortgages | Office | California | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Prior liens | $ 0 |
Face amount | 417 |
Loans | $ 422 |
Basis spread on variable interest rate | 3.25% |
First mortgages | Office | California | Group Two | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Prior liens | $ 0 |
Face amount | 2,320 |
Loans | $ 2,320 |
Basis spread on variable interest rate | 3.50% |
First mortgages | Office | California | Minimum | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Interest rate | 1.00% |
First mortgages | Office | California | Minimum | Group Two | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Interest rate | 2.00% |
First mortgages | Office | Colorado | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Prior liens | $ 0 |
Face amount | 1,868 |
Loans | $ 1,901 |
Basis spread on variable interest rate | 3.60% |
First mortgages | Office | Colorado | Minimum | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Interest rate | 1.00% |
First mortgages | Office | New Jersey | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Prior liens | $ 0 |
Face amount | 64,390 |
Loans | $ 64,390 |
Basis spread on variable interest rate | 4.50% |
First mortgages | Office | New Jersey | Minimum | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Interest rate | 0.25% |
First mortgages | Office | Virginia | Group One | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Prior liens | $ 0 |
Face amount | 33,498 |
Loans | $ 33,284 |
Basis spread on variable interest rate | 4.00% |
First mortgages | Office | Virginia | Group Two | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Prior liens | $ 0 |
Face amount | 43,100 |
Loans | $ 42,873 |
Basis spread on variable interest rate | 2.80% |
First mortgages | Office | Virginia | Minimum | Group One | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Interest rate | 1.25% |
First mortgages | Office | Virginia | Minimum | Group Two | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Interest rate | 1.90% |
First mortgages | Office | New York | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Prior liens | $ 0 |
Face amount | 16,100 |
Loans | $ 15,805 |
Basis spread on variable interest rate | 4.60% |
First mortgages | Office | New York | Minimum | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Interest rate | 2.30% |
First mortgages | Hotel | Texas | Group Two | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Prior liens | $ 0 |
Face amount | 1,288 |
Loans | $ 1,305 |
Basis spread on variable interest rate | 3.75% |
First mortgages | Hotel | Texas | Minimum | Group Two | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Interest rate | 2.00% |
First mortgages | Industrial | North Carolina | Group Two | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Prior liens | $ 0 |
Face amount | 47,813 |
Loans | $ 47,268 |
Basis spread on variable interest rate | 2.85% |
First mortgages | Industrial | North Carolina | Minimum | Group Two | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Interest rate | 1.85% |
First mortgages | Industrial | Tennessee | Group One | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Prior liens | $ 0 |
Face amount | 21,250 |
Loans | $ 21,132 |
Basis spread on variable interest rate | 3.00% |
First mortgages | Industrial | Tennessee | Minimum | Group One | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Interest rate | 2.00% |
First mortgages | Industrial | Arizona | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Prior liens | $ 0 |
Face amount | 14,300 |
Loans | $ 14,041 |
Basis spread on variable interest rate | 3.50% |
First mortgages | Industrial | Arizona | Minimum | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Interest rate | 1.60% |
First mortgages | Multifamily | Texas | Group Three | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Prior liens | $ 0 |
Face amount | 70 |
Loans | $ 70 |
Basis spread on variable interest rate | 2.90% |
First mortgages | Multifamily | Texas | Minimum | Group Three | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Interest rate | 2.25% |
First mortgages | Multifamily | California | Group Three | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Prior liens | $ 0 |
Face amount | 350 |
Loans | $ 350 |
Basis spread on variable interest rate | 3.00% |
First mortgages | Multifamily | California | Minimum | Group Three | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Interest rate | 2.40% |
First mortgages | Multifamily | New York | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Prior liens | $ 0 |
Face amount | 54,300 |
Loans | $ 53,706 |
Basis spread on variable interest rate | 3.25% |
First mortgages | Multifamily | New York | Minimum | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Interest rate | 1.75% |