COVER PAGE
COVER PAGE - USD ($) $ in Billions | 12 Months Ended | ||
Dec. 31, 2020 | Feb. 02, 2021 | Jun. 30, 2020 | |
Document Information [Line Items] | |||
Document Type | 10-K | ||
Amendment Flag | false | ||
Document Annual Report | true | ||
Document Period End Date | Dec. 31, 2020 | ||
Current Fiscal Year End Date | --12-31 | ||
Document Fiscal Year Focus | 2020 | ||
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 | ||
ICFR Auditor Attestation Flag | true | ||
Entity Shell Company | false | ||
Entity Public Float | $ 9.2 | ||
Entity Common Stock, Shares Outstanding | 1,398,502,906 | ||
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, 2020. 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 $0.01 per share | ||
Trading Symbol | NLY | ||
Name of Each Exchange on Which Registered | NYSE | ||
6.95% Series F Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | |||
Document Information [Line Items] | |||
Title of Each Class | 6.95% Series F Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | ||
Trading Symbol | NLY.F | ||
Name of Each Exchange on Which Registered | NYSE | ||
6.50% Series G Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | |||
Document Information [Line Items] | |||
Title of Each Class | 6.50% Series G Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | ||
Trading Symbol | NLY.G | ||
Name of Each Exchange on Which Registered | NYSE | ||
6.75% Series I Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | |||
Document Information [Line Items] | |||
Title of Each Class | 6.75% Series I Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | ||
Trading Symbol | NLY.I | ||
Name of Each Exchange on Which Registered | NYSE |
CONSOLIDATED STATEMENTS OF FINA
CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 | |
Assets | |||
Cash and cash equivalents (includes pledged assets of $1,137,809 and $1,648,545, respectively) | [1] | $ 1,243,703 | $ 1,850,729 |
Securities (includes pledged assets of $67,664,458 and $108,809,569 , respectively) | [2] | 75,652,396 | 114,833,580 |
Loans, net (includes pledged assets of $2,096,223 and $3,240,583 , respectively) | [3] | 3,083,821 | 4,462,350 |
Mortgage servicing rights (includes pledged assets of $5,541 and $3,336, respectively) | 100,895 | 378,078 | |
Assets transferred or pledged to securitization vehicles | 6,910,020 | 7,002,460 | |
Real estate, net | 656,314 | 725,638 | |
Derivative assets | 171,134 | 113,556 | |
Receivable for unsettled trades | 15,912 | 4,792 | |
Principal and interest receivable | 268,073 | 449,906 | |
Goodwill and intangible assets, net | 127,341 | 92,772 | |
Other assets | 225,494 | 381,220 | |
Total assets | 88,455,103 | 130,295,081 | |
Liabilities | |||
Repurchase agreements | 64,825,239 | 101,740,728 | |
Other secured financing | 917,876 | 4,455,700 | |
Debt issued by securitization vehicles | 5,652,982 | 5,622,801 | |
Participations issued | 39,198 | 0 | |
Mortgages payable | 426,256 | 485,005 | |
Derivative liabilities | 1,033,345 | 803,866 | |
Payable for unsettled trades | 884,069 | 463,387 | |
Interest payable | 191,116 | 476,335 | |
Dividends payable | 307,613 | 357,527 | |
Other liabilities | 155,613 | 93,388 | |
Total liabilities | 74,433,307 | 114,498,737 | |
Stockholders’ equity | |||
Preferred stock, par value $0.01 per share, 85,150,000 authorized, 63,500,000 and 81,900,000 issued and outstanding, respectively | 1,536,569 | 1,982,026 | |
Common stock, par value $0.01 per share, 2,914,850,000 authorized, 1,398,240,618 and 1,430,106,199 issued and outstanding, respectively | 13,982 | 14,301 | |
Additional paid-in capital | 19,750,818 | 19,966,923 | |
Accumulated other comprehensive income (loss) | 3,374,335 | 2,138,191 | |
Accumulated deficit | (10,667,388) | (8,309,424) | |
Total stockholders’ equity | 14,008,316 | 15,792,017 | |
Noncontrolling interests | 13,480 | 4,327 | |
Total equity | 14,021,796 | 15,796,344 | |
Total liabilities and equity | 88,455,103 | 130,295,081 | |
Residential Mortgage Loans | |||
Assets | |||
Total assets | 300,000 | 1,600,000 | |
Consolidated VIEs | |||
Assets | |||
Cash and cash equivalents (includes pledged assets of $1,137,809 and $1,648,545, respectively) | 22,200 | 67,500 | |
Consolidated VIEs | Agency Mortgage-backed Securities | |||
Assets | |||
Securities (includes pledged assets of $67,664,458 and $108,809,569 , respectively) | 81,500 | 102,500 | |
Consolidated VIEs | Non-Agency Mortgage-backed Securities | |||
Assets | |||
Securities (includes pledged assets of $67,664,458 and $108,809,569 , respectively) | 576,600 | 468,000 | |
Consolidation, Eliminations | Consolidated VIEs | Commercial Mortgage Loans | |||
Assets | |||
Securities (includes pledged assets of $67,664,458 and $108,809,569 , respectively) | $ 391,000 | $ 500,300 | |
[1] | Includes cash of consolidated Variable Interest Entities (“VIEs”) of $22.2 million and $67.5 million at December 31, 2020 and 2019, respectively. | ||
[2] | Excludes $81.5 million and $102.5 million at December 31, 2020 and 2019, respectively, of agency mortgage-backed securities, $576.6 million and $468.0 million at December 31, 2020 and 2019, respectively, of non-Agency mortgage-backed securities and $391.0 million and $500.3 million at December 31, 2020 and December 31, 2019, respectively, of commercial mortgage-backed securities in consolidated VIEs pledged as collateral and eliminated from the Company’s Consolidated Statements of Financial Condition. | ||
[3] | Includes $47.0 million and $66.7 million of residential mortgage loans held for sale. |
CONSOLIDATED STATEMENTS OF FI_2
CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION (Parenthetical) - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 |
Cash pledged as collateral | $ 1,137,809 | $ 1,648,545 |
Loans, pledged assets | $ 2,231,035 | $ 3,240,583 |
Preferred Stock, par value (in dollars per share) | $ 0.01 | $ 0.01 |
Preferred Stock, shares authorized (in shares) | 85,150,000 | 85,150,000 |
Preferred Stock, shares issued (in shares) | 63,500,000 | 81,900,000 |
Preferred Stock, shares outstanding (in shares) | 63,500,000 | 81,900,000 |
Common Stock, par value (in dollars per share) | $ 0.01 | $ 0.01 |
Common Stock, shares authorized (in shares) | 2,914,850,000 | 2,914,850,000 |
Common Stock, shares issued (in shares) | 1,398,240,618 | 1,430,106,199 |
Common Stock, shares outstanding (in shares) | 1,398,240,618 | 1,430,106,199 |
Non-Agency Mortgage-backed Securities | ||
Pledged assets | $ 5,541 | $ 3,336 |
Agency Mortgage-Backed Securities | ||
Pledged assets | $ 67,471,074 | $ 108,809,569 |
CONSOLIDATED STATEMENTS OF COMP
CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Net interest income | |||
Interest income | $ 2,229,625 | $ 3,787,297 | $ 3,332,563 |
Interest expense | 899,112 | 2,784,875 | 1,897,860 |
Net interest income | 1,330,513 | 1,002,422 | 1,434,703 |
Realized and unrealized gains (losses) | |||
Net interest component of interest rate swaps | (207,877) | 351,375 | 100,553 |
Realized gains (losses) on termination or maturity of interest rate swaps | (1,917,628) | (1,442,964) | 1,409 |
Unrealized gains (losses) on interest rate swaps | (904,532) | (1,210,276) | 424,081 |
Subtotal | (3,030,037) | (2,301,865) | 526,043 |
Net gains (losses) on disposal of investments | 661,513 | (47,944) | (1,124,448) |
Net gains (losses) on other derivatives | 756,305 | (680,770) | (403,001) |
Net unrealized gains (losses) on instruments measured at fair value through earnings | (303,024) | 36,021 | (158,082) |
Loan loss provision | (147,581) | (16,569) | (3,496) |
Subtotal | 967,213 | (709,262) | (1,689,027) |
Total realized and unrealized gains (losses) | (2,062,824) | (3,011,127) | (1,162,984) |
Other income (loss) | 53,314 | 136,413 | 109,927 |
General and administrative expenses | |||
Compensation and management fee | 131,685 | 170,628 | 179,841 |
Other general and administrative expenses | 107,513 | 131,006 | 150,032 |
Total general and administrative expenses | 239,198 | 301,634 | 329,873 |
Income (loss) before income taxes | (918,195) | (2,173,926) | 51,773 |
Income taxes | (28,423) | (10,835) | (2,375) |
Net income (loss) | (889,772) | (2,163,091) | 54,148 |
Net income (loss) attributable to noncontrolling interests | 1,391 | (226) | (260) |
Net income (loss) attributable to Annaly | (891,163) | (2,162,865) | 54,408 |
Dividends on preferred stock | 142,036 | 136,576 | 129,312 |
Net income (loss) available (related) to common stockholders | $ (1,033,199) | $ (2,299,441) | $ (74,904) |
Net income (loss) per share available (related) to common stockholders | |||
Basic (in dollars per share) | $ (0.73) | $ (1.60) | $ (0.06) |
Diluted (in dollars per share) | $ (0.73) | $ (1.60) | $ (0.06) |
Weighted average number of common shares outstanding | |||
Basic (in shares) | 1,414,659,439 | 1,434,912,682 | 1,209,601,809 |
Diluted (in shares) | 1,414,659,439 | 1,434,912,682 | 1,209,601,809 |
Other comprehensive income (loss) | |||
Net income (loss) | $ (889,772) | $ (2,163,091) | $ 54,148 |
Unrealized gains (losses) on available-for-sale securities | 2,012,878 | 4,135,862 | (2,004,166) |
Reclassification adjustment for net (gains) losses included in net income (loss) | (776,734) | (17,806) | 1,150,321 |
Other comprehensive income (loss) | 1,236,144 | 4,118,056 | (853,845) |
Comprehensive income (loss) | 346,372 | 1,954,965 | (799,697) |
Comprehensive income (loss) attributable to noncontrolling interests | 1,391 | (226) | (260) |
Comprehensive income (loss) attributable to Annaly | 344,981 | 1,955,191 | (799,437) |
Comprehensive income (loss) attributable to common stockholders | $ 202,945 | $ 1,818,615 | $ (928,749) |
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 | Accumulated DeficitCumulative Effect, Period of Adoption, Adjustment | Accumulated DeficitCumulative Effect, Period of Adoption, Adjusted Balance | Total Stockholders’ Equity | Noncontrolling Interest | ||
Beginning balance at Dec. 31, 2017 | $ 1,720,381 | $ 11,596 | $ 17,221,265 | $ (1,126,020) | $ (2,961,749) | $ 0 | $ (2,961,749) | $ 6,100 | ||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||||||
Issuance | 411,335 | 1,103 | 1,116,409 | |||||||||
Buyback of common stock | 0 | 0 | ||||||||||
Acquisition of subsidiary | 55,000 | 436 | 455,507 | |||||||||
Stock-based award activity | 0 | 1,961 | ||||||||||
Redemption of preferred stock | (408,548) | (3,952) | ||||||||||
Direct purchase and dividend reinvestment | 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] | (1,457,007) | ||||||||||
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) | 0 | (4,493,660) | $ 14,112,112 | 5,689 | ||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||||||
Issuance | 428,324 | 1,422 | 1,397,484 | |||||||||
Buyback of common stock | (261) | (223,313) | ||||||||||
Acquisition of subsidiary | 0 | 0 | 0 | |||||||||
Stock-based award activity | 0 | 2,162 | ||||||||||
Redemption of preferred stock | (224,466) | (5,534) | ||||||||||
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) | $ (39,641) | $ (8,349,065) | 15,792,017 | 4,327 | ||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||||||
Issuance | 0 | 0 | (93) | |||||||||
Buyback of common stock | (324) | (209,094) | ||||||||||
Acquisition of subsidiary | 0 | 0 | 0 | |||||||||
Stock-based award activity | 3 | 6,452 | ||||||||||
Redemption of preferred stock | (445,457) | (14,543) | ||||||||||
Direct purchase and dividend reinvestment | 1,175 | 2 | 1,173 | |||||||||
Unrealized gains (losses) on available-for-sale securities | 2,012,878 | 2,012,878 | ||||||||||
Reclassification adjustment for net gains (losses) included in net income (loss) | (776,734) | (776,734) | ||||||||||
Net income (loss) attributable to Annaly | (891,163) | (891,163) | ||||||||||
Dividends declared on preferred stock | [1] | (142,036) | ||||||||||
Dividends and dividend equivalents declared on common stock and share-based awards | (1,285,124) | (1,285,124) | [1] | |||||||||
Net income (loss) attributable to noncontrolling interests | (1,391) | 1,391 | ||||||||||
Equity contributions from (distributions to) noncontrolling interests | 7,762 | |||||||||||
Ending balance at Dec. 31, 2020 | $ 14,021,796 | $ 1,536,569 | $ 13,982 | $ 19,750,818 | $ 3,374,335 | $ (10,667,388) | $ 14,008,316 | $ 13,480 | ||||
[1] | See Note titled “Capital Stock” for dividends per share for each class of shares. |
CONSOLIDATED STATEMENTS OF CASH
CONSOLIDATED STATEMENTS OF CASH FLOWS - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Statement of Cash Flows [Abstract] | |||
Net income (loss) | $ (889,772) | $ (2,163,091) | $ 54,148 |
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities | |||
Amortization of premiums and discounts of investments, net | 1,371,178 | 1,113,273 | 692,811 |
Amortization of securitized debt premiums and discounts and deferred financing costs | (11,576) | (11,854) | (3,439) |
Depreciation, amortization and other noncash expenses | 41,357 | 31,559 | 72,364 |
Net (gains) losses on disposals of investments and other | (661,513) | 47,944 | 1,123,969 |
Net (gains) losses on investments and derivatives | 2,368,879 | 1,855,025 | 136,673 |
Income from unconsolidated joint ventures | 7,072 | 6,893 | 2,840 |
Loan loss provision | 147,581 | 16,569 | 3,496 |
Payments on purchases of loans held for sale | (147,833) | (250,348) | (227,871) |
Proceeds from sales and repayments of loans held for sale | 168,716 | 282,693 | 97,913 |
Net receipts (payments) on derivatives | (1,958,131) | (1,939,634) | 480,216 |
Net change in | |||
Other assets | 249,778 | (39,880) | 98,104 |
Interest receivable | 159,320 | (85,951) | (19,563) |
Interest payable | (285,219) | (94,593) | 295,640 |
Other liabilities | (31,870) | 31,838 | (185,283) |
Net cash provided by (used in) operating activities | 527,967 | (1,199,557) | 2,622,018 |
Cash flows from investing activities | |||
Payments on purchases of securities | (32,676,856) | (63,465,822) | (44,795,176) |
Proceeds from sales of securities | 52,639,778 | 25,606,504 | 33,256,888 |
Principal payments on securities | 19,571,476 | 17,199,893 | 11,488,342 |
Payments on purchases and origination of loans | (2,257,314) | (4,126,123) | (3,149,224) |
Proceeds from sales of loans | 624,026 | 365,787 | 150,059 |
Principal payments on loans | 2,222,500 | 3,139,084 | 2,107,689 |
Payments on purchases of MSRs | 0 | 0 | (381) |
Proceeds from sales of MSRs | 72,160 | 0 | 0 |
Investments in real estate | (7,450) | (39,144) | (22,722) |
Proceeds from sales of real estate | 149,600 | 24,955 | 0 |
Proceeds from reverse repurchase agreements | 58,800,000 | 98,339,755 | 85,318,562 |
Payments on reverse repurchase agreements | (58,800,000) | (97,689,715) | (85,030,351) |
Distributions in excess of cumulative earnings from unconsolidated joint ventures | 7,590 | 3,155 | 26,228 |
Cash acquired (paid) in asset acquisition, net | 6,264 | 0 | (258,334) |
Net cash provided by (used in) investing activities | 40,351,774 | (20,641,671) | (908,420) |
Cash flows from financing activities | |||
Proceeds from repurchase agreements and other secured financing | 2,776,331,362 | 5,470,733,256 | 5,117,155,986 |
Principal payments on repurchase agreements and other secured financing | (2,816,805,618) | (5,449,836,013) | (5,116,952,444) |
Proceeds from issuances of securitized debt | 2,385,374 | 3,444,055 | 920,142 |
Principal repayments on securitized debt | (1,238,962) | (2,031,959) | (1,384,333) |
Payment of deferred financing cost | (553) | (12,228) | (1,072) |
Net proceeds from stock offerings, direct purchases and dividend reinvestments | 1,175 | 1,829,025 | 1,532,356 |
Redemptions of preferred stock | (460,000) | (230,000) | (412,500) |
Proceeds from participations issued | 38,741 | 0 | 0 |
Net principal receipts (payments) on mortgages payable | (60,980) | (26,202) | (716) |
Net contributions (distributions) from (to) noncontrolling interests | 7,762 | (1,136) | (971) |
Net payments on share repurchases | (209,418) | (223,574) | 0 |
Dividends paid | (1,475,650) | (1,689,016) | (1,540,886) |
Net cash provided by (used in) financing activities | (41,486,767) | 21,956,208 | (684,438) |
Net (decrease) increase in cash and cash equivalents | (607,026) | 114,980 | 1,029,160 |
Cash and cash equivalents including cash pledged as collateral, beginning of period | 1,850,729 | 1,735,749 | 706,589 |
Cash and cash equivalents including cash pledged as collateral, end of period | 1,243,703 | 1,850,729 | 1,735,749 |
Supplemental disclosure of cash flow information | |||
Interest received | 3,681,826 | 4,811,218 | 3,894,478 |
Dividends received | 4,643 | 8,395 | 7,564 |
Interest paid (excluding interest paid on interest rate swaps) | 1,166,977 | 2,902,644 | 1,726,887 |
Net interest received (paid) on interest rate swaps | 296,621 | (323,028) | (1,894) |
Taxes received (paid) | 1,515 | 2,284 | (295) |
Noncash investing and financing activities | |||
Receivable for unsettled trades | 15,912 | 4,792 | 68,779 |
Payable for unsettled trades | 884,069 | 463,387 | 583,036 |
Net change in unrealized gains (losses) on available-for-sale securities, net of reclassification adjustment | 1,236,144 | 4,118,056 | (853,845) |
Dividends declared, not yet paid | 307,613 | 357,527 | 394,129 |
Derecognition of assets of consolidated VIEs | 1,222,221 | 0 | 0 |
Derecognition of securitized debt of consolidated VIEs | $ 1,141,311 | $ 0 | $ 0 |
DESCRIPTION OF BUSINESS
DESCRIPTION OF BUSINESS | 12 Months Ended |
Dec. 31, 2020 | |
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’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 product and whole loan markets. Annaly Commercial Real Estate Group Originates and invests in commercial mortgage loans, securities, and other commercial real estate debt and equity investments. Annaly Middle Market Lending Group Provides financing to private equity-backed middle market businesses, focusing primarily on senior debt within select industries. The Company is an internally-managed company that 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”). Prior to the closing of the Internalization (as defined in Note 19) on June 30, 2020, the Company was externally managed by Annaly Management Company LLC (the “Former Manager”). |
BASIS OF PRESENTATION
BASIS OF PRESENTATION | 12 Months Ended |
Dec. 31, 2020 | |
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. Certain line items in the Company’s Consolidated Statements of Cash Flows were aggregated to simplify presentation. Prior periods have been adjusted to conform to the current presentation. |
SIGNIFICANT ACCOUNTING POLICIES
SIGNIFICANT ACCOUNTING POLICIES | 12 Months Ended |
Dec. 31, 2020 | |
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 $1.1 billion and $1.6 billion at December 31, 2020 and December 31, 2019, respectively. 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 measures compensation expense for stock-based awards at fair value, which is generally based on the grant-date fair value of the Company’s common stock. Compensation expense is recognized ratably over the vesting or requisite service period of the award. Compensation expense for awards with performance conditions is recognized based on the probable outcome of the performance condition at each reporting date. Stock-based awards that do not require future service (i.e., vested awards) are expensed immediately. Forfeitures are recorded when they occur. The Company generally issues new shares of common stock upon delivery of stock-based awards. Interest Income - The Company recognizes interest income primarily on Residential Securities, residential mortgage loans, commercial investments and reverse repurchase agreements. Interest accrued but not paid is recognized as Interest receivable on the Consolidated Statements of Financial Condition. Interest income is presented as a separate line item on the Consolidated Statements of Comprehensive Income (Loss). Refer to the “Interest Income and Interest Expense” Note for further discussion. For its securities, 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). 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. Refer to the “Interest Income and Interest Expense” Note for further discussion on interest. The Company has made an accounting policy election not to measure an allowance for loans losses for accrued interest receivable. If interest receivable is deemed to be uncollectible or not collected within 90 days of its contractual due date for commercial loans or 120 days for corporate debt carried at amortized cost, it is written off through a reversal of interest income. Any interest written off that is recovered is recognized as interest income. 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 have been adopted ASU 2016-13 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 cash and cash equivalents, reverse repurchase agreements, 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 The Company adopted ASU 2016-13 using the modified retrospective method for all financial assets and off-balance-sheet credit exposures in scope. The modified retrospective approach requires an adjustment to beginning retained earnings for the cumulative effect of adopting the standard. Results for reporting periods beginning after January 1, 2020 are presented in accordance with ASU 2016-13, while prior periods continue to be reported in accordance with previously applicable GAAP. As a result of the adoption, the Company recorded an increase to the loan loss allowance of $37.4 million and a liability of $2.2 million for unfunded loan commitments, which reduced beginning retained earnings by $39.6 million as of January 1, 2020. ASU 2020-04 Reference Rate Reform (Topic 848): Facilitation of the Effects of Reference Rate Reform on Financial Reporting This ASU provides optional, temporary relief to accounting for contract modifications resulting from reference rate reform. January 1, 2020 The Company has elected to retrospectively apply the practical expedients to modifications of qualifying contracts as continuation of the existing contract rather than as a new contract. The adoption had no immediate impact and is not expected to have a material impact on the Company’s consolidated financial statements as the guidance continues to be applied to contract modifications until the ASU’s termination date. |
FINANCIAL INSTRUMENTS
FINANCIAL INSTRUMENTS | 12 Months Ended |
Dec. 31, 2020 | |
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, 2020 and 2019. Financial Instruments (1) Balance Sheet Line Item Type / Form Measurement Basis December 31, 2020 December 31, 2019 Assets (dollars in thousands) Securities Agency mortgage-backed securities (2) Fair value, with unrealized gains (losses) through other comprehensive income $ 73,562,972 $ 112,124,958 Securities Agency mortgage-backed securities (3) Fair value, with unrealized gains (losses) through earnings 504,087 768,409 Securities Residential credit risk transfer securities Fair value, with unrealized gains (losses) through earnings 532,403 531,322 Securities Non-agency mortgage-backed securities Fair value, with unrealized gains (losses) through earnings 972,192 1,135,868 Securities Commercial real estate debt investments - CMBS Fair value, with unrealized gains (losses) through other comprehensive income 31,603 64,655 Securities Commercial real estate debt investments - CMBS (4) Fair value, with unrealized gains (losses) through earnings 45,254 208,368 Securities Commercial real estate debt investments - credit risk transfer securities Fair value, with unrealized gains (losses) through earnings 3,885 — Total securities 75,652,396 114,833,580 Loans, net Residential mortgage loans Fair value, with unrealized gains (losses) through earnings 345,810 1,647,787 Loans, net Commercial real estate debt and preferred equity, held for investment Amortized cost 498,081 669,713 Loans, net Corporate debt held for investment, net Amortized cost 2,239,930 2,144,850 Total loans, net 3,083,821 4,462,350 Assets transferred or pledged to securitization vehicles Agency mortgage-backed securities Fair value, with unrealized gains (losses) through other comprehensive income 620,347 1,122,588 Assets transferred or pledged to securitization vehicles Residential mortgage loans Fair value, with unrealized gains (losses) through earnings 3,249,251 2,598,374 Assets transferred or pledged to securitization vehicles Commercial mortgage loans Fair value, with unrealized gains (losses) through earnings 2,166,073 2,345,120 Assets transferred or pledged to securitization vehicles Commercial mortgage loans Amortized cost 874,349 936,378 Total assets transferred or pledged to securitization vehicles 6,910,020 7,002,460 Liabilities Repurchase agreements Repurchase agreements Amortized cost 64,825,239 101,740,728 Other secured financing Loans Amortized cost 917,876 4,455,700 Debt issued by securitization vehicles Securities Fair value, with unrealized gains (losses) through earnings 5,652,982 5,622,801 Participations issued Participations issued Fair value, with unrealized gains (losses) through earnings 39,198 — Mortgages payable Loans Amortized cost 426,256 485,005 (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 single-asset / single borrower CMBS. |
SECURITIES
SECURITIES | 12 Months Ended |
Dec. 31, 2020 | |
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. Impairment – Management evaluates available-for-sale securities and held-to-maturity debt securities for 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) as a Securities Loss Provision and reflected as an Allowance for Credit Losses on Securities on the Consolidated Statements of Financial Condition, 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 impairment recognized for the years ended December 31, 2020, 2019 and 2018. Agency Mortgage-Backed Securities - The Company invests in mortgage pass-through certificates, collateralized mortgage obligations and other MBS representing interests in or obligations backed by pools of residential or multifamily mortgage loans and certificates. Many of the underlying loans and certificates are guaranteed by the Government National Mortgage Association (“Ginnie Mae”), the Federal Home Loan Mortgage Corporation (“Freddie Mac”) or the Federal National Mortgage Association (“Fannie Mae”) (collectively, “Agency mortgage-backed securities”). Agency mortgage-backed securities may include forward contracts for Agency mortgage-backed securities purchases or sales of a generic pool, on a to-be-announced basis (“TBA securities”). TBA securities without intent to accept delivery (“TBA derivatives”), are accounted for as derivatives as discussed in the “Derivative Instruments” Note. CRT Securities - CRT securities are risk sharing instruments issued by Fannie Mae and Freddie Mac, and similarly structured transactions arranged by third party market participants. CRT securities are designed to synthetically transfer mortgage credit risk from Fannie Mae and Freddie Mac to private investors. Non-Agency Mortgage-Backed Securities - The Company invests in non-Agency mortgage-backed securities such as those issued in prime loan, Alt-A loan, subprime loan, non-performing loan (“NPL”) and re-performing loan (“RPL”) securitizations. Agency mortgage-backed securities, non-Agency mortgage-backed securities and residential 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 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, 2020: Residential Securities Commercial Securities Total (dollars in thousands) Beginning balance January 1, 2020 $ 114,560,557 $ 273,023 $ 114,833,580 Purchases 33,082,119 25,285 33,107,404 Sales and transfers (1) (52,367,095) (204,061) (52,571,156) Principal paydowns (19,531,705) (4,933) (19,536,638) (Amortization) / accretion (1,374,490) 652 (1,373,838) Fair value adjustment 1,202,268 (9,224) 1,193,044 Ending balance December 31, 2020 $ 75,571,654 $ 80,742 $ 75,652,396 (1) Includes transfers to securitization vehicles with a carrying value of $533.3 million during the year ended December 31, 2020. 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, 2020 and 2019: December 31, 2020 Principal / Remaining Premium Remaining Discount Amortized Unrealized Unrealized Estimated Fair Value Agency (dollars in thousands) Fixed-rate pass-through $ 64,800,235 $ 3,325,020 $ (22,143) $ 68,103,112 $ 3,200,542 $ (1,076) $ 71,302,578 Adjustable-rate pass-through 455,675 2,869 (3,369) 455,175 22,341 — 477,516 CMO 139,664 2,177 — 141,841 7,926 — 149,767 Interest-only 2,790,537 564,297 — 564,297 3,513 (145,901) 421,909 Multifamily (1) 1,910,384 50,148 (1,057) 1,604,913 59,548 (954) 1,663,507 Reverse mortgages 47,585 4,183 — 51,768 252 (238) 51,782 Total agency securities $ 70,144,080 $ 3,948,694 $ (26,569) $ 70,921,106 $ 3,294,122 $ (148,169) $ 74,067,059 Residential credit CRT (2) $ 544,780 $ 7,324 $ (2,430) $ 538,941 $ 3,062 $ (9,600) $ 532,403 Alt-A 93,001 51 (17,368) 75,684 4,644 — 80,328 Prime 177,852 5,126 (15,999) 166,979 14,607 (77) 181,509 Prime interest-only 194,687 1,882 — 1,882 — (642) 1,240 Subprime 197,779 584 (18,181) 180,182 8,312 (61) 188,433 NPL/RPL 475,108 821 (2,416) 473,513 3,782 (1,448) 475,847 Prime jumbo (>=2010 vintage) 44,696 207 (5,300) 39,603 3,680 — 43,283 Prime jumbo (>=2010 vintage) Interest-only 291,624 6,803 — 6,803 — (5,251) 1,552 Total residential credit securities $ 2,019,527 $ 22,798 $ (61,694) $ 1,483,587 $ 38,087 $ (17,079) $ 1,504,595 Total Residential Securities $ 72,163,607 $ 3,971,492 $ (88,263) $ 72,404,693 $ 3,332,209 $ (165,248) $ 75,571,654 Commercial Commercial Securities $ 89,858 — $ (7,471) $ 82,387 $ 54 $ (1,699) $ 80,742 Total securities $ 72,253,465 $ 3,971,492 $ (95,734) $ 72,487,080 $ 3,332,263 $ (166,947) $ 75,652,396 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 investments $ 110,241,618 $ 5,307,771 $ (50,294) $ 111,012,250 $ 2,167,941 $ (286,824) $ 112,893,367 Residential credit CRT (2) $ 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 (1) Principal/Notional amount includes $354.6 million and $0 million of an Agency CMBS interest-only security as of December 31, 2020 and December 31, 2019, respectively. (2) Principal/Notional amount includes $10.7 million and $14.9 million of a CRT interest-only security as of December 31, 2020 and December 31, 2019, respectively. 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, 2020 and 2019: December 31, 2020 December 31, 2019 Investment Type (dollars in thousands) Fannie Mae $ 56,218,033 $ 76,656,831 Freddie Mac 17,735,041 36,087,100 Ginnie Mae 113,985 149,436 Total $ 74,067,059 $ 112,893,367 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, 2020 and 2019, according to their estimated weighted average life classifications: December 31, 2020 December 31, 2019 Estimated Fair Value Amortized Estimated Fair Value Amortized Estimated weighted average life (dollars in thousands) Less than one year $ 110,203 $ 109,540 $ 3,997 $ 4,543 Greater than one year through five years 45,643,138 43,404,877 36,290,254 35,581,833 Greater than five years through ten years 28,509,058 27,610,923 77,732,756 76,504,845 Greater than ten years 1,309,255 1,279,353 533,550 506,719 Total $ 75,571,654 $ 72,404,693 $ 114,560,557 $ 112,597,940 The estimated weighted average lives of the Residential Securities at December 31, 2020 and 2019 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, 2020 and 2019. December 31, 2020 December 31, 2019 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 $ 777,586 $ (2,030) 30 $ 7,388,239 $ (24,056) 139 12 Months or more — — — 11,619,280 (105,329) 352 Total $ 777,586 $ (2,030) 30 $ 19,007,519 $ (129,385) 491 (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 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 years ended December 31, 2020 and 2019, the Company disposed of $51.8 billion and $25.5 billion, respectively, of Residential Securities. The following table presents the Company’s net gains (losses) from the disposal of Residential Securities for the years ended December 31, 2020 and 2019. Gross Realized Gains Gross Realized Losses Net Realized Gains (Losses) For the year ended (dollars in thousands) December 31, 2020 $ 942,450 $ (305,449) $ 637,001 December 31, 2019 $ 172,518 $ (210,317) $ (37,799) |
LOANS
LOANS | 12 Months Ended |
Dec. 31, 2020 | |
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, 2020 and 2019, the Company reported $0.3 billion and $1.6 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. Allowance for Losses – The Company evaluates the need for a loss reserve on each of its loans classified as held-for-investment where the fair value option is not elected. Allowance for loan losses are written off in the period the loans are deemed uncollectible. Given the unique nature of each underlying borrower and any collateral, the Company assesses an allowance for each individual loan held-for-investment. A provision is established at origination or acquisition that reflects management’s estimate of the total expected credit loss over the expected life of the loan. In estimating the lifetime expected credit losses, management utilizes a probability of default and loss given default methodology (“Loss Given Default methodology”), which considers projected economic conditions over the reasonable and supportable forecast period. The forecast incorporates primarily market-based assumptions including, but not limited to, forward interest rate curves, unemployment rate estimates and certain indexes sourced from third party vendors. For any remaining period of the expected life of the loan after the reasonable and supportable period, the Company reverts to historical losses on a straight-line basis. Management uses third-party vendors’ loan pool data for loans with similar risk characteristics to estimate historical losses given the limited loss history of the Company’s loan portfolio. Changes in the lifetime expected credit loss are reflected in Loan loss provision in the Consolidated Statements of Comprehensive Income (Loss). For loans experiencing credit deterioration, the Company may use a different methodology to determine the expected credit losses such as a discounted cash flow analysis. For collateral-dependent loans, if foreclosure is probable, expected credit losses are based on the fair value of the collateral at the reporting date, adjusted for any selling costs, if applicable. Additionally, the Company may elect the practical expedient for a financial asset for which the repayment is expected to be provided substantially through the operation or sale of the collateral when the borrower is experiencing financial difficulty by measuring the allowance as the difference between the fair value of the collateral, less costs to sell, if applicable, and the amortized cost basis of the financial asset at the reporting date. The Company’s commercial loans are collateralized by commercial real estate including, but not limited to, multifamily real estate, office and retail space, hotels and industrial space. At origination, the fair value of the collateral generally exceeds the principal loan balance. 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. The Company recorded loan loss provisions of $147.6 million, $16.6 million and $3.5 million for the years ended December 31, 2020, 2019 and 2018, respectively. As of December 31, 2020 and 2019, the Company’s loan loss allowance was $169.5 million and $20.1 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, 2020: Residential Commercial Corporate Total (dollars in thousands) Beginning balance January 1, 2020 $ 1,647,787 $ 669,713 $ 2,144,850 $ 4,462,350 Impact of adopting CECL — (3,599) (29,653) (33,252) Purchases / originations 1,168,830 217,329 1,061,644 2,447,803 Sales and transfers (1) (2,298,391) (235,533) (357,930) (2,891,854) Principal payments (154,864) (77,422) (576,759) (809,045) Gains / (losses) (2) (11,854) (74,965) (14,429) (101,248) (Amortization) / accretion (5,698) 2,558 12,207 9,067 Ending balance December 31, 2020 $ 345,810 $ 498,081 $ 2,239,930 $ 3,083,821 (1) Includes securitizations, syndications and transfers to securitization vehicles or REO. Includes transfer of residential loans to securitization vehicles with a carrying value of $1.9 billion during the year ended December 31, 2020. (2) Includes loan loss allowances. The carrying value of the Company’s residential loans held for sale was $47.0 million and $66.7 million at December 31, 2020 and 2019, respectively. The Company also has off-balance-sheet credit exposures related to unfunded loan commitments, including revolvers, delayed draw term loans and future funding commitments that are not unconditionally cancelable by the Company. The Company utilizes the same methodology in calculating the liability related to the expected credit losses on these exposures as it does for the calculation of the allowance for loan losses. In determining the estimate of credit losses for off-balance-sheet credit exposures, the Company will consider the contractual period in which the entity is exposed to credit risk and the likelihood that funding will occur, if material. Estimated credit losses for off-balance-sheet credit exposures are included in Other liabilities on the Company’s Consolidated Statements of Financial Condition. Residential The Company’s residential mortgage loans are primarily comprised of performing adjustable-rate and fixed-rate whole loans. The Company’s residential loans are accounted for under the fair value option with changes in fair value reflected in Net unrealized gains (losses) on instruments measured at fair value through earnings in the Statements of Comprehensive Income. 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, 2020 and 2019: December 31, 2020 December 31, 2019 (dollars in thousands) Fair value $ 3,595,061 $ 4,246,161 Unpaid principal balance $ 3,482,865 $ 4,133,149 The following table provides information regarding the line items and amounts recognized in the Consolidated Statements of Comprehensive Income (Loss) for December 31, 2020 and 2019 for these investments: For the Years Ended December 31, 2020 December 31, 2019 (dollars in thousands) Interest income $ 170,259 $ 150,066 Net gains (losses) on disposal of investments (38,372) (18,619) Net unrealized gains (losses) on instruments measured at fair value through earnings 37,693 51,290 Total included in net income (loss) $ 169,580 $ 182,737 The following table provides the geographic concentrations based on the unpaid principal balances at December 31, 2020 and 2019 for the residential mortgage loans, including loans transferred or pledged to securitization vehicles: Geographic Concentrations of Residential Mortgage Loans December 31, 2020 December 31, 2019 Property location % of Balance Property location % of Balance California 48.9% California 52.1% New York 14.0% New York 10.5% Florida 6.0% Florida 5.3% All other (none individually greater than 5%) 31.1% All other (none individually greater than 5%) 32.1% 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, 2020 and 2019: December 31, 2020 December 31, 2019 Portfolio Range Portfolio Weighted Portfolio Range Portfolio Weighted Average (dollars in thousands) Unpaid principal balance $1 - $3,448 $473 $1 - $3,448 $459 Interest rate 0.50% - 9.24% 4.89% 2.00% - 8.38% 4.94% Maturity 7/1/2029 - 1/1/2061 4/17/2046 1/1/2028 - 12/1/2059 12/29/2047 FICO score at loan origination 505 - 829 755 505 - 829 758 Loan-to-value ratio at loan origination 8% - 104% 67% 8% - 105% 67% At December 31, 2020 and 2019, approximately 37% and 36%, 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. Management generally reviews the most recent financial information and metrics derived therefrom 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 assess each borrower’s ability to refinance their respective assets at the maturity of each loan, in addition to 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 rubric for commercial loans has nine categories as depicted below: Risk Rating - Commercial Loans Description 1-4 / Performing Meets all present contractual obligations. 5 / Performing - Closely Monitored Meets all present contractual obligations, but are transitional or could be exhibiting some weaknesses in both leverage and liquidity. 6 / Performing - Special Mention Meets all present contractual obligations, but exhibit potential weakness that deserves management’s close attention and, if uncorrected, may result in deterioration of repayment prospects. 7 / Substandard 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. 8 / Doubtful Substandard loans whereby collection of all contractual principal and interest is highly questionable or improbable. 9 / Loss Considered uncollectible. Management assesses each loan at least quarterly and assigns an internal risk rating based on its evaluation of the most recent financial information produced by the borrower and consideration of economic conditions. See below for a tabular disclosure of the amortized cost basis of the Company’s commercial loans by year of origination and internal risk rating. The Company’s commercial loans are collateral-dependent and, as such, for loans experiencing credit deterioration, the Company is required to record an allowance based upon the fair value of the underlying collateral if foreclosure is probable or if the practical expedient is elected. For the year ended December 31, 2020, the Company recorded a loan loss provision on impaired commercial loans of $78.4 million with a principal balance and carrying value, net of allowances of $181.2 million and $113.6 million, respectively, based upon the fair value of the underlying collateral. The Company uses a discounted cash flow or market based valuation technique based upon the underlying property to project property cash flows. In projecting these cash flows, the Company reviewed the borrower financial statements, rent rolls, economic trends and other factors management deems important. These nonrecurring fair value measurements are considered to be in level three of the fair value measurement hierarchy as there are unobservable inputs, which are significant to the overall fair value. For the year ended December 31, 2019, the Company recorded a loan loss provision of $9.2 million on commercial loans with a principal balance and carrying value, net of allowances of $43.6 million and $30.9 million, respectively. As a result of the implementation of the Loss Given Default methodology under the modified retrospective method, a cumulative effect loan loss allowance of $7.8 million was recorded on January 1, 2020. For the year ended December 31, 2020, the Company recorded a net loan loss provision of $54.8 million based upon its Loss Given Default methodology recorded in Loan loss provision in the Consolidated Statements of Comprehensive Income (Loss). During the year ended December 31, 2020, the Company modified five commercial loans with a carrying value of $243.8 million at December 31, 2020. The maturity dates on four commercial loans were extended and one commercial loan was granted a 120 day forbearance. Additionally, as part of the restructuring two loans had partial paydowns totaling $4.5 million. The loan loss allowance recorded for these commercial loans was $23.6 million at December 31, 2020. Future funding commitments on the restructured loans total $4.1 million. At December 31, 2020 and December 31, 2019, the amortized cost basis of commercial loans on nonaccrual status was $46.8 million and $175.2 million, respectively. For the years ended December 31, 2020 and 2019, the Company recognized interest income on commercial loans on nonaccrual status of $2.1 million and ($0.1) million, respectively. At December 31, 2020 and December 31, 2019, the Company had unfunded commercial real estate loan commitments of $99.3 million and $181.4 million respectively. At December 31, 2020, the liability related to the expected credit losses on the unfunded commercial loan commitments was $5.1 million. At December 31, 2020 and 2019, approximately 94% and 92% , 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. The sector attributes of the Company’s commercial real estate investments held for investment, including loans transferred or pledged to securitization vehicles, at December 31, 2020 and December 31, 2019 were as follows: Sector Dispersion December 31, 2020 December 31, 2019 Carrying Value % of Loan Portfolio Carrying Value % of Loan Portfolio (dollars in thousands) Office $ 650,034 47.4 % $ 681,129 42.4 % Retail 256,493 18.7 % 389,076 24.2 % Multifamily 250,095 18.2 % 262,302 16.3 % Hotel 115,536 8.4 % 135,681 8.4 % Industrial 60,097 4.4 % 82,441 5.1 % Other 20,302 1.5 % 36,589 2.3 % Healthcare 19,873 1.4 % 18,873 1.3 % Total $ 1,372,430 100.0 % $ 1,606,091 100.0 % At December 31, 2020 and 2019, commercial real estate investments held for investment were comprised of the following: December 31, 2020 December 31, 2019 Outstanding Principal Carrying (1) Percentage (2) Outstanding Principal Carrying (1) Percentage (2) (dollars in thousands) Senior mortgages $ 387,124 $ 373,925 25.7 % $ 503,499 $ 499,690 30.9 % Senior securitized mortgages (3) 938,859 874,349 62.3 % 940,546 936,378 57.8 % Mezzanine loans 181,261 124,156 12.0 % 183,064 170,023 11.3 % Total $ 1,507,244 $ 1,372,430 100.0 % $ 1,627,109 $ 1,606,091 100.0 % (1) Carrying value includes unamortized origination fees of $4.9 million and $8.3 million at December 31, 2020 and 2019, 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, 2020 and 2019: December 31, 2020 Senior Senior Securitized Mortgages (1) Mezzanine Total (dollars in thousands) Beginning balance (January 1, 2020) (2) $ 499,690 $ 936,378 $ 182,726 $ 1,618,794 Originations & advances (principal) 206,090 — 12,374 218,464 Principal payments (77,344) (144,308) (78) (221,730) Principal write off — — (7,000) (7,000) Transfers (3) (245,120) 142,621 (7,100) (109,599) Net (increase) decrease in origination fees (1,055) (653) (80) (1,788) Realized gain 204 — — 204 Amortization of net origination fees 2,371 2,460 187 5,018 Allowance for loan losses Beginning allowance, prior to CECL adoption — — (12,703) (12,703) Impact of adopting CECL (2,263) (4,166) (1,336) (7,765) Current period allowance (8,648) (57,983) (66,521) (133,152) Write offs — — 23,687 23,687 Ending allowance (10,911) (62,149) (56,873) (129,933) Net carrying value (December 31, 2020) $ 373,925 $ 874,349 $ 124,156 $ 1,372,430 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 (3) (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 Net (increase) decrease in allowance — — $ (9,207) (9,207) Net carrying value (December 31, 2019) $ 499,690 $ 936,378 $ 170,023 $ 1,606,091 (1) Represents assets of consolidated VIEs. (2) Excludes loan loss allowances. (3) Includes transfers to securitization vehicles or REO. The following table provides the internal loan risk ratings of commercial real estate investments held for investment as of December 31, 2020. Amortized Cost Basis by Risk Rating and Vintage (1) Risk Rating Vintage Total 2020 2019 2018 2017 2016 Prior (dollars in thousands) 1-4 / Performing $ 300,623 $ 111,177 $ 134,923 $ — $ 12,972 $ — $ 41,551 5 / Performing - Closely Monitored 145,231 — 145,231 — — — — 6 / Performing - Special Mention 628,224 58,648 135,868 267,555 96,982 69,171 — 7 / Substandard 205,026 9,368 78,407 66,294 — — 50,957 8 / Doubtful 93,326 — — 39,704 53,622 — — 9 / Loss (2) — — — — — — — Total $ 1,372,430 $ 179,193 $ 494,429 $ 373,553 $ 163,576 $ 69,171 $ 92,508 (1) The amortized cost basis excludes accrued interest. As of December 31, 2020, the Company had $3.8 million of accrued interest receivable on commercial loans which is reported in Principal and interest receivable in the Consolidated Statements of Financial Condition. (2) Includes two commercial mezzanine loans for which the Company recorded a full loan loss allowance of $46.6 million. 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 The Company’s internal risk rating rubric for corporate debt has nine categories as depicted below: Risk Rating - Corporate Debt Description 1-5 / Performing Meets all present contractual obligations. 6 / Performing - Closely Monitored Meets all present contractual obligations but exhibits a defined weakness in either leverage or liquidity, but not both. Loans at this rating will require closer monitoring, but where we expect no loss of interest or principal. 7 / Substandard A loan that has a defined weakness in either leverage and/or liquidity, and which may require substantial changes to strengthen the asset. Loans at this rating level have a higher probability of loss, although no determination of the amount or timing of a loss is yet possible. 8 / Doubtful A loan that has missed a scheduled principal or interest payment or is otherwise deemed a non-earning account. The probability of loss is increasingly certain due to significant performance issues. 9 / Loss Considered uncollectible. Management assesses each loan at least quarterly and assigns an internal risk rating based on its evaluation of the most recent financial information produced by the borrower and consideration of economic conditions. See below for a tabular disclosure of the amortized cost basis of the Company’s corporate debt held for investment by year of origination and internal risk rating. For the year ended December 31, 2020, the Company recorded a loan loss provision of $4.5 million on impaired corporate loans using a discounted cash flow methodology. During the year ended December 31, 2020, the loan was restructured and the Company received $2.8 million of second lien debt and $4.8 million of equity. As a result of the restructuring, $19.6 million of first lien debt was written off and the related allowance of $11.9 million was charged off. 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 year ended December 31, 2018. As a result of the implementation of the Loss Given Default methodology under the modified retrospective method, a cumulative effect loan loss allowance on corporate loans of $29.7 million was recorded on January 1, 2020. For the year ended December 31, 2020, the Company recorded a net loan loss provision on corporate loans of $9.9 million, based upon its Loss Given Default methodology. As of December 31, 2020 and December 31, 2019, the amortized cost basis of corporate loans on nonaccrual status was $0.0 and $12.2 million, respectively. For the years ended December 31, 2020 and 2019, the Company recognized interest income on corporate loans on nonaccrual status of $0.0 million and $1.5 million, respectively. At December 31, 2020 and December 31, 2019, the Company had unfunded corporate loan commitments of $87.3 million and $81.2 million, respectively. At December 31, 2020, the liability related to the expected credit losses on the unfunded corporate loan commitments was $0.7 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, 2020 and 2019 are as follows: Industry Dispersion December 31, 2020 December 31, 2019 Total (1) Total (1) (dollars in thousands) Computer programming, data processing & other computer 483,142 394,193 Management and public relations services 300,869 339,179 Industrial Inorganic Chemical 156,391 — Public warehousing and storage 132,397 107,029 Metal cans & shipping containers 115,670 118,456 Offices and clinics of doctors of medicine 104,781 106,993 Surgical, medical, and dental instruments and supplies 83,161 102,182 Electronic components & accessories 78,129 24,000 Engineering, architectural & surveying 77,308 124,201 Miscellaneous Industrial & Commercial 77,163 78,908 Insurance agents, brokers and services 67,193 75,410 Research, development and testing services 62,008 45,610 Miscellaneous Food Preparations 58,857 — Telephone communications 58,450 61,210 Miscellaneous equipment rental and leasing 49,587 49,776 Electrical work 41,128 43,175 Petroleum and petroleum products 33,890 24,923 Medical and dental laboratories 30,711 41,344 Schools and educational services, not elsewhere classified 29,040 19,586 Home health care services 28,587 29,361 Metal Forgings and Stampings 27,523 — Legal Services 26,399 — Grocery stores 22,895 23,248 Coating, engraving and allied services 19,484 47,249 Chemicals & Allied Products 14,686 15,002 Miscellaneous business services 12,980 164,033 Drugs 12,942 15,923 Mailing, reproduction, commercial art and photography, and stenographic 12,733 14,755 Machinery, Equipment & Supplies 12,096 — Offices of clinics and other health practitioners 9,730 10,098 Nonferrous foundries (castings) — 30,191 Motor vehicles and motor vehicle parts and supplies — 28,815 Miscellaneous plastic products — 10,000 Total $ 2,239,930 $ 2,144,850 (1) All middle market lending positions are floating rate. The table below reflects the Company’s aggregate positions by their respective place in the capital structure of the borrowers at December 31, 2020 and 2019. December 31, 2020 December 31, 2019 (dollars in thousands) First lien loans $ 1,489,125 $ 1,396,140 Second lien loans 750,805 748,710 Total $ 2,239,930 $ 2,144,850 The following tables represent a rollforward of the activity for the Company’s corporate debt investments held for investment at December 31, 2020 and December 31, 2019: December 31, 2020 First Lien Second Lien Total (dollars in thousands) Beginning balance (January 1, 2020) (1) $ 1,403,503 $ 748,710 $ 2,152,213 Originations & advances 834,211 227,433 1,061,644 Principal payments (444,759) (132,000) (576,759) Amortization & accretion of (premium) discounts 8,374 3,832 12,206 Loan restructuring (19,550) 2,818 (16,732) Sales (2) (273,887) (79,203) (353,090) Allowance for loan losses Beginning allowance, prior to CECL adoption (7,363) — (7,363) Impact of adopting CECL (10,787) (18,866) (29,653) Current period allowance (12,510) (1,919) (14,429) Write offs 11,893 — 11,893 Ending allowance (18,767) (20,785) (39,552) Net carrying value (December 31, 2020) $ 1,489,125 $ 750,805 $ 2,239,930 (1) Excludes loan loss allowances. (2) Includes syndications. December 31, 2019 First Lien Second Lien Total (dollars in thousands) Net carrying value (January 1, 2019) $ 1,346,356 $ 540,826 $ 1,887,182 Originations & advances 542,463 345,573 888,036 Principal payments (228,302) (140,625) (368,927) Amortization & accretion of (premium) discounts 5,960 2,936 8,896 Sales (262,974) — (262,974) Net (increase) decrease in allowance (7,363) — (7,363) Net carrying value (December 31, 2019) 1,396,140 748,710 2,144,850 The following table provides the amortized cost basis of corporate debt held for investment as of December 31, 2020 by vintage year and internal risk rating. Amortized Cost Basis by Risk Rating and Vintage (1) Risk Rating Vintage Total 2020 2019 2018 2017 2016 2015 (dollars in thousands) 1-5 / Performing $ 1,760,669 $ 499,186 $ 400,873 $ 402,712 $ 355,369 $ 68,191 $ 34,338 6 / Performing - Closely Monitored $ 337,386 38,495 — 283,464 15,427 — — 7 / Substandard $ 141,875 — 47,742 43,206 50,927 — — 8 / Doubtful $ — — — — — — — 9 / Loss $ — — — — — — — Total $ 2,239,930 $ 537,681 $ 448,615 $ 729,382 $ 421,723 $ 68,191 $ 34,338 (1) The amortized cost basis excludes accrued interest and includes deferred loan fees on unfunded loans. As of December 31, 2020, the Company had $11.0 million of accrued interest receivable on corporate loans, which is reported in Principal and interest receivable in the Consolidated Statements of Financial Condition, and $1.4 million of deferred loan fees on unfunded loans, which is reported in Loans, net in the Consolidated Statements of Financial Condition. |
MORTGAGE SERVICING RIGHTS
MORTGAGE SERVICING RIGHTS | 12 Months Ended |
Dec. 31, 2020 | |
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, 2020 and 2019: December 31, 2020 December 31, 2019 (dollars in thousands) Fair value, beginning of period $ 378,078 $ 557,813 Sales (72,160) — Change in fair value due to Changes in valuation inputs or assumptions (1) (107,517) (102,016) Other changes, including realization of expected cash flows (97,506) (77,719) Fair value, end of period $ 100,895 $ 378,078 (1) Principally represents changes in discount rates and prepayment speed inputs used in valuation model, primarily due to changes in interest rates. For the years ended December 31, 2020 and 2019, the Company recognized $66.6 million and $108.0 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, 2020 | |
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 $2.3 billion at December 31, 2020 and 2019, respectively. At December 31, 2020 and 2019, there were no loans 90 days or more past due or on nonaccrual status. There is no gain or loss attributable to instrument-specific credit risk of the underlying loans or debt issued by securitization vehicles at December 31, 2020 and 2019 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, 2020 a total of $625.8 million of notes were held by third parties and the Company retained or purchased $202.4 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 $856.9 million at December 31, 2020 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, 2020 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, 2020. Multifamily Securitization In November 2019, the Company repackaged Fannie Mae guaranteed 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. In March 2020, the Company repackaged Fannie Mae guaranteed multifamily mortgage-backed securities with a principal cut-off balance of $0.5 billion and retained interest only securities with a notional balance of $0.5 billion. At the inception of the arrangements, the Company determined that it was the primary beneficiary based upon its involvement in the design of these VIEs and through the retention of a significant variable interest in the VIEs. The Company elected the fair value option for the financial liabilities of these VIEs in order to simplify the accounting; however, the financial assets were not eligible for the fair value option as it was not elected at purchase. During the year ended December 31, 2020, the Company deconsolidated the 2019 multifamily VIE since it sold all of its interest only securities and no longer retains a significant variable interest in the entity. As a result of the deconsolidation of this VIE, the Company derecognized approximately $1.2 billion of securities and approximately $1.1 billion of debt issued by securitization vehicles and recognized a realized gain of $104.8 million, which is included in Net gains (losses) on disposal of investments and other in the Consolidated Statements of Comprehensive Income (Loss). The Company incurred $1.1 million of costs in connection with the 2020 multifamily securitization that were expensed as incurred during the year ended December 31, 2020. 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 $23.0 million and $57.3 million at December 31, 2020 and 2019, 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 OBX 2020-INV1 January 2020 $ 374,609 OBX 2020-EXP1 February 2020 $ 467,511 OBX 2020-EXP2 July 2020 $ 489,352 OBX 2020-EXP3 September 2020 $ 514,609 As of December 31, 2020 and 2019, a total of $2.6 billion and $2.0 billion, respectively, of bonds were held by third parties and the Company retained $653.0 million and $565.7 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, 2020 and 2019, the Company incurred $7.2 million and $9.0 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 $2.5 billion and $1.9 billion at December 31, 2020 and 2019, 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, 2020 and 2019, the borrowing limit on this facility was $625.0 million. The subsidiary was deemed to be a VIE and the Company was determined to be the primary beneficiary due to its role as collateral manager and because it holds a variable interest in the entity that could potentially be significant to the entity. The Company has pledged as collateral for this facility corporate loans with a carrying amount of $786.9 million and $741.3 million at December 31, 2020 and 2019, 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, 2020 and 2019, the subsidiary had an intercompany receivable of $441.1 million and $426.6 million, respectively, which eliminates upon consolidation and an Other secured financing of $441.1 million and $426.6 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, 2020 and 2019, the borrowing limit on this facility was $320.0 million. The subsidiary was deemed to be a VIE and the Company was determined to be the primary beneficiary due to its role as 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 $400.4 million and $413.7 million at December 31, 2020 and 2019, respectively, which continue to be reflected in the Company’s Consolidated Statements of Financial Condition under Loans, net. At December 31, 2020 and 2019, the subsidiary had an Other secured financing of $209.7 million and $244.2 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, 2020 and 2019, the Borrower had an Other secured financing of $236.6 million and $157.5 million, respectively, 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 $2.5 billion at December 31, 2020. 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, multifamily securitizations, credit facility VIEs and OBX Trusts as the transfers of loans or securities 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, 2020 and 2019 are as follows: December 31, 2020 Commercial Trusts Residential Trusts MSR Silo Assets (dollars in thousands) Cash and cash equivalents $ — $ — $ 22,241 Loans — — 47,048 Assets transferred or pledged to securitization vehicles 2,166,073 40,035 — Mortgage servicing rights — — 100,895 Principal and interest receivable 5,509 226 — Other assets — — — Total assets $ 2,171,582 $ 40,261 $ 170,184 Liabilities Debt issued by securitization vehicles (non-recourse) $ 1,836,785 $ 23,351 $ — Other secured financing — — 30,420 Payable for unsettled trades — — 3,076 Interest payable 1,697 55 — Other liabilities — 246 13,345 Total liabilities $ 1,838,482 $ 23,652 $ 46,841 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 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, multifamily securitizations, OBX Trusts and CLO, at December 31, 2020 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 $ 1,051,276 32.4 % California $ 18,692 47.4 % Texas 459,256 14.2 % Illinois 5,356 13.6 % New York 369,691 11.4 % Texas 4,972 12.6 % Florida 196,865 6.1 % Massachusetts 2,265 5.7 % Washington 182,000 5.6 % Other (1) 8,174 20.7 % Arizona 171,102 5.3 % Other (1) 811,282 25.0 % Total $ 3,241,472 100.0 % $ 39,459 100.0 % (1) No individual state greater than 5%. Corporate Debt Transfers The Company manages parallel funds investing in senior secured first and second lien corporate loans (the “Fund Entities”). The Fund Entities are considered VIEs because the investors do not have substantive liquidation, kick-out or participating rights. The fees that the Company earns are not considered variable interests of the VIE. The Company is not the primary beneficiary of the Fund Entities and therefore does not consolidate the Fund Entities. During the year ended December 31, 2020, the Company transferred $159.3 million of loans for cash. The loan transfers were accounted for as sales. Residential Credit Fund The Company manages a fund investing in participations in residential mortgage loans. The residential credit fund is deemed to be a VIE because the entity does not have sufficient equity at risk to permit the legal entity to finance its activities without additional subordinated financial support provided by any parties, including equity holders, as capital commitments are not considered equity at risk. The Company is not the primary beneficiary and does not consolidate the residential credit fund as its only interest in the r fund is the management and performance fees that it earns, which are not considered variable interests in the entity. During the year ended December 31, 2020 the Company issued participating interests in residential mortgage loans of $39.2 million to the residential credit fund. These transfers do not meet the criteria for sale accounting and are accounted for as secured borrowing, thus the residential loans are reported as Loans, net and the associated liability is reported as Participations issued in the Consolidated Statements of Financial Condition at December 31, 2020. The Company elected to fair value the participations issued through earnings to more accurately reflect the economics of the transfers as the underlying loans are carried at fair value through earnings. |
REAL ESTATE
REAL ESTATE | 12 Months Ended |
Dec. 31, 2020 | |
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, 2020 or December 31, 2019 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 classified 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. During the year ended December 31, 2020, the Company took title of two commercial real estate properties for $79.8 million through foreclosure or deed-in-lieu of foreclosure. There were no new acquisitions of real estate holdings during the year ended December 31, 2019. A portfolio of health care properties with a carrying value of $124.5 million, including intangible assets, was sold during the year ended December 31, 2020 and a gain on sale of $19.7 million was recognized. 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 o f $7.5 million. The weighted average amortization period for intangible assets and liabilities at December 31, 2020 is 5.5 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, 2020 December 31, 2019 Real estate, net (dollars in thousands) Land $ 164,240 $ 121,720 Buildings and improvements 493,432 571,396 Furniture, fixtures and equipment 6,240 11,238 Subtotal 663,912 704,354 Less: accumulated depreciation (100,147) (87,532) Total real estate held for investment, at amortized cost, net 563,765 616,822 Equity in unconsolidated joint ventures 92,549 108,816 Total real estate, net $ 656,314 $ 725,638 Depreciation expense was $22.7 million and $23.7 million for the years ended December 31, 2020 and 2019, 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, 2020 for consolidated investments in real estate are as follows: December 31, 2020 (dollars in thousands) 2021 $ 44,267 2022 39,981 2023 36,161 2024 30,645 2025 24,362 Later years 60,971 Total $ 236,387 |
DERIVATIVE INSTRUMENTS
DERIVATIVE INSTRUMENTS | 12 Months Ended |
Dec. 31, 2020 | |
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, 2020 and 2019, $1.5 billion and $517.8 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 (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 a 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, 2020 and 2019: Derivatives Instruments December 31, 2020 December 31, 2019 Assets (dollars in thousands) Interest rate swaps $ — $ 1,199 Interest rate swaptions 74,470 11,580 TBA derivatives 96,109 15,181 Futures contracts 506 77,889 Purchase commitments 49 2,050 Credit derivatives (1) — 5,657 $ 171,134 $ 113,556 Liabilities Interest rate swaps $ 1,006,492 $ 706,862 TBA derivatives — 11,316 Futures contracts 19,413 84,781 Purchase commitments — 907 Credit derivatives (1) 7,440 — $ 1,033,345 $ 803,866 (1) The notional amount of the credit derivatives in which the Company purchased protection was $0.0 and $10.0 million at December 31, 2020 and December 31, 2019, respectively. The maximum potential amount of future payments is the notional amount of credit derivatives in which the Company sold protection of $504.0 million and $345.0 million at December 31, 2020 and December 31, 2019, respectively, plus any coupon shortfalls on the underlying tranche. As of December 31, 2020 and 2019, the credit derivative tranches referencing the basket of bonds had a range of ratings between AAA and A, and AA and BBB-, respectively. The following table summarizes certain characteristics of the Company’s interest rate swaps at December 31, 2020 and 2019: December 31, 2020 Maturity Current Notional (1)(2) Weighted Average Pay Rate Weighted Average Receive Rate Weighted Average Years to Maturity (3) (dollars in thousands) 0 - 3 years $ 23,680,150 0.27 % 0.11 % 1.96 3 - 6 years 3,600,000 0.18 % 0.09 % 4.21 6 - 10 years 5,565,500 1.40 % 0.62 % 7.76 Greater than 10 years 1,484,000 3.06 % 0.36 % 20.52 Total / Weighted average $ 34,329,650 0.92 % 0.37 % 3.94 December 31, 2019 Maturity Current Notional (1)(2) Weighted Average 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 (1) As of December 31, 2020, 17%, 72% and 11% of the Company’s interest rate swaps were linked to LIBOR, the Federal funds rate and the Secured Overnight Financing Rate, respectively. 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. (2) There were no forward starting swaps at December 31, 2020 and December 31, 2019. (3) As of December 31, 2020, the weighted average years to maturity of payer interest rate swaps is offset by the weighted average years to maturity of receiver interest rate swaps. As such, the net weighted average years to maturity for each maturity bucket may fall outside of the range listed. The following table presents swaptions outstanding at December 31, 2020 and 2019. December 31, 2020 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 $8,050,000 1.27% 3M LIBOR 10.40 5.42 Long receive $250,000 1.66% 3M LIBOR 10.02 0.13 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 The following table summarizes certain characteristics of the Company’s TBA derivatives at December 31, 2020 and 2019: December 31, 2020 Purchase and sale contracts for derivative TBAs Notional Implied Cost Basis Implied Market Value Net Carrying Value (dollars in thousands) Purchase contracts $ 19,635,000 $ 20,277,088 $ 20,373,197 $ 96,109 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 The following table summarizes certain characteristics of the Company’s futures derivatives at December 31, 2020 and 2019: December 31, 2020 Notional - Long Notional - Short Weighted Average (dollars in thousands) U.S. Treasury futures - 5 year — (1,240,000) 4.40 U.S. Treasury futures - 10 year and greater — (9,183,800) 6.90 Total $ — $ (10,423,800) 6.60 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 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, 2020 and 2019, respectively. December 31, 2020 Amounts Eligible for Offset Gross Amounts Financial Instruments Cash Collateral Net Amounts Assets (dollars in thousands) Interest rate swaptions, at fair value $ 74,470 $ — $ — $ 74,470 TBA derivatives, at fair value 96,109 — — 96,109 Futures contracts, at fair value 506 (506) — — Purchase commitments 49 — — 49 Liabilities Interest rate swaps, at fair value $ 1,006,492 $ — $ (108,757) $ 897,735 Futures contracts, at fair value 19,413 (506) (18,907) — Credit derivatives 7,440 — (7,440) — 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 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, 2020 $ (207,877) $ (1,917,628) $ (904,532) December 31, 2019 $ 351,375 $ (1,442,964) $ (1,210,276) December 31, 2018 $ 100,553 $ 1,409 $ 424,081 The effect of other derivative contracts on the Company’s Consolidated Statements of Comprehensive Income (Loss) is as follows: Year Ended December 31, 2020 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 $ 893,120 $ 92,244 $ 985,364 Net interest rate swaptions 11,730 46,301 58,031 Futures (268,084) (12,015) (280,099) Purchase commitments — (1,093) (1,093) Credit derivatives 6,068 (11,966) (5,898) Total $ 756,305 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) 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, 2020 was approximately $0.9 billion, 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, 2020 | |
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, 2020 Level 1 Level 2 Level 3 Total Assets (dollars in thousands) Securities Agency mortgage-backed securities $ — $ 74,067,059 $ — $ 74,067,059 Credit risk transfer securities — 532,403 — 532,403 Non-Agency mortgage-backed securities — 972,192 — 972,192 Commercial mortgage-backed securities — 80,742 — 80,742 Loans Residential mortgage loans — 345,810 — 345,810 Mortgage servicing rights — — 100,895 100,895 Assets transferred or pledged to securitization vehicles — 6,035,671 — 6,035,671 Derivative assets Other derivatives 506 170,628 — 171,134 Total assets $ 506 $ 82,204,505 $ 100,895 $ 82,305,906 Liabilities Debt issued by securitization vehicles — 5,652,982 — 5,652,982 Participations issued — 39,198 — 39,198 Derivative liabilities Interest rate swaps — 1,006,492 — 1,006,492 Other derivatives 19,413 7,440 — 26,853 Total liabilities $ 19,413 $ 6,706,112 $ — $ 6,725,525 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 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, 2020 December 31, 2019 Range Range Valuation Technique Unobservable Input (1) (Weighted Average ) (2) Unobservable Input (1) (Weighted Average ) (2) Discounted cash flow Discount rate 9.0% - 12.0% (9.4%) Discount rate 9.0% - 12.0% (9.3%) Prepayment rate 19.3% - 55.5% (42.0%) Prepayment rate 6.3% - 26.6% (13.7%) Delinquency rate 0.0% - 6.0% (2.5%) Delinquency rate 0.0% - 4.0% (2.2%) Cost to service $83 - $108 ($98) Cost to service $81 - $135 ($107) (1) Represents rates, estimates and assumptions that the Company believes would be used by market participants when valuing these assets. (2) Weighted average discount rate computed based on the fair value of MSRs, weighted average prepayment rate, delinquency rate and cost to service based on unpaid principal balances of loans underlying the MSRs. The following table summarizes the estimated fair values for financial assets and liabilities that are not carried at fair value at December 31, 2020 and 2019. December 31, 2020 December 31, 2019 Carrying Fair Carrying Fair Financial assets (dollars in thousands) Loans Commercial real estate debt and preferred equity, held for investment (1) $ 1,372,430 $ 1,442,071 $ 1,606,091 $ 1,619,018 Corporate debt held for investment 2,239,930 2,226,045 2,144,850 2,081,327 Assets transferred or pledged to securitization vehicles 874,349 928,732 936,378 944,618 Financial liabilities Repurchase agreements $ 64,825,239 $ 64,825,239 $ 101,740,728 $ 101,740,728 Other secured financing 917,876 917,876 4,455,700 4,455,700 Mortgage payable 426,256 474,779 485,005 515,994 (1) Includes assets of consolidated VIEs. |
GOODWILL AND INTANGIBLE ASSETS
GOODWILL AND INTANGIBLE ASSETS | 12 Months Ended |
Dec. 31, 2020 | |
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 compares the fair value of a reporting unit with its carrying value, including goodwill. If the carrying value of a reporting unit exceeds its fair value, an impairment loss is recognized in amount equal to that excess, limited to the total amount of goodwill allocated to that reporting unit. At December 31, 2020 and 2019, 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, 2020. Intangible Assets, net (dollars in thousands) Balance at December 31, 2019 $ 20,957 Intangible assets acquired 50,360 Intangible assets divested (5,320) Less: amortization expense (10,471) Balance at December 31, 2020 $ 55,526 |
SECURED FINANCING
SECURED FINANCING | 12 Months Ended |
Dec. 31, 2020 | |
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 $64.8 billion and $101.7 billion of repurchase agreements with weighted average borrowing rates of 0.82% and 1.99%, after giving effect to the Company’s interest rate swaps used to hedge cost of funds, and weighted average remaining maturities of 64 days and 65 days at December 31, 2020 and 2019, respectively. The Company has select arrangements with counterparties to enter into repurchase agreements for $2.4 billion with remaining capacity of $1.9 billion at December 31, 2020. At December 31, 2020 and 2019, the repurchase agreements had the following remaining maturities, collateral types and weighted average rates: December 31, 2020 Agency Mortgage-Backed Securities CRTs Non-Agency Mortgage-Backed Securities Residential Mortgage Loans Commercial Commercial Mortgage-Backed Securities Total Repurchase Agreements Weighted Average Rate (dollars in thousands) 1 day $ — $ — $ — $ — $ — $ — $ — — % 2 to 29 days 30,151,875 129,993 354,904 76,799 — 128,267 30,841,838 0.29 % 30 to 59 days 10,247,972 16,073 161,274 — — 142,336 10,567,655 0.42 % 60 to 89 days 8,181,410 99,620 259,401 — — 28,406 8,568,837 0.30 % 90 to 119 days 2,154,733 — — — — — 2,154,733 0.23 % Over 119 days (1) 12,008,920 — 274,860 107,924 271,801 28,671 12,692,176 0.36 % Total $ 62,744,910 $ 245,686 $ 1,050,439 $ 184,723 $ 271,801 $ 327,680 $ 64,825,239 0.32 % 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 % (1) Less than 1% of the total repurchase agreements had a remaining maturity over 1 year at December 31, 2020. No repurchase agreements had a remaining maturity over one year at December 31, 2019. 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, 2020 and 2019. Refer to the “Derivative Instruments” Note for information related to the effect of netting arrangements on the Company’s derivative instruments. December 31, 2020 December 31, 2019 Reverse Repurchase Agreements Repurchase Agreements Reverse Repurchase Agreements Repurchase Agreements (dollars in thousands) Gross amounts $ 250,000 $ 65,075,239 $ 100,000 $ 101,840,728 Amounts offset (250,000) (250,000) (100,000) (100,000) Netted amounts $ — $ 64,825,239 $ — $ 101,740,728 Other Secured Financing - The Company previously financed 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, 2020, the Company did not hold advances from the FHLB Des Moines. At December 31, 2019, $1.4 billion of advances from the FHLB Des Moines matured in less than one year and $2.1 billion matured between one 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 $70.6 billion and $0.2 billion, respectively, at December 31, 2020 and $112.8 billion and $357.9 million, respectively, at December 31, 2019. Mortgage loans payable at December 31, 2020 and 2019, were as follows: December 31, 2020 Property Mortgage Mortgage Interest Rate Fixed/Floating Maturity Date Priority (dollars in thousands) Joint Ventures $ 316,686 $ 318,302 4.03% - 4.96% Fixed 2024 - 2029 First liens Joint Ventures 16,607 16,325 L+2.15% Floating 2/27/2022 First liens Virginia 24,464 25,000 L+2.85% Floating 5/1/2023 First liens Texas 31,127 32,582 3.28% Fixed 2048 - 2053 First liens Utah 9,706 9,706 L+2.75% Floating 1/31/2021 First liens Utah 6,969 6,986 3.69% Fixed 6/1/2053 First liens Minnesota 13,039 13,072 3.69% Fixed 6/1/2053 First liens Wisconsin 7,658 7,677 3.69% Fixed 6/1/2053 First liens Total $ 426,256 $ 429,650 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 2048 - 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 The following table details future mortgage loan principal payments at December 31, 2020: Mortgage Loan Principal Payments (dollars in thousands) 2021 $ 11,123 2022 17,890 2023 26,626 2024 105,635 2025 186,929 Later years 81,447 Total $ 429,650 |
CAPITAL STOCK
CAPITAL STOCK | 12 Months Ended |
Dec. 31, 2020 | |
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, 2020 and 2019. Shares authorized Shares issued and outstanding December 31, 2020 December 31, 2019 December 31, 2020 December 31, 2019 Par Value Common stock 2,914,850,000 2,914,850,000 1,398,240,618 1,430,106,199 $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 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, which expired on December 31, 2020 (the “Prior Share Repurchase Program”). In December 2020, the Company announced that its Board authorized the repurchase of up to $1.5 billion of its outstanding common shares through December 31, 2021 (the “New Share Repurchase Program”). The New Share Repurchase Program replaced the Prior Share Repurchase Program. During the year ended December 31, 2020, the Company repurchased 32.4 million shares of its common stock for an aggregate amount of $208.9 million, excluding commission costs. 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, 2020 December 31, 2019 (dollars in thousands) Shares issued through direct purchase and dividend reinvestment program 166,000 180,000 Amount raised from direct purchase and dividend reinvestment program $ 1,175 $ 1,795 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. No shares were issued under the at-the-market sales program during the year ended December 31, 2020. During the year ended December 31, 2019, the Company issued 56.0 million shares of common stock for proceeds of $569.1 million, net of commissions and fees, 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, 2020 and 2019. 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, 2020 December 31, 2019 December 31, 2020 December 31, 2019 December 31, 2020 December 31, 2019 Fixed-rate (dollars in thousands) Series D 18,400,000 18,400,000 — 18,400,000 — 445,457 7.50% 9/13/2017 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 18,400,000 17,700,000 17,700,000 428,324 428,324 6.75% 6/30/2024 6/30/2024 3M LIBOR + 4.989% Total 85,150,000 85,150,000 63,500,000 81,900,000 $ 1,536,569 $ 1,982,026 (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, 2020, the Company had declared and paid all required quarterly dividends on the Company’s preferred stock. During the year ended December 31, 2020, the Company redeemed all 18.4 million of its issued and outstanding shares of 7.50% Series D Cumulative Redeemable Preferred Stock (“Series D Preferred Stock”) for $460.0 million. The cash redemption amount for each share of Series D Preferred Stock was $25.00. 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. 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, 2020 December 31, 2019 (dollars in thousands, except per share data) Dividends and dividend equivalents declared on common stock and share-based awards $ 1,285,124 $ 1,516,323 Distributions declared per common share $ 0.91 $ 1.05 Distributions paid to common stockholders after period end $ 307,613 $ 357,527 Distributions paid per common share after period end $ 0.22 $ 0.25 Date of distributions paid to common stockholders after period end January 29, 2021 January 31, 2020 Dividends declared to series C preferred stockholders $ — $ 7,414 Dividends declared per share of series C preferred stock $ — $ 1.060 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 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 $ 27,625 $ 27,624 Dividends declared per share of series G preferred stock $ 1.625 $ 1.625 Dividends declared to series H preferred stockholders $ — $ 1,862 Dividends declared per share of series H preferred stock $ — $ 0.846 Dividends declared to series I preferred stockholders $ 29,871 $ 15,135 Dividends declared per share of series I preferred stock $ 1.688 $ 0.86 |
LONG-TERM STOCK INCENTIVE PLAN
LONG-TERM STOCK INCENTIVE PLAN | 12 Months Ended |
Dec. 31, 2020 | |
Share-based Payment Arrangement [Abstract] | |
LONG-TERM STOCK INCENTIVE PLAN | 15. LONG-TERM STOCK INCENTIVE PLAN Employees, Directors and other service providers of the Company are eligible to participate in the Company’s 2020 Equity Incentive Plan (the “Plan”), which provides for equity-based compensation in the form of stock options, share appreciation rights, dividend equivalent rights, restricted shares, restricted stock units (“RSUs”), and other share-based awards. The Company has the ability to award up to an aggregate of 125,000,000 shares under the terms of the Plan, subject to adjustment for any awards that were outstanding under the Company’s 2010 Equity Incentive Plan (the “Prior Plan”, collectively the “Plans") on the effective date of the Plan and subsequently expire, terminate, or are surrendered or forfeited. No new awards are permitted to be made under the Prior Plan, although existing awards remain effective. Restricted Stock Units The Company grants RSUs (including RSUs subject to performance conditions (“PSUs”)) to employees, which are generally valued based on the closing price of the underlying shares on the date of grant. For RSUs that vest, the underlying shares of common stock are delivered (net of required withholding tax) as outlined in the applicable award agreements. PSUs are subject to the Company’s achievement of specified performance criteria and the number of awards that vest can range from zero to 150% of the grant amount. Award agreements generally provide that vesting is accelerated in certain circumstances, such as death and disability. Delivery of the underlying shares of common stock, which generally occurs over a three The following table sets forth activity related to the Company’s RSUs and PSUs awarded under the Plans: For the year ended December 31, 2020 Number of Shares Weighted Average Grant Date Fair Value (dollars in thousands) Beginning balance — $ — Granted (1) 1,790,759 $7.24 Vested (100,100) $9.99 Forfeited (1) (19,921) $9.59 Ending balance (2) 1,670,738 $7.05 (1) Includes dividend equivalent rights. (2) The ending balance includes 404,589 PSUs and related dividend equivalent rights subject to performance conditions and future service requirements, and represents the target amount of such PSUs that may be earned. The Company recognized stock based compensation expense of $3.7 million for the year ended December 31, 2020. As of December 31, 2020, there was $9.0 million of total unrecognized compensation cost related to non-vested share-based compensation arrangements. This cost is expected to be recognized over a weighted average period of 2.24 years. |
INTEREST INCOME AND INTEREST EX
INTEREST INCOME AND INTEREST EXPENSE | 12 Months Ended |
Dec. 31, 2020 | |
Banking and Thrift, Interest [Abstract] | |
INTEREST INCOME AND INTEREST EXPENSE | 16. 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, 2020, 2019 and 2018. For the Years Ended December 31, 2020 2019 2018 Interest income (dollars in thousands) Residential Securities (1) $ 1,718,960 $ 3,195,546 $ 2,830,521 Residential mortgage loans (1) 170,259 150,066 83,260 Commercial investment portfolio (1) (2) 338,763 378,395 356,981 U.S. Treasury securities — — 160 Reverse repurchase agreements 1,643 63,290 61,641 Total interest income $ 2,229,625 $ 3,787,297 $ 3,332,563 Interest expense Repurchase agreements 705,218 2,513,282 1,698,930 Debt issued by securitization vehicles 142,602 141,981 98,013 Participations issued 78 — — Other 51,214 129,612 100,917 Total interest expense 899,112 2,784,875 1,897,860 Net interest income $ 1,330,513 $ 1,002,422 $ 1,434,703 (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, 2020 | |
Earnings Per Share [Abstract] | |
NET INCOME (LOSS) PER COMMON SHARE | 17. NET INCOME (LOSS) PER COMMON SHARE The following table presents a reconciliation of net income (loss) and shares used in calculating basic and diluted net income (loss) per share for the years ended December 31, 2020, 2019 and 2018. For the Years Ended December 31, 2020 December 31, 2019 December 31, 2018 (dollars in thousands, except per share data) Net income (loss) $ (889,772) $ (2,163,091) $ 54,148 Net income (loss) attributable to noncontrolling interests 1,391 (226) (260) Net income (loss) attributable to Annaly (891,163) (2,162,865) 54,408 Dividends on preferred stock 142,036 136,576 129,312 Net income (loss) available (related) to common stockholders $ (1,033,199) $ (2,299,441) $ (74,904) Weighted average shares of common stock outstanding-basic 1,414,659,439 1,434,912,682 1,209,601,809 Add: Effect of stock awards, if dilutive — — — Weighted average shares of common stock outstanding-diluted 1,414,659,439 1,434,912,682 1,209,601,809 Net income (loss) per share available (related) to common share Basic $ (0.73) $ (1.60) $ (0.06) Diluted $ (0.73) $ (1.60) $ (0.06) The computations of diluted net income (loss) per share available (related) to common share for the year ended December 31, 2020 excludes 1.0 million of potentially dilutive restricted stock units and performance stock units because their effect would have been anti-dilutive. |
INCOME TAXES
INCOME TAXES | 12 Months Ended |
Dec. 31, 2020 | |
Income Tax Disclosure [Abstract] | |
INCOME TAXES | 18. INCOME TAXES For the year ended December 31, 2020 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, 2020 and 2019. 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, 2020, 2019 and 2018 the Company recorded ($28.4) million, ($10.8) million and ($2.4) million, respectively, of income tax benefit attributable to its TRSs. The Company’s federal, state and local tax returns from 2017 and forward remain open for examination. |
RISK MANAGEMENT
RISK MANAGEMENT | 12 Months Ended |
Dec. 31, 2020 | |
Risk Management [Abstract] | |
RISK MANAGEMENT | 19. 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, 2020 | |
Related Party Transactions [Abstract] | |
RELATED PARTY TRANSACTIONS | 20. RELATED PARTY TRANSACTIONS Closing of the Internalization and Termination of Management Agreement On February 12, 2020, the Company entered into an internalization agreement (the “Internalization Agreement”) with the Former Manager and certain affiliates of the Former Manager. Pursuant to the Internalization Agreement, the Company agreed to acquire all of the outstanding equity interests of the Former Manager and the Former Manager’s direct and indirect parent companies from their respective owners (the “Internalization”) for nominal cash consideration ($1.00). In connection with the closing of the Internalization, on June 30, 2020, the Company acquired all of the assets and liabilities of the Former Manager (the net effect of which was immaterial in amount), and the Company transitioned from an externally-managed real estate investment trust (“REIT”) to an internally-managed REIT. At the closing, all employees of the Former Manager became employees of the Company. The parties also terminated the Amended and Restated Management Agreement by and between the Company and the Former Manager (the “Management Agreement”) and therefore the Company no longer pays a management fee to, or reimburses expenses of, the Former Manager. Pursuant to the Internalization Agreement, the Former Manager waived any Acceleration Fee (as defined in the Management Agreement). Prior to the closing of the Internalization, the Former Manager, under the Management Agreement and subject to the supervision and direction of the Board, was 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 Former Manager also performed such other supervisory and management services and activities relating to the Company’s assets and operations as appropriate. In exchange for the management services, the Company paid the Former Manager a monthly management fee, and the Former Manager was responsible for providing personnel to manage the Company. Prior to the closing of the Internalization, the Company had paid the Former 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 did not pay the Former Manager any incentive fees. For the six months ended June 30, 2020 prior to the closing of the Internalization, the compensation and management fee computed in accordance with the Management Agreement was $77.9 million. For the year ended December 31, 2019, the compensation and management fee was $170.6 million. Prior to the closing of the Internalization, the Company reimbursed the Former 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 included the cost for certain legal, tax, accounting and other support and advisory services provided by employees of the Former Manager to the Company. Pursuant to the Management Agreement, until the closing of the Internalization, the Company reimbursed the Former Manager for the cost of such services, provided such costs were no greater than those that would be payable to comparable third party providers. Expense reimbursements and related waivers were routinely reviewed with the Audit Committee of the Board in conformance with established policies. For the years ended December 31, 2020 and December 31, 2019, reimbursement payments to the Former Manager were $14.2 million and $21.4 million, respectively. None of the reimbursement payments were attributable to compensation of the Company’s executive officers. |
LEASE COMMITMENTS AND CONTINGEN
LEASE COMMITMENTS AND CONTINGENCIES | 12 Months Ended |
Dec. 31, 2020 | |
Leases [Abstract] | |
LEASE COMMITMENTS AND CONTINGENCIES | 21. 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 five 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, 2020 was $3.2 million. Supplemental information related to leases as of and for the year ended December 31, 2020 was as follows: Operating Leases Classification December 31, 2020 Assets (dollars in thousands) Operating lease right-of-use assets Other assets $ 13,167 Liabilities Operating lease liabilities (1) Other liabilities $ 17,184 Lease term and discount rate Weighted average remaining lease term 4.7 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 $ 3,799 (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) 2021 $ 3,918 2022 3,862 2023 3,862 2024 3,862 2025 2,895 Later years — Total lease payments $ 18,399 Less imputed interest 1,215 Present value of lease liabilities $ 17,184 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, 2020 and 2019. |
ARCOLA REGULATORY REQUIREMENTS
ARCOLA REGULATORY REQUIREMENTS | 12 Months Ended |
Dec. 31, 2020 | |
Broker-Dealer, Net Capital Requirement, SEC Regulation [Abstract] | |
ARCOLA REGULATORY REQUIREMENTS | 22. 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, 2020, 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, 2020 was $422.3 million with excess net capital of $422.0 million. |
Schedule III - Real Estate and
Schedule III - Real Estate and Accumulated Depreciation | 12 Months Ended |
Dec. 31, 2020 | |
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, 2020 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 $ (3,546) 1996 11/25/2015 38 Retail - Plano, TX 1 11,817 4,616 12,691 205 4,616 12,896 17,512 (3,368) 1994 11/25/2015 38 Retail - Grapevine, TX 1 12,692 4,713 13,888 248 4,713 14,136 18,849 (3,123) 1998 11/25/2015 38 Retail - Flower Mound, TX 1 13,085 4,963 14,477 14 4,963 14,491 19,454 (3,461) 1999 11/25/2015 38 Retail - Grapevine, TX 1 9,797 3,932 9,972 11 3,932 9,983 13,915 (2,401) 1994 11/25/2015 38 Retail - Flower Mound, TX 1 7,492 2,696 7,351 209 2,696 7,560 10,256 (2,424) 1992 11/25/2015 38 Retail - Flower Mound, TX 1 8,929 3,571 8,280 219 3,571 8,499 12,070 (1,774) 1996 11/25/2015 38 Retail - Plano, TX 1 4,637 1,459 4,533 95 1,459 4,628 6,087 (2,046) 1995 11/25/2015 38 Retail - Largo, FL 1 12,750 4,973 12,812 286 4,973 13,098 18,071 (3,255) 1988 8/14/2015 27 Retail - Grass Valley, CA 1 25,900 9,872 28,680 479 9,872 29,159 39,031 (7,979) 1988 10/27/2015 25 Multifamily - Washington, DC 1 57,500 31,999 42,623 1,155 31,999 43,778 75,777 (8,575) 1978, 2008 10/20/2015 28 Retail - Penfield, NY 1 23,558 4,121 22,413 1,546 4,122 23,958 28,080 (8,037) 1957 11/10/2014 24 Retail - Orchard Park, NY 1 12,888 4,204 20,617 224 4,189 20,856 25,045 (5,344) 1997, 2000 11/10/2014 32 Retail - Cheektowaga, NY 1 9,447 1,961 12,259 245 1,939 12,526 14,465 (3,317) 1978 11/10/2014 25 Retail - Amherst, NY 1 8,270 2,131 9,740 1,193 2,132 10,932 13,064 (2,871) 1986 11/10/2014 28 Retail - Ontario, NY 1 5,406 575 6,813 27 574 6,841 7,415 (2,189) 1998 11/10/2014 31 Retail - Irondequoit, NY 1 15,000 2,438 14,684 1,936 2,438 16,620 19,058 (4,824) 1972 11/10/2014 27 Retail - LeRoy, NY 1 3,492 374 4,922 405 343 5,358 5,701 (1,729) 1997 11/10/2014 29 Retail - Jamestown, NY 1 7,356 820 4,915 — 820 4,915 5,735 (1,783) 1997 11/10/2014 29 Retail - Warsaw, NY 1 3,415 407 4,117 6 407 4,123 4,530 (1,216) 1998 11/10/2014 31 Retail - Chillicothe, OH 1 7,887 1,262 10,819 57 1,262 10,876 12,138 (2,872) 1981, 1998 11/10/2014 26 Retail - Loganville, GA 1 7,230 3,217 8,386 604 3,217 8,990 12,207 (2,464) 1996 11/10/2014 28 Retail - Chillicothe, OH 1 7,700 2,282 9,566 209 2,282 9,775 12,057 (2,407) 1995 7/22/2015 25 Retail - Knoxville, TN 1 — 3,503 13,309 400 3,503 13,709 17,212 (2,980) 2002 4/9/2014 34 Office - Falls Church, VA 1 25,000 13,500 21,895 374 13,500 22,269 35,769 (1,571) 1990 3/23/2020 27 Retail - Washington DC 1 — 38,000 6,499 — 38,000 6,499 44,499 (81) 1977 8/28/2020 38 Healthcare - Abingdon, VA 1 — 370 15,061 (15,431) — — — — 2012 9/7/2018 44 Healthcare - Chase City, VA 1 — 160 11,894 (12,054) — — — — 2004 9/7/2018 36 Healthcare - Fredericksburg, VA 1 — 3,110 18,830 (21,940) — — — — 1983 9/7/2018 18 Healthcare - Gainesville, VA 1 — 1,470 13,894 (15,364) — — — — 2006 9/7/2018 38 Healthcare - Pennington Gap, VA 1 — 190 11,549 (11,739) — — — — 2001 9/7/2018 33 Healthcare - Manassas, VA 1 — 2,040 14,041 (16,081) — — — — 2006 9/7/2018 38 Healthcare - Radford, VA 1 — 370 12,623 (12,993) — — — — 2002 9/7/2018 34 Healthcare - Hopewell, VA 1 — 560 12,181 (12,741) — — — — 2005 9/7/2018 37 Healthcare - Clifton Forge, VA 1 — 710 5,368 (6,078) — — — — 1986 9/7/2018 18 Healthcare - Allen, TX 1 8,847 800 10,858 — 800 10,858 11,658 (1,452) 2000 9/7/2018 22 Healthcare - Frisco, TX 1 6,559 1,000 7,420 — 1,000 7,420 8,420 (828) 1999 9/7/2018 31 Healthcare - Garland, TX 1 8,999 740 10,705 — 740 10,705 11,445 (1,000) 2004 9/7/2018 36 Healthcare - Denison, TX 1 4,211 650 6,527 — 650 6,527 7,177 (1,078) 1992 9/7/2018 19 Healthcare - Lewisville, TX 1 3,966 870 7,020 — 870 7,020 7,890 (887) 2004 9/7/2018 26 Healthcare - Kaukauna, WI 1 7,677 240 8,904 — 240 8,904 9,144 (797) 2009, 2013 9/7/2018 34 Healthcare - Mankato, MN 1 7,372 660 9,040 — 660 9,040 9,700 (1,108) 2004 9/7/2018 21 Healthcare - Mankato, MN 1 5,700 410 6,618 — 410 6,618 7,028 (579) 2014 9/7/2018 31 Healthcare - St. George, UT 1 9,706 1,050 13,422 — 1,050 13,422 14,472 (1,031) 2014 9/7/2018 36 Healthcare - St. George, UT 1 6,986 690 7,670 — 690 7,670 8,360 (665) 2011 9/7/2018 33 Healthcare - Covington, LA 1 16,290 410 19,216 402 410 19,618 20,028 (1,744) 2009 9/7/2018 31 Healthcare - Blue Ridge, GA 1 12,889 630 15,576 3,471 630 19,047 19,677 (1,407) 7/8/1905 9/7/2018 38 Healthcare - Mission, KS 1 16,327 600 21,501 173 598 21,676 22,274 (1,934) 7/7/1905 9/7/2018 32 48 $ 429,652 $ 173,280 $ 600,851 $ (110,219) $ 164,240 $ 499,672 $ 663,912 $ (100,147) (1) The aggregate cost of land, buildings and improvements, before depreciation, for Federal income tax purposes at December 31, 2020 was $681.5 million (unaudited). The following table presents our real estate activity during the periods presented: 2020 2019 2018 Real Estate (dollars in thousands) Beginning balance $ 704,354 $ 721,664 $ 441,971 Acquisitions and improvements 83,979 5,811 279,693 Property sold (124,421) (23,121) — Ending balance $ 663,912 $ 704,354 $ 721,664 Accumulated Depreciation Beginning balance $ 87,532 $ 67,026 $ 48,920 Property sold (10,098) (3,166) — Depreciation 22,713 23,672 18,106 Ending balance $ 100,147 $ 87,532 $ 67,026 |
Schedule IV - Mortgage Loans on
Schedule IV - Mortgage Loans on Commercial Real Estate | 12 Months Ended |
Dec. 31, 2020 | |
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, 2020 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 $ 61,329 $ 10,000 $ — 10.14% N/A Interest Only 9/6/2023 Office LA 60,212 8,700 8,258 10.75% N/A Interest Only 10/1/2023 Retail OH 124,750 36,603 — 9.50% N/A Interest Only 12/1/2023 Office NJ — 9,922 9,369 LIBOR+10.48% 0.25% Interest Only 9/15/2020 Office CA — 23,013 23,012 LIBOR+4.84% 0.16% Interest Only 1/3/2022 Office CA 104,682 10,281 10,281 LIBOR+6.79% 0.16% Interest Only 1/3/2022 Hotel LA 81,200 14,800 6,796 LIBOR+9.75% 0.16% Interest Only 9/9/2022 Retail CO — 3,436 3,405 LIBOR+5.00% 1.20% Interest Only 11/8/2022 Office FL — 18,363 18,052 LIBOR+3.30% 1.90% Interest Only 5/9/2023 Office TX — 19,436 19,064 LIBOR+3.75% 1.25% Interest Only 8/9/2023 Office TX — 15,000 14,884 LIBOR+3.45% 2.25% Interest Only 3/5/2024 Retail NC — 3,292 2,684 LIBOR+3.40% 2.25% Interest Only 3/9/2024 Office CA — 8,415 8,351 LIBOR+3.00% 1.5% Interest Only 1/9/2026 First mortgages Office NJ $ — $ 53,968 $ 50,956 LIBOR+3.40% 0.25% Interest Only 9/15/2020 Office TX — 67,281 66,169 LIBOR+3.75% 1.25% Interest Only 8/9/2023 Hotel TX — 8,038 7,827 LIBOR+3.75% 2.00% Interest Only 10/9/2023 Office TX — 12,000 11,907 LIBOR+3.45% 2.25% Interest Only 3/5/2024 Retail NC — 393 330 LIBOR+3.40% 2.25% Interest Only 3/9/2024 Retail CA — 40,029 35,356 LIBOR+3.40% 2.06% Interest Only 3/5/2024 Healthcare WA — 20,152 19,873 LIBOR+3.40% 1.75% Interest Only 10/1/2023 Multifamily DE — 31,469 31,257 LIBOR+2.90% 1.75% Interest Only 11/8/2023 Industrial AZ — 15,212 14,872 LIBOR+3.50% 1.60% Interest Only 12/9/2024 Industrial NC — 15,874 14,641 LIBOR+2.85% 1.85% Interest Only 12/9/2024 Multifamily NY — 37,403 36,062 LIBOR+3.25% 1.75% Interest Only 1/9/2025 Multifamily NY — 238 232 LIBOR+3.25% 1.75% Interest Only 1/9/2025 Office FL — 85,067 84,443 LIBOR+3.00% 1.50% Interest Only 1/9/2026 $ 568,385 $ 498,081 (1) Represents third-party priority liens. (2) LIBOR represents the one month London Interbank Offer Rate. |
SIGNIFICANT ACCOUNTING POLICI_2
SIGNIFICANT ACCOUNTING POLICIES (Policies) | 12 Months Ended |
Dec. 31, 2020 | |
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. |
Equity Method Investments | Equity Method Investments - For entities that are not consolidated, but where the Company has significant influence over the operating or financial decisions of the entity, the Company accounts for the investment under the equity method of accounting. In accordance with the equity method of accounting, the Company will recognize its share of earnings or losses of the investee in the period in which they are reported by the investee. The Company also considers whether there are any indicators of other-than-temporary impairment of joint ventures accounted for under the equity method. These investments are included in real estate, net and Other assets with income or loss included in Other income (loss). |
Cash and Cash Equivalents | Cash and Cash Equivalents – Cash and cash equivalents include cash on hand, cash held in money market funds on an overnight basis and cash pledged as collateral with counterparties. Cash deposited with clearing organizations is carried at cost, which approximates fair value. |
Equity Securities | Equity Securities – The Company may invest in equity securities that are not accounted for under the equity method or do not result in consolidation. These equity securities are required to be reported at fair value with unrealized gains and losses reported in the Consolidated Statements of Comprehensive Income (Loss) as Net unrealized gains (losses) on instruments measured at fair value through earnings, unless the securities do not have readily determinable fair values. For such equity securities without readily determinable fair values, the Company has elected to carry the securities at cost less impairment, if any, plus or minus changes resulting from observable price changes in orderly transactions for the identical or similar investment of the same issuer. For equity securities carried at fair value through earnings, dividends are recorded in earnings on the declaration date. Dividends from equity securities without readily determinable fair values are recognized as income when received to the extent they are distributed from net accumulated earnings. |
Fair Value Measurements and the Fair Value Option | Fair Value Measurements and the Fair Value Option – The Company reports various investments at fair value, including certain eligible financial instruments elected to be accounted for under the fair value option (“FVO”). The Company chooses to elect the fair value option in order to simplify the accounting treatment for certain financial instruments. 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 measures compensation expense for stock-based awards at fair value, which is generally based on the grant-date fair value of the Company’s common stock. Compensation expense is recognized ratably over the vesting or requisite service period of the award. Compensation expense for awards with performance conditions is recognized based on the probable outcome of the performance condition at each reporting date. Stock-based awards that do not require future service (i.e., vested awards) are expensed immediately. Forfeitures are recorded when they occur. The Company generally issues new shares of common stock upon delivery of stock-based awards. |
Interest Income | Interest Income - The Company recognizes interest income primarily on Residential Securities, residential mortgage loans, commercial investments and reverse repurchase agreements. Interest accrued but not paid is recognized as Interest receivable on the Consolidated Statements of Financial Condition. Interest income is presented as a separate line item on the Consolidated Statements of Comprehensive Income (Loss). Refer to the “Interest Income and Interest Expense” Note for further discussion. For its securities, 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). 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. Refer to the “Interest Income and Interest Expense” Note for further discussion on interest. The Company has made an accounting policy election not to measure an allowance for loans losses for accrued interest receivable. If interest receivable is deemed to be uncollectible or not collected within 90 days of its contractual due date for commercial loans or 120 days for corporate debt carried at amortized cost, it is written off through a reversal of interest income. Any interest written off that is recovered is recognized as 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. |
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 have been adopted ASU 2016-13 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 cash and cash equivalents, reverse repurchase agreements, 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 The Company adopted ASU 2016-13 using the modified retrospective method for all financial assets and off-balance-sheet credit exposures in scope. The modified retrospective approach requires an adjustment to beginning retained earnings for the cumulative effect of adopting the standard. Results for reporting periods beginning after January 1, 2020 are presented in accordance with ASU 2016-13, while prior periods continue to be reported in accordance with previously applicable GAAP. As a result of the adoption, the Company recorded an increase to the loan loss allowance of $37.4 million and a liability of $2.2 million for unfunded loan commitments, which reduced beginning retained earnings by $39.6 million as of January 1, 2020. ASU 2020-04 Reference Rate Reform (Topic 848): Facilitation of the Effects of Reference Rate Reform on Financial Reporting This ASU provides optional, temporary relief to accounting for contract modifications resulting from reference rate reform. January 1, 2020 The Company has elected to retrospectively apply the practical expedients to modifications of qualifying contracts as continuation of the existing contract rather than as a new contract. The adoption had no immediate impact and is not expected to have a material impact on the Company’s consolidated financial statements as the guidance continues to be applied to contract modifications until the ASU’s termination date. |
Allowance for Losses | Allowance for Losses – The Company evaluates the need for a loss reserve on each of its loans classified as held-for-investment where the fair value option is not elected. Allowance for loan losses are written off in the period the loans are deemed uncollectible. Given the unique nature of each underlying borrower and any collateral, the Company assesses an allowance for each individual loan held-for-investment. A provision is established at origination or acquisition that reflects management’s estimate of the total expected credit loss over the expected life of the loan. In estimating the lifetime expected credit losses, management utilizes a probability of default and loss given default methodology (“Loss Given Default methodology”), which considers projected economic conditions over the reasonable and supportable forecast period. The forecast incorporates primarily market-based assumptions including, but not limited to, forward interest rate curves, unemployment rate estimates and certain indexes sourced from third party vendors. For any remaining period of the expected life of the loan after the reasonable and supportable period, the Company reverts to historical losses on a straight-line basis. Management uses third-party vendors’ loan pool data for loans with similar risk characteristics to estimate historical losses given the limited loss history of the Company’s loan portfolio. Changes in the lifetime expected credit loss are reflected in Loan loss provision in the Consolidated Statements of Comprehensive Income (Loss). For loans experiencing credit deterioration, the Company may use a different methodology to determine the expected credit losses such as a discounted cash flow analysis. For collateral-dependent loans, if foreclosure is probable, expected credit losses are based on the fair value of the collateral at the reporting date, adjusted for any selling costs, if applicable. Additionally, the Company may elect the practical expedient for a financial asset for which the repayment is expected to be provided substantially through the operation or sale of the collateral when the borrower is experiencing financial difficulty by measuring the allowance as the difference between the fair value of the collateral, less costs to sell, if applicable, and the amortized cost basis of the financial asset at the reporting date. The Company’s commercial loans are collateralized by commercial real estate including, but not limited to, multifamily real estate, office and retail space, hotels and industrial space. At origination, the fair value of the collateral generally exceeds the principal loan balance. 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. |
Residential | Residential The Company’s residential mortgage loans are primarily comprised of performing adjustable-rate and fixed-rate whole loans. The Company’s residential loans are accounted for under the fair value option with changes in fair value reflected in Net unrealized gains (losses) on instruments measured at fair value through earnings in the Statements of Comprehensive Income. 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. |
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 | 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. |
Reverse Repurchase and 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 | ContingenciesFrom time to time, the Company is involved in various claims and legal actions arising in the ordinary course of business. In the opinion of management, the ultimate disposition of these matters will not have a material effect on the Company’s consolidated financial statements. |
DESCRIPTION OF BUSINESS (Tables
DESCRIPTION OF BUSINESS (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
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 product and whole loan markets. Annaly Commercial Real Estate Group Originates and invests in commercial mortgage loans, securities, and other commercial real estate debt and equity investments. Annaly Middle Market Lending Group Provides financing to private equity-backed middle market businesses, focusing primarily on senior debt within select industries. |
SIGNIFICANT ACCOUNTING POLICI_3
SIGNIFICANT ACCOUNTING POLICIES (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
Accounting Policies [Abstract] | |
Recent Accounting Pronouncements | Standard Description Effective Date Effect on the Financial Statements or Other Significant Matters Standards that have been adopted ASU 2016-13 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 cash and cash equivalents, reverse repurchase agreements, 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 The Company adopted ASU 2016-13 using the modified retrospective method for all financial assets and off-balance-sheet credit exposures in scope. The modified retrospective approach requires an adjustment to beginning retained earnings for the cumulative effect of adopting the standard. Results for reporting periods beginning after January 1, 2020 are presented in accordance with ASU 2016-13, while prior periods continue to be reported in accordance with previously applicable GAAP. As a result of the adoption, the Company recorded an increase to the loan loss allowance of $37.4 million and a liability of $2.2 million for unfunded loan commitments, which reduced beginning retained earnings by $39.6 million as of January 1, 2020. ASU 2020-04 Reference Rate Reform (Topic 848): Facilitation of the Effects of Reference Rate Reform on Financial Reporting This ASU provides optional, temporary relief to accounting for contract modifications resulting from reference rate reform. January 1, 2020 The Company has elected to retrospectively apply the practical expedients to modifications of qualifying contracts as continuation of the existing contract rather than as a new contract. The adoption had no immediate impact and is not expected to have a material impact on the Company’s consolidated financial statements as the guidance continues to be applied to contract modifications until the ASU’s termination date. |
FINANCIAL INSTRUMENTS (Tables)
FINANCIAL INSTRUMENTS (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
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, 2020 and 2019. Financial Instruments (1) Balance Sheet Line Item Type / Form Measurement Basis December 31, 2020 December 31, 2019 Assets (dollars in thousands) Securities Agency mortgage-backed securities (2) Fair value, with unrealized gains (losses) through other comprehensive income $ 73,562,972 $ 112,124,958 Securities Agency mortgage-backed securities (3) Fair value, with unrealized gains (losses) through earnings 504,087 768,409 Securities Residential credit risk transfer securities Fair value, with unrealized gains (losses) through earnings 532,403 531,322 Securities Non-agency mortgage-backed securities Fair value, with unrealized gains (losses) through earnings 972,192 1,135,868 Securities Commercial real estate debt investments - CMBS Fair value, with unrealized gains (losses) through other comprehensive income 31,603 64,655 Securities Commercial real estate debt investments - CMBS (4) Fair value, with unrealized gains (losses) through earnings 45,254 208,368 Securities Commercial real estate debt investments - credit risk transfer securities Fair value, with unrealized gains (losses) through earnings 3,885 — Total securities 75,652,396 114,833,580 Loans, net Residential mortgage loans Fair value, with unrealized gains (losses) through earnings 345,810 1,647,787 Loans, net Commercial real estate debt and preferred equity, held for investment Amortized cost 498,081 669,713 Loans, net Corporate debt held for investment, net Amortized cost 2,239,930 2,144,850 Total loans, net 3,083,821 4,462,350 Assets transferred or pledged to securitization vehicles Agency mortgage-backed securities Fair value, with unrealized gains (losses) through other comprehensive income 620,347 1,122,588 Assets transferred or pledged to securitization vehicles Residential mortgage loans Fair value, with unrealized gains (losses) through earnings 3,249,251 2,598,374 Assets transferred or pledged to securitization vehicles Commercial mortgage loans Fair value, with unrealized gains (losses) through earnings 2,166,073 2,345,120 Assets transferred or pledged to securitization vehicles Commercial mortgage loans Amortized cost 874,349 936,378 Total assets transferred or pledged to securitization vehicles 6,910,020 7,002,460 Liabilities Repurchase agreements Repurchase agreements Amortized cost 64,825,239 101,740,728 Other secured financing Loans Amortized cost 917,876 4,455,700 Debt issued by securitization vehicles Securities Fair value, with unrealized gains (losses) through earnings 5,652,982 5,622,801 Participations issued Participations issued Fair value, with unrealized gains (losses) through earnings 39,198 — Mortgages payable Loans Amortized cost 426,256 485,005 (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 single-asset / single borrower CMBS. |
SECURITIES (Tables)
SECURITIES (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
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, 2020: Residential Securities Commercial Securities Total (dollars in thousands) Beginning balance January 1, 2020 $ 114,560,557 $ 273,023 $ 114,833,580 Purchases 33,082,119 25,285 33,107,404 Sales and transfers (1) (52,367,095) (204,061) (52,571,156) Principal paydowns (19,531,705) (4,933) (19,536,638) (Amortization) / accretion (1,374,490) 652 (1,373,838) Fair value adjustment 1,202,268 (9,224) 1,193,044 Ending balance December 31, 2020 $ 75,571,654 $ 80,742 $ 75,652,396 (1) Includes transfers to securitization vehicles with a carrying value of $533.3 million during the year ended December 31, 2020. |
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, 2020 and 2019: December 31, 2020 Principal / Remaining Premium Remaining Discount Amortized Unrealized Unrealized Estimated Fair Value Agency (dollars in thousands) Fixed-rate pass-through $ 64,800,235 $ 3,325,020 $ (22,143) $ 68,103,112 $ 3,200,542 $ (1,076) $ 71,302,578 Adjustable-rate pass-through 455,675 2,869 (3,369) 455,175 22,341 — 477,516 CMO 139,664 2,177 — 141,841 7,926 — 149,767 Interest-only 2,790,537 564,297 — 564,297 3,513 (145,901) 421,909 Multifamily (1) 1,910,384 50,148 (1,057) 1,604,913 59,548 (954) 1,663,507 Reverse mortgages 47,585 4,183 — 51,768 252 (238) 51,782 Total agency securities $ 70,144,080 $ 3,948,694 $ (26,569) $ 70,921,106 $ 3,294,122 $ (148,169) $ 74,067,059 Residential credit CRT (2) $ 544,780 $ 7,324 $ (2,430) $ 538,941 $ 3,062 $ (9,600) $ 532,403 Alt-A 93,001 51 (17,368) 75,684 4,644 — 80,328 Prime 177,852 5,126 (15,999) 166,979 14,607 (77) 181,509 Prime interest-only 194,687 1,882 — 1,882 — (642) 1,240 Subprime 197,779 584 (18,181) 180,182 8,312 (61) 188,433 NPL/RPL 475,108 821 (2,416) 473,513 3,782 (1,448) 475,847 Prime jumbo (>=2010 vintage) 44,696 207 (5,300) 39,603 3,680 — 43,283 Prime jumbo (>=2010 vintage) Interest-only 291,624 6,803 — 6,803 — (5,251) 1,552 Total residential credit securities $ 2,019,527 $ 22,798 $ (61,694) $ 1,483,587 $ 38,087 $ (17,079) $ 1,504,595 Total Residential Securities $ 72,163,607 $ 3,971,492 $ (88,263) $ 72,404,693 $ 3,332,209 $ (165,248) $ 75,571,654 Commercial Commercial Securities $ 89,858 — $ (7,471) $ 82,387 $ 54 $ (1,699) $ 80,742 Total securities $ 72,253,465 $ 3,971,492 $ (95,734) $ 72,487,080 $ 3,332,263 $ (166,947) $ 75,652,396 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 investments $ 110,241,618 $ 5,307,771 $ (50,294) $ 111,012,250 $ 2,167,941 $ (286,824) $ 112,893,367 Residential credit CRT (2) $ 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 (1) Principal/Notional amount includes $354.6 million and $0 million of an Agency CMBS interest-only security as of December 31, 2020 and December 31, 2019, respectively. (2) Principal/Notional amount includes $10.7 million and $14.9 million of a CRT interest-only security as of December 31, 2020 and December 31, 2019, respectively. |
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, 2020 and 2019: December 31, 2020 December 31, 2019 Investment Type (dollars in thousands) Fannie Mae $ 56,218,033 $ 76,656,831 Freddie Mac 17,735,041 36,087,100 Ginnie Mae 113,985 149,436 Total $ 74,067,059 $ 112,893,367 |
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, 2020 and 2019, according to their estimated weighted average life classifications: December 31, 2020 December 31, 2019 Estimated Fair Value Amortized Estimated Fair Value Amortized Estimated weighted average life (dollars in thousands) Less than one year $ 110,203 $ 109,540 $ 3,997 $ 4,543 Greater than one year through five years 45,643,138 43,404,877 36,290,254 35,581,833 Greater than five years through ten years 28,509,058 27,610,923 77,732,756 76,504,845 Greater than ten years 1,309,255 1,279,353 533,550 506,719 Total $ 75,571,654 $ 72,404,693 $ 114,560,557 $ 112,597,940 |
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, 2020 and 2019. December 31, 2020 December 31, 2019 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 $ 777,586 $ (2,030) 30 $ 7,388,239 $ (24,056) 139 12 Months or more — — — 11,619,280 (105,329) 352 Total $ 777,586 $ (2,030) 30 $ 19,007,519 $ (129,385) 491 (1) Excludes interest-only mortgage-backed securities and reverse mortgages. |
Schedule of Realized Gain (Loss) | The following table presents the Company’s net gains (losses) from the disposal of Residential Securities for the years ended December 31, 2020 and 2019. Gross Realized Gains Gross Realized Losses Net Realized Gains (Losses) For the year ended (dollars in thousands) December 31, 2020 $ 942,450 $ (305,449) $ 637,001 December 31, 2019 $ 172,518 $ (210,317) $ (37,799) |
LOANS (Tables)
LOANS (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
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, 2020: Residential Commercial Corporate Total (dollars in thousands) Beginning balance January 1, 2020 $ 1,647,787 $ 669,713 $ 2,144,850 $ 4,462,350 Impact of adopting CECL — (3,599) (29,653) (33,252) Purchases / originations 1,168,830 217,329 1,061,644 2,447,803 Sales and transfers (1) (2,298,391) (235,533) (357,930) (2,891,854) Principal payments (154,864) (77,422) (576,759) (809,045) Gains / (losses) (2) (11,854) (74,965) (14,429) (101,248) (Amortization) / accretion (5,698) 2,558 12,207 9,067 Ending balance December 31, 2020 $ 345,810 $ 498,081 $ 2,239,930 $ 3,083,821 (1) Includes securitizations, syndications and transfers to securitization vehicles or REO. Includes transfer of residential loans to securitization vehicles with a carrying value of $1.9 billion during the year ended December 31, 2020. (2) Includes loan loss allowances. |
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, 2020 and 2019: December 31, 2020 December 31, 2019 (dollars in thousands) Fair value $ 3,595,061 $ 4,246,161 Unpaid principal balance $ 3,482,865 $ 4,133,149 |
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, 2020 and 2019 for these investments: For the Years Ended December 31, 2020 December 31, 2019 (dollars in thousands) Interest income $ 170,259 $ 150,066 Net gains (losses) on disposal of investments (38,372) (18,619) Net unrealized gains (losses) on instruments measured at fair value through earnings 37,693 51,290 Total included in net income (loss) $ 169,580 $ 182,737 |
Geographic Concentrations Based on Unpaid Principal Balances | The following table provides the geographic concentrations based on the unpaid principal balances at December 31, 2020 and 2019 for the residential mortgage loans, including loans transferred or pledged to securitization vehicles: Geographic Concentrations of Residential Mortgage Loans December 31, 2020 December 31, 2019 Property location % of Balance Property location % of Balance California 48.9% California 52.1% New York 14.0% New York 10.5% Florida 6.0% Florida 5.3% All other (none individually greater than 5%) 31.1% All other (none individually greater than 5%) 32.1% Total 100.0% 100.0% The geographic concentrations of credit risk exceeding 5% of the total loan unpaid principal balances related to the Company’s VIEs, excluding the credit facility VIEs, multifamily securitizations, OBX Trusts and CLO, at December 31, 2020 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 $ 1,051,276 32.4 % California $ 18,692 47.4 % Texas 459,256 14.2 % Illinois 5,356 13.6 % New York 369,691 11.4 % Texas 4,972 12.6 % Florida 196,865 6.1 % Massachusetts 2,265 5.7 % Washington 182,000 5.6 % Other (1) 8,174 20.7 % Arizona 171,102 5.3 % Other (1) 811,282 25.0 % Total $ 3,241,472 100.0 % $ 39,459 100.0 % (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, 2020 and 2019: December 31, 2020 December 31, 2019 Portfolio Range Portfolio Weighted Portfolio Range Portfolio Weighted Average (dollars in thousands) Unpaid principal balance $1 - $3,448 $473 $1 - $3,448 $459 Interest rate 0.50% - 9.24% 4.89% 2.00% - 8.38% 4.94% Maturity 7/1/2029 - 1/1/2061 4/17/2046 1/1/2028 - 12/1/2059 12/29/2047 FICO score at loan origination 505 - 829 755 505 - 829 758 Loan-to-value ratio at loan origination 8% - 104% 67% 8% - 105% 67% |
Commercial Real Estate, Held for Investments, Amortized Cost Basis by Risk Rating and Vintage | 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 rubric for commercial loans has nine categories as depicted below: Risk Rating - Commercial Loans Description 1-4 / Performing Meets all present contractual obligations. 5 / Performing - Closely Monitored Meets all present contractual obligations, but are transitional or could be exhibiting some weaknesses in both leverage and liquidity. 6 / Performing - Special Mention Meets all present contractual obligations, but exhibit potential weakness that deserves management’s close attention and, if uncorrected, may result in deterioration of repayment prospects. 7 / Substandard 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. 8 / Doubtful Substandard loans whereby collection of all contractual principal and interest is highly questionable or improbable. 9 / Loss Considered uncollectible. The Company’s internal risk rating rubric for corporate debt has nine categories as depicted below: Risk Rating - Corporate Debt Description 1-5 / Performing Meets all present contractual obligations. 6 / Performing - Closely Monitored Meets all present contractual obligations but exhibits a defined weakness in either leverage or liquidity, but not both. Loans at this rating will require closer monitoring, but where we expect no loss of interest or principal. 7 / Substandard A loan that has a defined weakness in either leverage and/or liquidity, and which may require substantial changes to strengthen the asset. Loans at this rating level have a higher probability of loss, although no determination of the amount or timing of a loss is yet possible. 8 / Doubtful A loan that has missed a scheduled principal or interest payment or is otherwise deemed a non-earning account. The probability of loss is increasingly certain due to significant performance issues. 9 / Loss Considered uncollectible. |
Schedule of Commercial Mortgage Loans Held for Investment | The sector attributes of the Company’s commercial real estate investments held for investment, including loans transferred or pledged to securitization vehicles, at December 31, 2020 and December 31, 2019 were as follows: Sector Dispersion December 31, 2020 December 31, 2019 Carrying Value % of Loan Portfolio Carrying Value % of Loan Portfolio (dollars in thousands) Office $ 650,034 47.4 % $ 681,129 42.4 % Retail 256,493 18.7 % 389,076 24.2 % Multifamily 250,095 18.2 % 262,302 16.3 % Hotel 115,536 8.4 % 135,681 8.4 % Industrial 60,097 4.4 % 82,441 5.1 % Other 20,302 1.5 % 36,589 2.3 % Healthcare 19,873 1.4 % 18,873 1.3 % Total $ 1,372,430 100.0 % $ 1,606,091 100.0 % At December 31, 2020 and 2019, commercial real estate investments held for investment were comprised of the following: December 31, 2020 December 31, 2019 Outstanding Principal Carrying (1) Percentage (2) Outstanding Principal Carrying (1) Percentage (2) (dollars in thousands) Senior mortgages $ 387,124 $ 373,925 25.7 % $ 503,499 $ 499,690 30.9 % Senior securitized mortgages (3) 938,859 874,349 62.3 % 940,546 936,378 57.8 % Mezzanine loans 181,261 124,156 12.0 % 183,064 170,023 11.3 % Total $ 1,507,244 $ 1,372,430 100.0 % $ 1,627,109 $ 1,606,091 100.0 % (1) Carrying value includes unamortized origination fees of $4.9 million and $8.3 million at December 31, 2020 and 2019, 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, 2020 and 2019: December 31, 2020 Senior Senior Securitized Mortgages (1) Mezzanine Total (dollars in thousands) Beginning balance (January 1, 2020) (2) $ 499,690 $ 936,378 $ 182,726 $ 1,618,794 Originations & advances (principal) 206,090 — 12,374 218,464 Principal payments (77,344) (144,308) (78) (221,730) Principal write off — — (7,000) (7,000) Transfers (3) (245,120) 142,621 (7,100) (109,599) Net (increase) decrease in origination fees (1,055) (653) (80) (1,788) Realized gain 204 — — 204 Amortization of net origination fees 2,371 2,460 187 5,018 Allowance for loan losses Beginning allowance, prior to CECL adoption — — (12,703) (12,703) Impact of adopting CECL (2,263) (4,166) (1,336) (7,765) Current period allowance (8,648) (57,983) (66,521) (133,152) Write offs — — 23,687 23,687 Ending allowance (10,911) (62,149) (56,873) (129,933) Net carrying value (December 31, 2020) $ 373,925 $ 874,349 $ 124,156 $ 1,372,430 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 (3) (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 Net (increase) decrease in allowance — — $ (9,207) (9,207) Net carrying value (December 31, 2019) $ 499,690 $ 936,378 $ 170,023 $ 1,606,091 (1) Represents assets of consolidated VIEs. (2) Excludes loan loss allowances. (3) Includes transfers to securitization vehicles or REO. |
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, 2020. Amortized Cost Basis by Risk Rating and Vintage (1) Risk Rating Vintage Total 2020 2019 2018 2017 2016 Prior (dollars in thousands) 1-4 / Performing $ 300,623 $ 111,177 $ 134,923 $ — $ 12,972 $ — $ 41,551 5 / Performing - Closely Monitored 145,231 — 145,231 — — — — 6 / Performing - Special Mention 628,224 58,648 135,868 267,555 96,982 69,171 — 7 / Substandard 205,026 9,368 78,407 66,294 — — 50,957 8 / Doubtful 93,326 — — 39,704 53,622 — — 9 / Loss (2) — — — — — — — Total $ 1,372,430 $ 179,193 $ 494,429 $ 373,553 $ 163,576 $ 69,171 $ 92,508 (1) The amortized cost basis excludes accrued interest. As of December 31, 2020, the Company had $3.8 million of accrued interest receivable on commercial loans which is reported in Principal and interest receivable in the Consolidated Statements of Financial Condition. (2) Includes two commercial mezzanine loans for which the Company recorded a full loan loss allowance of $46.6 million. |
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, 2020 and 2019 are as follows: Industry Dispersion December 31, 2020 December 31, 2019 Total (1) Total (1) (dollars in thousands) Computer programming, data processing & other computer 483,142 394,193 Management and public relations services 300,869 339,179 Industrial Inorganic Chemical 156,391 — Public warehousing and storage 132,397 107,029 Metal cans & shipping containers 115,670 118,456 Offices and clinics of doctors of medicine 104,781 106,993 Surgical, medical, and dental instruments and supplies 83,161 102,182 Electronic components & accessories 78,129 24,000 Engineering, architectural & surveying 77,308 124,201 Miscellaneous Industrial & Commercial 77,163 78,908 Insurance agents, brokers and services 67,193 75,410 Research, development and testing services 62,008 45,610 Miscellaneous Food Preparations 58,857 — Telephone communications 58,450 61,210 Miscellaneous equipment rental and leasing 49,587 49,776 Electrical work 41,128 43,175 Petroleum and petroleum products 33,890 24,923 Medical and dental laboratories 30,711 41,344 Schools and educational services, not elsewhere classified 29,040 19,586 Home health care services 28,587 29,361 Metal Forgings and Stampings 27,523 — Legal Services 26,399 — Grocery stores 22,895 23,248 Coating, engraving and allied services 19,484 47,249 Chemicals & Allied Products 14,686 15,002 Miscellaneous business services 12,980 164,033 Drugs 12,942 15,923 Mailing, reproduction, commercial art and photography, and stenographic 12,733 14,755 Machinery, Equipment & Supplies 12,096 — Offices of clinics and other health practitioners 9,730 10,098 Nonferrous foundries (castings) — 30,191 Motor vehicles and motor vehicle parts and supplies — 28,815 Miscellaneous plastic products — 10,000 Total $ 2,239,930 $ 2,144,850 (1) All middle market lending positions are floating rate. |
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, 2020 and 2019. December 31, 2020 December 31, 2019 (dollars in thousands) First lien loans $ 1,489,125 $ 1,396,140 Second lien loans 750,805 748,710 Total $ 2,239,930 $ 2,144,850 |
Schedule of Corporate Loans Held for Investment | The following tables represent a rollforward of the activity for the Company’s corporate debt investments held for investment at December 31, 2020 and December 31, 2019: December 31, 2020 First Lien Second Lien Total (dollars in thousands) Beginning balance (January 1, 2020) (1) $ 1,403,503 $ 748,710 $ 2,152,213 Originations & advances 834,211 227,433 1,061,644 Principal payments (444,759) (132,000) (576,759) Amortization & accretion of (premium) discounts 8,374 3,832 12,206 Loan restructuring (19,550) 2,818 (16,732) Sales (2) (273,887) (79,203) (353,090) Allowance for loan losses Beginning allowance, prior to CECL adoption (7,363) — (7,363) Impact of adopting CECL (10,787) (18,866) (29,653) Current period allowance (12,510) (1,919) (14,429) Write offs 11,893 — 11,893 Ending allowance (18,767) (20,785) (39,552) Net carrying value (December 31, 2020) $ 1,489,125 $ 750,805 $ 2,239,930 (1) Excludes loan loss allowances. (2) Includes syndications. December 31, 2019 First Lien Second Lien Total (dollars in thousands) Net carrying value (January 1, 2019) $ 1,346,356 $ 540,826 $ 1,887,182 Originations & advances 542,463 345,573 888,036 Principal payments (228,302) (140,625) (368,927) Amortization & accretion of (premium) discounts 5,960 2,936 8,896 Sales (262,974) — (262,974) Net (increase) decrease in allowance (7,363) — (7,363) Net carrying value (December 31, 2019) 1,396,140 748,710 2,144,850 |
Debt Securities, Held-to-maturity, Amortized Costs Basis by Risk Rating and Vintage | The following table provides the amortized cost basis of corporate debt held for investment as of December 31, 2020 by vintage year and internal risk rating. Amortized Cost Basis by Risk Rating and Vintage (1) Risk Rating Vintage Total 2020 2019 2018 2017 2016 2015 (dollars in thousands) 1-5 / Performing $ 1,760,669 $ 499,186 $ 400,873 $ 402,712 $ 355,369 $ 68,191 $ 34,338 6 / Performing - Closely Monitored $ 337,386 38,495 — 283,464 15,427 — — 7 / Substandard $ 141,875 — 47,742 43,206 50,927 — — 8 / Doubtful $ — — — — — — — 9 / Loss $ — — — — — — — Total $ 2,239,930 $ 537,681 $ 448,615 $ 729,382 $ 421,723 $ 68,191 $ 34,338 (1) The amortized cost basis excludes accrued interest and includes deferred loan fees on unfunded loans. As of December 31, 2020, the Company had $11.0 million of accrued interest receivable on corporate loans, which is reported in Principal and interest receivable in the Consolidated Statements of Financial Condition, and $1.4 million of deferred loan fees on unfunded loans, which is reported in Loans, net in the Consolidated Statements of Financial Condition. |
MORTGAGE SERVICING RIGHTS (Tabl
MORTGAGE SERVICING RIGHTS (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
Transfers and Servicing [Abstract] | |
Presentation of Activity Related to MSR | The following table presents activity related to MSRs for the years ended December 31, 2020 and 2019: December 31, 2020 December 31, 2019 (dollars in thousands) Fair value, beginning of period $ 378,078 $ 557,813 Sales (72,160) — Change in fair value due to Changes in valuation inputs or assumptions (1) (107,517) (102,016) Other changes, including realization of expected cash flows (97,506) (77,719) Fair value, end of period $ 100,895 $ 378,078 (1) Principally represents changes in discount rates and prepayment speed inputs used in valuation model, primarily due to changes in interest rates. |
VARIABLE INTEREST ENTITIES (Tab
VARIABLE INTEREST ENTITIES (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
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 OBX 2020-INV1 January 2020 $ 374,609 OBX 2020-EXP1 February 2020 $ 467,511 OBX 2020-EXP2 July 2020 $ 489,352 OBX 2020-EXP3 September 2020 $ 514,609 |
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, multifamily securitizations, credit facility VIEs and OBX Trusts as the transfers of loans or securities 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, 2020 and 2019 are as follows: December 31, 2020 Commercial Trusts Residential Trusts MSR Silo Assets (dollars in thousands) Cash and cash equivalents $ — $ — $ 22,241 Loans — — 47,048 Assets transferred or pledged to securitization vehicles 2,166,073 40,035 — Mortgage servicing rights — — 100,895 Principal and interest receivable 5,509 226 — Other assets — — — Total assets $ 2,171,582 $ 40,261 $ 170,184 Liabilities Debt issued by securitization vehicles (non-recourse) $ 1,836,785 $ 23,351 $ — Other secured financing — — 30,420 Payable for unsettled trades — — 3,076 Interest payable 1,697 55 — Other liabilities — 246 13,345 Total liabilities $ 1,838,482 $ 23,652 $ 46,841 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 |
Geographic Concentrations Based on Unpaid Principal Balances | The following table provides the geographic concentrations based on the unpaid principal balances at December 31, 2020 and 2019 for the residential mortgage loans, including loans transferred or pledged to securitization vehicles: Geographic Concentrations of Residential Mortgage Loans December 31, 2020 December 31, 2019 Property location % of Balance Property location % of Balance California 48.9% California 52.1% New York 14.0% New York 10.5% Florida 6.0% Florida 5.3% All other (none individually greater than 5%) 31.1% All other (none individually greater than 5%) 32.1% Total 100.0% 100.0% The geographic concentrations of credit risk exceeding 5% of the total loan unpaid principal balances related to the Company’s VIEs, excluding the credit facility VIEs, multifamily securitizations, OBX Trusts and CLO, at December 31, 2020 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 $ 1,051,276 32.4 % California $ 18,692 47.4 % Texas 459,256 14.2 % Illinois 5,356 13.6 % New York 369,691 11.4 % Texas 4,972 12.6 % Florida 196,865 6.1 % Massachusetts 2,265 5.7 % Washington 182,000 5.6 % Other (1) 8,174 20.7 % Arizona 171,102 5.3 % Other (1) 811,282 25.0 % Total $ 3,241,472 100.0 % $ 39,459 100.0 % (1) No individual state greater than 5%. |
REAL ESTATE (Tables)
REAL ESTATE (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
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, 2020 December 31, 2019 Real estate, net (dollars in thousands) Land $ 164,240 $ 121,720 Buildings and improvements 493,432 571,396 Furniture, fixtures and equipment 6,240 11,238 Subtotal 663,912 704,354 Less: accumulated depreciation (100,147) (87,532) Total real estate held for investment, at amortized cost, net 563,765 616,822 Equity in unconsolidated joint ventures 92,549 108,816 Total real estate, net $ 656,314 $ 725,638 |
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, 2020 for consolidated investments in real estate are as follows: December 31, 2020 (dollars in thousands) 2021 $ 44,267 2022 39,981 2023 36,161 2024 30,645 2025 24,362 Later years 60,971 Total $ 236,387 |
DERIVATIVE INSTRUMENTS (Tables)
DERIVATIVE INSTRUMENTS (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
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, 2020 and 2019: Derivatives Instruments December 31, 2020 December 31, 2019 Assets (dollars in thousands) Interest rate swaps $ — $ 1,199 Interest rate swaptions 74,470 11,580 TBA derivatives 96,109 15,181 Futures contracts 506 77,889 Purchase commitments 49 2,050 Credit derivatives (1) — 5,657 $ 171,134 $ 113,556 Liabilities Interest rate swaps $ 1,006,492 $ 706,862 TBA derivatives — 11,316 Futures contracts 19,413 84,781 Purchase commitments — 907 Credit derivatives (1) 7,440 — $ 1,033,345 $ 803,866 (1) |
Summary of Certain Characteristics of Derivatives | The following table summarizes certain characteristics of the Company’s interest rate swaps at December 31, 2020 and 2019: December 31, 2020 Maturity Current Notional (1)(2) Weighted Average Pay Rate Weighted Average Receive Rate Weighted Average Years to Maturity (3) (dollars in thousands) 0 - 3 years $ 23,680,150 0.27 % 0.11 % 1.96 3 - 6 years 3,600,000 0.18 % 0.09 % 4.21 6 - 10 years 5,565,500 1.40 % 0.62 % 7.76 Greater than 10 years 1,484,000 3.06 % 0.36 % 20.52 Total / Weighted average $ 34,329,650 0.92 % 0.37 % 3.94 December 31, 2019 Maturity Current Notional (1)(2) Weighted Average 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 (1) As of December 31, 2020, 17%, 72% and 11% of the Company’s interest rate swaps were linked to LIBOR, the Federal funds rate and the Secured Overnight Financing Rate, respectively. 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. (2) There were no forward starting swaps at December 31, 2020 and December 31, 2019. (3) As of December 31, 2020, the weighted average years to maturity of payer interest rate swaps is offset by the weighted average years to maturity of receiver interest rate swaps. As such, the net weighted average years to maturity for each maturity bucket may fall outside of the range listed. The following table presents swaptions outstanding at December 31, 2020 and 2019. December 31, 2020 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 $8,050,000 1.27% 3M LIBOR 10.40 5.42 Long receive $250,000 1.66% 3M LIBOR 10.02 0.13 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 The following table summarizes certain characteristics of the Company’s TBA derivatives at December 31, 2020 and 2019: December 31, 2020 Purchase and sale contracts for derivative TBAs Notional Implied Cost Basis Implied Market Value Net Carrying Value (dollars in thousands) Purchase contracts $ 19,635,000 $ 20,277,088 $ 20,373,197 $ 96,109 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 The following table summarizes certain characteristics of the Company’s futures derivatives at December 31, 2020 and 2019: December 31, 2020 Notional - Long Notional - Short Weighted Average (dollars in thousands) U.S. Treasury futures - 5 year — (1,240,000) 4.40 U.S. Treasury futures - 10 year and greater — (9,183,800) 6.90 Total $ — $ (10,423,800) 6.60 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 |
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, 2020 and 2019, respectively. December 31, 2020 Amounts Eligible for Offset Gross Amounts Financial Instruments Cash Collateral Net Amounts Assets (dollars in thousands) Interest rate swaptions, at fair value $ 74,470 $ — $ — $ 74,470 TBA derivatives, at fair value 96,109 — — 96,109 Futures contracts, at fair value 506 (506) — — Purchase commitments 49 — — 49 Liabilities Interest rate swaps, at fair value $ 1,006,492 $ — $ (108,757) $ 897,735 Futures contracts, at fair value 19,413 (506) (18,907) — Credit derivatives 7,440 — (7,440) — 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 |
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, 2020 $ (207,877) $ (1,917,628) $ (904,532) December 31, 2019 $ 351,375 $ (1,442,964) $ (1,210,276) December 31, 2018 $ 100,553 $ 1,409 $ 424,081 The effect of other derivative contracts on the Company’s Consolidated Statements of Comprehensive Income (Loss) is as follows: Year Ended December 31, 2020 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 $ 893,120 $ 92,244 $ 985,364 Net interest rate swaptions 11,730 46,301 58,031 Futures (268,084) (12,015) (280,099) Purchase commitments — (1,093) (1,093) Credit derivatives 6,068 (11,966) (5,898) Total $ 756,305 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) |
FAIR VALUE MEASUREMENTS (Tables
FAIR VALUE MEASUREMENTS (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
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, 2020 Level 1 Level 2 Level 3 Total Assets (dollars in thousands) Securities Agency mortgage-backed securities $ — $ 74,067,059 $ — $ 74,067,059 Credit risk transfer securities — 532,403 — 532,403 Non-Agency mortgage-backed securities — 972,192 — 972,192 Commercial mortgage-backed securities — 80,742 — 80,742 Loans Residential mortgage loans — 345,810 — 345,810 Mortgage servicing rights — — 100,895 100,895 Assets transferred or pledged to securitization vehicles — 6,035,671 — 6,035,671 Derivative assets Other derivatives 506 170,628 — 171,134 Total assets $ 506 $ 82,204,505 $ 100,895 $ 82,305,906 Liabilities Debt issued by securitization vehicles — 5,652,982 — 5,652,982 Participations issued — 39,198 — 39,198 Derivative liabilities Interest rate swaps — 1,006,492 — 1,006,492 Other derivatives 19,413 7,440 — 26,853 Total liabilities $ 19,413 $ 6,706,112 $ — $ 6,725,525 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 |
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, 2020 December 31, 2019 Range Range Valuation Technique Unobservable Input (1) (Weighted Average ) (2) Unobservable Input (1) (Weighted Average ) (2) Discounted cash flow Discount rate 9.0% - 12.0% (9.4%) Discount rate 9.0% - 12.0% (9.3%) Prepayment rate 19.3% - 55.5% (42.0%) Prepayment rate 6.3% - 26.6% (13.7%) Delinquency rate 0.0% - 6.0% (2.5%) Delinquency rate 0.0% - 4.0% (2.2%) Cost to service $83 - $108 ($98) Cost to service $81 - $135 ($107) (1) Represents rates, estimates and assumptions that the Company believes would be used by market participants when valuing these assets. (2) Weighted average discount rate computed based on the fair value of MSRs, weighted average prepayment rate, delinquency rate and cost to service based on unpaid principal balances of loans underlying the MSRs. |
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, 2020 and 2019. December 31, 2020 December 31, 2019 Carrying Fair Carrying Fair Financial assets (dollars in thousands) Loans Commercial real estate debt and preferred equity, held for investment (1) $ 1,372,430 $ 1,442,071 $ 1,606,091 $ 1,619,018 Corporate debt held for investment 2,239,930 2,226,045 2,144,850 2,081,327 Assets transferred or pledged to securitization vehicles 874,349 928,732 936,378 944,618 Financial liabilities Repurchase agreements $ 64,825,239 $ 64,825,239 $ 101,740,728 $ 101,740,728 Other secured financing 917,876 917,876 4,455,700 4,455,700 Mortgage payable 426,256 474,779 485,005 515,994 (1) Includes assets of consolidated VIEs. |
GOODWILL AND INTANGIBLE ASSETS
GOODWILL AND INTANGIBLE ASSETS (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
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, 2020. Intangible Assets, net (dollars in thousands) Balance at December 31, 2019 $ 20,957 Intangible assets acquired 50,360 Intangible assets divested (5,320) Less: amortization expense (10,471) Balance at December 31, 2020 $ 55,526 |
SECURED FINANCING (Tables)
SECURED FINANCING (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
Debt Disclosure [Abstract] | |
Schedule of Repurchase Agreements Remaining Maturity ,Collateral Types and Weighted Average Rates | At December 31, 2020 and 2019, the repurchase agreements had the following remaining maturities, collateral types and weighted average rates: December 31, 2020 Agency Mortgage-Backed Securities CRTs Non-Agency Mortgage-Backed Securities Residential Mortgage Loans Commercial Commercial Mortgage-Backed Securities Total Repurchase Agreements Weighted Average Rate (dollars in thousands) 1 day $ — $ — $ — $ — $ — $ — $ — — % 2 to 29 days 30,151,875 129,993 354,904 76,799 — 128,267 30,841,838 0.29 % 30 to 59 days 10,247,972 16,073 161,274 — — 142,336 10,567,655 0.42 % 60 to 89 days 8,181,410 99,620 259,401 — — 28,406 8,568,837 0.30 % 90 to 119 days 2,154,733 — — — — — 2,154,733 0.23 % Over 119 days (1) 12,008,920 — 274,860 107,924 271,801 28,671 12,692,176 0.36 % Total $ 62,744,910 $ 245,686 $ 1,050,439 $ 184,723 $ 271,801 $ 327,680 $ 64,825,239 0.32 % 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 % (1) Less than 1% of the total repurchase agreements had a remaining maturity over 1 year at December 31, 2020. No repurchase agreements had a remaining maturity over one year at December 31, 2019. |
Summary of Gross Amounts, Amounts Offset and net Amounts of Repurchase Agreement and Reverse Repurchase Agreement | The following table summarizes the gross amounts of reverse repurchase agreements and repurchase agreements, amounts offset in accordance with netting arrangements and net amounts of repurchase agreements and reverse repurchase agreements as presented in the Consolidated Statements of Financial Condition at December 31, 2020 and 2019. Refer to the “Derivative Instruments” Note for information related to the effect of netting arrangements on the Company’s derivative instruments. December 31, 2020 December 31, 2019 Reverse Repurchase Agreements Repurchase Agreements Reverse Repurchase Agreements Repurchase Agreements (dollars in thousands) Gross amounts $ 250,000 $ 65,075,239 $ 100,000 $ 101,840,728 Amounts offset (250,000) (250,000) (100,000) (100,000) Netted amounts $ — $ 64,825,239 $ — $ 101,740,728 |
Schedule Of Mortgage Notes Payable | Mortgage loans payable at December 31, 2020 and 2019, were as follows: December 31, 2020 Property Mortgage Mortgage Interest Rate Fixed/Floating Maturity Date Priority (dollars in thousands) Joint Ventures $ 316,686 $ 318,302 4.03% - 4.96% Fixed 2024 - 2029 First liens Joint Ventures 16,607 16,325 L+2.15% Floating 2/27/2022 First liens Virginia 24,464 25,000 L+2.85% Floating 5/1/2023 First liens Texas 31,127 32,582 3.28% Fixed 2048 - 2053 First liens Utah 9,706 9,706 L+2.75% Floating 1/31/2021 First liens Utah 6,969 6,986 3.69% Fixed 6/1/2053 First liens Minnesota 13,039 13,072 3.69% Fixed 6/1/2053 First liens Wisconsin 7,658 7,677 3.69% Fixed 6/1/2053 First liens Total $ 426,256 $ 429,650 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 2048 - 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 |
Schedule of Mortgage Loan Principle Payments Due | The following table details future mortgage loan principal payments at December 31, 2020: Mortgage Loan Principal Payments (dollars in thousands) 2021 $ 11,123 2022 17,890 2023 26,626 2024 105,635 2025 186,929 Later years 81,447 Total $ 429,650 |
CAPITAL STOCK (Tables)
CAPITAL STOCK (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
Equity [Abstract] | |
Schedule of Stock by Class | The following table provides a summary of the Company’s common shares authorized and issued and outstanding at December 31, 2020 and 2019. Shares authorized Shares issued and outstanding December 31, 2020 December 31, 2019 December 31, 2020 December 31, 2019 Par Value Common stock 2,914,850,000 2,914,850,000 1,398,240,618 1,430,106,199 $0.01 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, 2020 December 31, 2019 December 31, 2020 December 31, 2019 December 31, 2020 December 31, 2019 Fixed-rate (dollars in thousands) Series D 18,400,000 18,400,000 — 18,400,000 — 445,457 7.50% 9/13/2017 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 18,400,000 17,700,000 17,700,000 428,324 428,324 6.75% 6/30/2024 6/30/2024 3M LIBOR + 4.989% Total 85,150,000 85,150,000 63,500,000 81,900,000 $ 1,536,569 $ 1,982,026 (1) Subject to the Company’s right under limited circumstances to redeem preferred stock earlier in order to preserve its qualification as a REIT or under limited circumstances related to a change in control of the Company. |
Summary of Dividend Reinvestment Plan | The following table provides a summary of activity related to the Company’s Direct Purchase and Dividend Reinvestment Program. December 31, 2020 December 31, 2019 (dollars in thousands) Shares issued through direct purchase and dividend reinvestment program 166,000 180,000 Amount raised from direct purchase and dividend reinvestment program $ 1,175 $ 1,795 |
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, 2020 December 31, 2019 (dollars in thousands, except per share data) Dividends and dividend equivalents declared on common stock and share-based awards $ 1,285,124 $ 1,516,323 Distributions declared per common share $ 0.91 $ 1.05 Distributions paid to common stockholders after period end $ 307,613 $ 357,527 Distributions paid per common share after period end $ 0.22 $ 0.25 Date of distributions paid to common stockholders after period end January 29, 2021 January 31, 2020 Dividends declared to series C preferred stockholders $ — $ 7,414 Dividends declared per share of series C preferred stock $ — $ 1.060 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 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 $ 27,625 $ 27,624 Dividends declared per share of series G preferred stock $ 1.625 $ 1.625 Dividends declared to series H preferred stockholders $ — $ 1,862 Dividends declared per share of series H preferred stock $ — $ 0.846 Dividends declared to series I preferred stockholders $ 29,871 $ 15,135 Dividends declared per share of series I preferred stock $ 1.688 $ 0.86 |
LONG-TERM STOCK INCENTIVE PLAN
LONG-TERM STOCK INCENTIVE PLAN (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
Share-based Payment Arrangement [Abstract] | |
Schedule of Option Activity | The following table sets forth activity related to the Company’s RSUs and PSUs awarded under the Plans: For the year ended December 31, 2020 Number of Shares Weighted Average Grant Date Fair Value (dollars in thousands) Beginning balance — $ — Granted (1) 1,790,759 $7.24 Vested (100,100) $9.99 Forfeited (1) (19,921) $9.59 Ending balance (2) 1,670,738 $7.05 (1) Includes dividend equivalent rights. (2) The ending balance includes 404,589 PSUs and related dividend equivalent rights subject to performance conditions and future service requirements, and represents the target amount of such PSUs that may be earned. |
INTEREST INCOME AND INTEREST _2
INTEREST INCOME AND INTEREST EXPENSE (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
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, 2020, 2019 and 2018. For the Years Ended December 31, 2020 2019 2018 Interest income (dollars in thousands) Residential Securities (1) $ 1,718,960 $ 3,195,546 $ 2,830,521 Residential mortgage loans (1) 170,259 150,066 83,260 Commercial investment portfolio (1) (2) 338,763 378,395 356,981 U.S. Treasury securities — — 160 Reverse repurchase agreements 1,643 63,290 61,641 Total interest income $ 2,229,625 $ 3,787,297 $ 3,332,563 Interest expense Repurchase agreements 705,218 2,513,282 1,698,930 Debt issued by securitization vehicles 142,602 141,981 98,013 Participations issued 78 — — Other 51,214 129,612 100,917 Total interest expense 899,112 2,784,875 1,897,860 Net interest income $ 1,330,513 $ 1,002,422 $ 1,434,703 (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, 2020 | |
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, 2020, 2019 and 2018. For the Years Ended December 31, 2020 December 31, 2019 December 31, 2018 (dollars in thousands, except per share data) Net income (loss) $ (889,772) $ (2,163,091) $ 54,148 Net income (loss) attributable to noncontrolling interests 1,391 (226) (260) Net income (loss) attributable to Annaly (891,163) (2,162,865) 54,408 Dividends on preferred stock 142,036 136,576 129,312 Net income (loss) available (related) to common stockholders $ (1,033,199) $ (2,299,441) $ (74,904) Weighted average shares of common stock outstanding-basic 1,414,659,439 1,434,912,682 1,209,601,809 Add: Effect of stock awards, if dilutive — — — Weighted average shares of common stock outstanding-diluted 1,414,659,439 1,434,912,682 1,209,601,809 Net income (loss) per share available (related) to common share Basic $ (0.73) $ (1.60) $ (0.06) Diluted $ (0.73) $ (1.60) $ (0.06) |
LEASE COMMITMENTS AND CONTING_2
LEASE COMMITMENTS AND CONTINGENCIES (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
Leases [Abstract] | |
Supplemental Lease Information | Supplemental information related to leases as of and for the year ended December 31, 2020 was as follows: Operating Leases Classification December 31, 2020 Assets (dollars in thousands) Operating lease right-of-use assets Other assets $ 13,167 Liabilities Operating lease liabilities (1) Other liabilities $ 17,184 Lease term and discount rate Weighted average remaining lease term 4.7 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 $ 3,799 (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) 2021 $ 3,918 2022 3,862 2023 3,862 2024 3,862 2025 2,895 Later years — Total lease payments $ 18,399 Less imputed interest 1,215 Present value of lease liabilities $ 17,184 |
DESCRIPTION OF BUSINESS (Detail
DESCRIPTION OF BUSINESS (Details) | 12 Months Ended |
Dec. 31, 2020numberOfInvestmentGroups | |
Accounting Policies [Abstract] | |
Number of investment groups | 4 |
SIGNIFICANT ACCOUNTING POLICI_4
SIGNIFICANT ACCOUNTING POLICIES - Additional Information (Details) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2019 | Dec. 31, 2020 | |
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||
Allowance for loan loss | $ 20,100 | $ 169,500 |
Accumulated deficit | $ 8,309,424 | 10,667,388 |
Accounting Standards Update [Extensible List] | us-gaap:AccountingStandardsUpdate201613Member | |
Cumulative Effect, Period of Adoption, Adjustment | ||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||
Allowance for loan loss | $ 37,400 | |
Off-balance sheet credit loss, liability | 2,200 | |
Accumulated deficit | 39,600 | |
Interest Rate Swaps | ||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||
Margin deposit assets | $ 1,600,000 | $ 1,100,000 |
FINANCIAL INSTRUMENTS - Summary
FINANCIAL INSTRUMENTS - Summary of Characteristics of Financial Instruments (Details) - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 |
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items] | ||
Assets | $ 88,455,103 | $ 130,295,081 |
Liabilities | 74,433,307 | 114,498,737 |
Total securities | ||
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items] | ||
Assets | 75,652,396 | 114,833,580 |
Agency 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 | 73,562,972 | 112,124,958 |
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 | 504,087 | 768,409 |
Residential credit risk transfer securities | ||
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items] | ||
Assets | 532,403 | 531,322 |
Non-agency mortgage-backed securities | ||
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items] | ||
Assets | 972,192 | 1,135,868 |
Commercial real estate debt investments, CMBS, recognized through other comprehensive income | ||
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items] | ||
Assets | 31,603 | 64,655 |
Commercial real estate debt investments, CMBS, recognized through earnings | ||
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items] | ||
Assets | 45,254 | 208,368 |
Commercial real estate debt investments, credit risk transfer securities | ||
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items] | ||
Assets | 3,885 | 0 |
Total loans, net | ||
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items] | ||
Assets | 3,083,821 | 4,462,350 |
Residential mortgage loans | ||
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items] | ||
Assets | 345,810 | 1,647,787 |
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 | 498,081 | 669,713 |
Corporate debt held for investment, net | ||
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items] | ||
Assets | 2,239,930 | 2,144,850 |
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 | 6,910,020 | 7,002,460 |
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 | 620,347 | 1,122,588 |
Residential mortgage loans, recognized through earnings | ||
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items] | ||
Assets | 3,249,251 | 2,598,374 |
Commercial mortgage loans, recognized through earnings | ||
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items] | ||
Assets | 2,166,073 | 2,345,120 |
Commercial mortgage loans | ||
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items] | ||
Assets | 874,349 | 936,378 |
Repurchase agreements | ||
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items] | ||
Liabilities | 64,825,239 | 101,740,728 |
Other secured financing | ||
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items] | ||
Liabilities | 917,876 | 4,455,700 |
Debt issued by securitization vehicles | ||
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items] | ||
Liabilities | 5,652,982 | 5,622,801 |
Participations issued | ||
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items] | ||
Liabilities | 39,198 | 0 |
Mortgages payable | ||
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items] | ||
Liabilities | $ 426,256 | $ 485,005 |
SECURITIES - Summary of Residen
SECURITIES - Summary of Residential Securities and CMBS (Details) $ in Thousands | 12 Months Ended |
Dec. 31, 2020USD ($) | |
Debt Securities, Available-For-Sale [Roll Forward] | |
Beginning balance | $ 114,833,580 |
Purchases | 33,107,404 |
Sales and transfers | (52,571,156) |
Principal paydowns | (19,536,638) |
(Amortization) / accretion | (1,373,838) |
Fair value adjustment | 1,193,044 |
Ending balance | 75,652,396 |
Residential Securities | |
Debt Securities, Available-For-Sale [Roll Forward] | |
Beginning balance | 114,560,557 |
Purchases | 33,082,119 |
Sales and transfers | (52,367,095) |
Principal paydowns | (19,531,705) |
(Amortization) / accretion | (1,374,490) |
Fair value adjustment | 1,202,268 |
Ending balance | 75,571,654 |
Commercial Securities | |
Debt Securities, Available-For-Sale [Roll Forward] | |
Beginning balance | 273,023 |
Purchases | 25,285 |
Sales and transfers | (204,061) |
Principal paydowns | (4,933) |
(Amortization) / accretion | 652 |
Fair value adjustment | (9,224) |
Ending balance | $ 80,742 |
SECURITIES - Portfolio (Details
SECURITIES - Portfolio (Details) - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 |
Mortgage-Backed Securities Portfolio [Line Items] | ||
Principal / notional | $ 72,253,465 | $ 113,123,301 |
Remaining premium | 3,971,492 | 5,353,597 |
Remaining discount | (95,734) | (166,320) |
Total | 72,487,080 | 112,863,385 |
Unrealized gains | 3,332,263 | 2,261,636 |
Unrealized losses | (166,947) | (291,441) |
Estimated fair value | 75,652,396 | 114,833,580 |
Agency Securities | ||
Mortgage-Backed Securities Portfolio [Line Items] | ||
Principal / notional | 70,144,080 | 110,241,618 |
Remaining premium | 3,948,694 | 5,307,771 |
Remaining discount | (26,569) | (50,294) |
Total | 70,921,106 | 111,012,250 |
Unrealized gains | 3,294,122 | 2,167,941 |
Unrealized losses | (148,169) | (286,824) |
Estimated fair value | 74,067,059 | 112,893,367 |
Agency Securities | Fixed-rate pass-through | ||
Mortgage-Backed Securities Portfolio [Line Items] | ||
Principal / notional | 64,800,235 | 102,448,565 |
Remaining premium | 3,325,020 | 4,345,053 |
Remaining discount | (22,143) | (46,614) |
Total | 68,103,112 | 106,747,004 |
Unrealized gains | 3,200,542 | 2,071,583 |
Unrealized losses | (1,076) | (95,173) |
Estimated fair value | 71,302,578 | 108,723,414 |
Agency Securities | Adjustable-rate pass-through | ||
Mortgage-Backed Securities Portfolio [Line Items] | ||
Principal / notional | 455,675 | 1,474,818 |
Remaining premium | 2,869 | 72,245 |
Remaining discount | (3,369) | (1,400) |
Total | 455,175 | 1,545,663 |
Unrealized gains | 22,341 | 10,184 |
Unrealized losses | 0 | (31,516) |
Estimated fair value | 477,516 | 1,524,331 |
Agency Securities | CMO | ||
Mortgage-Backed Securities Portfolio [Line Items] | ||
Principal / notional | 139,664 | 156,937 |
Remaining premium | 2,177 | 2,534 |
Remaining discount | 0 | 0 |
Total | 141,841 | 159,471 |
Unrealized gains | 7,926 | 545 |
Unrealized losses | 0 | 0 |
Estimated fair value | 149,767 | 160,016 |
Agency Securities | Interest-only | ||
Mortgage-Backed Securities Portfolio [Line Items] | ||
Principal / notional | 2,790,537 | 4,486,845 |
Remaining premium | 564,297 | 862,905 |
Remaining discount | 0 | 0 |
Total | 564,297 | 862,905 |
Unrealized gains | 3,513 | 2,787 |
Unrealized losses | (145,901) | (157,130) |
Estimated fair value | 421,909 | 708,562 |
Agency Securities | Multifamily | ||
Mortgage-Backed Securities Portfolio [Line Items] | ||
Principal / notional | 1,910,384 | 1,619,900 |
Remaining premium | 50,148 | 19,981 |
Remaining discount | (1,057) | (2,280) |
Total | 1,604,913 | 1,637,601 |
Unrealized gains | 59,548 | 82,292 |
Unrealized losses | (954) | (2,696) |
Estimated fair value | 1,663,507 | 1,717,197 |
Agency Securities | Reverse mortgages | ||
Mortgage-Backed Securities Portfolio [Line Items] | ||
Principal / notional | 47,585 | 54,553 |
Remaining premium | 4,183 | 5,053 |
Remaining discount | 0 | 0 |
Total | 51,768 | 59,606 |
Unrealized gains | 252 | 550 |
Unrealized losses | (238) | (309) |
Estimated fair value | 51,782 | 59,847 |
Residential Credit Securities Mortgage Backed Securities | ||
Mortgage-Backed Securities Portfolio [Line Items] | ||
Principal / notional | 2,019,527 | 2,617,718 |
Remaining premium | 22,798 | 34,953 |
Remaining discount | (61,694) | (106,633) |
Total | 1,483,587 | 1,585,690 |
Unrealized gains | 38,087 | 85,985 |
Unrealized losses | (17,079) | (4,485) |
Estimated fair value | 1,504,595 | 1,667,190 |
Residential Credit Securities Mortgage Backed Securities | Multifamily Interest-Only Security | ||
Mortgage-Backed Securities Portfolio [Line Items] | ||
Principal / notional | 354,600 | 0 |
Residential Credit Securities Mortgage Backed Securities | CRT | ||
Mortgage-Backed Securities Portfolio [Line Items] | ||
Principal / notional | 544,780 | 517,110 |
Remaining premium | 7,324 | 15,850 |
Remaining discount | (2,430) | (2,085) |
Total | 538,941 | 515,950 |
Unrealized gains | 3,062 | 16,605 |
Unrealized losses | (9,600) | (1,233) |
Estimated fair value | 532,403 | 531,322 |
Residential Credit Securities Mortgage Backed Securities | CRT Interest-Only Security | ||
Mortgage-Backed Securities Portfolio [Line Items] | ||
Principal / notional | 10,700 | 14,900 |
Residential Credit Securities Mortgage Backed Securities | Alt-A | ||
Mortgage-Backed Securities Portfolio [Line Items] | ||
Principal / notional | 93,001 | 160,957 |
Remaining premium | 51 | 250 |
Remaining discount | (17,368) | (22,306) |
Total | 75,684 | 138,901 |
Unrealized gains | 4,644 | 12,482 |
Unrealized losses | 0 | 0 |
Estimated fair value | 80,328 | 151,383 |
Residential Credit Securities Mortgage Backed Securities | Prime | ||
Mortgage-Backed Securities Portfolio [Line Items] | ||
Principal / notional | 177,852 | 277,076 |
Remaining premium | 5,126 | 3,362 |
Remaining discount | (15,999) | (17,794) |
Total | 166,979 | 262,644 |
Unrealized gains | 14,607 | 14,142 |
Unrealized losses | (77) | (529) |
Estimated fair value | 181,509 | 276,257 |
Residential Credit Securities Mortgage Backed Securities | Prime interest-only | ||
Mortgage-Backed Securities Portfolio [Line Items] | ||
Principal / notional | 194,687 | 391,234 |
Remaining premium | 1,882 | 3,757 |
Remaining discount | 0 | 0 |
Total | 1,882 | 3,757 |
Unrealized gains | 0 | 0 |
Unrealized losses | (642) | (590) |
Estimated fair value | 1,240 | 3,167 |
Residential Credit Securities Mortgage Backed Securities | Subprime | ||
Mortgage-Backed Securities Portfolio [Line Items] | ||
Principal / notional | 197,779 | 370,263 |
Remaining premium | 584 | 1,356 |
Remaining discount | (18,181) | (59,727) |
Total | 180,182 | 311,892 |
Unrealized gains | 8,312 | 37,205 |
Unrealized losses | (61) | (118) |
Estimated fair value | 188,433 | 348,979 |
Residential Credit Securities Mortgage Backed Securities | NPL/RPL | ||
Mortgage-Backed Securities Portfolio [Line Items] | ||
Principal / notional | 475,108 | 164,180 |
Remaining premium | 821 | 351 |
Remaining discount | (2,416) | (440) |
Total | 473,513 | 164,091 |
Unrealized gains | 3,782 | 191 |
Unrealized losses | (1,448) | (14) |
Estimated fair value | 475,847 | 164,268 |
Residential Credit Securities Mortgage Backed Securities | Prime jumbo (>=2010 vintage) | ||
Mortgage-Backed Securities Portfolio [Line Items] | ||
Principal / notional | 44,696 | 182,709 |
Remaining premium | 207 | 1,026 |
Remaining discount | (5,300) | (4,281) |
Total | 39,603 | 179,454 |
Unrealized gains | 3,680 | 5,360 |
Unrealized losses | 0 | (150) |
Estimated fair value | 43,283 | 184,664 |
Residential Credit Securities Mortgage Backed Securities | Prime jumbo (>=2010 vintage) Interest-only | ||
Mortgage-Backed Securities Portfolio [Line Items] | ||
Principal / notional | 291,624 | 554,189 |
Remaining premium | 6,803 | 9,001 |
Remaining discount | 0 | 0 |
Total | 6,803 | 9,001 |
Unrealized gains | 0 | 0 |
Unrealized losses | (5,251) | (1,851) |
Estimated fair value | 1,552 | 7,150 |
Residential Investments | ||
Mortgage-Backed Securities Portfolio [Line Items] | ||
Principal / notional | 72,163,607 | 112,859,336 |
Remaining premium | 3,971,492 | 5,342,724 |
Remaining discount | (88,263) | (156,927) |
Total | 72,404,693 | 112,597,940 |
Unrealized gains | 3,332,209 | 2,253,926 |
Unrealized losses | (165,248) | (291,309) |
Estimated fair value | 75,571,654 | 114,560,557 |
Commercial Mortgage-Backed Securities | ||
Mortgage-Backed Securities Portfolio [Line Items] | ||
Principal / notional | 89,858 | 263,965 |
Remaining premium | 0 | 10,873 |
Remaining discount | (7,471) | (9,393) |
Total | 82,387 | 265,445 |
Unrealized gains | 54 | 7,710 |
Unrealized losses | (1,699) | (132) |
Estimated fair value | $ 80,742 | $ 273,023 |
SECURITIES - Component of Agenc
SECURITIES - Component of Agency Mortgage-Backed Securities Portfolio by Issuing Agency Concentration (Details) - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 | |
Mortgage-Backed Securities Portfolio [Line Items] | |||
Estimated fair value | [1] | $ 75,652,396 | $ 114,833,580 |
Agency Mortgage-Backed Securities | |||
Mortgage-Backed Securities Portfolio [Line Items] | |||
Estimated fair value | 74,067,059 | 112,893,367 | |
Agency Mortgage-Backed Securities | Fannie Mae | |||
Mortgage-Backed Securities Portfolio [Line Items] | |||
Estimated fair value | 56,218,033 | 76,656,831 | |
Agency Mortgage-Backed Securities | Freddie Mac | |||
Mortgage-Backed Securities Portfolio [Line Items] | |||
Estimated fair value | 17,735,041 | 36,087,100 | |
Agency Mortgage-Backed Securities | Ginnie Mae | |||
Mortgage-Backed Securities Portfolio [Line Items] | |||
Estimated fair value | $ 113,985 | $ 149,436 | |
[1] | Excludes $81.5 million and $102.5 million at December 31, 2020 and 2019, respectively, of agency mortgage-backed securities, $576.6 million and $468.0 million at December 31, 2020 and 2019, respectively, of non-Agency mortgage-backed securities and $391.0 million and $500.3 million at December 31, 2020 and December 31, 2019, respectively, of commercial mortgage-backed securities in consolidated VIEs pledged as collateral and eliminated from the Company’s Consolidated Statements of Financial Condition. |
SECURITIES - Weighted Average L
SECURITIES - Weighted Average Life (Details) - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 | |
Estimated Fair Value | |||
Total | [1] | $ 75,652,396 | $ 114,833,580 |
Amortized Cost | |||
Total | 72,487,080 | 112,863,385 | |
Residential Investments | |||
Estimated Fair Value | |||
Less than one year | 110,203 | 3,997 | |
Greater than one year through five years | 45,643,138 | 36,290,254 | |
Greater than five years through ten years | 28,509,058 | 77,732,756 | |
Greater than ten years | 1,309,255 | 533,550 | |
Total | 75,571,654 | 114,560,557 | |
Amortized Cost | |||
Less than one year | 109,540 | 4,543 | |
Greater than one year through five years | 43,404,877 | 35,581,833 | |
Greater than five years through ten years | 27,610,923 | 76,504,845 | |
Greater than ten years | 1,279,353 | 506,719 | |
Total | $ 72,404,693 | $ 112,597,940 | |
[1] | Excludes $81.5 million and $102.5 million at December 31, 2020 and 2019, respectively, of agency mortgage-backed securities, $576.6 million and $468.0 million at December 31, 2020 and 2019, respectively, of non-Agency mortgage-backed securities and $391.0 million and $500.3 million at December 31, 2020 and December 31, 2019, respectively, of commercial mortgage-backed securities in consolidated VIEs pledged as collateral and eliminated from the Company’s Consolidated Statements of Financial Condition. |
SECURITIES - Unrealized Loss Po
SECURITIES - Unrealized Loss Position (Details) $ in Thousands | Dec. 31, 2020USD ($)security | Dec. 31, 2019USD ($)security |
Unrealized Loss Position For: | ||
Estimated fair value | $ 75,652,396 | $ 114,833,580 |
Gross unrealized losses | (166,947) | (291,441) |
Agency Mortgage-Backed Securities | ||
Unrealized Loss Position For: | ||
Estimated fair value | 777,586 | 19,007,519 |
Gross unrealized losses | $ (2,030) | $ (129,385) |
Number of securities | security | 30 | 491 |
Less than 12 months | Agency Mortgage-Backed Securities | ||
Unrealized Loss Position For: | ||
Estimated fair value | $ 777,586 | $ 7,388,239 |
Gross unrealized losses | $ (2,030) | $ (24,056) |
Number of securities | security | 30 | 139 |
12 Months or more | Agency Mortgage-Backed Securities | ||
Unrealized Loss Position For: | ||
Estimated fair value | $ 0 | $ 11,619,280 |
Gross unrealized losses | $ 0 | $ (105,329) |
Number of securities | security | 0 | 352 |
SECURITIES - Additional Informa
SECURITIES - Additional Information (Details) - USD ($) $ in Billions | 9 Months Ended | 12 Months Ended |
Sep. 30, 2020 | Dec. 31, 2020 | |
Investments, Debt and Equity Securities [Abstract] | ||
Residential investment securities sold, carrying value | $ 25.5 | $ 51.8 |
SECURITIES - Realized Gain (Los
SECURITIES - Realized Gain (Loss) (Details) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2020 | Dec. 31, 2019 | |
Investments, Debt and Equity Securities [Abstract] | ||
Gross Realized Gains | $ 942,450 | $ 172,518 |
Gross Realized Losses | (305,449) | (210,317) |
Net Realized Gains (Losses) | $ 637,001 | $ (37,799) |
LOANS - Additional Information
LOANS - Additional Information (Details) | 12 Months Ended | |||
Dec. 31, 2020USD ($)loan | Dec. 31, 2019USD ($) | Dec. 31, 2018USD ($) | Jan. 01, 2020USD ($) | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Assets | $ 88,455,103,000 | $ 130,295,081,000 | ||
Loan loss provision | 147,581,000 | 16,569,000 | $ 3,496,000 | |
Allowance for loan loss | 169,500,000 | $ 20,100,000 | ||
Loans | $ 498,081,000 | |||
Loans receivable with variable rates of interest | 94.00% | 92.00% | ||
Cumulative Effect, Period of Adoption, Adjustment | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Allowance for loan loss | $ 37,400,000 | |||
Residential Mortgage Loans | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Assets | $ 300,000,000 | 1,600,000,000 | ||
Loans | $ 47,000,000 | $ 66,700,000 | ||
Percent of adjustable-rate loans | 37.00% | 36.00% | ||
Commercial Mortgage Loans | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Loan loss provision | $ 78,400,000 | $ 9,200,000 | ||
Aggregate principal balance | 181,200,000 | 43,600,000 | ||
Carrying value | $ 113,600,000 | 30,900,000 | ||
Number of contracts modified | loan | 5 | |||
Number of contracts modified, partial paydowns | loan | 2 | |||
Restructuring, partial paydowns | $ 4,500,000 | |||
Future funding commitments | 4,100,000 | |||
Amortized cost basis, nonaccrual | 46,800,000 | 175,200,000 | ||
Interest income, nonaccrual | 2,100,000 | (100,000) | ||
Unfunded corporate loan commitments | 99,300,000 | 181,400,000 | ||
Expected gain (loss) on unfunded commitments | 5,100,000 | |||
Restructuring, carrying value | 243,800,000 | |||
Commercial Mortgage Loans | Extended Maturity | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Allowance for loan loss | $ 23,600,000 | |||
Number of contracts modified | loan | 4 | |||
Commercial Mortgage Loans | Payment Deferral | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Number of contracts modified | loan | 1 | |||
Forbearance term | 120 days | |||
Commercial Mortgage Loans | Cumulative Effect, Period of Adoption, Adjustment | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Allowance for loan loss | $ 7,800,000 | |||
Commercial Mortgage Loans | Cumulative Effect, Period of Adoption, Adjusted Balance | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Loan loss provision | $ 54,800,000 | |||
Corporate Loans | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Loan loss provision | 4,500,000 | 7,400,000 | $ 0 | |
Aggregate principal balance | 19,600,000 | |||
Carrying value | 12,200,000 | |||
Loans | 2,239,930,000 | 2,144,850,000 | ||
Amortized cost basis, nonaccrual | 0 | 12,200,000 | ||
Interest income, nonaccrual | 0 | 1,500,000 | ||
Unfunded corporate loan commitments | 87,300,000 | 81,200,000 | ||
Debt instrument face amount | 4,800,000 | |||
Write offs | 11,900,000 | |||
Expected gain (loss) on unfunded commitments | 700,000 | |||
Corporate Loans | Second lien loans | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Loans | 750,805,000 | 748,710,000 | ||
Debt instrument face amount | 2,800,000 | |||
Corporate Loans | First lien loans | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Loans | 1,489,125,000 | $ 1,396,140,000 | ||
Write offs | 19,600,000 | |||
Corporate Loans | Cumulative Effect, Period of Adoption, Adjustment | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Allowance for loan loss | $ 29,700,000 | |||
Corporate Loans | Cumulative Effect, Period of Adoption, Adjusted Balance | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Loan loss provision | $ 9,900,000 | |||
Minimum | Corporate Loans | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Senior secured loans, stated maturity | 5 years | |||
Maximum | Corporate Loans | ||||
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, 2020USD ($) | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Movement in Mortgage Loans on Real Estate [Roll Forward] | ||
Beginning balance | $ 4,462,350 | [1] |
Purchases / originations | 2,447,803 | |
Sales and transfers | (2,891,854) | |
Principal payments | (809,045) | |
Gains / (losses) | (101,248) | |
(Amortization) / accretion | 9,067 | |
Ending balance | 3,083,821 | [1] |
Transfer of residential loans to securitization vehicles, carrying value, noncash | 1,900,000 | |
Cumulative Effect, Period of Adoption, Adjustment | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Movement in Mortgage Loans on Real Estate [Roll Forward] | ||
Beginning balance | (33,252) | |
Ending balance | ||
Residential | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Movement in Mortgage Loans on Real Estate [Roll Forward] | ||
Beginning balance | 1,647,787 | |
Purchases / originations | 1,168,830 | |
Sales and transfers | (2,298,391) | |
Principal payments | (154,864) | |
Gains / (losses) | (11,854) | |
(Amortization) / accretion | (5,698) | |
Ending balance | 345,810 | |
Residential | Cumulative Effect, Period of Adoption, Adjustment | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Movement in Mortgage Loans on Real Estate [Roll Forward] | ||
Beginning balance | 0 | |
Ending balance | ||
Commercial | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Movement in Mortgage Loans on Real Estate [Roll Forward] | ||
Beginning balance | 669,713 | |
Purchases / originations | 217,329 | |
Sales and transfers | (235,533) | |
Principal payments | (77,422) | |
Gains / (losses) | (74,965) | |
(Amortization) / accretion | 2,558 | |
Ending balance | 498,081 | |
Commercial | Cumulative Effect, Period of Adoption, Adjustment | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Movement in Mortgage Loans on Real Estate [Roll Forward] | ||
Beginning balance | (3,599) | |
Ending balance | ||
Corporate | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Movement in Mortgage Loans on Real Estate [Roll Forward] | ||
Beginning balance | 2,144,850 | |
Purchases / originations | 1,061,644 | |
Sales and transfers | (357,930) | |
Principal payments | (576,759) | |
Gains / (losses) | (14,429) | |
(Amortization) / accretion | 12,207 | |
Ending balance | 2,239,930 | |
Corporate | Cumulative Effect, Period of Adoption, Adjustment | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Movement in Mortgage Loans on Real Estate [Roll Forward] | ||
Beginning balance | $ (29,653) | |
Ending balance | ||
[1] | Includes $47.0 million and $66.7 million of residential mortgage loans held for sale. |
LOANS - Fair Value and Unpaid P
LOANS - Fair Value and Unpaid Principal of Residential Mortgage Loan Portfolio (Details) - Residential Mortgage Loans - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Fair value | $ 3,595,061 | $ 4,246,161 |
Unpaid principal balance | $ 3,482,865 | $ 4,133,149 |
LOANS - Summary of Comprehensiv
LOANS - Summary of Comprehensive Income (Loss) (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Interest income | $ 1,330,513 | $ 1,002,422 | $ 1,434,703 |
Net gains (losses) on disposal of investments | 661,513 | (47,944) | (1,123,969) |
Net income (loss) attributable to Annaly | (891,163) | (2,162,865) | $ 54,408 |
Residential Mortgage Loans | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Interest income | 170,259 | 150,066 | |
Net gains (losses) on disposal of investments | (38,372) | (18,619) | |
Net unrealized gains (losses) on instruments measured at fair value through earnings | 37,693 | 51,290 | |
Net income (loss) attributable to Annaly | $ 169,580 | $ 182,737 |
LOANS - Geographic Concentratio
LOANS - Geographic Concentrations Based on Unpaid Principal Balances (Details) - Residential mortgage loans - Geographic Concentration Risk | 12 Months Ended | |
Dec. 31, 2020 | Dec. 31, 2019 | |
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 | 48.90% | 52.10% |
New York | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Geographic concentrations of residential mortgage loans | 14.00% | 10.50% |
Florida | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Geographic concentrations of residential mortgage loans | 6.00% | 5.30% |
All other (none individually greater than 5%) | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Geographic concentrations of residential mortgage loans | 31.10% | 32.10% |
LOANS - Additional Informatio_2
LOANS - Additional Information about Residential Mortgage Loans (Details) - Residential Mortgage Loans $ in Thousands | 12 Months Ended | |
Dec. 31, 2020USD ($)point | Dec. 31, 2019USD ($)point | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Unpaid principal balance | $ 3,482,865 | $ 4,133,149 |
Minimum | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Unpaid principal balance | $ 1 | $ 1 |
Interest rate | 0.50% | 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 | $ 3,448 |
Interest rate | 9.24% | 8.38% |
FICO score at loan origination | point | 829 | 829 |
Loan-to-value ratio at loan origination | 104.00% | 105.00% |
Weighted Average | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Unpaid principal balance | $ 473 | $ 459 |
Interest rate | 4.89% | 4.94% |
FICO score at loan origination | point | 755 | 758 |
Loan-to-value ratio at loan origination | 67.00% | 67.00% |
LOANS - Summary of Commercial R
LOANS - Summary of Commercial Real Estate Investments Held for Investment (Details) - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Loans | $ 498,081 | ||
Outstanding principal | 72,253,465 | $ 113,123,301 | |
Commercial Mortgage | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Loans | $ 1,372,430 | $ 1,606,091 | $ 1,296,803 |
Percentage of loan portfolio | 100.00% | 100.00% | |
Outstanding principal | $ 1,507,244 | $ 1,627,109 | |
Carrying value, unamortized origination fees | 4,900 | 8,300 | |
Commercial Mortgage | Office | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Loans | $ 650,034 | $ 681,129 | |
Percentage of loan portfolio | 47.40% | 42.40% | |
Commercial Mortgage | Retail | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Loans | $ 256,493 | $ 389,076 | |
Percentage of loan portfolio | 18.70% | 24.20% | |
Commercial Mortgage | Multifamily | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Loans | $ 250,095 | $ 262,302 | |
Percentage of loan portfolio | 18.20% | 16.30% | |
Commercial Mortgage | Hotel | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Loans | $ 115,536 | $ 135,681 | |
Percentage of loan portfolio | 8.40% | 8.40% | |
Commercial Mortgage | Industrial | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Loans | $ 60,097 | $ 82,441 | |
Percentage of loan portfolio | 4.40% | 5.10% | |
Commercial Mortgage | Other | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Loans | $ 20,302 | $ 36,589 | |
Percentage of loan portfolio | 1.50% | 2.30% | |
Commercial Mortgage | Healthcare | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Loans | $ 19,873 | $ 18,873 | |
Percentage of loan portfolio | 1.40% | 1.30% | |
Commercial Mortgage | Senior Mortgages | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Loans | $ 373,925 | $ 499,690 | 981,202 |
Percentage of loan portfolio | 25.70% | 30.90% | |
Outstanding principal | $ 387,124 | $ 503,499 | |
Commercial Mortgage | Senior Securitized Mortgages | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Loans | $ 874,349 | $ 936,378 | 0 |
Percentage of loan portfolio | 62.30% | 57.80% | |
Outstanding principal | $ 938,859 | $ 940,546 | |
Mezzanine Loans | Commercial Mortgage | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Loans | $ 124,156 | $ 170,023 | $ 315,601 |
Percentage of loan portfolio | 12.00% | 11.30% | |
Outstanding principal | $ 181,261 | $ 183,064 |
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, 2020 | Dec. 31, 2019 | |
Real Estate [Roll Forward] | ||
Principal payments | $ (809,045) | |
Realized gain | (101,248) | |
Allowance for loan losses | ||
Beginning allowance | (20,100) | |
Ending allowance | (169,500) | $ (20,100) |
Ending balance, carrying value | 498,081 | |
Cumulative Effect, Period of Adoption, Adjustment | ||
Allowance for loan losses | ||
Beginning allowance | (37,400) | |
Ending allowance | (37,400) | |
Commercial Mortgage | ||
Real Estate [Roll Forward] | ||
Beginning balance, carrying value | 1,606,091 | 1,296,803 |
Originations & advances (principal) | 218,464 | 593,913 |
Principal payments | (221,730) | (316,663) |
Principal write off | (7,000) | |
Transfers | (109,599) | 40,058 |
Net (increase) decrease in origination fees | (1,788) | (4,384) |
Realized gain | 204 | |
Amortization of net origination fees | 5,018 | 5,571 |
Allowance for loan losses | ||
Beginning allowance | (12,703) | |
Current period allowance | (133,152) | (9,207) |
Write offs | 23,687 | |
Ending allowance | (129,933) | (12,703) |
Ending balance, carrying value | 1,372,430 | 1,606,091 |
Commercial Mortgage | Cumulative Effect, Period of Adoption, Adjusted Balance | ||
Real Estate [Roll Forward] | ||
Beginning balance, carrying value | 1,618,794 | |
Allowance for loan losses | ||
Ending balance, carrying value | 1,618,794 | |
Commercial Mortgage | Cumulative Effect, Period of Adoption, Adjustment | ||
Allowance for loan losses | ||
Beginning allowance | (7,765) | |
Ending allowance | (7,765) | |
Commercial Mortgage | Senior Mortgages | ||
Real Estate [Roll Forward] | ||
Beginning balance, carrying value | 499,690 | 981,202 |
Originations & advances (principal) | 206,090 | 572,204 |
Principal payments | (77,344) | (16,785) |
Principal write off | 0 | |
Transfers | (245,120) | (1,034,754) |
Net (increase) decrease in origination fees | (1,055) | (4,200) |
Realized gain | 204 | |
Amortization of net origination fees | 2,371 | 2,023 |
Allowance for loan losses | ||
Beginning allowance | 0 | |
Current period allowance | (8,648) | 0 |
Write offs | 0 | |
Ending allowance | (10,911) | 0 |
Ending balance, carrying value | 373,925 | 499,690 |
Commercial Mortgage | Senior Mortgages | Cumulative Effect, Period of Adoption, Adjusted Balance | ||
Real Estate [Roll Forward] | ||
Beginning balance, carrying value | 499,690 | |
Allowance for loan losses | ||
Ending balance, carrying value | 499,690 | |
Commercial Mortgage | Senior Mortgages | Cumulative Effect, Period of Adoption, Adjustment | ||
Allowance for loan losses | ||
Beginning allowance | (2,263) | |
Ending allowance | (2,263) | |
Commercial Mortgage | Senior Securitized Mortgages | ||
Real Estate [Roll Forward] | ||
Beginning balance, carrying value | 936,378 | 0 |
Originations & advances (principal) | 0 | 0 |
Principal payments | (144,308) | (150,245) |
Principal write off | 0 | |
Transfers | 142,621 | 1,083,487 |
Net (increase) decrease in origination fees | (653) | 0 |
Realized gain | 0 | |
Amortization of net origination fees | 2,460 | 3,136 |
Allowance for loan losses | ||
Beginning allowance | 0 | |
Current period allowance | (57,983) | 0 |
Write offs | 0 | |
Ending allowance | (62,149) | 0 |
Ending balance, carrying value | 874,349 | 936,378 |
Commercial Mortgage | Senior Securitized Mortgages | Cumulative Effect, Period of Adoption, Adjusted Balance | ||
Real Estate [Roll Forward] | ||
Beginning balance, carrying value | 936,378 | |
Allowance for loan losses | ||
Ending balance, carrying value | 936,378 | |
Commercial Mortgage | Senior Securitized Mortgages | Cumulative Effect, Period of Adoption, Adjustment | ||
Allowance for loan losses | ||
Beginning allowance | (4,166) | |
Ending allowance | (4,166) | |
Mezzanine Loans | Commercial Mortgage | ||
Real Estate [Roll Forward] | ||
Beginning balance, carrying value | 170,023 | 315,601 |
Originations & advances (principal) | 12,374 | 21,709 |
Principal payments | (78) | (149,633) |
Principal write off | (7,000) | |
Transfers | (7,100) | (8,675) |
Net (increase) decrease in origination fees | (80) | (184) |
Realized gain | 0 | |
Amortization of net origination fees | 187 | 412 |
Allowance for loan losses | ||
Beginning allowance | (12,703) | |
Current period allowance | (66,521) | (9,207) |
Write offs | 23,687 | |
Ending allowance | (56,873) | (12,703) |
Ending balance, carrying value | 124,156 | 170,023 |
Mezzanine Loans | Commercial Mortgage | Cumulative Effect, Period of Adoption, Adjusted Balance | ||
Real Estate [Roll Forward] | ||
Beginning balance, carrying value | 182,726 | |
Allowance for loan losses | ||
Ending balance, carrying value | 182,726 | |
Mezzanine Loans | Commercial Mortgage | Cumulative Effect, Period of Adoption, Adjustment | ||
Allowance for loan losses | ||
Beginning allowance | $ (1,336) | |
Ending allowance | $ (1,336) |
LOANS - Internal Loan and Prefe
LOANS - Internal Loan and Preferred Equity Ratings (Details) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2020USD ($)loan | Dec. 31, 2019USD ($) | Dec. 31, 2018USD ($) | |
Real Estate [Line Items] | |||
Loan loss provision | $ 147,581 | $ 16,569 | $ 3,496 |
Commercial Mortgage | |||
Real Estate [Line Items] | |||
Total | 1,372,430 | ||
2020 | 179,193 | ||
2019 | 494,429 | ||
2018 | 373,553 | ||
2017 | 163,576 | ||
2016 | 69,171 | ||
Prior | 92,508 | ||
Accrued interest receivable | 3,800 | ||
Commercial Mortgage | Performing | |||
Real Estate [Line Items] | |||
Total | 300,623 | ||
2020 | 111,177 | ||
2019 | 134,923 | ||
2018 | 0 | ||
2017 | 12,972 | ||
2016 | 0 | ||
Prior | 41,551 | ||
Commercial Mortgage | Performing - Closely Monitored | |||
Real Estate [Line Items] | |||
Total | 145,231 | ||
2020 | 0 | ||
2019 | 145,231 | ||
2018 | 0 | ||
2017 | 0 | ||
2016 | 0 | ||
Prior | 0 | ||
Commercial Mortgage | Performing - Special Mention | |||
Real Estate [Line Items] | |||
Total | 628,224 | ||
2020 | 58,648 | ||
2019 | 135,868 | ||
2018 | 267,555 | ||
2017 | 96,982 | ||
2016 | 69,171 | ||
Prior | 0 | ||
Commercial Mortgage | Substandard | |||
Real Estate [Line Items] | |||
Total | 205,026 | ||
2020 | 9,368 | ||
2019 | 78,407 | ||
2018 | 66,294 | ||
2017 | 0 | ||
2016 | 0 | ||
Prior | 50,957 | ||
Commercial Mortgage | Doubtful | |||
Real Estate [Line Items] | |||
Total | 93,326 | ||
2020 | 0 | ||
2019 | 0 | ||
2018 | 39,704 | ||
2017 | 53,622 | ||
2016 | 0 | ||
Prior | 0 | ||
Commercial Mortgage | Loss | |||
Real Estate [Line Items] | |||
Total | 0 | ||
2020 | 0 | ||
2019 | 0 | ||
2018 | 0 | ||
2017 | 0 | ||
2016 | 0 | ||
Prior | $ 0 | ||
Mezzanine Loans | Commercial Mortgage | |||
Real Estate [Line Items] | |||
Number of loans | loan | 2 | ||
Loan loss provision | $ 46,600 |
LOANS - Schedule of Industry an
LOANS - Schedule of Industry and Rate Sensitivity (Details) - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 |
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | $ 2,239,930 | $ 2,144,850 |
Computer programming, data processing & other computer related services | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 483,142 | 394,193 |
Management and public relations services | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 300,869 | 339,179 |
Industrial Inorganic Chemical | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 156,391 | 0 |
Public warehousing and storage | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 132,397 | 107,029 |
Metal cans & shipping containers | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 115,670 | 118,456 |
Offices and clinics of doctors of medicine | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 104,781 | 106,993 |
Surgical, medical, and dental instruments and supplies | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 83,161 | 102,182 |
Electronic components & accessories | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 78,129 | 24,000 |
Engineering, architectural & surveying | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 77,308 | 124,201 |
Miscellaneous Industrial & Commercial | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 77,163 | 78,908 |
Insurance agents, brokers and services | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 67,193 | 75,410 |
Research, development and testing services | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 62,008 | 45,610 |
Miscellaneous Food Preparations | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 58,857 | 0 |
Telephone communications | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 58,450 | 61,210 |
Miscellaneous equipment rental and leasing | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 49,587 | 49,776 |
Electrical work | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 41,128 | 43,175 |
Petroleum and petroleum products | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 33,890 | 24,923 |
Medical and dental laboratories | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 30,711 | 41,344 |
Schools and educational services, not elsewhere classified | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 29,040 | 19,586 |
Home health care services | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 28,587 | 29,361 |
Metal Forgings and Stampings | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 27,523 | 0 |
Legal Services | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 26,399 | 0 |
Grocery stores | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 22,895 | 23,248 |
Coating, engraving and allied services | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 19,484 | 47,249 |
Chemicals & Allied Products | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 14,686 | 15,002 |
Miscellaneous business services | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 12,980 | 164,033 |
Drugs | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 12,942 | 15,923 |
Mailing, reproduction, commercial art and photography, and stenographic | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 12,733 | 14,755 |
Machinery, Equipment & Supplies | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 12,096 | 0 |
Offices of clinics and other health practitioners | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 9,730 | 10,098 |
Nonferrous foundries (castings) | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 0 | 30,191 |
Motor vehicles and motor vehicle parts and supplies | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 0 | 28,815 |
Miscellaneous plastic products | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | $ 0 | $ 10,000 |
LOANS - Aggregate Positions in
LOANS - Aggregate Positions in Capital Structure of Borrowers (Details) - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 |
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | $ 2,239,930 | $ 2,144,850 |
First lien loans | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 1,489,125 | 1,396,140 |
Second lien loans | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | $ 750,805 | $ 748,710 |
LOANS - Corporate Debt Held for
LOANS - Corporate Debt Held for Investment (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Financing Receivable, Allowance for Credit Loss [Line Items] | |||
Principal payments | $ (809,045) | ||
Sales | (2,891,854) | ||
Allowance for loan losses | |||
Net carrying value | 498,081 | ||
Corporate Loans | |||
Financing Receivable, Allowance for Credit Loss [Line Items] | |||
Beginning balance | $ 2,152,213 | $ 1,887,182 | |
Originations & advances | 1,061,644 | 888,036 | |
Principal payments | (576,759) | (368,927) | |
Amortization & accretion of (premium) discounts | 12,206 | 8,896 | |
Loan restructuring | (16,732) | ||
Sales | (353,090) | (262,974) | |
Allowance for loan losses | |||
Current period allowance | (14,429) | (7,363) | |
Write offs | 11,893 | ||
Ending allowance | (39,552) | ||
Net carrying value | 2,239,930 | 2,144,850 | |
Corporate Loans | Cumulative Effect, Period of Adoption, Adjusted Balance | |||
Allowance for loan losses | |||
Beginning allowance | (7,363) | ||
Ending allowance | (7,363) | ||
Corporate Loans | Cumulative Effect, Period of Adoption, Adjustment | |||
Allowance for loan losses | |||
Beginning allowance | (29,653) | ||
Ending allowance | (29,653) | ||
First lien loans | Corporate Loans | |||
Financing Receivable, Allowance for Credit Loss [Line Items] | |||
Beginning balance | 1,403,503 | 1,346,356 | |
Originations & advances | 834,211 | 542,463 | |
Principal payments | (444,759) | (228,302) | |
Amortization & accretion of (premium) discounts | 8,374 | 5,960 | |
Loan restructuring | (19,550) | ||
Sales | (273,887) | (262,974) | |
Allowance for loan losses | |||
Current period allowance | (12,510) | (7,363) | |
Write offs | 11,893 | ||
Ending allowance | (18,767) | ||
Net carrying value | 1,489,125 | 1,396,140 | |
First lien loans | Corporate Loans | Cumulative Effect, Period of Adoption, Adjusted Balance | |||
Allowance for loan losses | |||
Beginning allowance | (7,363) | ||
Ending allowance | (7,363) | ||
First lien loans | Corporate Loans | Cumulative Effect, Period of Adoption, Adjustment | |||
Allowance for loan losses | |||
Beginning allowance | (10,787) | ||
Ending allowance | (10,787) | ||
Second lien loans | Corporate Loans | |||
Financing Receivable, Allowance for Credit Loss [Line Items] | |||
Beginning balance | 748,710 | $ 540,826 | |
Originations & advances | 227,433 | 345,573 | |
Principal payments | (132,000) | (140,625) | |
Amortization & accretion of (premium) discounts | 3,832 | 2,936 | |
Loan restructuring | 2,818 | ||
Sales | (79,203) | 0 | |
Allowance for loan losses | |||
Current period allowance | (1,919) | 0 | |
Write offs | 0 | ||
Ending allowance | (20,785) | ||
Net carrying value | 750,805 | 748,710 | |
Second lien loans | Corporate Loans | Cumulative Effect, Period of Adoption, Adjusted Balance | |||
Allowance for loan losses | |||
Beginning allowance | 0 | ||
Ending allowance | 0 | ||
Second lien loans | Corporate Loans | Cumulative Effect, Period of Adoption, Adjustment | |||
Allowance for loan losses | |||
Beginning allowance | $ (18,866) | ||
Ending allowance | $ (18,866) |
LOANS - Corporate Debt Amortize
LOANS - Corporate Debt Amortized Costs Basis by Risk Rating and Vintage Year (Details) - Corporate Loans $ in Thousands | Dec. 31, 2020USD ($) |
Debt Securities, Held-to-maturity, Credit Quality Indicator [Line Items] | |
Total | $ 2,239,930 |
2020 | 537,681 |
2019 | 448,615 |
2018 | 729,382 |
2017 | 421,723 |
2016 | 68,191 |
2015 | 34,338 |
Accrued interest receivable | 11,000 |
Deferred loan fees on unfunded loans | 1,400 |
Performing | |
Debt Securities, Held-to-maturity, Credit Quality Indicator [Line Items] | |
Total | 1,760,669 |
2020 | 499,186 |
2019 | 400,873 |
2018 | 402,712 |
2017 | 355,369 |
2016 | 68,191 |
2015 | 34,338 |
Performing - Special Mention | |
Debt Securities, Held-to-maturity, Credit Quality Indicator [Line Items] | |
Total | 337,386 |
2020 | 38,495 |
2019 | 0 |
2018 | 283,464 |
2017 | 15,427 |
2016 | 0 |
2015 | 0 |
Substandard | |
Debt Securities, Held-to-maturity, Credit Quality Indicator [Line Items] | |
Total | 141,875 |
2020 | 0 |
2019 | 47,742 |
2018 | 43,206 |
2017 | 50,927 |
2016 | 0 |
2015 | 0 |
Doubtful | |
Debt Securities, Held-to-maturity, Credit Quality Indicator [Line Items] | |
Total | 0 |
2020 | 0 |
2019 | 0 |
2018 | 0 |
2017 | 0 |
2016 | 0 |
2015 | 0 |
Loss | |
Debt Securities, Held-to-maturity, Credit Quality Indicator [Line Items] | |
Total | 0 |
2020 | 0 |
2019 | 0 |
2018 | 0 |
2017 | 0 |
2016 | 0 |
2015 | $ 0 |
MORTGAGE SERVICING RIGHTS - Pre
MORTGAGE SERVICING RIGHTS - Presentation of Activity Related to MSR (Details) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2020 | Dec. 31, 2019 | |
Servicing Asset at Fair Value, Amount [Roll Forward] | ||
Fair value, beginning of period | $ 378,078 | $ 557,813 |
Sales | (72,160) | 0 |
Changes in valuation inputs or assumptions | (107,517) | (102,016) |
Other changes, including realization of expected cash flows | (97,506) | (77,719) |
Fair value, end of period | $ 100,895 | $ 378,078 |
MORTGAGE SERVICING RIGHTS - Add
MORTGAGE SERVICING RIGHTS - Additional Information (Details) - USD ($) $ in Millions | 12 Months Ended | |
Dec. 31, 2020 | Dec. 31, 2019 | |
Bank Servicing | ||
Servicing Assets at Fair Value [Line Items] | ||
Service income fee | $ 66.6 | $ 108 |
VARIABLE INTEREST ENTITIES - Ad
VARIABLE INTEREST ENTITIES - Additional Information (Details) - USD ($) | 1 Months Ended | 12 Months Ended | ||||||||||||||||||
Aug. 31, 2017 | Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | Sep. 30, 2020 | Jul. 31, 2020 | Mar. 31, 2020 | Feb. 29, 2020 | Jan. 31, 2020 | Nov. 30, 2019 | Oct. 31, 2019 | Jul. 31, 2019 | Jun. 30, 2019 | Apr. 30, 2019 | Feb. 28, 2019 | Jan. 31, 2019 | Oct. 31, 2018 | Aug. 31, 2018 | Mar. 31, 2018 | ||
Variable Interest Entity [Line Items] | ||||||||||||||||||||
Principal balance | [1] | $ 3,083,821,000 | $ 4,462,350,000 | |||||||||||||||||
Loans | 498,081,000 | |||||||||||||||||||
Securitized debt of consolidated VIEs | 5,652,982,000 | 5,622,801,000 | ||||||||||||||||||
Estimated fair value | [2] | 75,652,396,000 | 114,833,580,000 | |||||||||||||||||
Costs incurred in connection with securitization | 239,198,000 | 301,634,000 | $ 329,873,000 | |||||||||||||||||
Net gains (losses) on disposal of investments | 661,513,000 | (47,944,000) | $ (1,124,448,000) | |||||||||||||||||
Other secured financing | 917,876,000 | 4,455,700,000 | ||||||||||||||||||
Participations issued | 39,198,000 | 0 | ||||||||||||||||||
Corporate Loans | ||||||||||||||||||||
Variable Interest Entity [Line Items] | ||||||||||||||||||||
Loans 90 days or more past due or on nonaccrual status | 0 | 12,200,000 | ||||||||||||||||||
Loans | 2,239,930,000 | 2,144,850,000 | ||||||||||||||||||
MSR Silo | ||||||||||||||||||||
Variable Interest Entity [Line Items] | ||||||||||||||||||||
Variable interest entity, ownership percentage | 100.00% | |||||||||||||||||||
Consolidated VIEs | ||||||||||||||||||||
Variable Interest Entity [Line Items] | ||||||||||||||||||||
Exposure to obligations of VIEs | 2,500,000,000 | |||||||||||||||||||
Consolidated VIEs | Commercial Trusts | ||||||||||||||||||||
Variable Interest Entity [Line Items] | ||||||||||||||||||||
Principal balance | 2,300,000,000 | |||||||||||||||||||
Gain (loss) attributable to instrument- specific credit risk | 0 | 0 | ||||||||||||||||||
Loans | 0 | 0 | ||||||||||||||||||
Other secured financing | 0 | 0 | ||||||||||||||||||
Consolidated VIEs | Residential Trusts | ||||||||||||||||||||
Variable Interest Entity [Line Items] | ||||||||||||||||||||
Loans | 0 | 0 | ||||||||||||||||||
Contractual principal amount of debt held by third parties | 23,000,000 | 57,300,000 | ||||||||||||||||||
Other secured financing | 0 | 0 | ||||||||||||||||||
Consolidated VIEs | Borrower | ||||||||||||||||||||
Variable Interest Entity [Line Items] | ||||||||||||||||||||
Credit facility, maximum borrowing capacity | 625,000,000 | 625,000,000 | ||||||||||||||||||
Other secured financing | 441,100,000 | 426,600,000 | ||||||||||||||||||
Consolidated VIEs | Multifamily | ||||||||||||||||||||
Variable Interest Entity [Line Items] | ||||||||||||||||||||
Cut-off date principal balance | $ 500,000,000 | $ 1,000,000,000 | ||||||||||||||||||
Derecognized securities | 1,200,000,000 | |||||||||||||||||||
Derecognized securitization vehicles | 1,100,000,000 | |||||||||||||||||||
Net gains (losses) on disposal of investments | 104,800,000 | |||||||||||||||||||
Costs incurred | 1,100,000 | |||||||||||||||||||
Consolidated VIEs | Multifamily | Retained Interest | ||||||||||||||||||||
Variable Interest Entity [Line Items] | ||||||||||||||||||||
Retained interest notional balance | $ 500,000,000 | 1,000,000,000 | ||||||||||||||||||
Consolidated VIEs | Multifamily | Senior Securities | ||||||||||||||||||||
Variable Interest Entity [Line Items] | ||||||||||||||||||||
Principal balance | $ 28,500,000 | |||||||||||||||||||
Consolidated VIEs | Consolidation, Eliminations | Borrower | ||||||||||||||||||||
Variable Interest Entity [Line Items] | ||||||||||||||||||||
Principal balance | 441,100,000 | 426,600,000 | ||||||||||||||||||
Consolidated VIEs | Corporate Loans | Borrower | ||||||||||||||||||||
Variable Interest Entity [Line Items] | ||||||||||||||||||||
Transferred loans pledged as collateral for credit facility | 786,900,000 | 741,300,000 | ||||||||||||||||||
Consolidated VIEs | NLY 2019-FL2 | ||||||||||||||||||||
Variable Interest Entity [Line Items] | ||||||||||||||||||||
Principal balance | 856,900,000 | |||||||||||||||||||
Loans | $ 857,300,000 | |||||||||||||||||||
Securitized debt of consolidated VIEs | 625,800,000 | |||||||||||||||||||
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 | 202,400,000 | |||||||||||||||||||
Consolidated VIEs | OBX Trust | ||||||||||||||||||||
Variable Interest Entity [Line Items] | ||||||||||||||||||||
Loans | $ 514,609,000 | $ 489,352,000 | $ 467,511,000 | $ 374,609,000 | $ 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 | 2,600,000,000 | 2,000,000,000 | ||||||||||||||||||
Costs incurred in connection with securitization | 7,200,000 | 9,000,000 | ||||||||||||||||||
Contractual principal amount of debt held by third parties | 2,500,000,000 | 1,900,000,000 | ||||||||||||||||||
Consolidated VIEs | OBX Trust | Consolidation, Eliminations | ||||||||||||||||||||
Variable Interest Entity [Line Items] | ||||||||||||||||||||
Estimated fair value | 653,000,000 | 565,700,000 | ||||||||||||||||||
Consolidated VIEs | Financing Receivables, Equal to Greater than 90 Days Past Due | Commercial Trusts | ||||||||||||||||||||
Variable Interest Entity [Line Items] | ||||||||||||||||||||
Loans 90 days or more past due or on nonaccrual status | 0 | 0 | ||||||||||||||||||
Consolidated VIEs | July 2017 Credit Facility | Borrower | ||||||||||||||||||||
Variable Interest Entity [Line Items] | ||||||||||||||||||||
Credit facility, maximum borrowing capacity | 320,000,000 | 320,000,000 | ||||||||||||||||||
Consolidated VIEs | July 2017 Credit Facility | Corporate Loans | Borrower | ||||||||||||||||||||
Variable Interest Entity [Line Items] | ||||||||||||||||||||
Transferred loans pledged as collateral for credit facility | 400,400,000 | 413,700,000 | ||||||||||||||||||
Other secured financing | 209,700,000 | 244,200,000 | ||||||||||||||||||
Consolidated VIEs | January 2019 Credit Facility | Borrower | ||||||||||||||||||||
Variable Interest Entity [Line Items] | ||||||||||||||||||||
Credit facility, maximum borrowing capacity | $ 300,000,000 | |||||||||||||||||||
Consolidated VIEs | January 2019 Credit Facility | Corporate Loans | Borrower | ||||||||||||||||||||
Variable Interest Entity [Line Items] | ||||||||||||||||||||
Other secured financing | 236,600,000 | $ 157,500,000 | ||||||||||||||||||
VIE, Not Primary Beneficiary | ||||||||||||||||||||
Variable Interest Entity [Line Items] | ||||||||||||||||||||
Loans transferred for cash | 159,300,000 | |||||||||||||||||||
VIE, Not Primary Beneficiary | Residential mortgage loans | ||||||||||||||||||||
Variable Interest Entity [Line Items] | ||||||||||||||||||||
Participations issued | $ 39,200,000 | |||||||||||||||||||
[1] | Includes $47.0 million and $66.7 million of residential mortgage loans held for sale. | |||||||||||||||||||
[2] | Excludes $81.5 million and $102.5 million at December 31, 2020 and 2019, respectively, of agency mortgage-backed securities, $576.6 million and $468.0 million at December 31, 2020 and 2019, respectively, of non-Agency mortgage-backed securities and $391.0 million and $500.3 million at December 31, 2020 and December 31, 2019, respectively, of commercial mortgage-backed securities in consolidated VIEs pledged as collateral and eliminated from the Company’s Consolidated Statements of Financial Condition. |
VARIABLE INTEREST ENTITIES - Sc
VARIABLE INTEREST ENTITIES - Schedule of Securitization Trusts (Details) - Consolidated VIEs - Commercial Trusts - USD ($) $ 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, 2020 | Sep. 30, 2020 | Jul. 31, 2020 | Feb. 29, 2020 | Jan. 31, 2020 | Oct. 31, 2019 | Jul. 31, 2019 | Jun. 30, 2019 | Apr. 30, 2019 | Jan. 31, 2019 | Oct. 31, 2018 | Aug. 31, 2018 | Mar. 31, 2018 |
Variable Interest Entity [Line Items] | |||||||||||||
Loans | $ 498,081 | ||||||||||||
OBX Trust | Consolidated VIEs | |||||||||||||
Variable Interest Entity [Line Items] | |||||||||||||
Loans | $ 514,609 | $ 489,352 | $ 467,511 | $ 374,609 | $ 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, 2020 | Dec. 31, 2019 | |
Assets | |||
Cash and cash equivalents | [1] | $ 1,243,703 | $ 1,850,729 |
Loans | 498,081 | ||
Assets transferred or pledged to securitization vehicles | 6,910,020 | 7,002,460 | |
Mortgage servicing rights | 100,895 | 378,078 | |
Principal and interest receivable | 268,073 | 449,906 | |
Other assets | 225,494 | 381,220 | |
Total assets | 88,455,103 | 130,295,081 | |
Liabilities | |||
Other secured financing | 917,876 | 4,455,700 | |
Interest payable | 191,116 | 476,335 | |
Other liabilities | 155,613 | 93,388 | |
Total liabilities | 74,433,307 | 114,498,737 | |
Consolidated VIEs | |||
Assets | |||
Cash and cash equivalents | 22,200 | 67,500 | |
Consolidated VIEs | Commercial Trusts | |||
Assets | |||
Cash and cash equivalents | 0 | 0 | |
Loans | 0 | 0 | |
Assets transferred or pledged to securitization vehicles | 2,166,073 | 2,345,120 | |
Mortgage servicing rights | 0 | 0 | |
Principal and interest receivable | 5,509 | 7,085 | |
Other assets | 0 | 0 | |
Total assets | 2,171,582 | 2,352,205 | |
Liabilities | |||
Debt issued by securitization vehicles (non-recourse) | 1,836,785 | 1,967,523 | |
Other secured financing | 0 | 0 | |
Payable for unsettled trades | 0 | 0 | |
Interest payable | 1,697 | 3,008 | |
Other liabilities | 0 | 0 | |
Total liabilities | 1,838,482 | 1,970,531 | |
Consolidated VIEs | Residential Trusts | |||
Assets | |||
Cash and cash equivalents | 0 | 0 | |
Loans | 0 | 0 | |
Assets transferred or pledged to securitization vehicles | 40,035 | 75,924 | |
Mortgage servicing rights | 0 | 0 | |
Principal and interest receivable | 226 | 408 | |
Other assets | 0 | 0 | |
Total assets | 40,261 | 76,332 | |
Liabilities | |||
Debt issued by securitization vehicles (non-recourse) | 23,351 | 57,905 | |
Other secured financing | 0 | 0 | |
Payable for unsettled trades | 0 | 0 | |
Interest payable | 55 | 137 | |
Other liabilities | 246 | 78 | |
Total liabilities | 23,652 | 58,120 | |
Consolidated VIEs | MSR Silo | |||
Assets | |||
Cash and cash equivalents | 22,241 | 67,455 | |
Loans | 47,048 | 66,722 | |
Assets transferred or pledged to securitization vehicles | 0 | 0 | |
Mortgage servicing rights | 100,895 | 378,078 | |
Principal and interest receivable | 0 | 0 | |
Other assets | 0 | 27,021 | |
Total assets | 170,184 | 539,276 | |
Liabilities | |||
Debt issued by securitization vehicles (non-recourse) | 0 | 0 | |
Other secured financing | 30,420 | 38,981 | |
Payable for unsettled trades | 3,076 | 18,364 | |
Interest payable | 0 | 0 | |
Other liabilities | 13,345 | 2,393 | |
Total liabilities | $ 46,841 | $ 59,738 | |
[1] | Includes cash of consolidated Variable Interest Entities (“VIEs”) of $22.2 million and $67.5 million at December 31, 2020 and 2019, 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, 2020USD ($) | |
Commercial Trusts | |
Concentration Risk [Line Items] | |
Principal balance | $ 3,241,472 |
Residential Trusts | |
Concentration Risk [Line Items] | |
Principal balance | 39,459 |
California | Commercial Trusts | |
Concentration Risk [Line Items] | |
Principal balance | 1,051,276 |
California | Residential Trusts | |
Concentration Risk [Line Items] | |
Principal balance | 18,692 |
Illinois | Residential Trusts | |
Concentration Risk [Line Items] | |
Principal balance | 5,356 |
Texas | Commercial Trusts | |
Concentration Risk [Line Items] | |
Principal balance | 459,256 |
Texas | Residential Trusts | |
Concentration Risk [Line Items] | |
Principal balance | 4,972 |
New York | Commercial Trusts | |
Concentration Risk [Line Items] | |
Principal balance | 369,691 |
Florida | Commercial Trusts | |
Concentration Risk [Line Items] | |
Principal balance | 196,865 |
Washington | Commercial Trusts | |
Concentration Risk [Line Items] | |
Principal balance | 182,000 |
Arizona | Commercial Trusts | |
Concentration Risk [Line Items] | |
Principal balance | 171,102 |
Massachusetts | Residential Trusts | |
Concentration Risk [Line Items] | |
Principal balance | 2,265 |
Other | Commercial Trusts | |
Concentration Risk [Line Items] | |
Principal balance | 811,282 |
Other | Residential Trusts | |
Concentration Risk [Line Items] | |
Principal balance | $ 8,174 |
Securitized Loans | Geographic Concentration Risk | Commercial Trusts | |
Concentration Risk [Line Items] | |
% of balance | 100.00% |
Securitized Loans | Geographic Concentration Risk | Residential Trusts | |
Concentration Risk [Line Items] | |
% of balance | 100.00% |
Securitized Loans | Geographic Concentration Risk | California | Commercial Trusts | |
Concentration Risk [Line Items] | |
% of balance | 32.40% |
Securitized Loans | Geographic Concentration Risk | California | Residential Trusts | |
Concentration Risk [Line Items] | |
% of balance | 47.40% |
Securitized Loans | Geographic Concentration Risk | Illinois | Residential Trusts | |
Concentration Risk [Line Items] | |
% of balance | 13.60% |
Securitized Loans | Geographic Concentration Risk | Texas | Commercial Trusts | |
Concentration Risk [Line Items] | |
% of balance | 14.20% |
Securitized Loans | Geographic Concentration Risk | Texas | Residential Trusts | |
Concentration Risk [Line Items] | |
% of balance | 12.60% |
Securitized Loans | Geographic Concentration Risk | New York | Commercial Trusts | |
Concentration Risk [Line Items] | |
% of balance | 11.40% |
Securitized Loans | Geographic Concentration Risk | Florida | Commercial Trusts | |
Concentration Risk [Line Items] | |
% of balance | 6.10% |
Securitized Loans | Geographic Concentration Risk | Washington | Commercial Trusts | |
Concentration Risk [Line Items] | |
% of balance | 5.60% |
Securitized Loans | Geographic Concentration Risk | Arizona | Commercial Trusts | |
Concentration Risk [Line Items] | |
% of balance | 5.30% |
Securitized Loans | Geographic Concentration Risk | Massachusetts | Residential Trusts | |
Concentration Risk [Line Items] | |
% of balance | 5.70% |
Securitized Loans | Geographic Concentration Risk | Other | Commercial Trusts | |
Concentration Risk [Line Items] | |
% of balance | 25.00% |
Securitized Loans | Geographic Concentration Risk | Other | Residential Trusts | |
Concentration Risk [Line Items] | |
% of balance | 20.70% |
REAL ESTATE - Summary of Estima
REAL ESTATE - Summary of Estimated Useful Lives of Assets (Details) | 12 Months Ended |
Dec. 31, 2020 | |
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) | 12 Months Ended | |
Dec. 31, 2020USD ($)realEstateProperty | Dec. 31, 2019USD ($)realEstateProperty | |
Real Estate Properties [Line Items] | ||
Real estate acquired in settlement of residential mortgage loans | $ 0 | $ 0 |
Number of commercial real estate acquisitions, foreclosure | realEstateProperty | 2 | |
Foreclosure agreement, amount | $ 79,800,000 | |
Number of commercial real estate acquisitions | realEstateProperty | 0 | |
Proceeds from sales of real estate | 124,500,000 | $ 25,200,000 |
Gain on sale of real estate | $ 19,700,000 | $ 7,500,000 |
Number of real estate properties sold | realEstateProperty | 2 | |
Weighted average amortization period | 5 years 6 months | |
General and Administrative Expense | ||
Real Estate Properties [Line Items] | ||
Depreciation expense | $ 22,700,000 | $ 23,700,000 |
REAL ESTATE - Total Commercial
REAL ESTATE - Total Commercial Real Estate Held for Investments (Details) - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | Dec. 31, 2017 |
Real estate held for investment, at amortized cost | ||||
Real estate held for investment, at amortized cost | $ 663,912 | $ 704,354 | ||
Less: accumulated depreciation | (100,147) | (87,532) | $ (67,026) | $ (48,920) |
Total real estate held for investment, at amortized cost, net | 563,765 | 616,822 | ||
Equity in unconsolidated joint ventures | 92,549 | 108,816 | ||
Investments in commercial real estate, net | 656,314 | 725,638 | ||
Land | ||||
Real estate held for investment, at amortized cost | ||||
Real estate held for investment, at amortized cost | 164,240 | 121,720 | ||
Buildings and improvements | ||||
Real estate held for investment, at amortized cost | ||||
Real estate held for investment, at amortized cost | 493,432 | 571,396 | ||
Furniture, fixtures and equipment | ||||
Real estate held for investment, at amortized cost | ||||
Real estate held for investment, at amortized cost | $ 6,240 | $ 11,238 |
REAL ESTATE - Minimum Future Re
REAL ESTATE - Minimum Future Rentals to be Received on Noncancelable Operating Leases (Details) $ in Thousands | Dec. 31, 2020USD ($) |
Real Estate [Abstract] | |
2021 | $ 44,267 |
2022 | 39,981 |
2023 | 36,161 |
2024 | 30,645 |
2025 | 24,362 |
Later years | 60,971 |
Total | $ 236,387 |
DERIVATIVE INSTRUMENTS - Additi
DERIVATIVE INSTRUMENTS - Additional Information (Details) - USD ($) $ in Millions | Dec. 31, 2020 | Dec. 31, 2019 |
Derivative [Line Items] | ||
Aggregate fair value of derivative instruments in a net liability position | $ 900 | |
Interest Rate Swaps | ||
Derivative [Line Items] | ||
Variation margin reported as an adjustment to interest rate swaps | $ 1,500 | $ 517.8 |
DERIVATIVE INSTRUMENTS - Summar
DERIVATIVE INSTRUMENTS - Summary of Fair Value Information about Derivative Assets and Liabilities (Details) - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 |
Derivatives, Fair Value [Line Items] | ||
Interest rate swaps | $ 0 | $ 1,199 |
Total derivative assets | 171,134 | 113,556 |
Interest rate swaps | 1,006,492 | 706,862 |
Total derivative liabilities | 1,033,345 | 803,866 |
Futures Contracts | ||
Derivatives, Fair Value [Line Items] | ||
Derivative assets | 506 | 77,889 |
Total derivative assets | 506 | 77,889 |
Derivative liabilities | 19,413 | 84,781 |
Total derivative liabilities | 19,413 | 84,781 |
Purchase Commitments | ||
Derivatives, Fair Value [Line Items] | ||
Derivative assets | 49 | 2,050 |
Total derivative assets | 49 | 2,050 |
Derivative liabilities | 0 | 907 |
Total derivative liabilities | 907 | |
Interest Rate Swaptions | ||
Derivatives, Fair Value [Line Items] | ||
Derivative assets | 74,470 | 11,580 |
Total derivative assets | 74,470 | 11,580 |
TBA Derivatives | ||
Derivatives, Fair Value [Line Items] | ||
Derivative assets | 96,109 | 15,181 |
Total derivative assets | 96,109 | 15,181 |
Derivative liabilities | 0 | 11,316 |
Total derivative liabilities | 11,316 | |
Credit Derivatives | ||
Derivatives, Fair Value [Line Items] | ||
Derivative assets | 0 | 5,657 |
Total derivative assets | 5,657 | |
Derivative liabilities | 7,440 | 0 |
Total derivative liabilities | 7,440 | |
Current Notional | 0 | 10,000 |
Credit Derivatives | Maximum | ||
Derivatives, Fair Value [Line Items] | ||
Current Notional | $ 504,000 | $ 345,000 |
DERIVATIVE INSTRUMENTS - Summ_2
DERIVATIVE INSTRUMENTS - Summary of Characteristics of Interest Rate Swaps (Details) - USD ($) | 12 Months Ended | |
Dec. 31, 2020 | Dec. 31, 2019 | |
Interest Rate Swaps | ||
Derivative [Line Items] | ||
Current Notional | $ 34,329,650,000 | $ 74,146,350,000 |
Weighted Average Pay Rate | 0.92% | 1.84% |
Weighted Average Receive Rate | 0.37% | 1.89% |
Weighted Average Years to Maturity | 3 years 11 months 8 days | 4 years 2 months 23 days |
Interest Rate Swaps | LIBOR | ||
Derivative [Line Items] | ||
Nonmonetary notional amount, percentage | 0.17 | 0.75 |
Interest Rate Swaps | Federal Funds Rate | ||
Derivative [Line Items] | ||
Nonmonetary notional amount, percentage | 0.72 | |
Interest Rate Swaps | Overnight Index Swap | ||
Derivative [Line Items] | ||
Nonmonetary notional amount, percentage | 0.11 | 0.25 |
Interest Rate Swaps | 0 - 3 years | ||
Derivative [Line Items] | ||
Current Notional | $ 23,680,150,000 | $ 38,942,400,000 |
Weighted Average Pay Rate | 0.27% | 1.60% |
Weighted Average Receive Rate | 0.11% | 1.84% |
Weighted Average Years to Maturity | 1 year 11 months 15 days | 1 year 3 months 14 days |
Minimum Maturity Period | 0 years | 0 years |
Maximum Maturity Period | 3 years | 3 years |
Interest Rate Swaps | 3 - 6 years | ||
Derivative [Line Items] | ||
Current Notional | $ 3,600,000,000 | $ 16,097,450,000 |
Weighted Average Pay Rate | 0.18% | 1.77% |
Weighted Average Receive Rate | 0.09% | 1.87% |
Weighted Average Years to Maturity | 4 years 2 months 15 days | 4 years 3 months 18 days |
Minimum Maturity Period | 3 years | 3 years |
Maximum Maturity Period | 6 years | 6 years |
Interest Rate Swaps | 6 - 10 years | ||
Derivative [Line Items] | ||
Current Notional | $ 5,565,500,000 | $ 16,176,500,000 |
Weighted Average Pay Rate | 1.40% | 2.20% |
Weighted Average Receive Rate | 0.62% | 2.02% |
Weighted Average Years to Maturity | 7 years 9 months 3 days | 9 years |
Minimum Maturity Period | 6 years | 6 years |
Maximum Maturity Period | 10 years | 10 years |
Interest Rate Swaps | Greater than 10 years | ||
Derivative [Line Items] | ||
Current Notional | $ 1,484,000,000 | $ 2,930,000,000 |
Weighted Average Pay Rate | 3.06% | 3.76% |
Weighted Average Receive Rate | 0.36% | 1.86% |
Weighted Average Years to Maturity | 20 years 6 months 7 days | 17 years 10 months 17 days |
Minimum Maturity Period | 10 years | 10 years |
Forward Starting Pay Fixed Swaps | ||
Derivative [Line Items] | ||
Current Notional | $ 0 | $ 0 |
DERIVATIVE INSTRUMENTS - Summ_3
DERIVATIVE INSTRUMENTS - Summary of Swaptions Outstanding (Details) - Notional - Long Positions - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2020 | Dec. 31, 2019 | |
Long Pay | ||
Derivative [Line Items] | ||
Current Notional | $ 8,050,000 | $ 4,675,000 |
Weighted Average Underlying Fixed Rate | 1.27% | 2.53% |
Weighted Average Years to Maturity | 10 years 4 months 24 days | 9 years 2 months 19 days |
Weighted Average Months to Expiration | 5 years 5 months 1 day | 4 years 7 months 28 days |
Long Receive | ||
Derivative [Line Items] | ||
Current Notional | $ 250,000 | $ 2,000,000 |
Weighted Average Underlying Fixed Rate | 1.66% | 1.49% |
Weighted Average Years to Maturity | 10 years 7 days | 10 years 3 months 14 days |
Weighted Average Months to Expiration | 1 month 17 days | 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, 2020 | Dec. 31, 2019 | |
Derivative [Line Items] | ||
Notional | $ 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 | $ 19,635,000 | 10,043,000 |
Implied Cost Basis | 20,277,088 | 10,182,891 |
Implied Market Value | 20,373,197 | 10,192,038 |
Net Carrying Value | $ 96,109 | 9,147 |
Sale Contracts | ||
Derivative [Line Items] | ||
Notional | (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, 2020 | Dec. 31, 2019 | |
U.S. Treasury Futures | 2 Year | ||
Derivative [Line Items] | ||
Weighted Average Years to Maturity | 1 year 11 months 15 days | |
Maturity Period | 2 years | |
U.S. Treasury Futures | 2 Year | Notional - Long Positions | ||
Derivative [Line Items] | ||
Notional Amount Long (Short) | $ 0 | |
U.S. Treasury Futures | 2 Year | Notional - Short Positions | ||
Derivative [Line Items] | ||
Notional Amount Long (Short) | $ 180,000 | |
U.S. Treasury Futures | 5 Year | ||
Derivative [Line Items] | ||
Weighted Average Years to Maturity | 4 years 4 months 24 days | 4 years 5 months 1 day |
Maturity Period | 5 years | 5 years |
U.S. Treasury Futures | 5 Year | Notional - Long Positions | ||
Derivative [Line Items] | ||
Notional Amount Long (Short) | $ 0 | $ 0 |
U.S. Treasury Futures | 5 Year | Notional - Short Positions | ||
Derivative [Line Items] | ||
Notional Amount Long (Short) | $ 1,240,000 | $ 2,953,300 |
U.S. Treasury Futures | 10 Year and Greater | ||
Derivative [Line Items] | ||
Weighted Average Years to Maturity | 6 years 10 months 24 days | 9 years 8 months 26 days |
Minimum Maturity Period | 10 years | 10 years |
U.S. Treasury Futures | 10 Year and Greater | Notional - Long Positions | ||
Derivative [Line Items] | ||
Notional Amount Long (Short) | $ 0 | $ 2,600,000 |
U.S. Treasury Futures | 10 Year and Greater | Notional - Short Positions | ||
Derivative [Line Items] | ||
Notional Amount Long (Short) | $ 9,183,800 | $ 5,806,400 |
Futures Contracts | ||
Derivative [Line Items] | ||
Weighted Average Years to Maturity | 6 years 7 months 6 days | 8 years 3 months 3 days |
Futures Contracts | Notional - Long Positions | ||
Derivative [Line Items] | ||
Notional Amount Long (Short) | $ 0 | $ 2,600,000 |
Futures Contracts | Notional - Short Positions | ||
Derivative [Line Items] | ||
Notional Amount Long (Short) | $ 10,423,800 | $ 8,939,700 |
DERIVATIVE INSTRUMENTS - Offset
DERIVATIVE INSTRUMENTS - Offsetting of Derivative Assets and Liabilities (Details) - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 |
Assets | ||
Gross amounts | $ 171,134 | $ 113,556 |
Liabilities | ||
Gross amounts | 1,033,345 | 803,866 |
Futures Contracts | ||
Assets | ||
Gross amounts | 506 | 77,889 |
Amounts eligible for offset, financial instruments | (506) | (10,902) |
Amounts eligible for offset, cash collateral | 0 | 0 |
Net amounts | 0 | 66,987 |
Liabilities | ||
Gross amounts | 19,413 | 84,781 |
Amounts eligible for offset, financial instruments | (506) | (10,902) |
Amounts eligible for offset, cash collateral | (18,907) | (73,879) |
Net amounts | 0 | 0 |
Purchase Commitments | ||
Assets | ||
Gross amounts | 49 | 2,050 |
Amounts eligible for offset, financial instruments | 0 | 0 |
Amounts eligible for offset, cash collateral | 0 | 0 |
Net amounts | 49 | 2,050 |
Liabilities | ||
Gross amounts | 907 | |
Amounts eligible for offset, financial instruments | 0 | |
Amounts eligible for offset, cash collateral | 0 | |
Net amounts | 907 | |
Interest Rate Swaps | ||
Assets | ||
Gross amounts | 1,199 | |
Amounts eligible for offset, financial instruments | (951) | |
Amounts eligible for offset, cash collateral | 0 | |
Net amounts | 248 | |
Liabilities | ||
Gross amounts | 1,006,492 | 706,862 |
Amounts eligible for offset, financial instruments | 0 | (951) |
Amounts eligible for offset, cash collateral | (108,757) | (104,205) |
Net amounts | 897,735 | 601,706 |
Interest Rate Swaptions | ||
Assets | ||
Gross amounts | 74,470 | 11,580 |
Amounts eligible for offset, financial instruments | 0 | 0 |
Amounts eligible for offset, cash collateral | 0 | 0 |
Net amounts | 74,470 | 11,580 |
TBA Derivatives | ||
Assets | ||
Gross amounts | 96,109 | 15,181 |
Amounts eligible for offset, financial instruments | 0 | (5,018) |
Amounts eligible for offset, cash collateral | 0 | 0 |
Net amounts | 96,109 | 10,163 |
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 | |
Amounts eligible for offset, financial instruments | 0 | |
Amounts eligible for offset, cash collateral | 0 | |
Net amounts | $ 5,657 | |
Liabilities | ||
Gross amounts | 7,440 | |
Amounts eligible for offset, financial instruments | 0 | |
Amounts eligible for offset, cash collateral | (7,440) | |
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, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |||
Net interest component of interest rate swaps | $ (207,877) | $ 351,375 | $ 100,553 |
Realized gains (losses) on termination of interest rate swaps | (1,917,628) | (1,442,964) | 1,409 |
Unrealized gains (losses) on interest rate swaps | $ (904,532) | $ (1,210,276) | $ 424,081 |
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, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Derivative [Line Items] | |||
Unrealized Gain (Loss) | $ (904,532) | $ (1,210,276) | $ 424,081 |
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives | 756,305 | (680,770) | |
U.S. Treasury Futures | |||
Derivative [Line Items] | |||
Realized Gain (Loss) | (268,084) | (1,418,143) | |
Unrealized Gain (Loss) | (12,015) | 455,417 | |
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives | (280,099) | (962,726) | |
Purchase Commitments | |||
Derivative [Line Items] | |||
Realized Gain (Loss) | 0 | 0 | |
Unrealized Gain (Loss) | (1,093) | 333 | |
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives | (1,093) | 333 | |
TBA Derivatives | |||
Derivative [Line Items] | |||
Realized Gain (Loss) | 893,120 | 464,575 | |
Unrealized Gain (Loss) | 92,244 | (137,823) | |
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives | 985,364 | 326,752 | |
Interest Rate Swaptions | |||
Derivative [Line Items] | |||
Realized Gain (Loss) | 11,730 | (47,863) | |
Unrealized Gain (Loss) | 46,301 | (15,961) | |
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives | 58,031 | (63,824) | |
Credit Derivatives | |||
Derivative [Line Items] | |||
Realized Gain (Loss) | 6,068 | 8,077 | |
Unrealized Gain (Loss) | (11,966) | 10,618 | |
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives | $ (5,898) | $ 18,695 |
FAIR VALUE MEASUREMENTS - Estim
FAIR VALUE MEASUREMENTS - Estimated Fair Values of Financial Instruments (Details) - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Assets | ||||
Estimated fair value | [1] | $ 75,652,396 | $ 114,833,580 | |
Mortgage servicing rights | 100,895 | 378,078 | $ 557,813 | |
Assets transferred or pledged to securitization vehicles | 6,910,020 | 7,002,460 | ||
Interest rate swaps | 0 | 1,199 | ||
Liabilities | ||||
Participations issued | 39,198 | 0 | ||
Derivative liabilities | ||||
Interest rate swaps | 1,006,492 | 706,862 | ||
Residential Mortgage Loans | ||||
Assets | ||||
Fair value | 3,595,061 | 4,246,161 | ||
Fair Value, Measurements, Recurring | ||||
Assets | ||||
Agency mortgage-backed securities | 74,067,059 | 112,893,367 | ||
Credit risk transfer securities | 532,403 | 531,322 | ||
Mortgage servicing rights | 100,895 | 378,078 | ||
Assets transferred or pledged to securitization vehicles | 6,035,671 | 6,066,082 | ||
Interest rate swaps | 1,199 | |||
Derivative assets | ||||
Other derivatives | 171,134 | 112,357 | ||
Total assets | 82,305,906 | 123,039,083 | ||
Liabilities | ||||
Debt issued by securitization vehicles | 5,652,982 | 5,622,801 | ||
Participations issued | 39,198 | |||
Derivative liabilities | ||||
Interest rate swaps | 1,006,492 | 706,862 | ||
Other derivatives | 26,853 | 97,004 | ||
Total liabilities | 6,725,525 | 6,426,667 | ||
Fair Value, Measurements, Recurring | Non-Agency Mortgage-backed Securities | ||||
Assets | ||||
Estimated fair value | 972,192 | 1,135,868 | ||
Fair Value, Measurements, Recurring | Commercial Mortgage-Backed Securities | ||||
Assets | ||||
Estimated fair value | 80,742 | 273,023 | ||
Fair Value, Measurements, Recurring | Residential Mortgage Loans | ||||
Assets | ||||
Fair value | 345,810 | 1,647,787 | ||
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 | |||
Derivative assets | ||||
Other derivatives | 506 | 77,889 | ||
Total assets | 506 | 77,889 | ||
Liabilities | ||||
Debt issued by securitization vehicles | 0 | 0 | ||
Participations issued | 0 | |||
Derivative liabilities | ||||
Interest rate swaps | 0 | 0 | ||
Other derivatives | 19,413 | 84,781 | ||
Total liabilities | 19,413 | 84,781 | ||
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 | ||||
Fair value | 0 | 0 | ||
Fair Value, Measurements, Recurring | Level 2 | ||||
Assets | ||||
Agency mortgage-backed securities | 74,067,059 | 112,893,367 | ||
Credit risk transfer securities | 532,403 | 531,322 | ||
Mortgage servicing rights | 0 | 0 | ||
Assets transferred or pledged to securitization vehicles | 6,035,671 | 6,066,082 | ||
Interest rate swaps | 1,199 | |||
Derivative assets | ||||
Other derivatives | 170,628 | 34,468 | ||
Total assets | 82,204,505 | 122,583,116 | ||
Liabilities | ||||
Debt issued by securitization vehicles | 5,652,982 | 5,622,801 | ||
Participations issued | 39,198 | |||
Derivative liabilities | ||||
Interest rate swaps | 1,006,492 | 706,862 | ||
Other derivatives | 7,440 | 12,223 | ||
Total liabilities | 6,706,112 | 6,341,886 | ||
Fair Value, Measurements, Recurring | Level 2 | Non-Agency Mortgage-backed Securities | ||||
Assets | ||||
Estimated fair value | 972,192 | 1,135,868 | ||
Fair Value, Measurements, Recurring | Level 2 | Commercial Mortgage-Backed Securities | ||||
Assets | ||||
Estimated fair value | 80,742 | 273,023 | ||
Fair Value, Measurements, Recurring | Level 2 | Residential Mortgage Loans | ||||
Assets | ||||
Fair value | 345,810 | 1,647,787 | ||
Fair Value, Measurements, Recurring | Level 3 | ||||
Assets | ||||
Agency mortgage-backed securities | 0 | 0 | ||
Credit risk transfer securities | 0 | 0 | ||
Mortgage servicing rights | 100,895 | 378,078 | ||
Assets transferred or pledged to securitization vehicles | 0 | 0 | ||
Interest rate swaps | 0 | |||
Derivative assets | ||||
Other derivatives | 0 | 0 | ||
Total assets | 100,895 | 378,078 | ||
Liabilities | ||||
Debt issued by securitization vehicles | 0 | 0 | ||
Participations issued | 0 | |||
Derivative liabilities | ||||
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 | ||||
Fair value | $ 0 | $ 0 | ||
[1] | Excludes $81.5 million and $102.5 million at December 31, 2020 and 2019, respectively, of agency mortgage-backed securities, $576.6 million and $468.0 million at December 31, 2020 and 2019, respectively, of non-Agency mortgage-backed securities and $391.0 million and $500.3 million at December 31, 2020 and December 31, 2019, respectively, of commercial mortgage-backed securities in consolidated VIEs pledged as collateral and eliminated from the Company’s Consolidated Statements of Financial Condition. |
FAIR VALUE MEASUREMENTS - Infor
FAIR VALUE MEASUREMENTS - Information about Significant Unobservable Inputs Used for Recurring Fair Value Measurements for Level 3 MSRs (Detail) - Fair Value, Measurements, Recurring - Level 3 - Mortgage Servicing Rights | 12 Months Ended | |
Dec. 31, 2020USD ($) | Dec. 31, 2019USD ($) | |
Minimum | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] (Deprecated 2018-01-31) | ||
Unobservable input, cost to service | $ 83 | $ 81 |
Maximum | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] (Deprecated 2018-01-31) | ||
Unobservable input, cost to service | 108 | 135 |
Weighted Average | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] (Deprecated 2018-01-31) | ||
Unobservable input, cost to service | $ 98 | $ 107 |
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 | 0.094 | 0.093 |
Prepayment Rate | Minimum | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] (Deprecated 2018-01-31) | ||
MSR measurement inputs | 0.193 | 0.063 |
Prepayment Rate | Maximum | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] (Deprecated 2018-01-31) | ||
MSR measurement inputs | 0.555 | 0.266 |
Prepayment Rate | Weighted Average | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] (Deprecated 2018-01-31) | ||
MSR measurement inputs | 0.420 | 0.137 |
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 | 0.060 | 0.040 |
Delinquency Rate | Weighted Average | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] (Deprecated 2018-01-31) | ||
MSR measurement inputs | 0.025 | 0.022 |
FAIR VALUE MEASUREMENTS - Est_2
FAIR VALUE MEASUREMENTS - Estimated Fair Values for All Financial Assets and Liabilities (Detail) - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 |
Financial assets | ||
Assets transferred or pledged to securitization vehicles | $ 6,910,020 | $ 7,002,460 |
Financial liabilities | ||
Other secured financing | 917,876 | 4,455,700 |
Carrying Value | Level 2 | ||
Financial assets | ||
Assets transferred or pledged to securitization vehicles | 874,349 | 936,378 |
Financial liabilities | ||
Repurchase agreements | 64,825,239 | 101,740,728 |
Other secured financing | 917,876 | 4,455,700 |
Carrying Value | Level 3 | ||
Financial assets | ||
Commercial real estate debt and preferred equity, held for investment | 1,372,430 | 1,606,091 |
Corporate debt held for investment | 2,239,930 | 2,144,850 |
Financial liabilities | ||
Mortgage payable | 426,256 | 485,005 |
Fair Value | Level 2 | ||
Financial assets | ||
Assets transferred or pledged to securitization vehicles | 928,732 | 944,618 |
Financial liabilities | ||
Repurchase agreements | 64,825,239 | 101,740,728 |
Other secured financing | 917,876 | 4,455,700 |
Fair Value | Level 3 | ||
Financial assets | ||
Commercial real estate debt and preferred equity, held for investment | 1,442,071 | 1,619,018 |
Corporate debt held for investment | 2,226,045 | 2,081,327 |
Financial liabilities | ||
Mortgage payable | $ 474,779 | $ 515,994 |
GOODWILL AND INTANGIBLE ASSET_2
GOODWILL AND INTANGIBLE ASSETS - Additional Information (Details) - USD ($) $ in Millions | Dec. 31, 2020 | Dec. 31, 2019 |
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, 2020USD ($) | |
Intangible Assets [Roll Forward] | |
Intangible assets, net beginning of period | $ 20,957 |
Intangible assets acquired | 50,360 |
Intangible assets divested | (5,320) |
Less: amortization expense | (10,471) |
Intangible assets, net end of period | $ 55,526 |
SECURED FINANCING - Additional
SECURED FINANCING - Additional Information (Details) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2020 | Dec. 31, 2019 | |
Repurchase Agreements: | ||
Repurchase agreements | $ 64,825,239 | $ 101,740,728 |
Repurchase agreements - weighted average effective borrowing rates | 0.82% | 1.99% |
Repurchase agreements - weighted average remaining maturities | 64 days | 65 days |
Maximum repurchase agreements available under counterparty arrangements | $ 2,400,000 | |
Commitments available to be drawn | 1,900,000 | |
Other secured financing long term, amount | 917,876 | $ 4,455,700 |
Secured financings and interest rate swaps - collateral held, estimated fair value | 70,600,000 | 112,800,000 |
Secured financings and interest rate swaps - collateral held, accrued interest | 200,000 | $ 357,900 |
FHLB De Moines | ||
Repurchase Agreements: | ||
Debt weighted average interest rate | 2.16% | |
Stock held in FHLB | $ 4,400 | $ 147,900 |
FHLB De Moines | Non Current | Maturity Period in Less Than One Year | ||
Repurchase Agreements: | ||
Other secured financing long term, amount | $ 1,400,000 | |
FHLB De Moines | Non Current | Maturity Period in Less Than One Year | Maximum | ||
Repurchase Agreements: | ||
Other secured financing short term amount, expiration period | 1 year | |
FHLB De Moines | Non Current | Maturity Period Between One to Three Years | ||
Repurchase Agreements: | ||
Other secured financing long term, amount | $ 2,100,000 | |
FHLB De Moines | Non Current | Maturity Period Between One to Three Years | Minimum | ||
Repurchase Agreements: | ||
Other secured financing short term amount, expiration period | 1 year | |
FHLB De Moines | Non Current | Maturity Period Between One to Three Years | Maximum | ||
Repurchase Agreements: | ||
Other secured financing short term amount, expiration period | 3 years |
SECURED FINANCING - Repurchase
SECURED FINANCING - Repurchase Agreements - Remaining Maturities, Collateral Types and Weighted Average Rate (Details) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2020 | Dec. 31, 2019 | |
Repurchase Agreements: | ||
Repurchase agreements | $ 64,825,239 | $ 101,740,728 |
Weighted average rate | 0.32% | 2.03% |
Percentage of total repurchase agreements with remaining maturity of 1 year (less than) | 1.00% | 0.00% |
CRTs | ||
Repurchase Agreements: | ||
Repurchase agreements | $ 245,686 | $ 268,738 |
Non-Agency Mortgage-Backed Securities | ||
Repurchase Agreements: | ||
Repurchase agreements | 1,050,439 | 1,024,528 |
Residential mortgage loans | ||
Repurchase Agreements: | ||
Repurchase agreements | 184,723 | |
Commercial Loans | ||
Repurchase Agreements: | ||
Repurchase agreements | 271,801 | 303,078 |
Agency Mortgage-Backed Securities | ||
Repurchase Agreements: | ||
Repurchase agreements | 62,744,910 | 99,591,465 |
Commercial Mortgage-Backed Securities | ||
Repurchase Agreements: | ||
Repurchase agreements | 327,680 | 552,919 |
U.S. Treasury Securities | ||
Repurchase Agreements: | ||
Repurchase agreements | 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 | Residential mortgage loans | ||
Repurchase Agreements: | ||
Repurchase agreements | 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 | |
2 to 29 days | ||
Repurchase Agreements: | ||
Repurchase agreements | $ 30,841,838 | $ 37,382,531 |
Weighted average rate | 0.29% | 2.15% |
2 to 29 days | CRTs | ||
Repurchase Agreements: | ||
Repurchase agreements | $ 129,993 | $ 237,897 |
2 to 29 days | Non-Agency Mortgage-Backed Securities | ||
Repurchase Agreements: | ||
Repurchase agreements | 354,904 | 698,091 |
2 to 29 days | Residential mortgage loans | ||
Repurchase Agreements: | ||
Repurchase agreements | 76,799 | |
2 to 29 days | Commercial Loans | ||
Repurchase Agreements: | ||
Repurchase agreements | 0 | 0 |
2 to 29 days | Agency Mortgage-Backed Securities | ||
Repurchase Agreements: | ||
Repurchase agreements | 30,151,875 | 36,030,104 |
2 to 29 days | Commercial Mortgage-Backed Securities | ||
Repurchase Agreements: | ||
Repurchase agreements | 128,267 | 416,439 |
2 to 29 days | U.S. Treasury Securities | ||
Repurchase Agreements: | ||
Repurchase agreements | 0 | |
30 to 59 days | ||
Repurchase Agreements: | ||
Repurchase agreements | $ 10,567,655 | $ 15,300,157 |
Weighted average rate | 0.42% | 2.00% |
30 to 59 days | CRTs | ||
Repurchase Agreements: | ||
Repurchase agreements | $ 16,073 | $ 0 |
30 to 59 days | Non-Agency Mortgage-Backed Securities | ||
Repurchase Agreements: | ||
Repurchase agreements | 161,274 | 115,805 |
30 to 59 days | Residential mortgage loans | ||
Repurchase Agreements: | ||
Repurchase agreements | 0 | |
30 to 59 days | Commercial Loans | ||
Repurchase Agreements: | ||
Repurchase agreements | 0 | 0 |
30 to 59 days | Agency Mortgage-Backed Securities | ||
Repurchase Agreements: | ||
Repurchase agreements | 10,247,972 | 15,079,989 |
30 to 59 days | Commercial Mortgage-Backed Securities | ||
Repurchase Agreements: | ||
Repurchase agreements | 142,336 | 104,363 |
30 to 59 days | U.S. Treasury Securities | ||
Repurchase Agreements: | ||
Repurchase agreements | 0 | |
60 to 89 days | ||
Repurchase Agreements: | ||
Repurchase agreements | $ 8,568,837 | $ 22,117,735 |
Weighted average rate | 0.30% | 1.97% |
60 to 89 days | CRTs | ||
Repurchase Agreements: | ||
Repurchase agreements | $ 99,620 | $ 30,841 |
60 to 89 days | Non-Agency Mortgage-Backed Securities | ||
Repurchase Agreements: | ||
Repurchase agreements | 259,401 | 151,920 |
60 to 89 days | Residential mortgage loans | ||
Repurchase Agreements: | ||
Repurchase agreements | 0 | |
60 to 89 days | Commercial Loans | ||
Repurchase Agreements: | ||
Repurchase agreements | 0 | 0 |
60 to 89 days | Agency Mortgage-Backed Securities | ||
Repurchase Agreements: | ||
Repurchase agreements | 8,181,410 | 21,931,335 |
60 to 89 days | Commercial Mortgage-Backed Securities | ||
Repurchase Agreements: | ||
Repurchase agreements | 28,406 | 3,639 |
60 to 89 days | U.S. Treasury Securities | ||
Repurchase Agreements: | ||
Repurchase agreements | 0 | |
90 to 119 days | ||
Repurchase Agreements: | ||
Repurchase agreements | $ 2,154,733 | $ 9,992,914 |
Weighted average rate | 0.23% | 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 | Residential mortgage loans | ||
Repurchase Agreements: | ||
Repurchase agreements | 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 | 2,154,733 | 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 | |
Over 119 days | ||
Repurchase Agreements: | ||
Repurchase agreements | $ 12,692,176 | $ 16,947,391 |
Weighted average rate | 0.36% | 1.90% |
Over 119 days | CRTs | ||
Repurchase Agreements: | ||
Repurchase agreements | $ 0 | $ 0 |
Over 119 days | Non-Agency Mortgage-Backed Securities | ||
Repurchase Agreements: | ||
Repurchase agreements | 274,860 | 58,712 |
Over 119 days | Residential mortgage loans | ||
Repurchase Agreements: | ||
Repurchase agreements | 107,924 | |
Over 119 days | Commercial Loans | ||
Repurchase Agreements: | ||
Repurchase agreements | 271,801 | 303,078 |
Over 119 days | Agency Mortgage-Backed Securities | ||
Repurchase Agreements: | ||
Repurchase agreements | 12,008,920 | 16,557,123 |
Over 119 days | Commercial Mortgage-Backed Securities | ||
Repurchase Agreements: | ||
Repurchase agreements | $ 28,671 | 28,478 |
Over 119 days | U.S. Treasury Securities | ||
Repurchase Agreements: | ||
Repurchase agreements | $ 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 | Dec. 31, 2020 | Dec. 31, 2019 |
Debt Disclosure [Abstract] | ||
Gross amounts - reverse repurchase agreements | $ 250,000 | $ 100,000 |
Amounts offset - reverse repurchase agreements | (250,000) | (100,000) |
Reverse repurchase agreements | 0 | 0 |
Gross amounts - repurchase agreements | 65,075,239 | 101,840,728 |
Amounts offset - repurchase agreements | (250,000) | (100,000) |
Repurchase agreements | $ 64,825,239 | $ 101,740,728 |
SECURED FINANCING - Mortgage Lo
SECURED FINANCING - Mortgage Loans Payable (Details) - USD ($) | 12 Months Ended | |
Dec. 31, 2020 | Dec. 31, 2019 | |
Debt Instrument [Line Items] | ||
Variable interest rate | 94.00% | 92.00% |
Commercial Mortgage Loans | ||
Debt Instrument [Line Items] | ||
Mortgage carrying value | $ 426,256,000 | $ 485,005,000 |
Mortgage principal | 429,650,000 | 490,631,000 |
Joint Ventures | Commercial Mortgage Loans | ||
Debt Instrument [Line Items] | ||
Mortgage carrying value | 316,686,000 | 316,566,000 |
Mortgage principal | $ 318,302,000 | $ 318,562,000 |
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 | $ 16,607,000 | $ 16,029,000 |
Mortgage principal | $ 16,325,000 | $ 16,325,000 |
Variable interest rate | 2.15% | 2.15% |
Virginia | Commercial Mortgage Loans | ||
Debt Instrument [Line Items] | ||
Mortgage carrying value | $ 82,940,000 | |
Mortgage principal | $ 84,702,000 | |
Virginia | Commercial Mortgage Loans | Minimum | ||
Debt Instrument [Line Items] | ||
Interest rate | 2.34% | |
Virginia | Commercial Mortgage Loans | Maximum | ||
Debt Instrument [Line Items] | ||
Interest rate | 4.55% | |
Virginia | Commercial Mortgage Loans | LIBOR | ||
Debt Instrument [Line Items] | ||
Mortgage carrying value | $ 24,464,000 | |
Mortgage principal | $ 25,000,000 | |
Variable interest rate | 2.85% | |
Texas | Commercial Mortgage Loans | ||
Debt Instrument [Line Items] | ||
Mortgage carrying value | $ 31,127,000 | $ 31,667,000 |
Mortgage principal | $ 32,582,000 | $ 33,167,000 |
Interest rate | 3.28% | 3.28% |
Utah | Commercial Mortgage Loans | ||
Debt Instrument [Line Items] | ||
Mortgage carrying value | $ 6,969,000 | $ 7,077,000 |
Mortgage principal | $ 6,986,000 | $ 7,096,000 |
Interest rate | 3.69% | 3.69% |
Utah | Commercial Mortgage Loans | LIBOR | ||
Debt Instrument [Line Items] | ||
Mortgage carrying value | $ 9,706,000 | $ 9,706,000 |
Mortgage principal | $ 9,706,000 | $ 9,706,000 |
Variable interest rate | 2.75% | 3.50% |
Minnesota | Commercial Mortgage Loans | ||
Debt Instrument [Line Items] | ||
Mortgage carrying value | $ 13,039,000 | $ 13,243,000 |
Mortgage principal | $ 13,072,000 | $ 13,276,000 |
Interest rate | 3.69% | 3.69% |
Wisconsin | Commercial Mortgage Loans | ||
Debt Instrument [Line Items] | ||
Mortgage carrying value | $ 7,658,000 | $ 7,777,000 |
Mortgage principal | $ 7,677,000 | $ 7,797,000 |
Interest rate | 3.69% | 3.69% |
SECURED FINANCING - Future Mort
SECURED FINANCING - Future Mortgage Loan Principal Payments (Details) $ in Thousands | Dec. 31, 2020USD ($) |
Debt Disclosure [Abstract] | |
2021 | $ 11,123 |
2022 | 17,890 |
2023 | 26,626 |
2024 | 105,635 |
2025 | 186,929 |
Later years | 81,447 |
Total | $ 429,650 |
CAPITAL STOCK - Additional Info
CAPITAL STOCK - Additional Information (Details) - USD ($) | 1 Months Ended | 12 Months Ended | ||
Jan. 31, 2018 | Dec. 31, 2020 | Dec. 31, 2019 | Jun. 30, 2019 | |
Class of Stock [Line Items] | ||||
Option to purchase additional shares, period | 30 days | |||
Options exercised under incentive plans (in shares) | 11,300,000 | |||
Authorized amount of stock available for repurchase | $ 1,500,000,000 | $ 1,500,000,000 | ||
Shares repurchased (in shares) | 32,400,000 | 26,200,000 | ||
Shares repurchased (in shares) | $ 208,900,000 | $ 223,200,000 | ||
Preferred Stock, par value (in dollars per share) | $ 0.01 | $ 0.01 | ||
Preferred stock, redemption price (in dollars per share) | $ 25 | |||
Preferred Stock, shares issued (in shares) | 63,500,000 | 81,900,000 | ||
7.50% Series D Cumulative Redeemable Preferred Stock | ||||
Class of Stock [Line Items] | ||||
Preferred stock, redemption price (in dollars per share) | $ 25 | |||
Preferred stock redeemed (in shares) | 18,400,000 | |||
Preferred stock dividend rate, percentage | 7.50% | |||
Redemption of preferred stock | $ 460,000,000 | |||
Preferred Stock, shares issued (in shares) | 0 | 18,400,000 | ||
7.625% Series C Cumulative Redeemable Preferred Stock | ||||
Class of Stock [Line Items] | ||||
Preferred stock, redemption price (in dollars per share) | $ 25 | |||
Preferred stock redeemed (in shares) | 7,000,000 | |||
Preferred stock dividend rate, percentage | 7.625% | |||
Redemption of preferred stock | $ 175,000,000 | |||
8.125% Series H Cumulative Redeemable Preferred Stock | ||||
Class of Stock [Line Items] | ||||
Preferred stock, redemption price (in dollars per share) | $ 25 | |||
Preferred stock redeemed (in shares) | 2,200,000 | |||
Preferred stock dividend rate, percentage | 8.125% | |||
Redemption of preferred stock | $ 55,000,000 | |||
Series I Preferred Stock | ||||
Class of Stock [Line Items] | ||||
Preferred stock dividend rate, percentage | 6.75% | 6.75% | ||
Preferred Stock, shares issued (in shares) | 17,700,000 | 17,700,000 | ||
Proceeds from issuance of redeemable preferred stock | $ 442,500,000 | |||
Public Offering | ||||
Class of Stock [Line Items] | ||||
Sale of stock, shares issued (in shares) | 75,000,000 | |||
Proceeds from sale of stock | $ 730,500,000 | |||
Public Offering, Additional Share Purchase Option | ||||
Class of Stock [Line Items] | ||||
Sale of stock, shares issued (in shares) | 11,300,000 | |||
Proceeds from sale of stock | $ 109,600,000 | |||
At-the-market Sale Program | ||||
Class of Stock [Line Items] | ||||
Sale of stock, shares issued (in shares) | 0 | 56,000,000 | ||
Proceeds from sale of stock | $ 569,100,000 | |||
Aggregate stock offering price | $ 1,500,000,000 |
CAPITAL STOCK - Schedule of Com
CAPITAL STOCK - Schedule of Common Stock (Details) - $ / shares | Dec. 31, 2020 | Dec. 31, 2019 |
Equity [Abstract] | ||
Common Stock, shares authorized (in shares) | 2,914,850,000 | 2,914,850,000 |
Common Stock, shares issued (in shares) | 1,398,240,618 | 1,430,106,199 |
Common Stock, shares outstanding (in shares) | 1,398,240,618 | 1,430,106,199 |
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, 2020 | Dec. 31, 2019 | |
Equity [Abstract] | ||
Shares issued through direct purchase and dividend reinvestment program (in shares) | 166,000 | 180,000 |
Amount raised from direct purchase and dividend reinvestment program | $ 1,175 | $ 1,795 |
CAPITAL STOCK - Schedule of Pre
CAPITAL STOCK - Schedule of Preferred Stock (Details) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2020 | Dec. 31, 2019 | |
Class of Stock [Line Items] | ||
Preferred Stock, shares authorized (in shares) | 85,150,000 | 85,150,000 |
Preferred Stock, shares issued (in shares) | 63,500,000 | 81,900,000 |
Preferred Stock, shares outstanding (in shares) | 63,500,000 | 81,900,000 |
Preferred Stock, carrying value | $ 1,536,569 | $ 1,982,026 |
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) | 0 | 18,400,000 |
Preferred Stock, shares outstanding (in shares) | 0 | 18,400,000 |
Preferred Stock, carrying value | $ 0 | $ 445,457 |
Preferred Stock, contractual rate | 7.50% | |
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% | |
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 | 18,400,000 |
Preferred Stock, shares issued (in shares) | 17,700,000 | 17,700,000 |
Preferred Stock, shares outstanding (in shares) | 17,700,000 | 17,700,000 |
Preferred Stock, carrying value | $ 428,324 | $ 428,324 |
Preferred Stock, contractual rate | 6.75% | 6.75% |
Preferred Stock, floating annual rate | 4.989% |
CAPITAL STOCK - Summary of Di_2
CAPITAL STOCK - Summary of Dividend Distribution Activity (Details) - USD ($) $ / shares in Units, $ in Thousands | 12 Months Ended | |
Dec. 31, 2020 | Dec. 31, 2019 | |
Dividends Payable [Line Items] | ||
Distributions declared to common stockholders | $ 1,285,124 | $ 1,516,323 |
Distributions declared per common share (in dollars per share) | $ 0.91 | $ 1.05 |
Distributions paid to common stockholders after period end | $ 307,613 | $ 357,527 |
Distributions paid per common share after period end (in dollars per share) | $ 0.22 | $ 0.25 |
Series C Preferred Stock | ||
Dividends Payable [Line Items] | ||
Preferred dividends declared | $ 0 | $ 7,414 |
Preferred series dividends declared (in dollars per share) | $ 0 | $ 1.060 |
Series D Preferred Stock | ||
Dividends Payable [Line Items] | ||
Preferred dividends declared | $ 34,500 | $ 34,500 |
Preferred series dividends declared (in dollars per share) | $ 1.875 | $ 1.875 |
Series F Preferred Stock | ||
Dividends Payable [Line Items] | ||
Preferred dividends declared | $ 50,040 | $ 50,040 |
Preferred series dividends declared (in dollars per share) | $ 1.738 | $ 1.738 |
Series G Preferred Stock | ||
Dividends Payable [Line Items] | ||
Preferred dividends declared | $ 27,625 | $ 27,624 |
Preferred series dividends declared (in dollars per share) | $ 1.625 | $ 1.625 |
Series H Preferred Stock | ||
Dividends Payable [Line Items] | ||
Preferred dividends declared | $ 0 | $ 1,862 |
Preferred series dividends declared (in dollars per share) | $ 0 | $ 0.846 |
Series I Preferred Stock | ||
Dividends Payable [Line Items] | ||
Preferred dividends declared | $ 29,871 | $ 15,135 |
Preferred series dividends declared (in dollars per share) | $ 1.688 | $ 0.86 |
LONG-TERM STOCK INCENTIVE PLA_2
LONG-TERM STOCK INCENTIVE PLAN - Additional Information (Details) $ in Millions | 12 Months Ended |
Dec. 31, 2020USD ($)shares | |
Long-Term Stock Incentive Plans | |
Stock based compensation expense | $ 3.7 |
Unrecognized compensation cost | $ 9 |
Weighted average remaining contractual term, expected to vest | 2 years 2 months 26 days |
Restricted Stock Units | |
Long-Term Stock Incentive Plans | |
Long-term stock compensation, vesting period | 3 years |
Restricted Stock Units | Minimum | |
Long-Term Stock Incentive Plans | |
Long-term stock compensation, vesting percentage | 0.00% |
Restricted Stock Units | Maximum | |
Long-Term Stock Incentive Plans | |
Long-term stock compensation, vesting percentage | 150.00% |
Equity Incentive Plan 2020 | Restricted Stock Units | |
Long-Term Stock Incentive Plans | |
Long-term stock compensation, shares awarded (in shares) | shares | 125,000,000 |
LONG-TERM STOCK INCENTIVE PLA_3
LONG-TERM STOCK INCENTIVE PLAN - Option Activity (Details) | 12 Months Ended |
Dec. 31, 2020$ / sharesshares | |
Number of Shares | |
Beginning balance (in shares) | 0 |
Granted (in shares) | 1,790,759 |
Vested (in shares) | (100,100) |
Forfeited (in shares) | (19,921) |
Ending balance (in shares) | 1,670,738 |
Weighted Average Grant Date Fair Value | |
Beginning balance (in dollars per share) | $ / shares | $ 0 |
Granted (in dollars per share) | $ / shares | 7.24 |
Vested (in dollars per share) | $ / shares | 9.99 |
Forfeited (in dollars per share) | $ / shares | 9.59 |
Ending balance (in dollars per share) | $ / shares | $ 7.05 |
PSUs | |
Number of Shares | |
Ending balance (in shares) | 404,589 |
INTEREST INCOME AND INTEREST _3
INTEREST INCOME AND INTEREST EXPENSE - Components of Company's Interest Income and Interest Expense (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Interest income | |||
Residential Securities | $ 1,718,960 | $ 3,195,546 | $ 2,830,521 |
Residential mortgage loans | 170,259 | 150,066 | 83,260 |
Commercial investment portfolio | 338,763 | 378,395 | 356,981 |
U.S. Treasury securities | 0 | 0 | 160 |
Reverse repurchase agreements | 1,643 | 63,290 | 61,641 |
Total interest income | 2,229,625 | 3,787,297 | 3,332,563 |
Interest expense | |||
Repurchase agreements | 705,218 | 2,513,282 | 1,698,930 |
Debt issued by securitization vehicles | 142,602 | 141,981 | 98,013 |
Participations issued | 78 | 0 | 0 |
Other | 51,214 | 129,612 | 100,917 |
Total interest expense | 899,112 | 2,784,875 | 1,897,860 |
Net interest income | $ 1,330,513 | $ 1,002,422 | $ 1,434,703 |
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 | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Earnings Per Share [Abstract] | |||
Net income (loss) | $ (889,772) | $ (2,163,091) | $ 54,148 |
Net income (loss) attributable to noncontrolling interests | 1,391 | (226) | (260) |
Net income (loss) attributable to Annaly | (891,163) | (2,162,865) | 54,408 |
Dividends on preferred stock | 142,036 | 136,576 | 129,312 |
Net income (loss) available (related) to common stockholders | $ (1,033,199) | $ (2,299,441) | $ (74,904) |
Weighted average shares of common stock outstanding-basic (in shares) | 1,414,659,439 | 1,434,912,682 | 1,209,601,809 |
Add: Effect of stock awards, if dilutive (in shares) | 0 | 0 | 0 |
Weighted average shares of common stock outstanding-diluted (in shares) | 1,414,659,439 | 1,434,912,682 | 1,209,601,809 |
Net income (loss) per share available (related) to common share | |||
Basic (in dollars per share) | $ (0.73) | $ (1.60) | $ (0.06) |
Diluted (in dollars per share) | $ (0.73) | $ (1.60) | $ (0.06) |
NET INCOME (LOSS) PER COMMON _4
NET INCOME (LOSS) PER COMMON SHARE - Additional Information (Details) shares in Millions | 12 Months Ended |
Dec. 31, 2020shares | |
Earnings Per Share [Abstract] | |
Options to purchase common stock outstanding that would be considered anti-dilutive (in shares) | 1 |
INCOME TAXES - Additional Infor
INCOME TAXES - Additional Information (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Income Taxes: | |||
REIT Taxable income distributed | 100.00% | ||
Income tax expense (benefit) for income and losses attributable to TRSs | $ (28,423) | $ (10,835) | $ (2,375) |
Taxable REIT Subsidiary | |||
Income Taxes: | |||
Income tax expense (benefit) for income and losses attributable to TRSs | $ (28,400) | $ (10,800) | $ (2,400) |
RELATED PARTY TRANSACTIONS - Ad
RELATED PARTY TRANSACTIONS - Additional Information (Details) $ / shares in Units, $ in Thousands | Feb. 11, 2020USD ($) | Jun. 30, 2020USD ($) | Dec. 31, 2020USD ($) | Dec. 31, 2019USD ($) | Dec. 31, 2018USD ($) | Feb. 12, 2020$ / shares |
Related Party Transaction [Line Items] | ||||||
Equity interests (in usd per share) | $ / shares | $ 1 | |||||
Ratio of percentage of stockholders' equity paid up to predetermined amount | 0.000875 | |||||
Predetermined amount of stockholders equity used in calculating monthly management fee | $ 17,280,000 | |||||
Ratio of percentage of stockholders' equity paid over predetermined amount | 0.0075 | |||||
Compensation and management fee | $ 77,900 | $ 131,685 | $ 170,628 | $ 179,841 | ||
Management Agreement | ||||||
Related Party Transaction [Line Items] | ||||||
Reimbursement payments | 14,200 | 21,400 | ||||
Management fee payable | $ 0 | $ 15,800 |
LEASE COMMITMENTS AND CONTING_3
LEASE COMMITMENTS AND CONTINGENCIES - Additional Information (Details) - USD ($) $ in Millions | 12 Months Ended | |
Dec. 31, 2020 | Dec. 31, 2019 | |
Leases [Abstract] | ||
Remaining lease term, in years | 5 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 | 12 Months Ended |
Dec. 31, 2020USD ($) | |
Leases [Abstract] | |
Operating lease right-of-use assets | $ 13,167 |
Present value of lease liabilities | $ 17,184 |
Weighted average remaining lease term | 4 years 8 months 12 days |
Weighted average discount rate | 2.90% |
Operating cash flows from operating leases | $ 3,799 |
LEASE COMMITMENTS AND CONTING_5
LEASE COMMITMENTS AND CONTINGENCIES - Details of Future Lease Payments (Details) $ in Thousands | Dec. 31, 2020USD ($) |
Leases [Abstract] | |
2021 | $ 3,918 |
2022 | 3,862 |
2023 | 3,862 |
2024 | 3,862 |
2025 | 2,895 |
Later years | 0 |
Total lease payments | 18,399 |
Less imputed interest | 1,215 |
Present value of lease liabilities | $ 17,184 |
ARCOLA REGULATORY REQUIREMENTS
ARCOLA REGULATORY REQUIREMENTS - Additional Information (Details) - RCap $ in Millions | Dec. 31, 2020USD ($) |
Minimum net capital requirement | $ 0.3 |
Regulatory net capital | 422.3 |
Regulatory net capital, excess net capital | $ 422 |
Schedule III - Real Estate an_2
Schedule III - Real Estate and Accumulated Depreciation (Details) $ in Thousands | 12 Months Ended | |||
Dec. 31, 2020USD ($)realEstateProperty | Dec. 31, 2019USD ($) | Dec. 31, 2018USD ($) | Dec. 31, 2017USD ($) | |
SEC Schedule, 12-28, Real Estate Companies, Investment in Real Estate and Accumulated Depreciation [Line Items] | ||||
Number of properties | realEstateProperty | 48 | |||
Encumbrances | $ 429,652 | |||
Initial cost to company, land | 173,280 | |||
Initial cost to company, buildings and improvements | 600,851 | |||
Cost capitalized subsequent to acquisition, improvements | (110,219) | |||
Gross amounts, land | 164,240 | |||
Gross amounts, buildings and improvements | 499,672 | |||
Total | 663,912 | |||
Accumulated depreciation | (100,147) | $ (87,532) | $ (67,026) | $ (48,920) |
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 | $ 681,500 | |||
Retail | Texas | Retail - Carrollton, TX | ||||
SEC Schedule, 12-28, Real Estate Companies, Investment in Real Estate and Accumulated Depreciation [Line Items] | ||||
Number of properties | realEstateProperty | 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 | $ (3,546) | |||
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 | realEstateProperty | 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 | 205 | |||
Gross amounts, land | 4,616 | |||
Gross amounts, buildings and improvements | 12,896 | |||
Total | 17,512 | |||
Accumulated depreciation | $ (3,368) | |||
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 | realEstateProperty | 1 | |||
Encumbrances | $ 4,637 | |||
Initial cost to company, land | 1,459 | |||
Initial cost to company, buildings and improvements | 4,533 | |||
Cost capitalized subsequent to acquisition, improvements | 95 | |||
Gross amounts, land | 1,459 | |||
Gross amounts, buildings and improvements | 4,628 | |||
Total | 6,087 | |||
Accumulated depreciation | $ (2,046) | |||
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 | realEstateProperty | 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 | 248 | |||
Gross amounts, land | 4,713 | |||
Gross amounts, buildings and improvements | 14,136 | |||
Total | 18,849 | |||
Accumulated depreciation | $ (3,123) | |||
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 | realEstateProperty | 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 | 11 | |||
Gross amounts, land | 3,932 | |||
Gross amounts, buildings and improvements | 9,983 | |||
Total | 13,915 | |||
Accumulated depreciation | $ (2,401) | |||
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 | realEstateProperty | 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 | 14 | |||
Gross amounts, land | 4,963 | |||
Gross amounts, buildings and improvements | 14,491 | |||
Total | 19,454 | |||
Accumulated depreciation | $ (3,461) | |||
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 | realEstateProperty | 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 | 209 | |||
Gross amounts, land | 2,696 | |||
Gross amounts, buildings and improvements | 7,560 | |||
Total | 10,256 | |||
Accumulated depreciation | $ (2,424) | |||
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 | realEstateProperty | 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 | $ (1,774) | |||
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 | realEstateProperty | 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 | 286 | |||
Gross amounts, land | 4,973 | |||
Gross amounts, buildings and improvements | 13,098 | |||
Total | 18,071 | |||
Accumulated depreciation | $ (3,255) | |||
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 | realEstateProperty | 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 | 479 | |||
Gross amounts, land | 9,872 | |||
Gross amounts, buildings and improvements | 29,159 | |||
Total | 39,031 | |||
Accumulated depreciation | $ (7,979) | |||
Weighted-average depreciable life (in years) | 25 years | |||
Retail | Washington, DC | Retail - Washington DC | ||||
SEC Schedule, 12-28, Real Estate Companies, Investment in Real Estate and Accumulated Depreciation [Line Items] | ||||
Number of properties | realEstateProperty | 1 | |||
Encumbrances | $ 0 | |||
Initial cost to company, land | 38,000 | |||
Initial cost to company, buildings and improvements | 6,499 | |||
Cost capitalized subsequent to acquisition, improvements | 0 | |||
Gross amounts, land | 38,000 | |||
Gross amounts, buildings and improvements | 6,499 | |||
Total | 44,499 | |||
Accumulated depreciation | $ (81) | |||
Weighted-average depreciable life (in years) | 38 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 | realEstateProperty | 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 | 1,546 | |||
Gross amounts, land | 4,122 | |||
Gross amounts, buildings and improvements | 23,958 | |||
Total | 28,080 | |||
Accumulated depreciation | $ (8,037) | |||
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 | realEstateProperty | 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 | 224 | |||
Gross amounts, land | 4,189 | |||
Gross amounts, buildings and improvements | 20,856 | |||
Total | 25,045 | |||
Accumulated depreciation | $ (5,344) | |||
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 | realEstateProperty | 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 | 245 | |||
Gross amounts, land | 1,939 | |||
Gross amounts, buildings and improvements | 12,526 | |||
Total | 14,465 | |||
Accumulated depreciation | $ (3,317) | |||
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 | realEstateProperty | 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 | 1,193 | |||
Gross amounts, land | 2,132 | |||
Gross amounts, buildings and improvements | 10,932 | |||
Total | 13,064 | |||
Accumulated depreciation | $ (2,871) | |||
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 | realEstateProperty | 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 | $ (2,189) | |||
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 | realEstateProperty | 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 | 1,936 | |||
Gross amounts, land | 2,438 | |||
Gross amounts, buildings and improvements | 16,620 | |||
Total | 19,058 | |||
Accumulated depreciation | $ (4,824) | |||
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 | realEstateProperty | 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 | $ (1,729) | |||
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 | realEstateProperty | 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 | $ (1,783) | |||
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 | realEstateProperty | 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 | 6 | |||
Gross amounts, land | 407 | |||
Gross amounts, buildings and improvements | 4,123 | |||
Total | 4,530 | |||
Accumulated depreciation | $ (1,216) | |||
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 | realEstateProperty | 1 | |||
Encumbrances | $ 7,887 | |||
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 | $ (2,872) | |||
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 | realEstateProperty | 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 | $ (2,407) | |||
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 | realEstateProperty | 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 | 604 | |||
Gross amounts, land | 3,217 | |||
Gross amounts, buildings and improvements | 8,990 | |||
Total | 12,207 | |||
Accumulated depreciation | $ (2,464) | |||
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 | realEstateProperty | 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 | 400 | |||
Gross amounts, land | 3,503 | |||
Gross amounts, buildings and improvements | 13,709 | |||
Total | 17,212 | |||
Accumulated depreciation | $ (2,980) | |||
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 | realEstateProperty | 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 | 1,155 | |||
Gross amounts, land | 31,999 | |||
Gross amounts, buildings and improvements | 43,778 | |||
Total | 75,777 | |||
Accumulated depreciation | $ (8,575) | |||
Weighted-average depreciable life (in years) | 28 years | |||
Office | Virginia | Office - Falls Church, VA | ||||
SEC Schedule, 12-28, Real Estate Companies, Investment in Real Estate and Accumulated Depreciation [Line Items] | ||||
Number of properties | realEstateProperty | 1 | |||
Encumbrances | $ 25,000 | |||
Initial cost to company, land | 13,500 | |||
Initial cost to company, buildings and improvements | 21,895 | |||
Cost capitalized subsequent to acquisition, improvements | 374 | |||
Gross amounts, land | 13,500 | |||
Gross amounts, buildings and improvements | 22,269 | |||
Total | 35,769 | |||
Accumulated depreciation | $ (1,571) | |||
Weighted-average depreciable life (in years) | 27 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 | realEstateProperty | 1 | |||
Encumbrances | $ 8,847 | |||
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 | $ (1,452) | |||
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 | realEstateProperty | 1 | |||
Encumbrances | $ 6,559 | |||
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 | $ (828) | |||
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 | realEstateProperty | 1 | |||
Encumbrances | $ 8,999 | |||
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 | $ (1,000) | |||
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 | realEstateProperty | 1 | |||
Encumbrances | $ 4,211 | |||
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 | $ (1,078) | |||
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 | realEstateProperty | 1 | |||
Encumbrances | $ 3,966 | |||
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 | $ (887) | |||
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 | realEstateProperty | 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 | 3,471 | |||
Gross amounts, land | 630 | |||
Gross amounts, buildings and improvements | 19,047 | |||
Total | 19,677 | |||
Accumulated depreciation | $ (1,407) | |||
Weighted-average depreciable life (in years) | 38 years | |||
Healthcare | Virginia | Healthcare - Abingdon, VA | ||||
SEC Schedule, 12-28, Real Estate Companies, Investment in Real Estate and Accumulated Depreciation [Line Items] | ||||
Number of properties | realEstateProperty | 1 | |||
Encumbrances | $ 0 | |||
Initial cost to company, land | 370 | |||
Initial cost to company, buildings and improvements | 15,061 | |||
Cost capitalized subsequent to acquisition, improvements | (15,431) | |||
Gross amounts, land | 0 | |||
Gross amounts, buildings and improvements | 0 | |||
Total | 0 | |||
Accumulated depreciation | $ 0 | |||
Weighted-average depreciable life (in years) | 44 years | |||
Healthcare | Virginia | Healthcare - Chase City, VA | ||||
SEC Schedule, 12-28, Real Estate Companies, Investment in Real Estate and Accumulated Depreciation [Line Items] | ||||
Number of properties | realEstateProperty | 1 | |||
Encumbrances | $ 0 | |||
Initial cost to company, land | 160 | |||
Initial cost to company, buildings and improvements | 11,894 | |||
Cost capitalized subsequent to acquisition, improvements | (12,054) | |||
Gross amounts, land | 0 | |||
Gross amounts, buildings and improvements | 0 | |||
Total | 0 | |||
Accumulated depreciation | $ 0 | |||
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 | realEstateProperty | 1 | |||
Encumbrances | $ 0 | |||
Initial cost to company, land | 3,110 | |||
Initial cost to company, buildings and improvements | 18,830 | |||
Cost capitalized subsequent to acquisition, improvements | (21,940) | |||
Gross amounts, land | 0 | |||
Gross amounts, buildings and improvements | 0 | |||
Total | 0 | |||
Accumulated depreciation | $ 0 | |||
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 | realEstateProperty | 1 | |||
Encumbrances | $ 0 | |||
Initial cost to company, land | 1,470 | |||
Initial cost to company, buildings and improvements | 13,894 | |||
Cost capitalized subsequent to acquisition, improvements | (15,364) | |||
Gross amounts, land | 0 | |||
Gross amounts, buildings and improvements | 0 | |||
Total | 0 | |||
Accumulated depreciation | $ 0 | |||
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 | realEstateProperty | 1 | |||
Encumbrances | $ 0 | |||
Initial cost to company, land | 190 | |||
Initial cost to company, buildings and improvements | 11,549 | |||
Cost capitalized subsequent to acquisition, improvements | (11,739) | |||
Gross amounts, land | 0 | |||
Gross amounts, buildings and improvements | 0 | |||
Total | 0 | |||
Accumulated depreciation | $ 0 | |||
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 | realEstateProperty | 1 | |||
Encumbrances | $ 0 | |||
Initial cost to company, land | 2,040 | |||
Initial cost to company, buildings and improvements | 14,041 | |||
Cost capitalized subsequent to acquisition, improvements | (16,081) | |||
Gross amounts, land | 0 | |||
Gross amounts, buildings and improvements | 0 | |||
Total | 0 | |||
Accumulated depreciation | $ 0 | |||
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 | realEstateProperty | 1 | |||
Encumbrances | $ 0 | |||
Initial cost to company, land | 370 | |||
Initial cost to company, buildings and improvements | 12,623 | |||
Cost capitalized subsequent to acquisition, improvements | (12,993) | |||
Gross amounts, land | 0 | |||
Gross amounts, buildings and improvements | 0 | |||
Total | 0 | |||
Accumulated depreciation | $ 0 | |||
Weighted-average depreciable life (in years) | 34 years | |||
Healthcare | Virginia | Healthcare - Hopewell, VA | ||||
SEC Schedule, 12-28, Real Estate Companies, Investment in Real Estate and Accumulated Depreciation [Line Items] | ||||
Number of properties | realEstateProperty | 1 | |||
Encumbrances | $ 0 | |||
Initial cost to company, land | 560 | |||
Initial cost to company, buildings and improvements | 12,181 | |||
Cost capitalized subsequent to acquisition, improvements | (12,741) | |||
Gross amounts, land | 0 | |||
Gross amounts, buildings and improvements | 0 | |||
Total | 0 | |||
Accumulated depreciation | $ 0 | |||
Weighted-average depreciable life (in years) | 37 years | |||
Healthcare | Virginia | Healthcare - Clifton Forge, VA | ||||
SEC Schedule, 12-28, Real Estate Companies, Investment in Real Estate and Accumulated Depreciation [Line Items] | ||||
Number of properties | realEstateProperty | 1 | |||
Encumbrances | $ 0 | |||
Initial cost to company, land | 710 | |||
Initial cost to company, buildings and improvements | 5,368 | |||
Cost capitalized subsequent to acquisition, improvements | (6,078) | |||
Gross amounts, land | 0 | |||
Gross amounts, buildings and improvements | 0 | |||
Total | 0 | |||
Accumulated depreciation | $ 0 | |||
Weighted-average depreciable life (in years) | 18 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 | realEstateProperty | 1 | |||
Encumbrances | $ 7,677 | |||
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 | $ (797) | |||
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 | realEstateProperty | 1 | |||
Encumbrances | $ 7,372 | |||
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 | $ (1,108) | |||
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 | realEstateProperty | 1 | |||
Encumbrances | $ 5,700 | |||
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 | $ (579) | |||
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 | realEstateProperty | 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 | $ (1,031) | |||
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 | realEstateProperty | 1 | |||
Encumbrances | $ 6,986 | |||
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 | $ (665) | |||
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 | realEstateProperty | 1 | |||
Encumbrances | $ 16,290 | |||
Initial cost to company, land | 410 | |||
Initial cost to company, buildings and improvements | 19,216 | |||
Cost capitalized subsequent to acquisition, improvements | 402 | |||
Gross amounts, land | 410 | |||
Gross amounts, buildings and improvements | 19,618 | |||
Total | 20,028 | |||
Accumulated depreciation | $ (1,744) | |||
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 | realEstateProperty | 1 | |||
Encumbrances | $ 16,327 | |||
Initial cost to company, land | 600 | |||
Initial cost to company, buildings and improvements | 21,501 | |||
Cost capitalized subsequent to acquisition, improvements | 173 | |||
Gross amounts, land | 598 | |||
Gross amounts, buildings and improvements | 21,676 | |||
Total | 22,274 | |||
Accumulated depreciation | $ (1,934) | |||
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, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Real Estate | |||
Beginning balance | $ 704,354 | $ 721,664 | $ 441,971 |
Acquisitions and improvements | 83,979 | 5,811 | 279,693 |
Property sold | (124,421) | (23,121) | 0 |
Ending balance | 663,912 | 704,354 | 721,664 |
Accumulated Depreciation | |||
Beginning balance | 87,532 | 67,026 | 48,920 |
Property sold | (10,098) | (3,166) | 0 |
Depreciation | 22,713 | 23,672 | 18,106 |
Ending balance | $ 100,147 | $ 87,532 | $ 67,026 |
Schedule IV - Mortgage Loans _2
Schedule IV - Mortgage Loans on Commercial Real Estate (Details) $ in Thousands | 12 Months Ended |
Dec. 31, 2020USD ($) | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Face amount | $ 568,385 |
Loans | 498,081 |
Mezzanine debt investments | Retail | Massachusetts | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Prior liens | 61,329 |
Face amount | 10,000 |
Loans | $ 0 |
Interest rate | 10.14% |
Mezzanine debt investments | Retail | Ohio | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Prior liens | $ 124,750 |
Face amount | 36,603 |
Loans | $ 0 |
Interest rate | 9.50% |
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 | 3,436 |
Loans | $ 3,405 |
Mezzanine debt investments | Retail | Colorado | LIBOR | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
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 | 1.20% |
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 | 3,292 |
Loans | $ 2,684 |
Mezzanine debt investments | Retail | North Carolina | LIBOR | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
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 | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Prior liens | $ 60,212 |
Face amount | 8,700 |
Loans | $ 8,258 |
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 | $ 0 |
Face amount | 19,436 |
Loans | $ 19,064 |
Mezzanine debt investments | Office | Texas | Group One | LIBOR | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Basis spread on variable interest rate | 3.75% |
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 | 15,000 |
Loans | $ 14,884 |
Mezzanine debt investments | Office | Texas | Group Two | LIBOR | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Basis spread on variable interest rate | 3.45% |
Mezzanine debt investments | 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% |
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 | 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 | $ 0 |
Face amount | 23,013 |
Loans | $ 23,012 |
Interest rate | 0.16% |
Mezzanine debt investments | Office | California | Group One | LIBOR | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Basis spread on variable interest rate | 4.84% |
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 |
Interest rate | 0.16% |
Mezzanine debt investments | Office | California | Group Two | LIBOR | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Basis spread on variable interest rate | 6.79% |
Mezzanine debt investments | Office | California | Group Three | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Prior liens | $ 0 |
Face amount | 8,415 |
Loans | $ 8,351 |
Mezzanine debt investments | Office | California | Group Three | LIBOR | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Basis spread on variable interest rate | 3.00% |
Mezzanine debt investments | Office | California | Minimum | Group Three | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Interest rate | 1.50% |
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 | $ 18,052 |
Mezzanine debt investments | Office | Florida | LIBOR | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
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 | 1.90% |
Mezzanine debt investments | Office | New Jersey | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Prior liens | $ 0 |
Face amount | 9,922 |
Loans | $ 9,369 |
Interest rate | 0.25% |
Mezzanine debt investments | Office | New Jersey | LIBOR | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Basis spread on variable interest rate | 10.48% |
Mezzanine debt investments | Hotel | Louisiana | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Prior liens | $ 81,200 |
Face amount | 14,800 |
Loans | $ 6,796 |
Interest rate | 0.16% |
Mezzanine debt investments | Hotel | Louisiana | LIBOR | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Basis spread on variable interest rate | 9.75% |
First mortgages | Retail | California | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Prior liens | $ 0 |
Face amount | 40,029 |
Loans | $ 35,356 |
First mortgages | Retail | California | LIBOR | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Basis spread on variable interest rate | 3.40% |
First mortgages | Retail | California | Minimum | |
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 | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Prior liens | $ 0 |
Face amount | 393 |
Loans | $ 330 |
First mortgages | Retail | North Carolina | LIBOR | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Basis spread on variable interest rate | 3.40% |
First mortgages | Retail | North Carolina | Minimum | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Interest rate | 2.25% |
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 | 67,281 |
Loans | $ 66,169 |
First mortgages | Office | Texas | Group One | LIBOR | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Basis spread on variable interest rate | 3.75% |
First mortgages | 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 | 12,000 |
Loans | $ 11,907 |
First mortgages | Office | Texas | Group Two | LIBOR | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Basis spread on variable interest rate | 3.45% |
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 | Texas | Minimum | Group Two | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Interest rate | 2.25% |
First mortgages | Office | Florida | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Prior liens | $ 0 |
Face amount | 85,067 |
Loans | $ 84,443 |
First mortgages | Office | Florida | LIBOR | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Basis spread on variable interest rate | 3.00% |
First mortgages | Office | Florida | Minimum | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Interest rate | 1.50% |
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 | 53,968 |
Loans | $ 50,956 |
First mortgages | Office | New Jersey | LIBOR | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Basis spread on variable interest rate | 3.40% |
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 | Hotel | Texas | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Prior liens | $ 0 |
Face amount | 8,038 |
Loans | $ 7,827 |
First mortgages | Hotel | Texas | LIBOR | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Basis spread on variable interest rate | 3.75% |
First mortgages | Hotel | Texas | Minimum | |
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 | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Prior liens | $ 0 |
Face amount | 15,874 |
Loans | $ 14,641 |
First mortgages | Industrial | North Carolina | LIBOR | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Basis spread on variable interest rate | 2.85% |
First mortgages | Industrial | North Carolina | Minimum | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Interest rate | 1.85% |
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 | 15,212 |
Loans | $ 14,872 |
First mortgages | Industrial | Arizona | LIBOR | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
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 | 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 | $ 31,257 |
First mortgages | Multifamily | Delaware | LIBOR | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Basis spread on variable interest rate | 2.90% |
First mortgages | Multifamily | Delaware | Minimum | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Interest rate | 1.75% |
First mortgages | Multifamily | New York | Group One | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Prior liens | $ 0 |
Face amount | 37,403 |
Loans | $ 36,062 |
First mortgages | Multifamily | New York | Group One | LIBOR | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Basis spread on variable interest rate | 3.25% |
First mortgages | Multifamily | New York | Group Two | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Prior liens | $ 0 |
Face amount | 238 |
Loans | $ 232 |
First mortgages | Multifamily | New York | Group Two | LIBOR | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Basis spread on variable interest rate | 3.25% |
First mortgages | Multifamily | New York | Minimum | Group One | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Interest rate | 1.75% |
First mortgages | Multifamily | New York | Minimum | Group Two | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Interest rate | 1.75% |
First mortgages | Healthcare | Washington | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Prior liens | $ 0 |
Face amount | 20,152 |
Loans | $ 19,873 |
First mortgages | Healthcare | Washington | LIBOR | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Basis spread on variable interest rate | 3.40% |
First mortgages | Healthcare | Washington | Minimum | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Interest rate | 1.75% |