COVER PAGE
COVER PAGE - shares | 9 Months Ended | |
Sep. 30, 2022 | Oct. 31, 2022 | |
Document Information [Line Items] | ||
Document Type | 10-Q | |
Document Quarterly Report | true | |
Document Period End Date | Sep. 30, 2022 | |
Document Transition Report | false | |
Entity File Number | 1-13447 | |
Entity Registrant Name | ANNALY CAPITAL MANAGEMENT INC | |
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 Current Reporting Status | Yes | |
Entity Interactive Data Current | Yes | |
Entity Filer Category | Large Accelerated Filer | |
Entity Small Business | false | |
Entity Emerging Growth Company | false | |
Entity Shell Company | false | |
Entity Common Stock, Shares Outstanding | 467,865,540 | |
Amendment Flag | false | |
Document Fiscal Year Focus | 2022 | |
Document Fiscal Period Focus | Q3 | |
Entity Central Index Key | 0001043219 | |
Current Fiscal Year End Date | --12-31 | |
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 | Sep. 30, 2022 | Dec. 31, 2021 | |||
Assets | |||||
Cash and cash equivalents (includes pledged assets of $1,169,631 and $1,222,505, respectively) | $ 1,466,171 | [1] | $ 1,342,090 | ||
Securities (includes pledged assets of $55,889,039 and $56,675,447, respectively) | [2] | 66,839,353 | 63,655,674 | [3] | |
Loans, net (includes pledged assets of $1,279,960 and $2,462,776, respectively) | [4] | 1,551,707 | 4,242,043 | [3] | |
Mortgage servicing rights (includes pledged assets of $727,927 and $0, respectively) | 1,705,254 | 544,562 | [3] | ||
Interests in MSR | 0 | 69,316 | [3] | ||
Assets transferred or pledged to securitization vehicles | 9,202,014 | 6,086,308 | [3] | ||
Assets of disposal group held for sale | 11,371 | 194,138 | [3] | ||
Derivative assets | 1,949,530 | 170,370 | [3] | ||
Receivable for unsettled trades | 2,153,895 | 2,656 | [3] | ||
Principal and interest receivable | 262,542 | 234,983 | [3] | ||
Goodwill and intangible assets, net | 17,437 | 24,241 | [3] | ||
Other assets | 247,490 | 197,683 | [3] | ||
Total assets | 85,406,764 | 76,764,064 | [3] | ||
Liabilities | |||||
Repurchase agreements | 54,160,731 | 54,769,643 | [3] | ||
Other secured financing | 250,000 | 903,255 | [3] | ||
Debt issued by securitization vehicles | 7,844,518 | 5,155,633 | [3] | ||
Participations issued | 745,729 | 1,049,066 | [3] | ||
Liabilities of disposal group held for sale | 1,151 | 154,956 | [3] | ||
Derivative liabilities | 764,535 | 881,537 | [3] | ||
Payable for unsettled trades | 9,333,646 | 147,908 | [3] | ||
Interest payable | 30,242 | 91,176 | [3] | ||
Dividends payable | 411,762 | 321,142 | [3] | ||
Other liabilities | 912,895 | 94,423 | [3] | ||
Total liabilities | 74,455,209 | 63,568,739 | [3] | ||
Stockholders’ equity | |||||
Preferred stock, par value $0.01 per share, 63,500,000 authorized, issued and outstanding | 1,536,569 | 1,536,569 | [3] | ||
Common stock, par value $0.01 per share, 2,936,500,000 authorized, 467,911,144 and 364,934,065 issued and outstanding, respectively | 4,679 | 3,649 | [3] | ||
Additional paid-in capital | 22,967,665 | 20,324,780 | [3] | ||
Accumulated other comprehensive income (loss) | (5,431,436) | 958,410 | [3] | ||
Accumulated deficit | (8,211,358) | (9,653,582) | [3] | ||
Total stockholders’ equity | 10,866,119 | 13,169,826 | [3] | ||
Noncontrolling interests | 85,436 | 25,499 | [3] | ||
Total equity | 10,951,555 | 13,195,325 | [3] | ||
Total liabilities and equity | $ 85,406,764 | $ 76,764,064 | [3] | ||
[1] (2) Includes cash of consolidated Variable Interest Entities (“VIEs”) of $3.5 million and $16.2 million at September 30, 2022 and December 31, 2021, respectively. (3) Excludes $27.3 million and $44.2 million at September 30, 2022 and December 31, 2021, respectively, of Agency mortgage-backed securities and $1.0 billion and $350.4 million at September 30, 2022 and December 31, 2021, respectively, of non-Agency mortgage-backed securities in consolidated VIEs pledged as collateral and eliminated from the Company’s Consolidated Statements of Financial Condition. (1) Derived from the audited consolidated financial statements at December 31, 2021. (4) Includes $1.4 million and $2.3 million of residential mortgage loans held for sale at September 30, 2022 and December 31, 2021, respectively. |
CONSOLIDATED STATEMENTS OF FI_2
CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION (Parenthetical) - USD ($) $ in Thousands | Sep. 30, 2022 | Dec. 31, 2021 | ||
Pledged assets included in cash and cash equivalents | $ 1,169,631 | $ 1,222,505 | ||
Mortgage servicing rights | $ 1,705,254 | $ 544,562 | [1] | |
Preferred stock, par value (USD per share) | $ 0.01 | $ 0.01 | ||
Preferred stock authorized (shares) | 63,500,000 | 63,500,000 | ||
Preferred stock issued (shares) | 63,500,000 | 63,500,000 | ||
Preferred stock outstanding (shares) | 63,500,000 | 63,500,000 | ||
Common stock, par value (USD per share) | $ 0.01 | $ 0.01 | ||
Common stock authorized (shares) | 2,936,500,000 | 2,936,500,000 | ||
Common stock issued (shares) | 467,911,144 | 364,934,065 | ||
Common stock outstanding (shares) | 467,911,144 | 364,934,065 | ||
Mortgage-backed securities | [2] | $ 66,839,353 | $ 63,655,674 | [1] |
Asset Pledged as Collateral without Right | ||||
Pledged assets included in loans, net | 1,279,960 | 2,462,776 | ||
Consolidated VIEs | ||||
Cash and cash equivalents | 3,500 | 16,200 | ||
Agency Mortgage-Backed Securities | ||||
Pledged assets | 55,889,039 | 56,675,447 | ||
Agency Mortgage-Backed Securities | Consolidated VIEs | ||||
Mortgage-backed securities | 27,300 | 44,200 | ||
Non-Agency Mortgage-Backed Securities | ||||
Mortgage servicing rights | 727,927 | 0 | ||
Non-Agency Mortgage-Backed Securities | Consolidated VIEs | ||||
Mortgage-backed securities | 1,000,000 | 350,400 | ||
Residential Mortgage Loans | ||||
Loans held-for-sale | $ 1,400 | $ 2,300 | ||
[1] (1) Derived from the audited consolidated financial statements at December 31, 2021. (3) Excludes $27.3 million and $44.2 million at September 30, 2022 and December 31, 2021, respectively, of Agency mortgage-backed securities and $1.0 billion and $350.4 million at September 30, 2022 and December 31, 2021, respectively, of non-Agency mortgage-backed securities in consolidated VIEs pledged as collateral and eliminated from the Company’s Consolidated Statements of Financial Condition. |
CONSOLIDATED STATEMENTS OF COMP
CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2022 | Sep. 30, 2021 | Sep. 30, 2022 | Sep. 30, 2021 | |
Net interest income | ||||
Interest income | $ 678,488 | $ 412,972 | $ 1,979,953 | $ 1,560,256 |
Interest expense | 400,491 | 50,438 | 645,888 | 187,458 |
Net interest income | 277,997 | 362,534 | 1,334,065 | 1,372,798 |
Net servicing income | ||||
Servicing and related income | 74,486 | 17,948 | 164,886 | 37,696 |
Servicing and related expense | 7,780 | 3,012 | 17,486 | 7,912 |
Net servicing income | 66,706 | 14,936 | 147,400 | 29,784 |
Other income (loss) | ||||
Net gains (losses) on investments and other | (2,702,512) | 102,819 | (3,477,532) | 161,431 |
Net gains (losses) on derivatives | 2,117,240 | 84,950 | 4,774,911 | 672,371 |
Loan loss (provision) reversal | 1,613 | 6,134 | 27,918 | 145,260 |
Business divestiture-related gains (losses) | (2,936) | (14,009) | (27,245) | (262,045) |
Other, net | 1,526 | 1,285 | (902) | 1,580 |
Total other income (loss) | (585,069) | 181,179 | 1,297,150 | 718,597 |
General and administrative expenses | ||||
Compensation expense | 27,744 | 27,859 | 82,989 | 91,390 |
Other general and administrative expenses | 10,178 | 16,023 | 36,735 | 53,923 |
Total general and administrative expenses | 37,922 | 43,882 | 119,724 | 145,313 |
Income (loss) before income taxes | (278,288) | 514,767 | 2,658,891 | 1,975,866 |
Income taxes | (4,311) | (6,767) | 45,657 | (1,954) |
Net income (loss) | (273,977) | 521,534 | 2,613,234 | 1,977,820 |
Net income (loss) attributable to noncontrolling interests | 1,287 | 2,290 | (453) | 3,405 |
Net income (loss) attributable to Annaly | (275,264) | 519,244 | 2,613,687 | 1,974,415 |
Dividends on preferred stock | 26,883 | 26,883 | 80,649 | 80,649 |
Net income (loss) available (related) to common stockholders | $ (302,147) | $ 492,361 | $ 2,533,038 | $ 1,893,766 |
Net income (loss) per share available (related) to common stockholders | ||||
Basic (in dollars per share) | $ (0.70) | $ 1.36 | $ 6.46 | $ 5.34 |
Diluted (in dollars per share) | $ (0.70) | $ 1.36 | $ 6.45 | $ 5.34 |
Weighted average number of common shares outstanding | ||||
Basic (in shares) | 429,858,876 | 361,328,979 | 392,172,655 | 354,606,052 |
Diluted (in shares) | 429,858,876 | 361,589,467 | 392,445,034 | 354,875,551 |
Other comprehensive income (loss) | ||||
Net income (loss) | $ (273,977) | $ 521,534 | $ 2,613,234 | $ 1,977,820 |
Unrealized gains (losses) on available-for-sale securities | (2,578,509) | (113,451) | (8,650,438) | (1,733,919) |
Reclassification adjustment for net (gains) losses included in net income (loss) | 1,457,999 | (28,186) | 2,260,592 | (1,778) |
Other comprehensive income (loss) | (1,120,510) | (141,637) | (6,389,846) | (1,735,697) |
Comprehensive income (loss) | (1,394,487) | 379,897 | (3,776,612) | 242,123 |
Comprehensive income (loss) attributable to noncontrolling interests | 1,287 | 2,290 | (453) | 3,405 |
Comprehensive income (loss) attributable to Annaly | (1,395,774) | 377,607 | (3,776,159) | 238,718 |
Dividends on preferred stock | 26,883 | 26,883 | 80,649 | 80,649 |
Comprehensive income (loss) attributable to common stockholders | $ (1,422,657) | $ 350,724 | $ (3,856,808) | $ 158,069 |
CONSOLIDATED STATEMENTS OF STOC
CONSOLIDATED STATEMENTS OF STOCKHOLDERS' EQUITY - USD ($) $ in Thousands | Total | Total stockholder’s equity | Preferred stock | Common stock | Additional paid-in capital | Accumulated other comprehensive income (loss) | Accumulated deficit | Noncontrolling interests | |||
Beginning of period at Dec. 31, 2020 | $ 1,536,569 | $ 3,496 | $ 19,761,304 | $ 3,374,335 | $ (10,667,388) | $ 13,480 | |||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||||||||||
Issuance | 128 | 469,206 | |||||||||
Stock-based award activity | 1 | 8,730 | |||||||||
Unrealized gains (losses) on available-for-sale securities | $ (1,733,919) | (1,733,919) | |||||||||
Reclassification adjustment for net gains (losses) included in net income (loss) | (1,778) | (1,778) | |||||||||
Net income (loss) attributable to Annaly | 1,974,415 | 1,974,415 | |||||||||
Dividends declared on preferred stock | [1] | (80,649) | |||||||||
Dividends and dividend equivalents declared on common stock and share-based awards | (946,648) | (946,648) | [1] | ||||||||
Net income (loss) attributable to noncontrolling interests | (3,405) | 3,405 | |||||||||
Equity contributions from (distributions to) noncontrolling interests | 3,180 | ||||||||||
End of period at Sep. 30, 2021 | 13,717,867 | $ 13,697,802 | 1,536,569 | 3,625 | 20,239,240 | 1,638,638 | (9,720,270) | 20,065 | |||
Beginning of period at Jun. 30, 2021 | 1,536,569 | 3,610 | 20,189,524 | 1,780,275 | (9,892,863) | 22,061 | |||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||||||||||
Issuance | 14 | 48,894 | |||||||||
Stock-based award activity | 1 | 822 | |||||||||
Unrealized gains (losses) on available-for-sale securities | (113,451) | (113,451) | |||||||||
Reclassification adjustment for net gains (losses) included in net income (loss) | (28,186) | (28,186) | |||||||||
Net income (loss) attributable to Annaly | 519,244 | 519,244 | |||||||||
Dividends declared on preferred stock | [1] | (26,883) | |||||||||
Dividends and dividend equivalents declared on common stock and share-based awards | (319,768) | (319,768) | [1] | ||||||||
Net income (loss) attributable to noncontrolling interests | (2,290) | 2,290 | |||||||||
Equity contributions from (distributions to) noncontrolling interests | (4,286) | ||||||||||
End of period at Sep. 30, 2021 | 13,717,867 | 13,697,802 | 1,536,569 | 3,625 | 20,239,240 | 1,638,638 | (9,720,270) | 20,065 | |||
Beginning of period at Dec. 31, 2021 | 13,195,325 | [2] | 1,536,569 | 3,649 | 20,324,780 | 958,410 | (9,653,582) | 25,499 | |||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||||||||||
Issuance | 1,027 | 2,626,052 | |||||||||
Stock-based award activity | 3 | 16,833 | |||||||||
Unrealized gains (losses) on available-for-sale securities | (8,650,438) | (8,650,438) | |||||||||
Reclassification adjustment for net gains (losses) included in net income (loss) | 2,260,592 | 2,260,592 | |||||||||
Net income (loss) attributable to Annaly | 2,613,687 | 2,613,687 | |||||||||
Dividends declared on preferred stock | [1] | (80,649) | |||||||||
Dividends and dividend equivalents declared on common stock and share-based awards | (1,090,814) | (1,090,814) | [1] | ||||||||
Net income (loss) attributable to noncontrolling interests | 453 | (453) | |||||||||
Equity contributions from (distributions to) noncontrolling interests | 60,390 | ||||||||||
End of period at Sep. 30, 2022 | 10,951,555 | 10,866,119 | 1,536,569 | 4,679 | 22,967,665 | (5,431,436) | (8,211,358) | 85,436 | |||
Beginning of period at Jun. 30, 2022 | 1,536,569 | 4,023 | 21,293,146 | (4,310,926) | (7,496,061) | 63,149 | |||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||||||||||
Issuance | 655 | 1,670,825 | |||||||||
Stock-based award activity | 1 | 3,694 | |||||||||
Unrealized gains (losses) on available-for-sale securities | (2,578,509) | (2,578,509) | |||||||||
Reclassification adjustment for net gains (losses) included in net income (loss) | 1,457,999 | 1,457,999 | |||||||||
Net income (loss) attributable to Annaly | (275,264) | (275,264) | |||||||||
Dividends declared on preferred stock | [1] | (26,883) | |||||||||
Dividends and dividend equivalents declared on common stock and share-based awards | (413,150) | (413,150) | [1] | ||||||||
Net income (loss) attributable to noncontrolling interests | (1,287) | 1,287 | |||||||||
Equity contributions from (distributions to) noncontrolling interests | 21,000 | ||||||||||
End of period at Sep. 30, 2022 | $ 10,951,555 | $ 10,866,119 | $ 1,536,569 | $ 4,679 | $ 22,967,665 | $ (5,431,436) | $ (8,211,358) | $ 85,436 | |||
[1] (1) Refer to the “Capital Stock” Note for dividends per share for each class of shares. (1) Derived from the audited consolidated financial statements at December 31, 2021. |
CONSOLIDATED STATEMENTS OF CASH
CONSOLIDATED STATEMENTS OF CASH FLOWS - USD ($) $ in Thousands | 9 Months Ended | ||
Sep. 30, 2022 | Sep. 30, 2021 | ||
Cash flows from operating activities | |||
Net income (loss) | $ 2,613,234 | $ 1,977,820 | |
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities | |||
Amortization of premiums and discounts of investments, net | 43,676 | 555,659 | |
Amortization of securitized debt premiums and discounts and deferred financing costs | (3,829) | (4,129) | |
Depreciation, amortization and other noncash expenses | 15,879 | 21,084 | |
Net (gains) losses on investments and derivatives | (1,217,818) | (1,051,047) | |
Business divestiture-related (gains) losses | 27,245 | 262,045 | |
Income (loss) from unconsolidated joint ventures | (11,985) | 5,889 | |
Loan loss (provision) reversal | (27,918) | (145,260) | |
Payments on purchases of loans held for sale | 0 | (51,403) | |
Proceeds from sales and repayments of loans held for sale | 3,946 | 88,050 | |
Net receipts (payments) on derivatives | 2,799,188 | 608,184 | |
Net change in | |||
Other assets | (6,511) | 22,441 | |
Interest receivable | (28,718) | 34,881 | |
Interest payable | (61,285) | (81,183) | |
Other liabilities | 1,025,727 | (27,750) | |
Net cash provided by (used in) operating activities | 5,170,831 | 2,215,281 | |
Cash flows from investing activities | |||
Payments on purchases of securities | (30,851,614) | (18,334,872) | |
Proceeds from sales of securities | 16,744,864 | 11,146,996 | |
Principal payments on securities | 7,864,869 | 14,638,456 | |
Payments on purchases and origination of loans | (5,165,059) | (4,710,425) | |
Proceeds from sales of loans | 1,918,996 | 879,147 | |
Principal payments on loans | 1,357,018 | 2,016,373 | |
Payments on purchases of MSR | (866,767) | (416,149) | |
Proceeds from sales of MSR | 9,076 | 376 | |
Payments on purchases of interests in MSR | (4,913) | (53,034) | |
Investments in real estate | 0 | (1,815) | |
Proceeds from sales of real estate | 0 | 53,910 | |
Proceeds from reverse repurchase agreements | 18,450,024 | 15,184,313 | |
Payments on reverse repurchase agreements | (18,450,024) | (15,184,313) | |
Distributions in excess of cumulative earnings from unconsolidated joint ventures | 0 | 290 | |
Proceeds from sale of equity securities | 0 | 6,957 | |
Net proceeds from business divestiture | 0 | 1,118,100 | |
Net cash provided by (used in) investing activities | (8,993,530) | 6,344,310 | |
Cash flows from financing activities | |||
Proceeds from repurchase agreements and other secured financing | 2,581,103,609 | 1,702,497,310 | |
Payments on repurchase agreements and other secured financing | (2,582,371,537) | (1,712,035,449) | |
Proceeds from issuances of securitized debt | 4,876,814 | 2,005,080 | |
Principal payments on securitized debt | (1,059,955) | (1,270,367) | |
Payments on purchases of securitized debt | (8,495) | 0 | |
Net proceeds from stock offerings, direct purchases and dividend reinvestments | 2,627,079 | 469,334 | |
Proceeds from participations issued | 1,637,231 | 1,036,800 | |
Payments on repurchases of participations issued | (1,796,643) | (434,873) | |
Principal payments on participations issued | (40,241) | (10,420) | |
Net principal receipts (payments) on mortgages payable | 0 | (1,019) | |
Net contributions (distributions) from (to) noncontrolling interests | 60,390 | 3,180 | |
Settlement of stock-based awards in satisfaction of withholding tax requirements | (4,039) | (2,773) | |
Dividends paid | (1,077,433) | (1,013,797) | |
Net cash provided by (used in) financing activities | 3,946,780 | (8,756,994) | |
Net (decrease) increase in cash and cash equivalents | 124,081 | (197,403) | |
Cash and cash equivalents including cash pledged as collateral, beginning of period | 1,342,090 | 1,243,703 | |
Cash and cash equivalents including cash pledged as collateral, end of period | 1,466,171 | [1] | 1,046,300 |
Supplemental disclosure of cash flow information | |||
Interest received | 1,751,099 | 2,107,854 | |
Dividends received | 0 | 51 | |
Interest paid (excluding interest paid on interest rate swaps) | 457,122 | 228,875 | |
Net interest received (paid) on interest rate swaps | (57,302) | (258,061) | |
Taxes received (paid) | (2,170) | (780) | |
Noncash investing and financing activities | |||
Receivable for unsettled trades | 2,153,895 | 42,482 | |
Payable for unsettled trades | 9,333,646 | 571,540 | |
Net change in unrealized gains (losses) on available-for-sale securities, net of reclassification adjustment | (6,389,846) | (1,735,697) | |
Dividends declared, not yet paid | 411,762 | 318,986 | |
Derecognition of assets of consolidated VIEs | 0 | 3,052,280 | |
Derecognition of securitized debt of consolidated VIEs | 0 | 2,496,118 | |
Derecognition of mortgages payable | $ 0 | $ 314,485 | |
[1] (2) Includes cash of consolidated Variable Interest Entities (“VIEs”) of $3.5 million and $16.2 million at September 30, 2022 and December 31, 2021, respectively. |
DESCRIPTION OF BUSINESS
DESCRIPTION OF BUSINESS | 9 Months Ended |
Sep. 30, 2022 | |
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 with investment strategies across mortgage finance. 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 and mortgage servicing rights (“MSR”). The Company’s principal business objective is to generate net income for distribution to its stockholders and optimize its returns through prudent management of its diversified investment strategies. The Company is 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”). The Company’s 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 and complementary investments within the Agency market, including Agency commercial mortgage-backed securities. Annaly Residential Credit Group Invests primarily in non-Agency residential whole loans and securitized products within the residential and commercial markets. Annaly Mortgage Servicing Rights Group Invests in MSR, which provide the right to service residential loans in exchange for a portion of the interest payments made on the loans. In March 2021, the Company announced that it had entered into a definitive agreement to sell and exit its Commercial Real Estate (“CRE”) business. As of September 30, 2022, the CRE assets held for sale and the associated liabilities were transferred. Refer to the “Sale of Commercial Real Estate Business” Note for additional information. In April 2022, the Company announced that it had entered into a definitive agreement to sell substantially all of the assets that comprise the Annaly Middle Market Lending (“MML”) portfolio, including assets held on balance sheet as well as assets managed for third parties. The vast majority of these assets were legally transferred at the end of the third quarter of 2022 and the remaining assets are expected to be transferred by the end of the fourth quarter of 2022. Refer to the “Sale of Middle Market Lending Portfolio” Note for additional information on the transaction. |
BASIS OF PRESENTATION
BASIS OF PRESENTATION | 9 Months Ended |
Sep. 30, 2022 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
BASIS OF PRESENTATION | 2. BASIS OF PRESENTATION The accompanying consolidated financial statements and related notes of the Company have been prepared in accordance with U.S. generally accepted accounting principles (“GAAP”). The accompanying consolidated financial statements and related notes are unaudited and should be read in conjunction with the audited consolidated financial statements included in the Company’s most recent Annual Report on Form 10-K for the fiscal year ended December 31, 2021 (the “2021 Form 10-K”). The consolidated financial information as of December 31, 2021 has been derived from audited consolidated financial statements included in the Company’s 2021 Form 10-K. The preparation of the consolidated financial statements requires management to make estimates and assumptions that affect the reported balance sheet amounts and/or disclosures at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ materially from those estimates. Beginning with the quarter ended March 31, 2022, in light of the continued growth of its mortgage servicing rights portfolio, the Company enhanced its financial disclosures by separately reporting servicing income and servicing expense in its Consolidated Statements of Comprehensive Income (Loss). Servicing income and servicing expense were previously included within Other income (loss). As a result of this change, prior periods have been adjusted to conform to the current presentation. In addition, beginning with the quarter ended March 31, 2022, the Company consolidated certain line items in its Consolidated Statements of Comprehensive Income (Loss) in an effort to streamline and simplify its financial presentation. Amounts previously reported under Net interest component of interest rate swaps, Realized gains (losses) on termination or maturity of interest rate swaps, Unrealized gains (losses) on interest rate swaps and Net gains (losses) on other derivatives are combined into a single line item titled Net gains (losses) on derivatives. Similarly, amounts previously reported under Net gains (losses) on disposal of investments and other and Net unrealized gains (losses) on instruments measured at fair value through earnings are combined into a single line item titled Net gains (losses) on investments and other. As a result of these changes, prior periods have been adjusted to conform to the current presentation. In the opinion of management, all normal, recurring adjustments have been included for a fair presentation of this interim financial information. Interim period operating results may not be indicative of the operating results for a full year. Reverse Stock Split On September 8, 2022, the Company announced that its Board of Directors had unanimously approved a reverse stock split of the Company’s common stock at a ratio of 1-for-4 (the “Reverse Stock Split”). The Reverse Stock Split was effective following the close of business on September 23, 2022 (the “Effective Time”). Accordingly, at the Effective Time, every four issued and outstanding shares of the Company’s common stock were converted into one share of the Company’s common stock. No fractional shares were issued in connection with the Reverse Stock Split. Instead, each stockholder that would have held fractional shares as a result of the Reverse Stock Split received cash in lieu of such fractional shares. The par value per share of the Company’s common stock remained unchanged at $0.01 per share after the Reverse Stock Split. Accordingly, for all historical periods presented, an amount equal to the par value of the reduced number of shares resulting from the Reverse Stock Split was reclassified from Common stock to Additional paid in capital in the Company’s Consolidated Statements of Financial Condition. All other references made to share or per share amounts in the accompanying consolidated financial statements and disclosures have also been retroactively adjusted, where applicable, to reflect the effects of the Reverse Stock Split. |
SIGNIFICANT ACCOUNTING POLICIES
SIGNIFICANT ACCOUNTING POLICIES | 9 Months Ended |
Sep. 30, 2022 | |
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 Other assets with income or loss included in Other, net. 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 $1.2 billion and $1.2 billion at September 30, 2022 and December 31, 2021, respectively. 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 FVO in order to simplify the accounting treatment for certain financial instruments. Items for which the FVO 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 gains (losses) on investments and other in the Consolidated Statements of Comprehensive Income (Loss). For additional information regarding financial instruments for which the Company has elected the FVO 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 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 recognized 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 derivatives. 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. Stock-based awards that contain market-based conditions are valued using a model. Compensation expense for awards with performance conditions is recognized based on the probable outcome of the performance condition at each reporting date. Compensation expense for awards with market conditions is recognized irrespective of the probability of the market condition being achieved and is not reversed if the market condition is not met. 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 (as defined in the “Securities” Note), 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 on corporate debt for accrued interest receivable. If interest receivable is deemed to be uncollectible or not collected within 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 Standard that has been adopted 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 | 9 Months Ended |
Sep. 30, 2022 | |
Investments, All Other Investments [Abstract] | |
FINANCIAL INSTRUMENTS | 4. FINANCIAL INSTRUMENTS The following table presents characteristics for certain of the Company’s financial instruments at September 30, 2022 and December 31, 2021. Financial Instruments (1) Balance Sheet Line Item Type / Form Measurement Basis September 30, 2022 December 31, 2021 Assets (dollars in thousands) Securities Agency mortgage-backed securities (2) Fair value, with unrealized gains (losses) through other comprehensive income $ 41,042,640 $ 59,939,383 Securities Agency mortgage-backed securities (3) Fair value, with unrealized gains (losses) through earnings 21,994,601 586,222 Securities Residential credit risk transfer securities Fair value, with unrealized gains (losses) through earnings 1,056,906 936,228 Securities Non-agency mortgage-backed securities Fair value, with unrealized gains (losses) through earnings 2,156,706 1,663,336 Securities Commercial real estate debt investments - CMBS Fair value, with unrealized gains (losses) through earnings 570,633 521,440 Securities Commercial real estate debt investments - credit risk transfer securities Fair value, with unrealized gains (losses) through earnings 17,867 9,065 Total securities 66,839,353 63,655,674 Loans, net Residential mortgage loans Fair value, with unrealized gains (losses) through earnings 1,551,637 2,272,072 Loans, net Residential mortgage loan warehouse facility Fair value, with unrealized gains (losses) through earnings 70 980 Loans, net Corporate debt, held for investment Amortized cost — 1,968,991 Total loans, net 1,551,707 4,242,043 Interests in MSR Interest in net servicing cash flows Fair value, with unrealized gains (losses) through earnings — 69,316 Assets transferred or pledged to securitization vehicles Agency mortgage-backed securities Fair value, with unrealized gains (losses) through other comprehensive income 431,388 589,873 Assets transferred or pledged to securitization vehicles Residential mortgage loans Fair value, with unrealized gains (losses) through earnings 8,770,626 5,496,435 Total assets transferred or pledged to securitization vehicles 9,202,014 6,086,308 Liabilities Repurchase agreements Repurchase agreements Amortized cost 54,160,731 54,769,643 Other secured financing Loans Amortized cost 250,000 903,255 Debt issued by securitization vehicles Securities Fair value, with unrealized gains (losses) through earnings 7,844,518 5,155,633 Participations issued Participations issued Fair value, with unrealized gains (losses) through earnings 745,729 1,049,066 (1) Receivable for unsettled trades, Principal and interest receivable, Payable for unsettled trades, Interest payable and Dividends payable are accounted for at cost. Interests in MSR are considered financial assets whereas directly held MSR are servicing assets or obligations. (2) Includes Agency pass-through, collateralized mortgage obligation (“CMO”) and multifamily securities purchased prior to July 1, 2022. (3) Includes interest-only securities and reverse mortgages and, effective July 1, 2022, newly purchased Agency pass-through, collateralized mortgage obligation (“CMO”) and multifamily securities. |
SECURITIES
SECURITIES | 9 Months Ended |
Sep. 30, 2022 | |
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 debt 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 gains (losses) on investments and other in the Consolidated Statements of Comprehensive Income (Loss). Effective July 1, 2022, the Company elected the fair value option for any newly purchased Agency mortgage-backed securities in order to simplify the accounting for these securities. Agency mortgage-backed securities purchased prior to July 1, 2022, are still classified as available-for-sale with changes in fair value recognized in other comprehensive income. Transactions for regular-way securities are recorded on trade date, including to-be-announced (“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 where the fair value option has not been elected 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. For the nine months ended September 30, 2021, the Company recognized a $0.4 million impairment on a commercial mortgage-backed security that was sold subsequently in 2021. 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 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, prime jumbo 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”) - The Company invests in Commercial securities such as conduit, credit CMBS, single-asset single borrower and collateralized loan obligations. The following represents a rollforward of the activity for the Company’s securities, excluding securities transferred or pledged to securitization vehicles, for the nine months ended September 30, 2022: Agency Securities Residential Credit Securities Commercial Securities Total (dollars in thousands) Beginning balance January 1, 2022 $ 60,525,605 $ 2,599,564 $ 530,505 $ 63,655,674 Purchases 37,900,732 1,655,685 247,746 39,804,163 Sales and transfers (20,616,137) (377,648) (169,224) (21,163,009) Principal paydowns (7,343,579) (444,738) (3,514) (7,791,831) (Amortization) / accretion (12,815) 4,662 425 (7,728) Fair value adjustment (7,416,565) (223,913) (17,438) (7,657,916) Ending balance September 30, 2022 $ 63,037,241 $ 3,213,612 $ 588,500 $ 66,839,353 The following tables present the Company’s securities portfolio, excluding securities transferred or pledged to securitization vehicles, that were carried at their fair value at September 30, 2022 and December 31, 2021: September 30, 2022 Principal / Remaining Premium Remaining Discount Amortized Unrealized Unrealized Estimated Fair Value Agency (dollars in thousands) Fixed-rate pass-through $ 65,429,709 $ 2,561,532 $ (727,852) $ 67,263,389 $ 7,680 $ (6,289,954) $ 60,981,115 Adjustable-rate pass-through 243,262 14,340 (98) 257,504 3,738 (11,738) 249,504 CMO 103,521 1,795 — 105,316 — (12,996) 92,320 Interest-only 1,576,498 400,101 — 400,101 259 (227,515) 172,845 Multifamily (1) 8,610,998 301,545 (1,045) 1,664,017 — (151,917) 1,512,100 Reverse mortgages 29,090 3,368 — 32,458 — (3,101) 29,357 Total agency securities $ 75,993,078 $ 3,282,681 $ (728,995) $ 69,722,785 $ 11,677 $ (6,697,221) $ 63,037,241 Residential credit Credit risk transfer (2) $ 1,100,944 $ 7,170 $ (4,385) $ 1,103,729 $ 900 $ (47,723) $ 1,056,906 Alt-A 145,718 31 (20,012) 125,737 1,731 (9,624) 117,844 Prime (3) 2,038,622 21,762 (25,159) 300,186 5,440 (42,791) 262,835 Subprime 206,413 207 (19,387) 187,233 3,242 (12,656) 177,819 NPL/RPL 1,456,013 1,695 (15,580) 1,442,128 — (58,640) 1,383,488 Prime jumbo (>=2010 vintage) (4) 2,165,973 17,327 (29,512) 254,297 2,114 (41,691) 214,720 Total residential credit securities $ 7,113,683 $ 48,192 $ (114,035) $ 3,413,310 $ 13,427 $ (213,125) $ 3,213,612 Total Residential Securities $ 83,106,761 $ 3,330,873 $ (843,030) $ 73,136,095 $ 25,104 $ (6,910,346) $ 66,250,853 Commercial Commercial Securities $ 611,581 $ — $ (3,205) $ 608,376 $ — $ (19,876) $ 588,500 Total securities $ 83,718,342 $ 3,330,873 $ (846,235) $ 73,744,471 $ 25,104 $ (6,930,222) $ 66,839,353 December 31, 2021 Principal / Remaining Premium Remaining Discount Amortized Unrealized Unrealized Estimated Fair Value Agency (dollars in thousands) Fixed-rate pass-through $ 54,432,252 $ 3,008,185 $ (18,314) $ 57,422,123 $ 1,349,125 $ (474,643) $ 58,296,605 Adjustable-rate pass-through 305,211 1,965 (2,124) 305,052 16,223 (2) 321,273 CMO 114,533 1,888 — 116,421 5,277 — 121,698 Interest-only 1,912,415 456,683 — 456,683 428 (163,197) 293,914 Multifamily (1) 5,671,138 273,553 — 1,453,946 15,330 (16,563) 1,452,713 Reverse mortgages 36,807 3,550 — 40,357 — (955) 39,402 Total agency investments $ 62,472,356 $ 3,745,824 $ (20,438) $ 59,794,582 $ 1,386,383 $ (655,360) $ 60,525,605 Residential credit Credit risk transfer (2) $ 924,101 $ 8,754 $ (1,176) $ 927,555 $ 9,641 $ (968) $ 936,228 Alt-A 83,213 31 (17,133) 66,111 3,627 (251) 69,487 Prime (3) 323,062 9,841 (14,757) 268,117 10,853 (3,529) 275,441 Subprime 170,671 349 (16,111) 154,909 8,285 (118) 163,076 NPL/RPL 987,415 950 (1,698) 986,667 2,739 (5,968) 983,438 Prime jumbo (>=2010 vintage) (4) 299,783 5,680 (6,410) 172,598 4,272 (4,976) 171,894 Total residential credit securities $ 2,788,245 $ 25,605 $ (57,285) $ 2,575,957 $ 39,417 $ (15,810) $ 2,599,564 Total Residential Securities $ 65,260,601 $ 3,771,429 $ (77,723) $ 62,370,539 $ 1,425,800 $ (671,170) $ 63,125,169 Commercial Commercial Securities $ 533,071 $ — $ (127) $ 532,944 $ 165 $ (2,604) $ 530,505 Total securities $ 65,793,672 $ 3,771,429 $ (77,850) $ 62,903,483 $ 1,425,965 $ (673,774) $ 63,655,674 (1) Principal/Notional amount includes $7.2 billion and $4.5 billion of Agency Multifamily interest-only securities as of September 30, 2022 and December 31, 2021, respectively. (2) Principal/Notional amount includes $0.0 million and $4.1 million of a CRT interest-only security as of September 30, 2022 and December 31, 2021, respectively. (3) Principal/Notional amount includes $1.7 billion and $50.0 million of Prime interest-only securities as of September 30, 2022 and December 31, 2021, respectively. (4) Principal/Notional amount includes $1.9 billion and $126.5 million of Prime Jumbo interest-only securities as of September 30, 2022 and December 31, 2021, 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 September 30, 2022 and December 31, 2021: September 30, 2022 December 31, 2021 Investment Type (dollars in thousands) Fannie Mae $ 54,755,114 $ 48,404,991 Freddie Mac 8,222,761 10,880,033 Ginnie Mae 59,366 1,240,581 Total $ 63,037,241 $ 60,525,605 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 September 30, 2022 and December 31, 2021, according to their estimated weighted average life classifications: September 30, 2022 December 31, 2021 Estimated Fair Value Amortized Estimated Fair Value Amortized Estimated weighted average life (dollars in thousands) Less than one year $ 284,752 $ 290,114 $ 253,129 $ 250,689 Greater than one year through five years 3,324,677 3,524,087 16,155,017 15,766,307 Greater than five years through ten years 53,054,872 58,412,350 45,470,212 45,102,607 Greater than ten years 9,586,552 10,909,544 1,246,811 1,250,936 Total $ 66,250,853 $ 73,136,095 $ 63,125,169 $ 62,370,539 The estimated weighted average lives of the Residential Securities at September 30, 2022 and December 31, 2021 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 September 30, 2022 and December 31, 2021. September 30, 2022 December 31, 2021 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 $ 38,312,990 $ (4,825,625) 2,722 $ 22,828,156 $ (475,064) 571 12 Months or more 2,505,823 (587,391) 137 383,815 (10,960) 19 Total $ 40,818,813 $ (5,413,016) 2,859 $ 23,211,971 $ (486,024) 590 (1) Excludes interest-only mortgage-backed securities and reverse mortgages and effective July 1, 2022, newly purchased Agency pass-through, collateralized mortgage obligation (“CMO”) and multifamily securities. The decline in value of these securities is solely due to market conditions and not the quality of the assets. Substantially all of the Agency mortgage-backed securities have an actual or implied credit rating that is the same as that of the U.S. government. An impairment has not been recognized in earnings related to these investments because the decline in value is not related to credit quality, the Company currently has not made a decision to sell the securities nor is it more likely than not that the securities will be required to be sold before recovery. During the three and nine months ended September 30, 2022, the Company disposed of $11.6 billion and $21.0 billion of Residential Securities, respectively. During the three and nine months ended September 30, 2021, the Company disposed of $4.8 billion and $11.1 billion of Residential Securities, respectively. The following table presents the Company’s net gains (losses) from the disposal of Residential Securities for the three and nine months ended September 30, 2022 and 2021. Gross Realized Gains Gross Realized Losses Net Realized Gains (Losses) For the three months ended (dollars in thousands) September 30, 2022 $ 17,324 $ (1,491,325) $ (1,474,001) September 30, 2021 $ 30,368 $ (3,636) $ 26,732 For the nine months ended September 30, 2022 $ 46,152 $ (2,321,940) $ (2,275,788) September 30, 2021 $ 87,499 $ (86,657) $ 842 |
LOANS
LOANS | 9 Months Ended |
Sep. 30, 2022 | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Abstract] | |
LOANS | 6. LOANS The Company invests in residential loans. Loans are classified as either held for investment or held for sale. Loans are eligible to be accounted for under the fair value option. If loans are elected under the fair value option, they are carried at fair value with changes in fair value recognized in earnings. Otherwise, loans held for investment are carried at cost less impairment and loans held for sale are accounted for at the lower of cost or fair value. Excluding loans transferred or pledged to securitization vehicles and loan warehouse facilities, as of September 30, 2022 and December 31, 2021, the Company rep orted $1.6 billion and $2.3 billion, respectively, of loans for which the fair value option was elected. 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. The carrying value of the Company’s residential loans held for sale was $1.4 million and $2.3 million at September 30, 2022 and December 31, 2021, respectively. Allowance for Losses – The Company evaluates the need for a loss reserve on each of its loans classified as held-for-investment, which primarily include corporate debt, 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. An allowance 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) reversal 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. 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 net loan loss (provisions) reversals of $1.6 million and $27.9 million for the three and nine months ended September 30, 2022, respectively. The Company recorded net loan loss (provisions) reversals of $6.1 million and $145.3 million for the three and nine months ended September 30, 2021, respectively. As of September 30, 2022 and December 31, 2021, the Company’s loan loss allowance was $0.0 million and $27.9 million, respectively. The following table presents the activity of the Company’s loan investments, excluding loans transferred or pledged to securitization vehicles and loan warehouse facilities, for the nine months ended September 30, 2022: Residential Corporate Debt Total (dollars in thousands) Beginning balance January 1, 2022 $ 2,272,072 $ 1,968,991 $ 4,241,063 Purchases / originations 5,008,390 185,269 5,193,659 Sales and transfers (1) (5,470,437) (1,902,444) (7,372,881) Principal payments (86,329) (231,190) (317,519) Gains / (losses) (2) (166,111) (23,320) (189,431) (Amortization) / accretion (5,948) 2,694 (3,254) Ending balance September 30, 2022 $ 1,551,637 $ — $ 1,551,637 (1) Includes securitizations, syndications, transfers to securitization vehicles and corporate debt transfers to assets of disposal group held for sale and other assets. Includes transfer of residential loans to securitization vehicles with a carrying value of $5.5 billion during the nine months ended September 30, 2022. (2) Includes loan loss allowances. 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 gains (losses) on investments and other in the Consolidated Statements of Comprehensive Income (Loss). 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 and excluding loan warehouse facilities, at September 30, 2022 and December 31, 2021: September 30, 2022 December 31, 2021 (dollars in thousands) Fair value $ 10,322,263 $ 7,768,507 Unpaid principal balance $ 11,469,486 $ 7,535,855 The following table provides information regarding the line items and amounts recognized in the Consolidated Statements of Comprehensive Income (Loss) for the three and nine months ended September 30, 2022 and 2021 for these investments, excluding loan warehouse facilities: For the Three Months Ended For the Nine Months Ended September 30, 2022 September 30, 2021 September 30, 2022 September 30, 2021 (dollars in thousands) Interest income $ 109,973 $ 45,799 $ 275,083 $ 121,871 Net gains (losses) on disposal of investments (1) 1,103 (7,154) (11,555) (34,095) Net unrealized gains (losses) on instruments measured at fair value through earnings (1) (541,771) 12,525 (1,281,501) 49,436 Total included in net income (loss) $ (430,695) $ 51,170 $ (1,017,973) $ 137,212 (1) These amounts are presented in the line item Net gains (losses) on investments and other on the Consolidated Statements of Comprehensive Income (Loss) The following table provides the geographic concentrations based on the unpaid principal balances at September 30, 2022 and December 31, 2021 for the residential mortgage loans, including loans transferred or pledged to securitization vehicles: Geographic Concentrations of Residential Mortgage Loans September 30, 2022 December 31, 2021 Property location % of Balance Property location % of Balance California 46.1% California 50.2% New York 10.2% New York 10.9% Florida 8.1% Florida 6.1% All other (none individually greater than 5%) 35.6% All other (none individually greater than 5%) 32.8% 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 September 30, 2022 and December 31, 2021: September 30, 2022 December 31, 2021 Portfolio Range Portfolio Weighted Portfolio Range Portfolio Weighted Average (dollars in thousands) Unpaid principal balance $2 - $4,396 $501 $1 - $4,382 $513 Interest rate 2.00% - 15.00% 4.41% 0.75% - 9.24% 4.04% Maturity 7/1/2029 - 9/1/2062 8/29/2051 7/1/2029 - 12/1/2061 12/22/2050 FICO score at loan origination 588 - 831 760 604 - 831 762 Loan-to-value ratio at loan origination 5% - 100% 67% 8% - 103% 66% At September 30, 2022 and December 31, 2021, approximately 11% and 16%, respectively, of the carrying value of the Company’s residential mortgage loans, including loans transferred or pledged to securitization vehicles, were adjustable-rate. The Company participates in an arrangement that provides a residential mortgage loan warehouse facility to a third-party originator. The Company has elected to apply the fair value option to this lending facility in order to simplify the accounting and keep the accounting consistent with other residential credit financial instruments with similar characteristics. At September 30, 2022 and December 31, 2021, the fair value and carrying value of this warehouse facility was $0.1 million and $1.0 million, respectively, and reported as Loans, net in the Consolidated Statements of Financial Condition. As of September 30, 2022, the lending facility was not on nonaccrual status nor past due. Commercial As of December 31, 2021, commercial real estate loans were reported in Assets of disposal group held for sale in the Consolidated Statements of Financial Condition and classified as held for sale. Refer to the “Sale of Commercial Real Estate Business” Note for additional information on the transaction. Corporate Debt In April 2022, the Company entered into a definitive agreement to sell substantially all of the corporate loan interests held by the MML business operated by the Company, as well as assets managed for third parties (collectively, the “MML Portfolio”), to Ares Capital Management LLC (“Ares”). The vast majority of these assets were legally transferred to Ares at the end of the third quarter and the remaining assets are expected to be transferred by the end of the fourth quarter of 2022. Refer to the “Sale of Middle Market Lending Portfolio” Note for additional information on the transaction. |
MORTGAGE SERVICING RIGHTS
MORTGAGE SERVICING RIGHTS | 9 Months Ended |
Sep. 30, 2022 | |
Transfers and Servicing [Abstract] | |
MORTGAGE SERVICING RIGHTS | 7. MORTGAGE SERVICING RIGHTS MSR represent the rights and obligations 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 MSR. The Company generally intends to hold the MSR as investments and elected to account for all of its investments in MSR 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 gains (losses) on investments and other in the Consolidated Statements of Comprehensive Income (Loss). Interests in MSR represent agreements to purchase all, or a component of, net servicing cash flows. A third party acts as a master servicer for the loans providing the net servicing cash flows represented by the Interests in MSR. The Company accounts for its Interests in MSR at fair value with change in fair value presented in Net gains (losses) on investments and other in the Consolidated Statements of Comprehensive Income (Loss). Cash flows received for Interests in MSR are recorded in Other, net in the Consolidated Statements of Comprehensive Income (Loss). The following tables present activity related to MSR and Interests in MSR for the three and nine months ended September 30, 2022 and 2021: Mortgage Servicing Rights Three Months Ended Nine Months Ended September 30, 2022 September 30, 2021 September 30, 2022 September 30, 2021 (dollars in thousands) Fair value, beginning of period $ 1,421,420 $ 202,616 $ 544,562 $ 100,895 Purchases (1) 182,784 312,327 866,767 411,309 Transfers (2) 82,650 — 82,650 — Sales — — (9,076) (376) Change in fair value due to: Changes in valuation inputs or assumptions (3) 43,274 76,107 281,843 108,403 Other changes, including realization of expected cash flows (24,874) (18,791) (61,492) (47,972) Fair value, end of period $ 1,705,254 $ 572,259 $ 1,705,254 $ 572,259 (1) Includes adjustments to original purchase price from early payoffs, defaults, or loans that were delivered but were deemed to not be acceptable. (2) Transfers from Interests in MSR - Refer to the “Variable Interest Entities” Note for additional information. (3) Principally represents changes in discount rates and prepayment speed inputs used in valuation model, primarily due to changes in interest rates. Interests in MSR Three Months Ended Nine Months Ended September 30, 2022 September 30, 2021 September 30, 2022 September 30, 2021 (dollars in thousands) Beginning balance $ 83,622 $ 49,035 $ 69,316 $ — Purchases (1) — 5,936 4,860 53,034 Transfers (2) (82,650) — (82,650) — Gain (loss) included in net income (972) 2,559 8,474 4,496 Ending balance September 30, 2022 $ — $ 57,530 $ — $ 57,530 (1) Includes adjustments to original purchase price from early payoffs, defaults, or loans that were delivered but were deemed to not be acceptable. (2) Transfers to MSR - Refer to the “Variable Interest Entities” Note for additional information |
VARIABLE INTEREST ENTITIES
VARIABLE INTEREST ENTITIES | 9 Months Ended |
Sep. 30, 2022 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
VARIABLE INTEREST ENTITIES | 8. VARIABLE INTEREST ENTITIES The Company’s exposure to the obligations of its VIEs is generally limited to the Company’s investment in the VIEs of $1.1 billion at September 30, 2022. 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. Multifamily Securitization 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 this arrangement, the Company determined that it was the primary beneficiary based upon its involvement in the design of this VIE and through the retention of a significant variable interest in the VIE. The Company elected the fair value option for the financial liabilities of this VIE 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. 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. 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 Residential securitizations are issued by entities generally 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. Residential securitizations closed during the year are included in the table below. Securitization Date of Closing Face Value at Closing (dollars in thousands) OBX 2022-NQM1 January 2022 $ 556,696 OBX 2022-INV1 January 2022 $ 377,275 OBX 2022-INV2 February 2022 $ 466,686 OBX 2022-NQM2 February 2022 $ 439,421 OBX 2022-INV3 March 2022 $ 330,823 OBX 2022-NQM3 March 2022 $ 315,843 OBX 2022-NQM4 May 2022 $ 457,285 OBX 2022-J1 May 2022 $ 389,334 OBX 2022-NQM5 June 2022 $ 390,775 OBX 2022-INV4 June 2022 $ 335,900 OBX 2022-NQM6 June 2022 $ 387,913 OBX 2022-J2 August 2022 $ 305,969 OBX 2022-NQM7 August 2022 $ 358,931 OBX 2022-NQM8 September 2022 $ 397,470 As of September 30, 2022 and December 31, 2021, a total carrying value of $7.4 billion and $4.6 billion, respectively, of bonds were held by third parties and the Company retained $1.0 billion and $780.8 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 had 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. Effective August 1, 2022, upon initial consolidation of new securitization entities, the Company elected to apply the measurement alternative for consolidated collateralized financing entities in order to simplify its accounting and valuation processes. The liabilities of these securitization entities are deemed to be more observable and are used to measure the fair value of the assets. The Company incurred $1.7 million and $2.2 million of costs during the three months ended September 30, 2022 and 2021, respectively, and $6.8 million and $4.0 million of costs during the nine months ended September 30, 2022 and 2021, respectively, in connection with these securitizations that were expensed as incurred. The contractual principal amount of the OBX Trusts’ debt held by third parties was $8.6 billion and $4.6 billion at September 30, 2022 and December 31, 2021, 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 connection with the sale of substantially all of the assets that comprise the MML Portfolio, the credit facilities which provided financing for the Company’s corporate debt were paid-off and terminated during the three months ended June 30, 2022. Refer to the “Sale of Middle Market Lending Portfolio” Note for additional information on the transaction. MSR VIEs The Company owns variable interests in an entity that invests in MSR 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 owned variable interests in entities that invested in Interests in MSR. These entities were VIEs because they did not have sufficient equity at risk to finance their activities and the Company was the primary beneficiary because it had power to remove the decision makers with or without cause and held substantially all of the variable interests in the entities. During the quarter ended September 30, 2022, the Company terminated its contracts previously classified as Interests in MSR on its Consolidated Statements of Financial Condition and purchased the underlying mortgage servicing rights. As a result, consolidated VIEs holding the Interests in MSR and related assets and liabilities were liquidated. No gain or loss was recognized upon deconsolidation. The underlying mortgage servicing rights were initially recognized at fair value and subsequent changes in fair value are recognized in earnings. See the “Mortgage Servicing Rights” Note and “Fair Value Measurements” Note for further information regarding MSR. The statements of financial condition of the Company’s VIEs, excluding the multifamily securitization, 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 September 30, 2022 and December 31, 2021 are as follows: September 30, 2022 MSR VIEs Assets Cash and cash equivalents $ 3,533 Loans 1,378 Mortgage servicing rights 37 Interests in MSR — Other assets 4,068 Total assets $ 9,016 Liabilities Payable for unsettled trades $ 2,152 Other liabilities 3,636 Total liabilities $ 5,788 December 31, 2021 MSR VIEs Assets Cash and cash equivalents $ 16,187 Loans 2,347 Mortgage servicing rights 7,254 Interests in MSR 69,316 Other assets 10,406 Total assets $ 105,510 Liabilities Payable for unsettled trades $ 1,911 Other liabilities 14,582 Total liabilities $ 16,493 Corporate Debt Funds The Company managed parallel funds investing in senior secured first and second lien corporate loans (the “Fund Entities”). The Fund Entities were considered VIEs because the investors did not have substantive liquidation, kick-out or participating rights. The fees that the Company earned were not considered variable interests of the VIE. The Company was not the primary beneficiary of the Fund Entities and therefore did not consolidate the Fund Entities. The corporate loans in the Fund Entities were assets managed for third parties and were part of the MML Portfolio transferred to Ares during the three months ended June 30, 2022. Refer to the “Sale of Middle Market Lending Portfolio” Note for additional information on the transaction. 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 fund is the management and performance fees that it earns, which are not considered variable interests in the entity. As of September 30, 2022 and December 31, 2021, the Company had outstanding participating interests in residential mortgage loans of $0.7 billion and $1.0 billion, respectively. These transfers do not meet the criteria for sale accounting and are accounted for as secured borrowings, 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. 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. |
SALE OF COMMERCIAL REAL ESTATE
SALE OF COMMERCIAL REAL ESTATE BUSINESS | 9 Months Ended |
Sep. 30, 2022 | |
Discontinued Operations and Disposal Groups [Abstract] | |
SALE OF COMMERCIAL REAL ESTATE BUSINESS | 9. SALE OF COMMERCIAL REAL ESTATE BUSINESS On March 25, 2021, the Company entered into a definitive agreement to sell substantially all of the assets that comprise its CRE business to Slate Asset Management L.P. and Slate Grocery REIT (together, “Slate”) for $2.33 billion. The transaction included equity interests, loan assets and associated liabilities, and CMBS (other than commercial CRTs). The Company also sold nearly all of the remaining CRE business assets that are not included in the transaction with Slate. Certain employees who primarily supported the CRE business joined Slate in connection with the sale. In connection with the execution of the definitive agreement to sell the CRE business, during the three months ended March 31, 2021, the Company performed an assessment of goodwill, which was related to the Company’s 2013 acquisition of CreXus Investment Corp., and recognized an impairment of $71.8 million. During the nine months ended September 30, 2021, the Company reported Business divestiture-related gains (losses) of ($262.0) million, in its Consolidated Statements of Comprehensive Income (Loss) which includes the aforementioned goodwill impairment as well as valuation adjustments resulting from classifying the CRE assets as held for sale and estimated transaction costs. As of September 30, 2022, the assets held for sale and the associated liabilities were transferred to Slate. 10. SALE OF MIDDLE MARKET LENDING PORTFOLIO In April 2022, the Company entered into a definitive agreement to sell substantially all of the corporate loan interests held by the MML business operated by the Company, as well as assets managed for third parties (collectively, the “MML Portfolio”), to Ares Capital Management LLC (“Ares”) for $2.4 billion. The Company’s loans, having an unpaid principal balance of |
SALE OF MIDDLE MARKET LENDING P
SALE OF MIDDLE MARKET LENDING PORTFOLIO | 9 Months Ended |
Sep. 30, 2022 | |
Discontinued Operations and Disposal Groups [Abstract] | |
SALE OF MIDDLE MARKET LENDING PORTFOLIO | 9. SALE OF COMMERCIAL REAL ESTATE BUSINESS On March 25, 2021, the Company entered into a definitive agreement to sell substantially all of the assets that comprise its CRE business to Slate Asset Management L.P. and Slate Grocery REIT (together, “Slate”) for $2.33 billion. The transaction included equity interests, loan assets and associated liabilities, and CMBS (other than commercial CRTs). The Company also sold nearly all of the remaining CRE business assets that are not included in the transaction with Slate. Certain employees who primarily supported the CRE business joined Slate in connection with the sale. In connection with the execution of the definitive agreement to sell the CRE business, during the three months ended March 31, 2021, the Company performed an assessment of goodwill, which was related to the Company’s 2013 acquisition of CreXus Investment Corp., and recognized an impairment of $71.8 million. During the nine months ended September 30, 2021, the Company reported Business divestiture-related gains (losses) of ($262.0) million, in its Consolidated Statements of Comprehensive Income (Loss) which includes the aforementioned goodwill impairment as well as valuation adjustments resulting from classifying the CRE assets as held for sale and estimated transaction costs. As of September 30, 2022, the assets held for sale and the associated liabilities were transferred to Slate. 10. SALE OF MIDDLE MARKET LENDING PORTFOLIO In April 2022, the Company entered into a definitive agreement to sell substantially all of the corporate loan interests held by the MML business operated by the Company, as well as assets managed for third parties (collectively, the “MML Portfolio”), to Ares Capital Management LLC (“Ares”) for $2.4 billion. The Company’s loans, having an unpaid principal balance of |
DERIVATIVE INSTRUMENTS
DERIVATIVE INSTRUMENTS | 9 Months Ended |
Sep. 30, 2022 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
DERIVATIVE INSTRUMENTS | 11. 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 Net gains (losses) on derivatives 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 recognized 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 derivatives. 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 September 30, 2022 and December 31, 2021, ($3.2) billion and ($0.4) billion, 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 have outstanding 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 September 30, 2022 and December 31, 2021: Derivatives Instruments September 30, 2022 December 31, 2021 Assets (dollars in thousands) Interest rate swaps $ 36,861 $ — Interest rate swaptions 344,301 105,710 TBA derivatives 28,033 52,693 Futures contracts 1,539,298 9,028 Purchase commitments 1,037 1,779 Credit derivatives (1) — 1,160 Total derivative assets $ 1,949,530 $ 170,370 Liabilities Interest rate swaps $ 108,071 $ 747,036 TBA derivatives 635,652 3,916 Futures contracts 2,946 129,134 Purchase commitments 2,485 870 Credit derivatives (1) 15,381 581 Total derivative liabilities $ 764,535 $ 881,537 (1) The maximum potential amount of future payments is the notional amount of credit derivatives in which the Company sold protection of $420.0 million and $400.0 million at September 30, 2022 and December 31, 2021, respectively, plus any coupon shortfalls on the underlying tranche. As of September 30, 2022 and December 31, 2021 the credit derivative tranches referencing the basket of bonds had a range of ratings between AAA and AA. The following table summarizes certain characteristics of the Company’s interest rate swaps at September 30, 2022 and December 31, 2021: September 30, 2022 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 $ 21,501,900 1.08 % 2.95 % 0.66 3 - 6 years 1,120,400 2.20 % 2.95 % 4.32 6 - 10 years 15,936,200 2.06 % 2.99 % 9.29 Greater than 10 years 2,309,000 3.49 % 2.89 % 23.18 Total / Weighted average $ 40,867,500 1.53 % 2.96 % 5.40 December 31, 2021 Maturity Current Notional (1)(2) Weighted Average Weighted Average Receive Rate Weighted Average Years to Maturity (3) (dollars in thousands) 0 - 3 years $ 32,709,300 0.25 % 0.06 % 1.10 3 - 6 years 2,780,000 0.21 % 0.07 % 3.46 6 - 10 years 9,118,000 1.43 % 0.13 % 9.05 Greater than 10 years 1,300,000 4.04 % 0.11 % 18.70 Total / Weighted average $ 45,907,300 0.59 % 0.08 % 3.32 (1) As of September 30, 2022, 22%, 30% and 48% 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, 2021, 18%, 53% and 29% of the Company’s interest rate swaps were linked to LIBOR, the Federal funds rate and the Secured Overnight Financing Rate, respectively. (2) There were no forward starting swaps at September 30, 2022 and December 31, 2021. (3) At September 30, 2022 and December 31, 2021, 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 summarizes certain characteristics of the Company’s swaptions at September 30, 2022 and December 31, 2021: September 30, 2022 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 $3,000,000 2.03% 3M LIBOR 8.71 14.56 Long receive $750,000 1.57% 3M LIBOR 11.32 15.89 December 31, 2021 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 $4,050,000 2.00% 3M LIBOR 9.65 19.50 Long receive $2,000,000 1.47% 3M LIBOR 10.95 11.38 The following table summarizes certain characteristics of the Company’s TBA derivatives at September 30, 2022 and December 31, 2021: September 30, 2022 Purchase and sale contracts for derivative TBAs Notional Implied Cost Basis Implied Market Value Net Carrying Value (dollars in thousands) Purchase contracts $ 18,064,000 $ 17,686,372 $ 17,060,584 $ (625,788) Sale contracts (1,980,000) (1,895,947) (1,877,778) 18,169 Net TBA derivatives $ 16,084,000 $ 15,790,425 $ 15,182,806 $ (607,619) December 31, 2021 Purchase and sale contracts for derivative TBAs Notional Implied Cost Basis Implied Market Value Net Carrying Value (dollars in thousands) Purchase contracts $ 20,133,000 $ 20,289,856 $ 20,338,633 $ 48,777 The following table summarizes certain characteristics of the Company’s futures derivatives at September 30, 2022 and December 31, 2021: September 30, 2022 Notional - Long Notional - Short Weighted Average (dollars in thousands) U.S. Treasury futures - 2 year $ — $ (17,391,000) 1.97 U.S. Treasury futures - 5 year — (6,503,400) 4.38 U.S. Treasury futures - 10 year and greater — (18,376,900) 7.40 Total $ — $ (42,271,300) 4.70 December 31, 2021 Notional - Long Notional - Short Weighted Average (dollars in thousands) U.S. Treasury futures - 2 year $ — $ (7,509,200) 1.96 U.S. Treasury futures - 5 year — (5,644,900) 4.38 U.S. Treasury futures - 10 year and greater — (9,381,000) 6.84 Total $ — $ (22,535,100) 4.60 The Company presents derivative contracts on a gross basis in 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 in our Consolidated Statements of Financial Condition at September 30, 2022 and December 31, 2021, respectively. September 30, 2022 Amounts Eligible for Offset Gross Amounts Financial Instruments Cash Collateral Net Amounts Assets (dollars in thousands) Interest rate swaps, at fair value $ 36,861 $ (26,666) $ — $ 10,195 Interest rate swaptions, at fair value 344,301 — — 344,301 TBA derivatives, at fair value 28,033 (9,864) — 18,169 Futures contracts, at fair value 1,539,298 (2,946) — 1,536,352 Purchase commitments 1,037 — — 1,037 Liabilities Interest rate swaps, at fair value $ 108,071 $ (26,666) $ — $ 81,405 TBA derivatives, at fair value 635,652 (9,864) — 625,788 Futures contracts, at fair value 2,946 (2,946) — — Purchase commitments 2,485 — — 2,485 Credit derivatives 15,381 — (10,373) 5,008 December 31, 2021 Amounts Eligible for Offset Gross Amounts Financial Instruments Cash Collateral Net Amounts Assets (dollars in thousands) Interest rate swaptions, at fair value $ 105,710 $ — $ — $ 105,710 TBA derivatives, at fair value 52,693 (3,876) — 48,817 Futures contracts, at fair value 9,028 (9,028) — — Purchase commitments 1,779 — — 1,779 Credit derivatives 1,160 (516) — 644 Liabilities Interest rate swaps, at fair value $ 747,036 $ — $ (77,607) $ 669,429 TBA derivatives, at fair value 3,916 (3,876) (40) — Futures contracts, at fair value 129,134 (9,028) (120,106) — Purchase commitments 870 — — 870 Credit derivatives 581 (516) (65) — The effect of interest rate swaps in 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 (1) Realized Gains (Losses) on Termination of Interest Rate Swaps (1) Unrealized Gains (Losses) on Interest Rate Swaps (1) For the three months ended (dollars in thousands) September 30, 2022 $ 141,110 $ (83,393) $ 1,251,350 September 30, 2021 $ (54,411) $ (1,196,417) $ 1,380,946 For the nine months ended September 30, 2022 $ 79,561 $ (83,409) $ 3,472,326 September 30, 2021 $ (217,245) $ (1,196,417) $ 2,012,141 (1) Included in Net gains (losses) on derivatives in the Consolidated Statements of Comprehensive Income (Loss). The effect of other derivative contracts in the Company’s Consolidated Statements of Comprehensive Income (Loss) is as follows: Three Months Ended September 30, 2022 Derivative Instruments Realized Gain (Loss) Unrealized Gain (Loss) Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Derivatives (dollars in thousands) Net TBA derivatives $ (430,528) $ (577,156) $ (1,007,684) Net interest rate swaptions (18,949) 30,610 11,661 Futures 611,661 1,197,942 1,809,603 Purchase commitments — (4,530) (4,530) Credit derivatives 1,105 (1,982) (877) Total $ 808,173 Three Months Ended September 30, 2021 Derivative Instruments Realized Gain (Loss) Unrealized Gain (Loss) Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Derivatives (dollars in thousands) Net TBA derivatives $ 155,569 $ (182,845) $ (27,276) Net interest rate swaptions (24,265) (44,602) (68,867) Futures (229,534) 279,293 49,759 Purchase commitments — 920 920 Credit derivatives 2,616 (2,320) 296 Total $ (45,168) Nine Months Ended September 30, 2022 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 $ (2,250,909) $ (656,394) $ (2,907,303) Net interest rate swaptions (33,399) 272,668 239,269 Futures 2,332,338 1,656,458 3,988,796 Purchase commitments — (2,358) (2,358) Credit derivatives 2,539 (14,510) (11,971) Total $ 1,306,433 Nine Months Ended September 30, 2021 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 $ (122,275) $ (249,847) $ (372,122) Net interest rate swaptions (69,262) 28,528 (40,734) Futures 250,013 218,527 468,540 Purchase commitments — 1,389 1,389 Credit derivatives 7,024 8,634 15,658 Total $ 72,731 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. |
FAIR VALUE MEASUREMENTS
FAIR VALUE MEASUREMENTS | 9 Months Ended |
Sep. 30, 2022 | |
Fair Value Disclosures [Abstract] | |
FAIR VALUE MEASUREMENTS | 12. FAIR VALUE MEASUREMENTS The Company follows fair value guidance in accordance with GAAP to account for its financial instruments and MSR 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 MSR 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 instrument and MSR 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 “Variable Interest Entities” Note for additional information. The Company classifies its investments in MSR and Interests in MSR 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 discount rates, prepayment rates, delinquency levels and costs to service. 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 MSR and Interests in MSR require 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 MSR measured at fair value on a recurring basis. There were no transfers between levels of the fair value hierarchy during the periods presented. September 30, 2022 Level 1 Level 2 Level 3 Total Assets (dollars in thousands) Securities Agency mortgage-backed securities $ — $ 63,037,241 $ — $ 63,037,241 Credit risk transfer securities — 1,056,906 — 1,056,906 Non-Agency mortgage-backed securities — 2,156,706 — 2,156,706 Commercial mortgage-backed securities — 588,500 — 588,500 Loans Residential mortgage loans — 1,551,637 — 1,551,637 Residential mortgage loan warehouse facility — 70 — 70 Mortgage servicing rights — — 1,705,254 1,705,254 Assets transferred or pledged to securitization vehicles — 9,202,014 — 9,202,014 Derivative assets Interest rate swaps — 36,861 — 36,861 Other derivatives 1,539,298 373,371 — 1,912,669 Total assets $ 1,539,298 $ 78,003,306 $ 1,705,254 $ 81,247,858 Liabilities Debt issued by securitization vehicles — 7,844,518 — 7,844,518 Participations issued — 745,729 — 745,729 Derivative liabilities Interest rate swaps — 108,071 — 108,071 Other derivatives 2,946 653,518 — 656,464 Total liabilities $ 2,946 $ 9,351,836 $ — $ 9,354,782 December 31, 2021 Level 1 Level 2 Level 3 Total Assets (dollars in thousands) Securities Agency mortgage-backed securities $ — $ 60,525,605 $ — $ 60,525,605 Credit risk transfer securities — 936,228 — 936,228 Non-Agency mortgage-backed securities — 1,663,336 — 1,663,336 Commercial mortgage-backed securities — 530,505 — 530,505 Loans Residential mortgage loans — 2,272,072 — 2,272,072 Residential mortgage loan warehouse facility — 980 — 980 Mortgage servicing rights — — 544,562 544,562 Interests in MSR — — 69,316 69,316 Assets transferred or pledged to securitization vehicles — 6,086,308 — 6,086,308 Derivative assets Other derivatives 9,028 161,342 — 170,370 Total assets $ 9,028 $ 72,176,376 $ 613,878 $ 72,799,282 Liabilities Debt issued by securitization vehicles $ — $ 5,155,633 $ — $ 5,155,633 Participations issued — 1,049,066 — 1,049,066 Derivative liabilities Interest rate swaps — 747,036 — 747,036 Other derivatives 129,134 5,367 — 134,501 Total liabilities $ 129,134 $ 6,957,102 $ — $ 7,086,236 Qualitative and 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 MSR and Interests in MSR, 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 MSR and Interests in MSR, which in turn could result in a decline in the estimated fair value of MSR and Interests in MSR. Refer to the “Mortgage Servicing Rights” Note for additional information, including rollforwards. The table below presents information about the significant unobservable inputs used for recurring fair value measurements for Level 3 MSR and Interests in MSR. The table does not give effect to the Company’s risk management practices that might offset risks inherent in these Level 3 investments. September 30, 2022 Unobservable Input (1) / Range (Weighted Average) (2) Discount rate Prepayment rate Delinquency rate Cost to service MSR held directly 6.6% - 9.5% (8.7%) 4.8% - 8.0% (5.3%) 0.1% - 4.1% (0.9%) $88 - $108 ($94) December 31, 2021 Unobservable Input (1) / Range (Weighted Average) (2) Discount rate Prepayment rate Delinquency rate Cost to service MSR held directly 3.3% - 11.1% (7.0%) 7.3% - 15.9% (9.4%) 0.2% - 2.5% (1.2%) $90 - $103 ($96) Interests in MSR 8.4% - 8.4% (8.4%) 5.0% - 14.4% (9.1%) 0.0% - 0.2% (0.1%) $78 - $84 ($81) (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 MSR, weighted average prepayment rate, delinquency rate and cost to service based on unpaid principal balances of loans underlying the MSR. The following table summarizes the estimated fair values for financial assets and liabilities that are not carried at fair value at September 30, 2022 and December 31, 2021. September 30, 2022 December 31, 2021 Carrying Fair Carrying Fair Financial assets (dollars in thousands) Corporate debt, held for investment $— $— $1,968,991 $1,986,379 Financial liabilities Repurchase agreements $54,160,731 $54,160,731 $54,769,643 $54,769,643 Other secured financing 250,000 250,000 903,255 903,255 Corporate debt, held for investment and corporate debt, held for sale are valued using Level 3 inputs. Refer to the “Sale of Middle Market Lending Portfolio” Note for additional information. The carrying values of repurchase agreements and short term other secured financing approximate fair value and are considered Level 2 fair value measurements. Long term other secured financing is valued using Level 2 inputs. |
GOODWILL AND INTANGIBLE ASSETS
GOODWILL AND INTANGIBLE ASSETS | 9 Months Ended |
Sep. 30, 2022 | |
Goodwill and Intangible Assets Disclosure [Abstract] | |
GOODWILL AND INTANGIBLE ASSETS | 13. 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 September 30, 2022 and December 31, 2021, there was no goodwill balance. During the three months ended March 31, 2021, the Company recognized an impairment on goodwill in connection with the sale of the CRE business. Refer to the “Sale of Commercial Real Estate Business” Note for additional information. Intangible assets, net Finite life intangible assets are amortized over their expected useful lives. As part of the Company’s management internalization transaction, which closed on June 30, 2020, the Company recognized an intangible asset for the acquired assembled workforce of approximately $41.2 million based on the replacement cost of the employee base acquired by the Company. The following table presents the activity of finite lived intangible assets for the nine months ended September 30, 2022. Intangible Assets, net (dollars in thousands) Balance at December 31, 2021 $ 24,241 Impairment (4,157) Less: amortization expense (2,647) Balance at September 30, 2022 17,437 |
SECURED FINANCING
SECURED FINANCING | 9 Months Ended |
Sep. 30, 2022 | |
Debt Disclosure [Abstract] | |
SECURED FINANCING | 14. 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 should be treated as a securing financing. The Company enters into reverse repurchase agreements to earn a yield on excess cash balances. To mitigate credit exposure, the Company monitors the market value of these securities and delivers or obtains additional collateral based on changes in market value of these securities. Generally, the Company receives or posts collateral with a fair value approximately equal to or greater than the value of the secured financing. 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 $54.2 billion and $54.8 billion of repurchase agreements with weighted average remaining maturities of 57 days and 52 days at September 30, 2022 and December 31, 2021, respectively. The Company has select arrangements with counterparties to enter into repurchase agreements for $1.8 billion with remaining capacity of $1.4 billion at September 30, 2022. At September 30, 2022 and December 31, 2021, the repurchase agreements had the following remaining maturities, collateral types and weighted average rates: September 30, 2022 Agency Mortgage-Backed Securities CRTs Non-Agency Mortgage-Backed Securities Residential Mortgage Loans Commercial Mortgage-Backed Securities Total Repurchase Agreements Weighted Average Rate (dollars in thousands) 1 day $ — $ — $ — $ — $ — $ — — % 2 to 29 days 22,837,664 345,111 563,625 33,718 8,987 23,789,105 2.95 % 30 to 59 days 12,483,618 48,414 337,489 — 271,913 13,141,434 3.04 % 60 to 89 days 183,316 148,422 632,694 — 133,049 1,097,481 3.72 % 90 to 119 days 2,738,922 201,027 203,162 89,021 59,938 3,292,070 3.12 % Over 119 days (1) 11,869,882 57,660 532,704 319,229 61,166 12,840,641 3.36 % Total $ 50,113,402 $ 800,634 $ 2,269,674 $ 441,968 $ 535,053 $ 54,160,731 3.09 % December 31, 2021 Agency Mortgage-Backed Securities CRTs Non-Agency Mortgage-Backed Securities Residential Mortgage Loans Commercial Mortgage-Backed Securities Total Repurchase Agreements Weighted (dollars in thousands) 1 day $ — $ — $ — $ — $ — $ — — % 2 to 29 days 26,435,408 133,525 246,707 — 197,834 27,013,474 0.14 % 30 to 59 days 9,743,872 38,854 270,377 159,350 — 10,212,453 0.19 % 60 to 89 days 6,021,850 4,071 351,426 — — 6,377,347 0.17 % 90 to 119 days 4,812,345 — 12,573 — — 4,824,918 0.15 % Over 119 days (1) 5,711,448 — 96,283 345,651 188,069 6,341,451 0.27 % Total $ 52,724,923 $ 176,450 $ 977,366 $ 505,001 $ 385,903 $ 54,769,643 0.17 % (1) Approximately 0% repurchase agreements had a remaining maturity over 1 year at September 30, 2022 and December 31, 2021. 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 September 30, 2022 and December 31, 2021. Refer to the “Derivative Instruments” Note for information related to the effect of netting arrangements on the Company’s derivative instruments. September 30, 2022 December 31, 2021 Reverse Repurchase Agreements Repurchase Agreements Reverse Repurchase Agreements Repurchase Agreements (dollars in thousands) Gross amounts $ — $ 54,160,731 $ — $ 54,769,643 Amounts offset — — — — Netted amounts $ — $ 54,160,731 $ — $ 54,769,643 Other Secured Financing - As of September 30, 2022, the Company had a $250 million committed credit facility and a $250 million incremental facility provision to finance a portion of its MSR portfolio. Outstanding borrowings under this facility as of September 30, 2022 totaled $250.0 million with maturities ranging between one Refer to the “Variable Interest Entities” Note for additional information on the Company’s other secured financing arrangements at December 31, 2021. Investments pledged as collateral under secured financing arrangements and interest rate swaps, excluding residential mortgage loans of consolidated VIEs, had an estimated fair value and accrued interest of $57.2 billion and $199.1 million, respectively, at September 30, 2022 and $59.2 billion and $160.8 million, respectively, at December 31, 2021. |
CAPITAL STOCK
CAPITAL STOCK | 9 Months Ended |
Sep. 30, 2022 | |
Equity [Abstract] | |
CAPITAL STOCK | 15. CAPITAL STOCK (A) Common Stock The following table provides a summary of the Company’s common shares authorized, and issued and outstanding at September 30, 2022 and December 31, 2021. Shares authorized Shares issued and outstanding September 30, 2022 December 31, 2021 September 30, 2022 December 31, 2021 Par Value Common stock 2,936,500,000 2,936,500,000 467,911,144 364,934,065 $0.01 In December 2020, the Company announced that its board of directors (“Board”) authorized the repurchase of up to $1.5 billion of its outstanding common shares through December 31, 2021 (the “Prior Share Repurchase Program”). In January 2022, the Company announced that its Board authorized the repurchase of up to $1.5 billion of its outstanding shares of common stock through December 31, 2024 (the “Current Share Repurchase Program”). The Current Share Repurchase Program replaced the Prior Share Repurchase Program. During the three and nine months ended September 30, 2022 and 2021, no shares were purchased under the Current Share Repurchase Program or Prior Share Repurchase Program. During the three months ended September 30, 2022, the Company closed the public offering of an original issuance of 25 million shares of common stock for proceeds of $665.0 million before deducting offering expenses. During the the nine months ended September 30, 2022, the Company closed two public offerings for an aggregate original issuance of 50 million shares of common stock for aggregate proceeds of $1.31 billion before deducting offering expenses. In connection with each offering, the Company granted the underwriters a thirty-day option to purchase up to an additional 3.75 million shares of common stock, which the underwriters exercised in full in both instances, resulting in an additional $99.8 million and $196.5 million in proceeds before deducting offering expenses for the three and nine months ended September 30, 2022, respectively. The stock offerings conducted during the three and nine months ended September 30, 2022 were completed prior to the Reverse Stock Split and the foregoing share amounts have been retroactively adjusted to reflect the effects thereof. On August 6, 2020, the Company entered into separate Amended and Restated Distribution Agency Agreements (as amended by Amendment No. 1 to the Amended and Restated Distribution Agency Agreements on August 6, 2021, collectively, the “Sales Agreements”) with each of RBC Capital Markets, LLC, Barclays Capital Inc., BofA Securities, Inc., Citigroup Global Markets Inc., Credit Suisse Securities (USA) LLC, Goldman Sachs & Co. LLC, Keefe, Bruyette & Woods, Inc., J.P. Morgan Securities LLC, UBS Securities LLC and Wells Fargo Securities, LLC (collectively, the “Sales Agents”). Pursuant to the Sales Agreements, 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 (the “at-the-market sales program”). During the three and nine months ended September 30, 2022, under the at-the-market sales program, the Company issued 36.8 million shares for proceeds of $913.9 million and 45.2 million shares for proceeds of $1.1 billion, respectively, each net of commissions and fees. During the three and nine months ended September 30, 2021, under the at-the-market sales program, the Company issued 1.4 million shares for proceeds of $49.0 million and 12.8 million shares for proceeds of $469.5 million, respectively, each net of commissions and fees. The foregoing share amounts have been retroactively adjusted to reflect the effects of the Reverse Stock Split. (B) Preferred Stock The following is a summary of the Company’s cumulative redeemable preferred stock outstanding at September 30, 2022 and December 31, 2021. 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 September 30, 2022 December 31, 2021 September 30, 2022 December 31, 2021 September 30, 2022 December 31, 2021 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 17,000,000 17,000,000 17,000,000 17,000,000 411,335 411,335 6.50% 3/31/2023 3/31/2023 3M LIBOR + 4.172% Series I 17,700,000 17,700,000 17,700,000 17,700,000 428,324 428,324 6.75% 6/30/2024 6/30/2024 3M LIBOR + 4.989% Total 63,500,000 63,500,000 63,500,000 63,500,000 $ 1,536,569 $ 1,536,569 (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 September 30, 2022, the Company had declared and paid all required quarterly dividends on the Company’s preferred stock. The Series F Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, Series G Fixed-to-Floating Rate Cumulative Preferred Stock and Series I Fixed-to-Floating Rate Cumulative Preferred Stock rank senior to the common stock of the Company. (C) Distributions to Stockholders The following table provides a summary of the Company’s dividend distribution activity for the periods presented: For the Three Months Ended For the Nine Months Ended September 30, 2022 September 30, 2021 September 30, 2022 September 30, 2021 (dollars in thousands, except per share data) Dividends and dividend equivalents declared on common stock and share-based awards $ 413,150 $ 319,768 $ 1,090,814 $ 946,648 Distributions declared per common share $ 0.88 $ 0.88 $ 2.64 $ 2.64 Distributions paid to common stockholders after period end $ 411,762 $ 318,986 $ 411,762 $ 318,986 Distributions paid per common share after period end $ 0.88 $ 0.88 $ 0.88 $ 0.88 Date of distributions paid to common stockholders after period end October 31, 2022 October 29, 2021 October 31, 2022 October 29, 2021 Dividends declared to series F preferred stockholders $ 12,510 $ 12,510 $ 37,530 $ 37,530 Dividends declared per share of series F preferred stock $ 0.434 $ 0.434 $ 1.303 $ 1.303 Dividends declared to series G preferred stockholders $ 6,906 $ 6,906 $ 20,718 $ 20,718 Dividends declared per share of series G preferred stock $ 0.406 $ 0.406 $ 1.219 $ 1.219 Dividends declared to series I preferred stockholders $ 7,467 $ 7,467 $ 22,401 $ 22,401 Dividends declared per share of series I preferred stock $ 0.422 $ 0.422 $ 1.266 $ 1.266 |
INTEREST INCOME AND INTEREST EX
INTEREST INCOME AND INTEREST EXPENSE | 9 Months Ended |
Sep. 30, 2022 | |
Banking and Thrift, Interest [Abstract] | |
INTEREST INCOME AND INTEREST EXPENSE | 16. INTEREST INCOME AND INTEREST EXPENSE Refer to the “Significant Accounting Policies” Note 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 (1) Changes in fair value are recognized in Other comprehensive income (loss) on the accompanying Consolidated Statements of Comprehensive Income (Loss) for securities purchased prior to July 1, 2022. Effective July 1, 2022, changes in fair value are recognized in Net gains (losses) on investments and other on the accompanying Consolidated Statements of Comprehensive Income (Loss) for newly purchased securities. (2) Changes in fair value are recognized in Net gains (losses) on investments and other on the accompanying Consolidated Statements of Comprehensive Income (Loss). (3) Effective yield is recalculated for differences between estimated and actual prepayments and the amortized cost is adjusted as if the new effective yield had been applied since inception. The following presents the components of the Company’s interest income and interest expense for the three and nine months ended September 30, 2022 and September 30, 2021. For the Three Months Ended September 30, For the Nine Months Ended September 30, 2022 2021 2022 2021 Interest income (dollars in thousands) Agency securities $ 517,528 $ 299,898 $ 1,537,614 $ 1,183,353 Residential credit securities 41,388 20,774 93,547 57,231 Residential mortgage loans (1) 109,977 45,801 275,113 121,873 Commercial investment portfolio (1) (2) 8,853 46,494 72,711 197,758 Reverse repurchase agreements 742 5 968 41 Total interest income $ 678,488 $ 412,972 $ 1,979,953 $ 1,560,256 Interest expense Repurchase agreements 324,573 22,397 457,060 94,122 Debt issued by securitization vehicles 64,593 18,740 149,521 68,232 Participations issued 9,727 2,578 24,958 4,914 Other 1,598 6,723 14,349 20,190 Total interest expense 400,491 50,438 645,888 187,458 Net interest income $ 277,997 $ 362,534 $ 1,334,065 $ 1,372,798 (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 | 9 Months Ended |
Sep. 30, 2022 | |
Earnings Per Share [Abstract] | |
NET INCOME (LOSS) PER COMMON SHARE | 17. NET INCOME (LOSS) PER COMMON SHARE The following table presents a reconciliation of net income (loss) and shares used in calculating basic and diluted net income (loss) per share for the three and nine months ended September 30, 2022 and September 30, 2021. For the Three Months Ended For the Nine Months Ended September 30, 2022 September 30, 2021 September 30, 2022 September 30, 2021 (dollars in thousands, except per share data) Net income (loss) $ (273,977) $ 521,534 $ 2,613,234 $ 1,977,820 Net income (loss) attributable to noncontrolling interests 1,287 2,290 (453) 3,405 Net income (loss) attributable to Annaly (275,264) 519,244 2,613,687 1,974,415 Dividends on preferred stock 26,883 26,883 80,649 80,649 Net income (loss) available (related) to common stockholders $ (302,147) $ 492,361 $ 2,533,038 $ 1,893,766 Weighted average shares of common stock outstanding-basic 429,858,876 361,328,979 392,172,655 354,606,052 Add: Effect of stock awards, if dilutive — 260,488 272,379 269,499 Weighted average shares of common stock outstanding-diluted 429,858,876 361,589,467 392,445,034 354,875,551 Net income (loss) per share available (related) to common share Basic $ (0.70) $ 1.36 $ 6.46 $ 5.34 Diluted $ (0.70) $ 1.36 $ 6.45 $ 5.34 The computations of diluted net income (loss) per share available (related) to common share for the three and nine months ended September 30, 2022 excludes 1.4 million and 0.7 million, respectively, of potentially dilutive restricted and performance stock units because their effect would have been anti-dilutive. |
INCOME TAXES
INCOME TAXES | 9 Months Ended |
Sep. 30, 2022 | |
Income Tax Disclosure [Abstract] | |
INCOME TAXES | 18. INCOME TAXES For the three months ended September 30, 2022 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 September 30, 2022 and December 31, 2021. The state and local tax jurisdictions for which the Company is subject to tax-filing obligations recognize the Company’s status as a REIT, and therefore, the Company generally does not pay income tax in such jurisdictions. The Company may, however, be subject to certain minimum state and local tax filing fees as well as certain excise, franchise or business taxes. The Company’s TRSs are subject to federal, state and local taxes. During the three and nine months ended September 30, 2022, the Company recorded ($4.3) million and $45.7 million, respectively, of income tax expense/(benefit) attributable to its TRSs. During the three and nine months ended September 30, 2021, the Company recorded ($6.8) million and ($2.0) million, respectively, of income tax benefit attributable to its TRSs. The Company’s federal, state and local tax returns from 2018 and forward remain open for examination. |
RISK MANAGEMENT
RISK MANAGEMENT | 9 Months Ended |
Sep. 30, 2022 | |
Risk Management [Abstract] | |
RISK MANAGEMENT | 19. RISK MANAGEMENT The primary risks to the Company are capital, liquidity and funding risk, investment/market risk, credit risk and operational 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, changes in the expectations for the volatility of future interest rates and deterioration of financial conditions in general 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. 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 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 by rising borrower delinquencies which would reduce servicing income and increase overall costs to service the underlying mortgage loans. The Company is exposed to risk of loss if an issuer, borrower 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, pre-purchase due diligence, maintaining qualifying collateral and continually assessing the creditworthiness of issuers, borrowers and counterparties, credit rating monitoring and active servicer oversight. |
LEASE COMMITMENTS AND CONTINGEN
LEASE COMMITMENTS AND CONTINGENCIES | 9 Months Ended |
Sep. 30, 2022 | |
Leases [Abstract] | |
LEASE COMMITMENTS AND CONTINGENCIES | 20. LEASE COMMITMENTS AND CONTINGENCIES The Company’s operating leases are primarily comprised of corporate office leases with remaining lease terms of approximately three years and 5 years, respectively. The corporate office leases include options to extend for up to five years, however the extension terms were 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 three and nine months ended September 30, 2022 and 2021 was $0.8 million and $2.4 million, and $0.8 million and $2.5 million, respectively. Supplemental information related to leases as of and for the nine months ended September 30, 2022 was as follows: Operating Leases Classification September 30, 2022 Assets (dollars in thousands) Operating lease right-of-use assets Other assets $ 9,591 Liabilities Operating lease liabilities (1) Other liabilities $ 12,137 Lease term and discount rate Weighted average remaining lease term 3.2 years Weighted average discount rate (1) 3.2% Cash paid for amounts included in the measurement of lease liabilities Operating cash flows from operating leases $ 2,906 (1) For the Company’s leases that do not provide an implicit rate, the Company uses an incremental borrowing rate based on the information available at adoption date in determining the present value of lease payments. The following table provides details related to maturities of lease liabilities: Maturity of Lease Liabilities Years ending December 31, (dollars in thousands) 2022 (remaining) $ 965 2023 4,061 2024 4,107 2025 3,149 2026 262 Later years 291 Total lease payments $ 12,835 Less imputed interest 698 Present value of lease liabilities $ 12,137 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 September 30, 2022 and December 31, 2021. |
ARCOLA REGULATORY REQUIREMENTS
ARCOLA REGULATORY REQUIREMENTS | 9 Months Ended |
Sep. 30, 2022 | |
Broker-Dealer, Net Capital Requirement, SEC Regulation [Abstract] | |
ARCOLA REGULATORY REQUIREMENTS | 21. ARCOLA REGULATORY REQUIREMENTS Arcola is the Company’s wholly owned and consolidated broker-dealer. Arcola is subject to regulations of the securities business that include but are not limited to trade practices, use and safekeeping of funds and securities, capital structure, recordkeeping and conduct of directors, officers and employees. Arcola is a member of various clearing organizations with which it maintains cash required to conduct its day-to-day clearance activities. Arcola enters into reverse repurchase agreements and repurchase agreements as part of its matched book trading activity. Reverse repurchase agreements are recorded on settlement date at the contractual amount and are collateralized by mortgage-backed or other securities. Arcola generates income from the spread between what is earned on the reverse repurchase agreements and what is paid on the matched repurchase agreements. Arcola’s policy is to obtain possession of collateral with a market value in excess of the principal amount loaned under reverse repurchase agreements. To ensure that the market value of the underlying collateral remains sufficient, collateral is valued daily, and Arcola will require counterparties to deposit additional collateral, when necessary. All reverse repurchase activities are transacted under master repurchase agreements or other documentation that give Arcola the right, in the event of default, to liquidate collateral held and in some instances, to offset receivables and payables with the same counterparty. As a member of the Financial Industry Regulatory Authority (“FINRA”), Arcola is required to maintain a minimum net capital balance. At September 30, 2022, 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 September 30, 2022 was $513.8 million with excess net capital of $513.5 million. |
SUBSEQUENT EVENTS
SUBSEQUENT EVENTS | 9 Months Ended |
Sep. 30, 2022 | |
Subsequent Events [Abstract] | |
Subsequent Events | 22. SUBSEQUENT EVENTS In October 2022, the Company exercised the $250 million incremental facility provision for financing its MSR investments. On November 3, 2022, the Company’s Board of Directors approved a repurchase plan for all of its existing outstanding Preferred Stock (as defined below, the “Preferred Stock Repurchase Program”). Under the terms of the plan, the Company is authorized to repurchase up to an aggregate of 63,500,000 shares of Preferred Stock, comprised of up to (i) 28,800,000 shares of its 6.95% Series F Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, par value $0.01 per share (the “Series F Preferred Stock”), (ii) 17,000,000 shares of its 6.50% Series G Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, par value $0.01 per share (the “Series G Preferred Stock”), and (iii) 17,700,000 shares of its 6.75% Series I Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, par value $0.01 per share (the “Series I Preferred Stock”, and together with Series F Preferred Stock and Series G Preferred Stock, the “Preferred Stock”). The aggregate liquidation value of the Preferred Stock that may be repurchased by the Company pursuant to the Preferred Stock Repurchase Program, as of November 3, 2022, was approximately $1.6 billion. The Preferred Stock Repurchase Program became effective on November 3, 2022, and shall expire on December 31, 2024. Purchases made pursuant to the Preferred Stock Repurchase Program will be made in either the open market or in privately negotiated transactions from time to time as permitted by securities laws and other legal requirements. The timing, manner, price and amount of any repurchases will be determined by the Company in its discretion and will be subject to economic and market conditions, stock price, applicable legal requirements and other factors. The authorization does not obligate the Company to acquire any particular amount of Preferred Stock and the program may be suspended or discontinued at the Company’s discretion without prior notice. |
SIGNIFICANT ACCOUNTING POLICI_2
SIGNIFICANT ACCOUNTING POLICIES (Policies) | 9 Months Ended |
Sep. 30, 2022 | |
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 Other assets with income or loss included in Other, net. |
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. |
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 FVO in order to simplify the accounting treatment for certain financial instruments. Items for which the FVO 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 gains (losses) on investments and other in the Consolidated Statements of Comprehensive Income (Loss). For additional information regarding financial instruments for which the Company has elected the FVO 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 MSR 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 MSR 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 instrument and MSR 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 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 recognized 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 derivatives. 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. Stock-based awards that contain market-based conditions are valued using a model. Compensation expense for awards with performance conditions is recognized based on the probable outcome of the performance condition at each reporting date. Compensation expense for awards with market conditions is recognized irrespective of the probability of the market condition being achieved and is not reversed if the market condition is not met. 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 (as defined in the “Securities” Note), 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 on corporate debt for accrued interest receivable. If interest receivable is deemed to be uncollectible or not collected within 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 | Income Taxes – The Company has elected to be taxed as a REIT and intends to comply with the provisions of the Code, with respect thereto. As a REIT, the Company will not incur federal income tax to the extent that it distributes its taxable income to its stockholders. The Company and certain of its direct and indirect subsidiaries have made separate joint elections to treat these subsidiaries as taxable REIT subsidiaries (“TRSs”). As such, each of these TRSs is taxable as a domestic C corporation and subject to federal, state and local income taxes based upon its taxable income. Refer to the “Income Taxes” Note for further discussion on income taxes. |
Recent Accounting Pronouncements | Recent Accounting Pronouncements The Company considers the applicability and impact of all Accounting Standards Updates (“ASUs”). ASUs not listed below were not applicable, not expected to have a significant impact on the Company’s consolidated financial statements when adopted or did not have a significant impact on the Company’s consolidated financial statements upon adoption. Standard Description Effective Date Effect on the Financial Statements or Other Significant Matters Standard that has been adopted 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. |
Residential Mortgage Loans | 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 gains (losses) on investments and other in the Consolidated Statements of Comprehensive Income (Loss). The Company also consolidates securitization trusts in which it had purchased subordinated securities because it also has certain powers and rights to direct the activities of such trusts. Refer to the “Variable Interest Entities” Note for further information related to the Company’s consolidated residential mortgage loan trusts. |
Fair Value of Financial Instruments | The Company designates its securities as trading, available-for-sale or held-to-maturity depending upon the type of security and the Company’s intent and ability to hold such security to maturity. Securities classified as available-for-sale and trading are reported at fair value on a recurring basis. The following is a description of the valuation methodologies used for instruments carried at fair value. These methodologies are applied to assets and liabilities across the three-level fair value hierarchy, with the observability of inputs determining the appropriate level. Futures contracts are valued using quoted prices for identical instruments in active markets and are classified as Level 1. Residential Securities, interest rate swaps, swaptions and other derivatives are valued using quoted prices or internally estimated prices for similar assets using internal models. The Company incorporates common market pricing methods, including a spread measurement to the Treasury curve as well as underlying characteristics of the particular security including coupon, prepayment speeds, periodic and life caps, rate reset period and expected life of the security in its estimates of fair value. Fair value estimates for residential mortgage loans are generated by a discounted cash flow model and are primarily based on observable market-based inputs including discount rates, prepayment speeds, delinquency levels, and credit losses. Management reviews and indirectly corroborates its estimates of the fair value derived using internal models by comparing its results to independent prices provided by dealers in the securities and/or third party pricing services. Certain liquid asset classes, such as Agency fixed-rate pass-throughs, may be priced using independent sources such as quoted prices for TBA securities. Residential Securities, residential mortgage loans, interest rate swap and swaption markets, TBA derivatives and MBS options are considered to be active markets such that participants transact with sufficient frequency and volume to provide transparent pricing information on an ongoing basis. The liquidity of the Residential Securities, residential mortgage loans, interest rate swaps, swaptions, TBA derivatives and MBS options markets and the similarity of the Company’s securities to those actively traded enable the Company to observe quoted prices in the market and utilize those prices as a basis for formulating fair value measurements. Consequently, the Company has classified Residential Securities, residential mortgage loans, interest rate swaps, swaptions, TBA derivatives and MBS options as Level 2 inputs in the fair value hierarchy. The fair value of commercial mortgage-backed securities classified as available-for-sale is determined based upon quoted prices of similar assets in recent market transactions and requires the application of judgment due to differences in the underlying collateral. Consequently, commercial real estate debt investments carried at fair value are classified as Level 2. For the fair value of debt issued by securitization vehicles, refer to the “Variable Interest Entities” Note for additional information. |
Goodwill and Intangible Assets | The Company’s acquisitions are accounted for using the acquisition method if the acquisition is deemed to be a business. Under the acquisition method, net assets and results of operations of acquired companies are included in the consolidated financial statements from the date of acquisition. The purchase prices are allocated to the assets acquired, including identifiable intangible assets, and the liabilities assumed based on their estimated fair values at the date of acquisition. The excess of the purchase price over the fair value of the net assets acquired is recognized as goodwill. Conversely, any excess of the fair value of the net assets acquired over the purchase price is recognized as a bargain purchase gain.The Company tests goodwill for impairment on an annual basis or more frequently when events or circumstances may make it more likely than not that an impairment has occurred. If a qualitative analysis indicates that there may be an impairment, a quantitative analysis is performed. The quantitative impairment test for goodwill 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. |
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 should be treated as a securing financing. The Company enters into reverse repurchase agreements to earn a yield on excess cash balances. To mitigate credit exposure, the Company monitors the market value of these securities and delivers or obtains additional collateral based on changes in market value of these securities. Generally, the Company receives or posts collateral with a fair value approximately equal to or greater than the value of the secured financing. 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. |
SEC Schedule, Article 12-29, Mo
SEC Schedule, Article 12-29, Mortgage Loans on Real Estate (Policies) | 9 Months Ended |
Sep. 30, 2022 | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Abstract] | |
Allowance for Credit Losses, Policy for Uncollectible Amounts | Allowance for Losses – The Company evaluates the need for a loss reserve on each of its loans classified as held-for-investment, which primarily include corporate debt, 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. An allowance 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) reversal 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. 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. |
DESCRIPTION OF BUSINESS (Tables
DESCRIPTION OF BUSINESS (Tables) | 9 Months Ended |
Sep. 30, 2022 | |
Accounting Policies [Abstract] | |
Schedule of Investment Groups | The Company’s 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 and complementary investments within the Agency market, including Agency commercial mortgage-backed securities. Annaly Residential Credit Group Invests primarily in non-Agency residential whole loans and securitized products within the residential and commercial markets. Annaly Mortgage Servicing Rights Group Invests in MSR, which provide the right to service residential loans in exchange for a portion of the interest payments made on the loans. |
SIGNIFICANT ACCOUNTING POLICI_3
SIGNIFICANT ACCOUNTING POLICIES (Tables) | 9 Months Ended |
Sep. 30, 2022 | |
Accounting Policies [Abstract] | |
Recent Accounting Pronouncements | Standard Description Effective Date Effect on the Financial Statements or Other Significant Matters Standard that has been adopted 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) | 9 Months Ended |
Sep. 30, 2022 | |
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 September 30, 2022 and December 31, 2021. Financial Instruments (1) Balance Sheet Line Item Type / Form Measurement Basis September 30, 2022 December 31, 2021 Assets (dollars in thousands) Securities Agency mortgage-backed securities (2) Fair value, with unrealized gains (losses) through other comprehensive income $ 41,042,640 $ 59,939,383 Securities Agency mortgage-backed securities (3) Fair value, with unrealized gains (losses) through earnings 21,994,601 586,222 Securities Residential credit risk transfer securities Fair value, with unrealized gains (losses) through earnings 1,056,906 936,228 Securities Non-agency mortgage-backed securities Fair value, with unrealized gains (losses) through earnings 2,156,706 1,663,336 Securities Commercial real estate debt investments - CMBS Fair value, with unrealized gains (losses) through earnings 570,633 521,440 Securities Commercial real estate debt investments - credit risk transfer securities Fair value, with unrealized gains (losses) through earnings 17,867 9,065 Total securities 66,839,353 63,655,674 Loans, net Residential mortgage loans Fair value, with unrealized gains (losses) through earnings 1,551,637 2,272,072 Loans, net Residential mortgage loan warehouse facility Fair value, with unrealized gains (losses) through earnings 70 980 Loans, net Corporate debt, held for investment Amortized cost — 1,968,991 Total loans, net 1,551,707 4,242,043 Interests in MSR Interest in net servicing cash flows Fair value, with unrealized gains (losses) through earnings — 69,316 Assets transferred or pledged to securitization vehicles Agency mortgage-backed securities Fair value, with unrealized gains (losses) through other comprehensive income 431,388 589,873 Assets transferred or pledged to securitization vehicles Residential mortgage loans Fair value, with unrealized gains (losses) through earnings 8,770,626 5,496,435 Total assets transferred or pledged to securitization vehicles 9,202,014 6,086,308 Liabilities Repurchase agreements Repurchase agreements Amortized cost 54,160,731 54,769,643 Other secured financing Loans Amortized cost 250,000 903,255 Debt issued by securitization vehicles Securities Fair value, with unrealized gains (losses) through earnings 7,844,518 5,155,633 Participations issued Participations issued Fair value, with unrealized gains (losses) through earnings 745,729 1,049,066 (1) Receivable for unsettled trades, Principal and interest receivable, Payable for unsettled trades, Interest payable and Dividends payable are accounted for at cost. Interests in MSR are considered financial assets whereas directly held MSR are servicing assets or obligations. (2) Includes Agency pass-through, collateralized mortgage obligation (“CMO”) and multifamily securities purchased prior to July 1, 2022. (3) Includes interest-only securities and reverse mortgages and, effective July 1, 2022, newly purchased Agency pass-through, collateralized mortgage obligation (“CMO”) and multifamily securities. |
SECURITIES (Tables)
SECURITIES (Tables) | 9 Months Ended |
Sep. 30, 2022 | |
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 nine months ended September 30, 2022: Agency Securities Residential Credit Securities Commercial Securities Total (dollars in thousands) Beginning balance January 1, 2022 $ 60,525,605 $ 2,599,564 $ 530,505 $ 63,655,674 Purchases 37,900,732 1,655,685 247,746 39,804,163 Sales and transfers (20,616,137) (377,648) (169,224) (21,163,009) Principal paydowns (7,343,579) (444,738) (3,514) (7,791,831) (Amortization) / accretion (12,815) 4,662 425 (7,728) Fair value adjustment (7,416,565) (223,913) (17,438) (7,657,916) Ending balance September 30, 2022 $ 63,037,241 $ 3,213,612 $ 588,500 $ 66,839,353 |
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 were carried at their fair value at September 30, 2022 and December 31, 2021: September 30, 2022 Principal / Remaining Premium Remaining Discount Amortized Unrealized Unrealized Estimated Fair Value Agency (dollars in thousands) Fixed-rate pass-through $ 65,429,709 $ 2,561,532 $ (727,852) $ 67,263,389 $ 7,680 $ (6,289,954) $ 60,981,115 Adjustable-rate pass-through 243,262 14,340 (98) 257,504 3,738 (11,738) 249,504 CMO 103,521 1,795 — 105,316 — (12,996) 92,320 Interest-only 1,576,498 400,101 — 400,101 259 (227,515) 172,845 Multifamily (1) 8,610,998 301,545 (1,045) 1,664,017 — (151,917) 1,512,100 Reverse mortgages 29,090 3,368 — 32,458 — (3,101) 29,357 Total agency securities $ 75,993,078 $ 3,282,681 $ (728,995) $ 69,722,785 $ 11,677 $ (6,697,221) $ 63,037,241 Residential credit Credit risk transfer (2) $ 1,100,944 $ 7,170 $ (4,385) $ 1,103,729 $ 900 $ (47,723) $ 1,056,906 Alt-A 145,718 31 (20,012) 125,737 1,731 (9,624) 117,844 Prime (3) 2,038,622 21,762 (25,159) 300,186 5,440 (42,791) 262,835 Subprime 206,413 207 (19,387) 187,233 3,242 (12,656) 177,819 NPL/RPL 1,456,013 1,695 (15,580) 1,442,128 — (58,640) 1,383,488 Prime jumbo (>=2010 vintage) (4) 2,165,973 17,327 (29,512) 254,297 2,114 (41,691) 214,720 Total residential credit securities $ 7,113,683 $ 48,192 $ (114,035) $ 3,413,310 $ 13,427 $ (213,125) $ 3,213,612 Total Residential Securities $ 83,106,761 $ 3,330,873 $ (843,030) $ 73,136,095 $ 25,104 $ (6,910,346) $ 66,250,853 Commercial Commercial Securities $ 611,581 $ — $ (3,205) $ 608,376 $ — $ (19,876) $ 588,500 Total securities $ 83,718,342 $ 3,330,873 $ (846,235) $ 73,744,471 $ 25,104 $ (6,930,222) $ 66,839,353 December 31, 2021 Principal / Remaining Premium Remaining Discount Amortized Unrealized Unrealized Estimated Fair Value Agency (dollars in thousands) Fixed-rate pass-through $ 54,432,252 $ 3,008,185 $ (18,314) $ 57,422,123 $ 1,349,125 $ (474,643) $ 58,296,605 Adjustable-rate pass-through 305,211 1,965 (2,124) 305,052 16,223 (2) 321,273 CMO 114,533 1,888 — 116,421 5,277 — 121,698 Interest-only 1,912,415 456,683 — 456,683 428 (163,197) 293,914 Multifamily (1) 5,671,138 273,553 — 1,453,946 15,330 (16,563) 1,452,713 Reverse mortgages 36,807 3,550 — 40,357 — (955) 39,402 Total agency investments $ 62,472,356 $ 3,745,824 $ (20,438) $ 59,794,582 $ 1,386,383 $ (655,360) $ 60,525,605 Residential credit Credit risk transfer (2) $ 924,101 $ 8,754 $ (1,176) $ 927,555 $ 9,641 $ (968) $ 936,228 Alt-A 83,213 31 (17,133) 66,111 3,627 (251) 69,487 Prime (3) 323,062 9,841 (14,757) 268,117 10,853 (3,529) 275,441 Subprime 170,671 349 (16,111) 154,909 8,285 (118) 163,076 NPL/RPL 987,415 950 (1,698) 986,667 2,739 (5,968) 983,438 Prime jumbo (>=2010 vintage) (4) 299,783 5,680 (6,410) 172,598 4,272 (4,976) 171,894 Total residential credit securities $ 2,788,245 $ 25,605 $ (57,285) $ 2,575,957 $ 39,417 $ (15,810) $ 2,599,564 Total Residential Securities $ 65,260,601 $ 3,771,429 $ (77,723) $ 62,370,539 $ 1,425,800 $ (671,170) $ 63,125,169 Commercial Commercial Securities $ 533,071 $ — $ (127) $ 532,944 $ 165 $ (2,604) $ 530,505 Total securities $ 65,793,672 $ 3,771,429 $ (77,850) $ 62,903,483 $ 1,425,965 $ (673,774) $ 63,655,674 (1) Principal/Notional amount includes $7.2 billion and $4.5 billion of Agency Multifamily interest-only securities as of September 30, 2022 and December 31, 2021, respectively. (2) Principal/Notional amount includes $0.0 million and $4.1 million of a CRT interest-only security as of September 30, 2022 and December 31, 2021, respectively. (3) Principal/Notional amount includes $1.7 billion and $50.0 million of Prime interest-only securities as of September 30, 2022 and December 31, 2021, respectively. (4) Principal/Notional amount includes $1.9 billion and $126.5 million of Prime Jumbo interest-only securities as of September 30, 2022 and December 31, 2021, 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 September 30, 2022 and December 31, 2021: September 30, 2022 December 31, 2021 Investment Type (dollars in thousands) Fannie Mae $ 54,755,114 $ 48,404,991 Freddie Mac 8,222,761 10,880,033 Ginnie Mae 59,366 1,240,581 Total $ 63,037,241 $ 60,525,605 |
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 September 30, 2022 and December 31, 2021, according to their estimated weighted average life classifications: September 30, 2022 December 31, 2021 Estimated Fair Value Amortized Estimated Fair Value Amortized Estimated weighted average life (dollars in thousands) Less than one year $ 284,752 $ 290,114 $ 253,129 $ 250,689 Greater than one year through five years 3,324,677 3,524,087 16,155,017 15,766,307 Greater than five years through ten years 53,054,872 58,412,350 45,470,212 45,102,607 Greater than ten years 9,586,552 10,909,544 1,246,811 1,250,936 Total $ 66,250,853 $ 73,136,095 $ 63,125,169 $ 62,370,539 |
Schedule of Unrealized Losses on Investments | 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 September 30, 2022 and December 31, 2021. September 30, 2022 December 31, 2021 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 $ 38,312,990 $ (4,825,625) 2,722 $ 22,828,156 $ (475,064) 571 12 Months or more 2,505,823 (587,391) 137 383,815 (10,960) 19 Total $ 40,818,813 $ (5,413,016) 2,859 $ 23,211,971 $ (486,024) 590 (1) Excludes interest-only mortgage-backed securities and reverse mortgages and effective July 1, 2022, newly purchased Agency pass-through, collateralized mortgage obligation (“CMO”) and multifamily securities. |
Schedule of Realized Gain (Loss) | The following table presents the Company’s net gains (losses) from the disposal of Residential Securities for the three and nine months ended September 30, 2022 and 2021. Gross Realized Gains Gross Realized Losses Net Realized Gains (Losses) For the three months ended (dollars in thousands) September 30, 2022 $ 17,324 $ (1,491,325) $ (1,474,001) September 30, 2021 $ 30,368 $ (3,636) $ 26,732 For the nine months ended September 30, 2022 $ 46,152 $ (2,321,940) $ (2,275,788) September 30, 2021 $ 87,499 $ (86,657) $ 842 |
LOANS (Tables)
LOANS (Tables) | 9 Months Ended |
Sep. 30, 2022 | |
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, excluding loans transferred or pledged to securitization vehicles and loan warehouse facilities, for the nine months ended September 30, 2022: Residential Corporate Debt Total (dollars in thousands) Beginning balance January 1, 2022 $ 2,272,072 $ 1,968,991 $ 4,241,063 Purchases / originations 5,008,390 185,269 5,193,659 Sales and transfers (1) (5,470,437) (1,902,444) (7,372,881) Principal payments (86,329) (231,190) (317,519) Gains / (losses) (2) (166,111) (23,320) (189,431) (Amortization) / accretion (5,948) 2,694 (3,254) Ending balance September 30, 2022 $ 1,551,637 $ — $ 1,551,637 (1) Includes securitizations, syndications, transfers to securitization vehicles and corporate debt transfers to assets of disposal group held for sale and other assets. Includes transfer of residential loans to securitization vehicles with a carrying value of $5.5 billion during the nine months ended September 30, 2022. (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 and excluding loan warehouse facilities, at September 30, 2022 and December 31, 2021: September 30, 2022 December 31, 2021 (dollars in thousands) Fair value $ 10,322,263 $ 7,768,507 Unpaid principal balance $ 11,469,486 $ 7,535,855 |
Summary of Comprehensive Income (Loss) | The following table provides information regarding the line items and amounts recognized in the Consolidated Statements of Comprehensive Income (Loss) for the three and nine months ended September 30, 2022 and 2021 for these investments, excluding loan warehouse facilities: For the Three Months Ended For the Nine Months Ended September 30, 2022 September 30, 2021 September 30, 2022 September 30, 2021 (dollars in thousands) Interest income $ 109,973 $ 45,799 $ 275,083 $ 121,871 Net gains (losses) on disposal of investments (1) 1,103 (7,154) (11,555) (34,095) Net unrealized gains (losses) on instruments measured at fair value through earnings (1) (541,771) 12,525 (1,281,501) 49,436 Total included in net income (loss) $ (430,695) $ 51,170 $ (1,017,973) $ 137,212 (1) These amounts are presented in the line item Net gains (losses) on investments and other on the Consolidated Statements of Comprehensive Income (Loss) |
Geographic Concentrations Based on Unpaid Principal Balances | The following table provides the geographic concentrations based on the unpaid principal balances at September 30, 2022 and December 31, 2021 for the residential mortgage loans, including loans transferred or pledged to securitization vehicles: Geographic Concentrations of Residential Mortgage Loans September 30, 2022 December 31, 2021 Property location % of Balance Property location % of Balance California 46.1% California 50.2% New York 10.2% New York 10.9% Florida 8.1% Florida 6.1% All other (none individually greater than 5%) 35.6% All other (none individually greater than 5%) 32.8% Total 100.0% 100.0% |
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 September 30, 2022 and December 31, 2021: September 30, 2022 December 31, 2021 Portfolio Range Portfolio Weighted Portfolio Range Portfolio Weighted Average (dollars in thousands) Unpaid principal balance $2 - $4,396 $501 $1 - $4,382 $513 Interest rate 2.00% - 15.00% 4.41% 0.75% - 9.24% 4.04% Maturity 7/1/2029 - 9/1/2062 8/29/2051 7/1/2029 - 12/1/2061 12/22/2050 FICO score at loan origination 588 - 831 760 604 - 831 762 Loan-to-value ratio at loan origination 5% - 100% 67% 8% - 103% 66% |
MORTGAGE SERVICING RIGHTS (Tabl
MORTGAGE SERVICING RIGHTS (Tables) | 9 Months Ended |
Sep. 30, 2022 | |
Transfers and Servicing [Abstract] | |
Presentation of Activity Related to MSR | The following tables present activity related to MSR and Interests in MSR for the three and nine months ended September 30, 2022 and 2021: Mortgage Servicing Rights Three Months Ended Nine Months Ended September 30, 2022 September 30, 2021 September 30, 2022 September 30, 2021 (dollars in thousands) Fair value, beginning of period $ 1,421,420 $ 202,616 $ 544,562 $ 100,895 Purchases (1) 182,784 312,327 866,767 411,309 Transfers (2) 82,650 — 82,650 — Sales — — (9,076) (376) Change in fair value due to: Changes in valuation inputs or assumptions (3) 43,274 76,107 281,843 108,403 Other changes, including realization of expected cash flows (24,874) (18,791) (61,492) (47,972) Fair value, end of period $ 1,705,254 $ 572,259 $ 1,705,254 $ 572,259 (1) Includes adjustments to original purchase price from early payoffs, defaults, or loans that were delivered but were deemed to not be acceptable. (2) Transfers from Interests in MSR - Refer to the “Variable Interest Entities” Note for additional information. (3) Principally represents changes in discount rates and prepayment speed inputs used in valuation model, primarily due to changes in interest rates. Interests in MSR Three Months Ended Nine Months Ended September 30, 2022 September 30, 2021 September 30, 2022 September 30, 2021 (dollars in thousands) Beginning balance $ 83,622 $ 49,035 $ 69,316 $ — Purchases (1) — 5,936 4,860 53,034 Transfers (2) (82,650) — (82,650) — Gain (loss) included in net income (972) 2,559 8,474 4,496 Ending balance September 30, 2022 $ — $ 57,530 $ — $ 57,530 (1) Includes adjustments to original purchase price from early payoffs, defaults, or loans that were delivered but were deemed to not be acceptable. (2) Transfers to MSR - Refer to the “Variable Interest Entities” Note for additional information |
VARIABLE INTEREST ENTITIES (Tab
VARIABLE INTEREST ENTITIES (Tables) | 9 Months Ended |
Sep. 30, 2022 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Fair Value of OBX Trusts | Residential securitizations are issued by entities generally 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. Residential securitizations closed during the year are included in the table below. Securitization Date of Closing Face Value at Closing (dollars in thousands) OBX 2022-NQM1 January 2022 $ 556,696 OBX 2022-INV1 January 2022 $ 377,275 OBX 2022-INV2 February 2022 $ 466,686 OBX 2022-NQM2 February 2022 $ 439,421 OBX 2022-INV3 March 2022 $ 330,823 OBX 2022-NQM3 March 2022 $ 315,843 OBX 2022-NQM4 May 2022 $ 457,285 OBX 2022-J1 May 2022 $ 389,334 OBX 2022-NQM5 June 2022 $ 390,775 OBX 2022-INV4 June 2022 $ 335,900 OBX 2022-NQM6 June 2022 $ 387,913 OBX 2022-J2 August 2022 $ 305,969 OBX 2022-NQM7 August 2022 $ 358,931 OBX 2022-NQM8 September 2022 $ 397,470 |
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 multifamily securitization, 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 September 30, 2022 and December 31, 2021 are as follows: September 30, 2022 MSR VIEs Assets Cash and cash equivalents $ 3,533 Loans 1,378 Mortgage servicing rights 37 Interests in MSR — Other assets 4,068 Total assets $ 9,016 Liabilities Payable for unsettled trades $ 2,152 Other liabilities 3,636 Total liabilities $ 5,788 December 31, 2021 MSR VIEs Assets Cash and cash equivalents $ 16,187 Loans 2,347 Mortgage servicing rights 7,254 Interests in MSR 69,316 Other assets 10,406 Total assets $ 105,510 Liabilities Payable for unsettled trades $ 1,911 Other liabilities 14,582 Total liabilities $ 16,493 |
DERIVATIVE INSTRUMENTS (Tables)
DERIVATIVE INSTRUMENTS (Tables) | 9 Months Ended |
Sep. 30, 2022 | |
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 September 30, 2022 and December 31, 2021: Derivatives Instruments September 30, 2022 December 31, 2021 Assets (dollars in thousands) Interest rate swaps $ 36,861 $ — Interest rate swaptions 344,301 105,710 TBA derivatives 28,033 52,693 Futures contracts 1,539,298 9,028 Purchase commitments 1,037 1,779 Credit derivatives (1) — 1,160 Total derivative assets $ 1,949,530 $ 170,370 Liabilities Interest rate swaps $ 108,071 $ 747,036 TBA derivatives 635,652 3,916 Futures contracts 2,946 129,134 Purchase commitments 2,485 870 Credit derivatives (1) 15,381 581 Total derivative liabilities $ 764,535 $ 881,537 (1) The maximum potential amount of future payments is the notional amount of credit derivatives in which the Company sold protection of $420.0 million and $400.0 million at September 30, 2022 and December 31, 2021, respectively, plus any coupon shortfalls on the underlying tranche. As of September 30, 2022 and December 31, 2021 the credit derivative tranches referencing the basket of bonds had a range of ratings between AAA and AA. |
Summary of Certain Characteristics of Derivatives | The following table summarizes certain characteristics of the Company’s interest rate swaps at September 30, 2022 and December 31, 2021: September 30, 2022 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 $ 21,501,900 1.08 % 2.95 % 0.66 3 - 6 years 1,120,400 2.20 % 2.95 % 4.32 6 - 10 years 15,936,200 2.06 % 2.99 % 9.29 Greater than 10 years 2,309,000 3.49 % 2.89 % 23.18 Total / Weighted average $ 40,867,500 1.53 % 2.96 % 5.40 December 31, 2021 Maturity Current Notional (1)(2) Weighted Average Weighted Average Receive Rate Weighted Average Years to Maturity (3) (dollars in thousands) 0 - 3 years $ 32,709,300 0.25 % 0.06 % 1.10 3 - 6 years 2,780,000 0.21 % 0.07 % 3.46 6 - 10 years 9,118,000 1.43 % 0.13 % 9.05 Greater than 10 years 1,300,000 4.04 % 0.11 % 18.70 Total / Weighted average $ 45,907,300 0.59 % 0.08 % 3.32 (1) As of September 30, 2022, 22%, 30% and 48% 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, 2021, 18%, 53% and 29% of the Company’s interest rate swaps were linked to LIBOR, the Federal funds rate and the Secured Overnight Financing Rate, respectively. (2) There were no forward starting swaps at September 30, 2022 and December 31, 2021. (3) At September 30, 2022 and December 31, 2021, 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 summarizes certain characteristics of the Company’s swaptions at September 30, 2022 and December 31, 2021: September 30, 2022 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 $3,000,000 2.03% 3M LIBOR 8.71 14.56 Long receive $750,000 1.57% 3M LIBOR 11.32 15.89 December 31, 2021 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 $4,050,000 2.00% 3M LIBOR 9.65 19.50 Long receive $2,000,000 1.47% 3M LIBOR 10.95 11.38 The following table summarizes certain characteristics of the Company’s TBA derivatives at September 30, 2022 and December 31, 2021: September 30, 2022 Purchase and sale contracts for derivative TBAs Notional Implied Cost Basis Implied Market Value Net Carrying Value (dollars in thousands) Purchase contracts $ 18,064,000 $ 17,686,372 $ 17,060,584 $ (625,788) Sale contracts (1,980,000) (1,895,947) (1,877,778) 18,169 Net TBA derivatives $ 16,084,000 $ 15,790,425 $ 15,182,806 $ (607,619) December 31, 2021 Purchase and sale contracts for derivative TBAs Notional Implied Cost Basis Implied Market Value Net Carrying Value (dollars in thousands) Purchase contracts $ 20,133,000 $ 20,289,856 $ 20,338,633 $ 48,777 The following table summarizes certain characteristics of the Company’s futures derivatives at September 30, 2022 and December 31, 2021: September 30, 2022 Notional - Long Notional - Short Weighted Average (dollars in thousands) U.S. Treasury futures - 2 year $ — $ (17,391,000) 1.97 U.S. Treasury futures - 5 year — (6,503,400) 4.38 U.S. Treasury futures - 10 year and greater — (18,376,900) 7.40 Total $ — $ (42,271,300) 4.70 December 31, 2021 Notional - Long Notional - Short Weighted Average (dollars in thousands) U.S. Treasury futures - 2 year $ — $ (7,509,200) 1.96 U.S. Treasury futures - 5 year — (5,644,900) 4.38 U.S. Treasury futures - 10 year and greater — (9,381,000) 6.84 Total $ — $ (22,535,100) 4.60 |
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 in our Consolidated Statements of Financial Condition at September 30, 2022 and December 31, 2021, respectively. September 30, 2022 Amounts Eligible for Offset Gross Amounts Financial Instruments Cash Collateral Net Amounts Assets (dollars in thousands) Interest rate swaps, at fair value $ 36,861 $ (26,666) $ — $ 10,195 Interest rate swaptions, at fair value 344,301 — — 344,301 TBA derivatives, at fair value 28,033 (9,864) — 18,169 Futures contracts, at fair value 1,539,298 (2,946) — 1,536,352 Purchase commitments 1,037 — — 1,037 Liabilities Interest rate swaps, at fair value $ 108,071 $ (26,666) $ — $ 81,405 TBA derivatives, at fair value 635,652 (9,864) — 625,788 Futures contracts, at fair value 2,946 (2,946) — — Purchase commitments 2,485 — — 2,485 Credit derivatives 15,381 — (10,373) 5,008 December 31, 2021 Amounts Eligible for Offset Gross Amounts Financial Instruments Cash Collateral Net Amounts Assets (dollars in thousands) Interest rate swaptions, at fair value $ 105,710 $ — $ — $ 105,710 TBA derivatives, at fair value 52,693 (3,876) — 48,817 Futures contracts, at fair value 9,028 (9,028) — — Purchase commitments 1,779 — — 1,779 Credit derivatives 1,160 (516) — 644 Liabilities Interest rate swaps, at fair value $ 747,036 $ — $ (77,607) $ 669,429 TBA derivatives, at fair value 3,916 (3,876) (40) — Futures contracts, at fair value 129,134 (9,028) (120,106) — Purchase commitments 870 — — 870 Credit derivatives 581 (516) (65) — |
Schedule of Derivative Instruments in Statement of Operations and Comprehensive Income Loss | The effect of interest rate swaps in 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 (1) Realized Gains (Losses) on Termination of Interest Rate Swaps (1) Unrealized Gains (Losses) on Interest Rate Swaps (1) For the three months ended (dollars in thousands) September 30, 2022 $ 141,110 $ (83,393) $ 1,251,350 September 30, 2021 $ (54,411) $ (1,196,417) $ 1,380,946 For the nine months ended September 30, 2022 $ 79,561 $ (83,409) $ 3,472,326 September 30, 2021 $ (217,245) $ (1,196,417) $ 2,012,141 (1) Included in Net gains (losses) on derivatives in the Consolidated Statements of Comprehensive Income (Loss). The effect of other derivative contracts in the Company’s Consolidated Statements of Comprehensive Income (Loss) is as follows: Three Months Ended September 30, 2022 Derivative Instruments Realized Gain (Loss) Unrealized Gain (Loss) Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Derivatives (dollars in thousands) Net TBA derivatives $ (430,528) $ (577,156) $ (1,007,684) Net interest rate swaptions (18,949) 30,610 11,661 Futures 611,661 1,197,942 1,809,603 Purchase commitments — (4,530) (4,530) Credit derivatives 1,105 (1,982) (877) Total $ 808,173 Three Months Ended September 30, 2021 Derivative Instruments Realized Gain (Loss) Unrealized Gain (Loss) Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Derivatives (dollars in thousands) Net TBA derivatives $ 155,569 $ (182,845) $ (27,276) Net interest rate swaptions (24,265) (44,602) (68,867) Futures (229,534) 279,293 49,759 Purchase commitments — 920 920 Credit derivatives 2,616 (2,320) 296 Total $ (45,168) Nine Months Ended September 30, 2022 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 $ (2,250,909) $ (656,394) $ (2,907,303) Net interest rate swaptions (33,399) 272,668 239,269 Futures 2,332,338 1,656,458 3,988,796 Purchase commitments — (2,358) (2,358) Credit derivatives 2,539 (14,510) (11,971) Total $ 1,306,433 Nine Months Ended September 30, 2021 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 $ (122,275) $ (249,847) $ (372,122) Net interest rate swaptions (69,262) 28,528 (40,734) Futures 250,013 218,527 468,540 Purchase commitments — 1,389 1,389 Credit derivatives 7,024 8,634 15,658 Total $ 72,731 |
FAIR VALUE MEASUREMENTS (Tables
FAIR VALUE MEASUREMENTS (Tables) | 9 Months Ended |
Sep. 30, 2022 | |
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 MSR measured at fair value on a recurring basis. There were no transfers between levels of the fair value hierarchy during the periods presented. September 30, 2022 Level 1 Level 2 Level 3 Total Assets (dollars in thousands) Securities Agency mortgage-backed securities $ — $ 63,037,241 $ — $ 63,037,241 Credit risk transfer securities — 1,056,906 — 1,056,906 Non-Agency mortgage-backed securities — 2,156,706 — 2,156,706 Commercial mortgage-backed securities — 588,500 — 588,500 Loans Residential mortgage loans — 1,551,637 — 1,551,637 Residential mortgage loan warehouse facility — 70 — 70 Mortgage servicing rights — — 1,705,254 1,705,254 Assets transferred or pledged to securitization vehicles — 9,202,014 — 9,202,014 Derivative assets Interest rate swaps — 36,861 — 36,861 Other derivatives 1,539,298 373,371 — 1,912,669 Total assets $ 1,539,298 $ 78,003,306 $ 1,705,254 $ 81,247,858 Liabilities Debt issued by securitization vehicles — 7,844,518 — 7,844,518 Participations issued — 745,729 — 745,729 Derivative liabilities Interest rate swaps — 108,071 — 108,071 Other derivatives 2,946 653,518 — 656,464 Total liabilities $ 2,946 $ 9,351,836 $ — $ 9,354,782 December 31, 2021 Level 1 Level 2 Level 3 Total Assets (dollars in thousands) Securities Agency mortgage-backed securities $ — $ 60,525,605 $ — $ 60,525,605 Credit risk transfer securities — 936,228 — 936,228 Non-Agency mortgage-backed securities — 1,663,336 — 1,663,336 Commercial mortgage-backed securities — 530,505 — 530,505 Loans Residential mortgage loans — 2,272,072 — 2,272,072 Residential mortgage loan warehouse facility — 980 — 980 Mortgage servicing rights — — 544,562 544,562 Interests in MSR — — 69,316 69,316 Assets transferred or pledged to securitization vehicles — 6,086,308 — 6,086,308 Derivative assets Other derivatives 9,028 161,342 — 170,370 Total assets $ 9,028 $ 72,176,376 $ 613,878 $ 72,799,282 Liabilities Debt issued by securitization vehicles $ — $ 5,155,633 $ — $ 5,155,633 Participations issued — 1,049,066 — 1,049,066 Derivative liabilities Interest rate swaps — 747,036 — 747,036 Other derivatives 129,134 5,367 — 134,501 Total liabilities $ 129,134 $ 6,957,102 $ — $ 7,086,236 |
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 MSR and Interests in MSR. The table does not give effect to the Company’s risk management practices that might offset risks inherent in these Level 3 investments. September 30, 2022 Unobservable Input (1) / Range (Weighted Average) (2) Discount rate Prepayment rate Delinquency rate Cost to service MSR held directly 6.6% - 9.5% (8.7%) 4.8% - 8.0% (5.3%) 0.1% - 4.1% (0.9%) $88 - $108 ($94) December 31, 2021 Unobservable Input (1) / Range (Weighted Average) (2) Discount rate Prepayment rate Delinquency rate Cost to service MSR held directly 3.3% - 11.1% (7.0%) 7.3% - 15.9% (9.4%) 0.2% - 2.5% (1.2%) $90 - $103 ($96) Interests in MSR 8.4% - 8.4% (8.4%) 5.0% - 14.4% (9.1%) 0.0% - 0.2% (0.1%) $78 - $84 ($81) (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 MSR, weighted average prepayment rate, delinquency rate and cost to service based on unpaid principal balances of loans underlying the MSR. |
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 September 30, 2022 and December 31, 2021. September 30, 2022 December 31, 2021 Carrying Fair Carrying Fair Financial assets (dollars in thousands) Corporate debt, held for investment $— $— $1,968,991 $1,986,379 Financial liabilities Repurchase agreements $54,160,731 $54,160,731 $54,769,643 $54,769,643 Other secured financing 250,000 250,000 903,255 903,255 |
GOODWILL AND INTANGIBLE ASSETS
GOODWILL AND INTANGIBLE ASSETS (Tables) | 9 Months Ended |
Sep. 30, 2022 | |
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 nine months ended September 30, 2022. Intangible Assets, net (dollars in thousands) Balance at December 31, 2021 $ 24,241 Impairment (4,157) Less: amortization expense (2,647) Balance at September 30, 2022 17,437 |
SECURED FINANCING (Tables)
SECURED FINANCING (Tables) | 9 Months Ended |
Sep. 30, 2022 | |
Debt Disclosure [Abstract] | |
Schedule of Repurchase Agreements Remaining Maturity ,Collateral Types and Weighted Average Rates | At September 30, 2022 and December 31, 2021, the repurchase agreements had the following remaining maturities, collateral types and weighted average rates: September 30, 2022 Agency Mortgage-Backed Securities CRTs Non-Agency Mortgage-Backed Securities Residential Mortgage Loans Commercial Mortgage-Backed Securities Total Repurchase Agreements Weighted Average Rate (dollars in thousands) 1 day $ — $ — $ — $ — $ — $ — — % 2 to 29 days 22,837,664 345,111 563,625 33,718 8,987 23,789,105 2.95 % 30 to 59 days 12,483,618 48,414 337,489 — 271,913 13,141,434 3.04 % 60 to 89 days 183,316 148,422 632,694 — 133,049 1,097,481 3.72 % 90 to 119 days 2,738,922 201,027 203,162 89,021 59,938 3,292,070 3.12 % Over 119 days (1) 11,869,882 57,660 532,704 319,229 61,166 12,840,641 3.36 % Total $ 50,113,402 $ 800,634 $ 2,269,674 $ 441,968 $ 535,053 $ 54,160,731 3.09 % December 31, 2021 Agency Mortgage-Backed Securities CRTs Non-Agency Mortgage-Backed Securities Residential Mortgage Loans Commercial Mortgage-Backed Securities Total Repurchase Agreements Weighted (dollars in thousands) 1 day $ — $ — $ — $ — $ — $ — — % 2 to 29 days 26,435,408 133,525 246,707 — 197,834 27,013,474 0.14 % 30 to 59 days 9,743,872 38,854 270,377 159,350 — 10,212,453 0.19 % 60 to 89 days 6,021,850 4,071 351,426 — — 6,377,347 0.17 % 90 to 119 days 4,812,345 — 12,573 — — 4,824,918 0.15 % Over 119 days (1) 5,711,448 — 96,283 345,651 188,069 6,341,451 0.27 % Total $ 52,724,923 $ 176,450 $ 977,366 $ 505,001 $ 385,903 $ 54,769,643 0.17 % (1) Approximately 0% repurchase agreements had a remaining maturity over 1 year at September 30, 2022 and December 31, 2021. |
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 September 30, 2022 and December 31, 2021. Refer to the “Derivative Instruments” Note for information related to the effect of netting arrangements on the Company’s derivative instruments. September 30, 2022 December 31, 2021 Reverse Repurchase Agreements Repurchase Agreements Reverse Repurchase Agreements Repurchase Agreements (dollars in thousands) Gross amounts $ — $ 54,160,731 $ — $ 54,769,643 Amounts offset — — — — Netted amounts $ — $ 54,160,731 $ — $ 54,769,643 |
CAPITAL STOCK (Tables)
CAPITAL STOCK (Tables) | 9 Months Ended |
Sep. 30, 2022 | |
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 September 30, 2022 and December 31, 2021. Shares authorized Shares issued and outstanding September 30, 2022 December 31, 2021 September 30, 2022 December 31, 2021 Par Value Common stock 2,936,500,000 2,936,500,000 467,911,144 364,934,065 $0.01 The following is a summary of the Company’s cumulative redeemable preferred stock outstanding at September 30, 2022 and December 31, 2021. 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 September 30, 2022 December 31, 2021 September 30, 2022 December 31, 2021 September 30, 2022 December 31, 2021 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 17,000,000 17,000,000 17,000,000 17,000,000 411,335 411,335 6.50% 3/31/2023 3/31/2023 3M LIBOR + 4.172% Series I 17,700,000 17,700,000 17,700,000 17,700,000 428,324 428,324 6.75% 6/30/2024 6/30/2024 3M LIBOR + 4.989% Total 63,500,000 63,500,000 63,500,000 63,500,000 $ 1,536,569 $ 1,536,569 (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 Distribution Activity | The following table provides a summary of the Company’s dividend distribution activity for the periods presented: For the Three Months Ended For the Nine Months Ended September 30, 2022 September 30, 2021 September 30, 2022 September 30, 2021 (dollars in thousands, except per share data) Dividends and dividend equivalents declared on common stock and share-based awards $ 413,150 $ 319,768 $ 1,090,814 $ 946,648 Distributions declared per common share $ 0.88 $ 0.88 $ 2.64 $ 2.64 Distributions paid to common stockholders after period end $ 411,762 $ 318,986 $ 411,762 $ 318,986 Distributions paid per common share after period end $ 0.88 $ 0.88 $ 0.88 $ 0.88 Date of distributions paid to common stockholders after period end October 31, 2022 October 29, 2021 October 31, 2022 October 29, 2021 Dividends declared to series F preferred stockholders $ 12,510 $ 12,510 $ 37,530 $ 37,530 Dividends declared per share of series F preferred stock $ 0.434 $ 0.434 $ 1.303 $ 1.303 Dividends declared to series G preferred stockholders $ 6,906 $ 6,906 $ 20,718 $ 20,718 Dividends declared per share of series G preferred stock $ 0.406 $ 0.406 $ 1.219 $ 1.219 Dividends declared to series I preferred stockholders $ 7,467 $ 7,467 $ 22,401 $ 22,401 Dividends declared per share of series I preferred stock $ 0.422 $ 0.422 $ 1.266 $ 1.266 |
INTEREST INCOME AND INTEREST _2
INTEREST INCOME AND INTEREST EXPENSE (Tables) | 9 Months Ended |
Sep. 30, 2022 | |
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 (1) Changes in fair value are recognized in Other comprehensive income (loss) on the accompanying Consolidated Statements of Comprehensive Income (Loss) for securities purchased prior to July 1, 2022. Effective July 1, 2022, changes in fair value are recognized in Net gains (losses) on investments and other on the accompanying Consolidated Statements of Comprehensive Income (Loss) for newly purchased securities. (2) Changes in fair value are recognized in Net gains (losses) on investments and other on the accompanying Consolidated Statements of Comprehensive Income (Loss). (3) Effective yield is recalculated for differences between estimated and actual prepayments and the amortized cost is adjusted as if the new effective yield had been applied since inception. |
Components of Company's Interest Income and Interest Expense | The following presents the components of the Company’s interest income and interest expense for the three and nine months ended September 30, 2022 and September 30, 2021. For the Three Months Ended September 30, For the Nine Months Ended September 30, 2022 2021 2022 2021 Interest income (dollars in thousands) Agency securities $ 517,528 $ 299,898 $ 1,537,614 $ 1,183,353 Residential credit securities 41,388 20,774 93,547 57,231 Residential mortgage loans (1) 109,977 45,801 275,113 121,873 Commercial investment portfolio (1) (2) 8,853 46,494 72,711 197,758 Reverse repurchase agreements 742 5 968 41 Total interest income $ 678,488 $ 412,972 $ 1,979,953 $ 1,560,256 Interest expense Repurchase agreements 324,573 22,397 457,060 94,122 Debt issued by securitization vehicles 64,593 18,740 149,521 68,232 Participations issued 9,727 2,578 24,958 4,914 Other 1,598 6,723 14,349 20,190 Total interest expense 400,491 50,438 645,888 187,458 Net interest income $ 277,997 $ 362,534 $ 1,334,065 $ 1,372,798 (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) | 9 Months Ended |
Sep. 30, 2022 | |
Earnings Per Share [Abstract] | |
Schedule of Net Income (Loss) Per Share Reconciliation | The following table presents a reconciliation of net income (loss) and shares used in calculating basic and diluted net income (loss) per share for the three and nine months ended September 30, 2022 and September 30, 2021. For the Three Months Ended For the Nine Months Ended September 30, 2022 September 30, 2021 September 30, 2022 September 30, 2021 (dollars in thousands, except per share data) Net income (loss) $ (273,977) $ 521,534 $ 2,613,234 $ 1,977,820 Net income (loss) attributable to noncontrolling interests 1,287 2,290 (453) 3,405 Net income (loss) attributable to Annaly (275,264) 519,244 2,613,687 1,974,415 Dividends on preferred stock 26,883 26,883 80,649 80,649 Net income (loss) available (related) to common stockholders $ (302,147) $ 492,361 $ 2,533,038 $ 1,893,766 Weighted average shares of common stock outstanding-basic 429,858,876 361,328,979 392,172,655 354,606,052 Add: Effect of stock awards, if dilutive — 260,488 272,379 269,499 Weighted average shares of common stock outstanding-diluted 429,858,876 361,589,467 392,445,034 354,875,551 Net income (loss) per share available (related) to common share Basic $ (0.70) $ 1.36 $ 6.46 $ 5.34 Diluted $ (0.70) $ 1.36 $ 6.45 $ 5.34 |
LEASE COMMITMENTS AND CONTING_2
LEASE COMMITMENTS AND CONTINGENCIES (Tables) | 9 Months Ended |
Sep. 30, 2022 | |
Leases [Abstract] | |
Supplemental Information Regarding Leases | Supplemental information related to leases as of and for the nine months ended September 30, 2022 was as follows: Operating Leases Classification September 30, 2022 Assets (dollars in thousands) Operating lease right-of-use assets Other assets $ 9,591 Liabilities Operating lease liabilities (1) Other liabilities $ 12,137 Lease term and discount rate Weighted average remaining lease term 3.2 years Weighted average discount rate (1) 3.2% Cash paid for amounts included in the measurement of lease liabilities Operating cash flows from operating leases $ 2,906 (1) For the Company’s leases that do not provide an implicit rate, the Company uses an incremental borrowing rate based on the information available at adoption date in determining the present value of lease payments. |
Operating Lease Liability Schedule of Maturity | The following table provides details related to maturities of lease liabilities: Maturity of Lease Liabilities Years ending December 31, (dollars in thousands) 2022 (remaining) $ 965 2023 4,061 2024 4,107 2025 3,149 2026 262 Later years 291 Total lease payments $ 12,835 Less imputed interest 698 Present value of lease liabilities $ 12,137 |
BASIS OF PRESENTATION (Details)
BASIS OF PRESENTATION (Details) | Sep. 08, 2022 $ / shares | Sep. 30, 2022 $ / shares | Dec. 31, 2021 $ / shares |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |||
Stock split ratio, common stock | 0.25 | ||
Common stock, par value (USD per share) | $ 0.01 | $ 0.01 | $ 0.01 |
SIGNIFICANT ACCOUNTING POLICI_4
SIGNIFICANT ACCOUNTING POLICIES - Narrative (Details) - USD ($) $ in Billions | Sep. 30, 2022 | Dec. 31, 2021 |
Interest rate swaps, at fair value | ||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||
Margin deposit assets | $ 1.2 | $ 1.2 |
FINANCIAL INSTRUMENTS - Summary
FINANCIAL INSTRUMENTS - Summary of Characteristics of Financial Instruments (Details) - USD ($) $ in Thousands | Sep. 30, 2022 | Dec. 31, 2021 | |
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items] | |||
Assets | $ 85,406,764 | $ 76,764,064 | [1] |
Liabilities | 74,455,209 | 63,568,739 | [1] |
Total securities | |||
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items] | |||
Assets | 66,839,353 | 63,655,674 | |
Agency mortgage-backed securities, recognized through comprehensive income | |||
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items] | |||
Assets | 41,042,640 | 59,939,383 | |
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 | 21,994,601 | 586,222 | |
Residential credit risk transfer securities | |||
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items] | |||
Assets | 1,056,906 | 936,228 | |
Non-agency mortgage-backed securities | |||
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items] | |||
Assets | 2,156,706 | 1,663,336 | |
Commercial real estate debt investments - CMBS | |||
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items] | |||
Assets | 570,633 | 521,440 | |
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 | 17,867 | 9,065 | |
Total loans, net | |||
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items] | |||
Assets | 1,551,707 | 4,242,043 | |
Residential mortgage loans | |||
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items] | |||
Assets | 1,551,637 | 2,272,072 | |
Residential mortgage loan warehouse facility | |||
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items] | |||
Assets | 70 | 980 | |
Corporate debt, held for investment | |||
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items] | |||
Assets | 0 | 1,968,991 | |
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 | 9,202,014 | 6,086,308 | |
Interest in net servicing cash flows | |||
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items] | |||
Assets | 0 | 69,316 | |
Agency mortgage-backed securities | |||
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items] | |||
Assets | 431,388 | 589,873 | |
Residential mortgage loans | |||
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items] | |||
Assets | 8,770,626 | 5,496,435 | |
Repurchase agreements | |||
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items] | |||
Liabilities | 54,160,731 | 54,769,643 | |
Other secured financing | |||
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items] | |||
Liabilities | 250,000 | 903,255 | |
Debt issued by securitization vehicles | |||
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items] | |||
Liabilities | 7,844,518 | 5,155,633 | |
Participations issued | |||
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items] | |||
Liabilities | $ 745,729 | $ 1,049,066 | |
[1] (1) Derived from the audited consolidated financial statements at December 31, 2021. |
SECURITIES - Narrative (Details
SECURITIES - Narrative (Details) - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2022 | Sep. 30, 2021 | Sep. 30, 2022 | Sep. 30, 2021 | |
Debt Securities, Available-for-sale [Line Items] | ||||
Residential Investment securities sold, carrying value | $ 11,600 | $ 4,800 | $ 21,000 | $ 11,100 |
Commercial Mortgage-Backed Securities | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
Impairment, available-for-sale debt security | $ 0.4 |
SECURITIES - Summary of Residen
SECURITIES - Summary of Residential Securities and CMBS (Details) $ in Thousands | 9 Months Ended |
Sep. 30, 2022 USD ($) | |
Debt Securities, Available-For-Sale [Roll Forward] | |
Beginning balance January 1, 2022 | $ 63,655,674 |
Purchases | 39,804,163 |
Sales and transfers | (21,163,009) |
Principal paydowns | (7,791,831) |
(Amortization) / accretion | (7,728) |
Fair value adjustment | (7,657,916) |
Ending balance September 30, 2022 | 66,839,353 |
Agency Securities | |
Debt Securities, Available-For-Sale [Roll Forward] | |
Beginning balance January 1, 2022 | 60,525,605 |
Purchases | 37,900,732 |
Sales and transfers | (20,616,137) |
Principal paydowns | (7,343,579) |
(Amortization) / accretion | (12,815) |
Fair value adjustment | (7,416,565) |
Ending balance September 30, 2022 | 63,037,241 |
Residential Credit Securities | |
Debt Securities, Available-For-Sale [Roll Forward] | |
Beginning balance January 1, 2022 | 2,599,564 |
Purchases | 1,655,685 |
Sales and transfers | (377,648) |
Principal paydowns | (444,738) |
(Amortization) / accretion | 4,662 |
Fair value adjustment | (223,913) |
Ending balance September 30, 2022 | 3,213,612 |
Commercial Securities | |
Debt Securities, Available-For-Sale [Roll Forward] | |
Beginning balance January 1, 2022 | 530,505 |
Purchases | 247,746 |
Sales and transfers | (169,224) |
Principal paydowns | (3,514) |
(Amortization) / accretion | 425 |
Fair value adjustment | (17,438) |
Ending balance September 30, 2022 | $ 588,500 |
SECURITIES - Portfolio (Details
SECURITIES - Portfolio (Details) - USD ($) $ in Thousands | Sep. 30, 2022 | Dec. 31, 2021 |
Mortgage-Backed Securities Portfolio [Line Items] | ||
Principal / Notional | $ 83,718,342 | $ 65,793,672 |
Remaining Premium | 3,330,873 | 3,771,429 |
Remaining Discount | (846,235) | (77,850) |
Amortized Cost | 73,744,471 | 62,903,483 |
Unrealized Gains | 25,104 | 1,425,965 |
Unrealized Losses | (6,930,222) | (673,774) |
Estimated Fair Value | 66,839,353 | 63,655,674 |
Total Residential Securities | ||
Mortgage-Backed Securities Portfolio [Line Items] | ||
Principal / Notional | 83,106,761 | 65,260,601 |
Remaining Premium | 3,330,873 | 3,771,429 |
Remaining Discount | (843,030) | (77,723) |
Amortized Cost | 73,136,095 | 62,370,539 |
Unrealized Gains | 25,104 | 1,425,800 |
Unrealized Losses | (6,910,346) | (671,170) |
Estimated Fair Value | 66,250,853 | 63,125,169 |
Agency | ||
Mortgage-Backed Securities Portfolio [Line Items] | ||
Principal / Notional | 75,993,078 | 62,472,356 |
Remaining Premium | 3,282,681 | 3,745,824 |
Remaining Discount | (728,995) | (20,438) |
Amortized Cost | 69,722,785 | 59,794,582 |
Unrealized Gains | 11,677 | 1,386,383 |
Unrealized Losses | (6,697,221) | (655,360) |
Estimated Fair Value | 63,037,241 | 60,525,605 |
Agency | Fixed-rate pass-through | ||
Mortgage-Backed Securities Portfolio [Line Items] | ||
Principal / Notional | 65,429,709 | 54,432,252 |
Remaining Premium | 2,561,532 | 3,008,185 |
Remaining Discount | (727,852) | (18,314) |
Amortized Cost | 67,263,389 | 57,422,123 |
Unrealized Gains | 7,680 | 1,349,125 |
Unrealized Losses | (6,289,954) | (474,643) |
Estimated Fair Value | 60,981,115 | 58,296,605 |
Agency | Adjustable-rate pass-through | ||
Mortgage-Backed Securities Portfolio [Line Items] | ||
Principal / Notional | 243,262 | 305,211 |
Remaining Premium | 14,340 | 1,965 |
Remaining Discount | (98) | (2,124) |
Amortized Cost | 257,504 | 305,052 |
Unrealized Gains | 3,738 | 16,223 |
Unrealized Losses | (11,738) | (2) |
Estimated Fair Value | 249,504 | 321,273 |
Agency | CMO | ||
Mortgage-Backed Securities Portfolio [Line Items] | ||
Principal / Notional | 103,521 | 114,533 |
Remaining Premium | 1,795 | 1,888 |
Remaining Discount | 0 | 0 |
Amortized Cost | 105,316 | 116,421 |
Unrealized Gains | 0 | 5,277 |
Unrealized Losses | (12,996) | 0 |
Estimated Fair Value | 92,320 | 121,698 |
Agency | Interest-only | ||
Mortgage-Backed Securities Portfolio [Line Items] | ||
Principal / Notional | 1,576,498 | 1,912,415 |
Remaining Premium | 400,101 | 456,683 |
Remaining Discount | 0 | 0 |
Amortized Cost | 400,101 | 456,683 |
Unrealized Gains | 259 | 428 |
Unrealized Losses | (227,515) | (163,197) |
Estimated Fair Value | 172,845 | 293,914 |
Agency | Multifamily | ||
Mortgage-Backed Securities Portfolio [Line Items] | ||
Principal / Notional | 8,610,998 | 5,671,138 |
Remaining Premium | 301,545 | 273,553 |
Remaining Discount | (1,045) | 0 |
Amortized Cost | 1,664,017 | 1,453,946 |
Unrealized Gains | 0 | 15,330 |
Unrealized Losses | (151,917) | (16,563) |
Estimated Fair Value | 1,512,100 | 1,452,713 |
Agency | Reverse mortgages | ||
Mortgage-Backed Securities Portfolio [Line Items] | ||
Principal / Notional | 29,090 | 36,807 |
Remaining Premium | 3,368 | 3,550 |
Remaining Discount | 0 | 0 |
Amortized Cost | 32,458 | 40,357 |
Unrealized Gains | 0 | 0 |
Unrealized Losses | (3,101) | (955) |
Estimated Fair Value | 29,357 | 39,402 |
Agency | Multifamily Interest-Only Security | ||
Mortgage-Backed Securities Portfolio [Line Items] | ||
Principal / Notional | 7,200,000 | 4,500,000 |
Residential credit | ||
Mortgage-Backed Securities Portfolio [Line Items] | ||
Principal / Notional | 7,113,683 | 2,788,245 |
Remaining Premium | 48,192 | 25,605 |
Remaining Discount | (114,035) | (57,285) |
Amortized Cost | 3,413,310 | 2,575,957 |
Unrealized Gains | 13,427 | 39,417 |
Unrealized Losses | (213,125) | (15,810) |
Estimated Fair Value | 3,213,612 | 2,599,564 |
Residential credit | Credit risk transfer | ||
Mortgage-Backed Securities Portfolio [Line Items] | ||
Principal / Notional | 1,100,944 | 924,101 |
Remaining Premium | 7,170 | 8,754 |
Remaining Discount | (4,385) | (1,176) |
Amortized Cost | 1,103,729 | 927,555 |
Unrealized Gains | 900 | 9,641 |
Unrealized Losses | (47,723) | (968) |
Estimated Fair Value | 1,056,906 | 936,228 |
Residential credit | Alt-A | ||
Mortgage-Backed Securities Portfolio [Line Items] | ||
Principal / Notional | 145,718 | 83,213 |
Remaining Premium | 31 | 31 |
Remaining Discount | (20,012) | (17,133) |
Amortized Cost | 125,737 | 66,111 |
Unrealized Gains | 1,731 | 3,627 |
Unrealized Losses | (9,624) | (251) |
Estimated Fair Value | 117,844 | 69,487 |
Residential credit | Prime | ||
Mortgage-Backed Securities Portfolio [Line Items] | ||
Principal / Notional | 2,038,622 | 323,062 |
Remaining Premium | 21,762 | 9,841 |
Remaining Discount | (25,159) | (14,757) |
Amortized Cost | 300,186 | 268,117 |
Unrealized Gains | 5,440 | 10,853 |
Unrealized Losses | (42,791) | (3,529) |
Estimated Fair Value | 262,835 | 275,441 |
Residential credit | Subprime | ||
Mortgage-Backed Securities Portfolio [Line Items] | ||
Principal / Notional | 206,413 | 170,671 |
Remaining Premium | 207 | 349 |
Remaining Discount | (19,387) | (16,111) |
Amortized Cost | 187,233 | 154,909 |
Unrealized Gains | 3,242 | 8,285 |
Unrealized Losses | (12,656) | (118) |
Estimated Fair Value | 177,819 | 163,076 |
Residential credit | NPL/RPL | ||
Mortgage-Backed Securities Portfolio [Line Items] | ||
Principal / Notional | 1,456,013 | 987,415 |
Remaining Premium | 1,695 | 950 |
Remaining Discount | (15,580) | (1,698) |
Amortized Cost | 1,442,128 | 986,667 |
Unrealized Gains | 0 | 2,739 |
Unrealized Losses | (58,640) | (5,968) |
Estimated Fair Value | 1,383,488 | 983,438 |
Residential credit | Prime jumbo (>=2010 vintage) | ||
Mortgage-Backed Securities Portfolio [Line Items] | ||
Principal / Notional | 2,165,973 | 299,783 |
Remaining Premium | 17,327 | 5,680 |
Remaining Discount | (29,512) | (6,410) |
Amortized Cost | 254,297 | 172,598 |
Unrealized Gains | 2,114 | 4,272 |
Unrealized Losses | (41,691) | (4,976) |
Estimated Fair Value | 214,720 | 171,894 |
Residential credit | CRT interest-only security | ||
Mortgage-Backed Securities Portfolio [Line Items] | ||
Principal / Notional | 0 | 4,100 |
Residential credit | Prime interest-only | ||
Mortgage-Backed Securities Portfolio [Line Items] | ||
Principal / Notional | 1,700,000 | 50,000 |
Residential credit | Prime Jumbo interest-only | ||
Mortgage-Backed Securities Portfolio [Line Items] | ||
Principal / Notional | 1,900,000 | 126,500 |
Commercial Securities | ||
Mortgage-Backed Securities Portfolio [Line Items] | ||
Principal / Notional | 611,581 | 533,071 |
Remaining Premium | 0 | 0 |
Remaining Discount | (3,205) | (127) |
Amortized Cost | 608,376 | 532,944 |
Unrealized Gains | 0 | 165 |
Unrealized Losses | (19,876) | (2,604) |
Estimated Fair Value | $ 588,500 | $ 530,505 |
SECURITIES - Component of Agenc
SECURITIES - Component of Agency Mortgage-Backed Securities Portfolio by Issuing Agency Concentration (Details) - USD ($) $ in Thousands | Sep. 30, 2022 | Dec. 31, 2021 | ||
Mortgage-Backed Securities Portfolio [Line Items] | ||||
Mortgage-backed securities | [1] | $ 66,839,353 | $ 63,655,674 | [2] |
Agency Mortgage-Backed Securities | ||||
Mortgage-Backed Securities Portfolio [Line Items] | ||||
Mortgage-backed securities | 63,037,241 | 60,525,605 | ||
Agency Mortgage-Backed Securities | Fannie Mae | ||||
Mortgage-Backed Securities Portfolio [Line Items] | ||||
Mortgage-backed securities | 54,755,114 | 48,404,991 | ||
Agency Mortgage-Backed Securities | Freddie Mac | ||||
Mortgage-Backed Securities Portfolio [Line Items] | ||||
Mortgage-backed securities | 8,222,761 | 10,880,033 | ||
Agency Mortgage-Backed Securities | Ginnie Mae | ||||
Mortgage-Backed Securities Portfolio [Line Items] | ||||
Mortgage-backed securities | $ 59,366 | $ 1,240,581 | ||
[1] (3) Excludes $27.3 million and $44.2 million at September 30, 2022 and December 31, 2021, respectively, of Agency mortgage-backed securities and $1.0 billion and $350.4 million at September 30, 2022 and December 31, 2021, respectively, of non-Agency mortgage-backed securities in consolidated VIEs pledged as collateral and eliminated from the Company’s Consolidated Statements of Financial Condition. (1) Derived from the audited consolidated financial statements at December 31, 2021. |
SECURITIES - Weighted Average L
SECURITIES - Weighted Average Life (Details) - USD ($) $ in Thousands | Sep. 30, 2022 | Dec. 31, 2021 | ||
Estimated Fair Value | ||||
Total | [1] | $ 66,839,353 | $ 63,655,674 | [2] |
Amortized Cost | ||||
Amortized Cost | 73,744,471 | 62,903,483 | ||
Total Residential Securities | ||||
Estimated Fair Value | ||||
Less than one year | 284,752 | 253,129 | ||
Greater than one year through five years | 3,324,677 | 16,155,017 | ||
Greater than five years through ten years | 53,054,872 | 45,470,212 | ||
Greater than ten years | 9,586,552 | 1,246,811 | ||
Total | 66,250,853 | 63,125,169 | ||
Amortized Cost | ||||
Less than one year | 290,114 | 250,689 | ||
Greater than one year through five years | 3,524,087 | 15,766,307 | ||
Greater than five years through ten years | 58,412,350 | 45,102,607 | ||
Greater than ten years | 10,909,544 | 1,250,936 | ||
Amortized Cost | $ 73,136,095 | $ 62,370,539 | ||
[1] (3) Excludes $27.3 million and $44.2 million at September 30, 2022 and December 31, 2021, respectively, of Agency mortgage-backed securities and $1.0 billion and $350.4 million at September 30, 2022 and December 31, 2021, respectively, of non-Agency mortgage-backed securities in consolidated VIEs pledged as collateral and eliminated from the Company’s Consolidated Statements of Financial Condition. (1) Derived from the audited consolidated financial statements at December 31, 2021. |
SECURITIES - Unrealized Loss Po
SECURITIES - Unrealized Loss Position (Details) $ in Thousands | Sep. 30, 2022 USD ($) security | Dec. 31, 2021 USD ($) security |
Unrealized Loss Position For: | ||
Estimated Fair Value | $ 66,839,353 | $ 63,655,674 |
Gross Unrealized Losses | (6,930,222) | (673,774) |
Agency Mortgage-Backed Securities | ||
Unrealized Loss Position For: | ||
Estimated Fair Value | 40,818,813 | 23,211,971 |
Gross Unrealized Losses | $ (5,413,016) | $ (486,024) |
Number of Securities | security | 2,859 | 590 |
Agency Mortgage-Backed Securities | Less than 12 months | ||
Unrealized Loss Position For: | ||
Estimated Fair Value | $ 38,312,990 | $ 22,828,156 |
Gross Unrealized Losses | $ (4,825,625) | $ (475,064) |
Number of Securities | security | 2,722 | 571 |
Agency Mortgage-Backed Securities | 12 Months or more | ||
Unrealized Loss Position For: | ||
Estimated Fair Value | $ 2,505,823 | $ 383,815 |
Gross Unrealized Losses | $ (587,391) | $ (10,960) |
Number of Securities | security | 137 | 19 |
SECURITIES - Realized Gain (Los
SECURITIES - Realized Gain (Loss) (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2022 | Sep. 30, 2021 | Sep. 30, 2022 | Sep. 30, 2021 | |
Investments, Debt and Equity Securities [Abstract] | ||||
Gross Realized Gains | $ 17,324 | $ 30,368 | $ 46,152 | $ 87,499 |
Gross Realized Losses | (1,491,325) | (3,636) | (2,321,940) | (86,657) |
Net Realized Gains (Losses) | $ (1,474,001) | $ 26,732 | $ (2,275,788) | $ 842 |
LOANS - Narrative (Details)
LOANS - Narrative (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||||
Sep. 30, 2022 | Sep. 30, 2021 | Sep. 30, 2022 | Sep. 30, 2021 | Dec. 31, 2021 | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||||
Assets | $ 85,406,764 | $ 85,406,764 | $ 76,764,064 | [1] | ||
Loan loss (provision) reversal | (1,613) | $ (6,134) | (27,918) | $ (145,260) | ||
Allowance for loan loss | 0 | 0 | 27,900 | |||
Residential Mortgage Loans | ||||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||||
Assets | 1,600,000 | 1,600,000 | 2,300,000 | |||
Loans held-for-sale | $ 1,400 | $ 1,400 | $ 2,300 | |||
Percent of adjustable-rate loans | 11% | 11% | 16% | |||
Residential mortgage loan warehouse facility | ||||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||||
Assets | $ 70 | $ 70 | $ 980 | |||
[1] (1) Derived from the audited consolidated financial statements at December 31, 2021. |
LOANS - Investment Loan Activit
LOANS - Investment Loan Activity (Details) $ in Thousands | 9 Months Ended | |
Sep. 30, 2022 USD ($) | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Movement in Mortgage Loans on Real Estate [Roll Forward] | ||
Beginning balance January 1, 2022 | $ 4,242,043 | [1],[2] |
Ending balance September 30, 2022 | 1,551,707 | [2] |
Transfer of residential loans to securitization vehicles, carrying value, noncash | 5,500,000 | |
Total | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Movement in Mortgage Loans on Real Estate [Roll Forward] | ||
Beginning balance January 1, 2022 | 4,241,063 | |
Purchases / originations | 5,193,659 | |
Sales and transfers | (7,372,881) | |
Principal payments | (317,519) | |
Gains / (losses) | (189,431) | |
(Amortization) / accretion | (3,254) | |
Ending balance September 30, 2022 | 1,551,637 | |
Residential | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Movement in Mortgage Loans on Real Estate [Roll Forward] | ||
Beginning balance January 1, 2022 | 2,272,072 | |
Purchases / originations | 5,008,390 | |
Sales and transfers | (5,470,437) | |
Principal payments | (86,329) | |
Gains / (losses) | (166,111) | |
(Amortization) / accretion | (5,948) | |
Ending balance September 30, 2022 | 1,551,637 | |
Corporate Debt | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Movement in Mortgage Loans on Real Estate [Roll Forward] | ||
Beginning balance January 1, 2022 | 1,968,991 | |
Purchases / originations | 185,269 | |
Sales and transfers | (1,902,444) | |
Principal payments | (231,190) | |
Gains / (losses) | (23,320) | |
(Amortization) / accretion | 2,694 | |
Ending balance September 30, 2022 | $ 0 | |
[1] (1) Derived from the audited consolidated financial statements at December 31, 2021. (4) Includes $1.4 million and $2.3 million of residential mortgage loans held for sale at September 30, 2022 and December 31, 2021, respectively. |
LOANS - Fair Value and Unpaid P
LOANS - Fair Value and Unpaid Principal of Residential Mortgage Loan Portfolio (Details) - Residential Mortgage Loans - USD ($) $ in Thousands | Sep. 30, 2022 | Dec. 31, 2021 |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Fair value | $ 10,322,263 | $ 7,768,507 |
Unpaid principal balance | $ 11,469,486 | $ 7,535,855 |
LOANS - Summary of Comprehensiv
LOANS - Summary of Comprehensive Income (Loss) (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2022 | Sep. 30, 2021 | Sep. 30, 2022 | Sep. 30, 2021 | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Interest income | $ 277,997 | $ 362,534 | $ 1,334,065 | $ 1,372,798 |
Total included in net income (loss) | (275,264) | 519,244 | 2,613,687 | 1,974,415 |
Residential Mortgage Loans | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Interest income | 109,973 | 45,799 | 275,083 | 121,871 |
Net gains (losses) on disposal of investments | 1,103 | (7,154) | (11,555) | (34,095) |
Net unrealized gains (losses) on instruments measured at fair value through earnings | (541,771) | 12,525 | (1,281,501) | 49,436 |
Total included in net income (loss) | $ (430,695) | $ 51,170 | $ (1,017,973) | $ 137,212 |
LOANS - Geographic Concentratio
LOANS - Geographic Concentrations Based on Unpaid Principal Balances (Details) - Residential mortgage loans - Geographic Concentration Risk | 9 Months Ended | 12 Months Ended |
Sep. 30, 2022 | Dec. 31, 2021 | |
California | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Geographic Concentrations of Residential Mortgage Loans | 46.10% | 50.20% |
New York | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Geographic Concentrations of Residential Mortgage Loans | 10.20% | 10.90% |
Florida | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Geographic Concentrations of Residential Mortgage Loans | 8.10% | 6.10% |
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 | 35.60% | 32.80% |
All Locations | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Geographic Concentrations of Residential Mortgage Loans | 100% | 100% |
LOANS - Additional Data On Resi
LOANS - Additional Data On Residential Mortgage Loans (Details) - Residential Mortgage Loans $ in Thousands | 9 Months Ended | 12 Months Ended |
Sep. 30, 2022 USD ($) point | Dec. 31, 2021 USD ($) point | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Unpaid principal balance | $ 11,469,486 | $ 7,535,855 |
Minimum | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Unpaid principal balance | $ 2 | $ 1 |
Interest rate | 2% | 0.75% |
FICO score at loan origination | point | 588 | 604 |
Loan-to-value ratio at loan origination | 5% | 8% |
Maximum | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Unpaid principal balance | $ 4,396 | $ 4,382 |
Interest rate | 15% | 9.24% |
FICO score at loan origination | point | 831 | 831 |
Loan-to-value ratio at loan origination | 100% | 103% |
Weighted Average | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Unpaid principal balance | $ 501 | $ 513 |
Interest rate | 4.41% | 4.04% |
FICO score at loan origination | point | 760 | 762 |
Loan-to-value ratio at loan origination | 67% | 66% |
MORTGAGE SERVICING RIGHTS - MSR
MORTGAGE SERVICING RIGHTS - MSR Activity Rollforward (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2022 | Sep. 30, 2021 | Sep. 30, 2022 | Sep. 30, 2021 | |
Servicing Asset at Fair Value, Amount [Roll Forward] | ||||
Fair value, beginning of period | $ 1,421,420 | $ 202,616 | $ 544,562 | $ 100,895 |
Purchases | 182,784 | 312,327 | 866,767 | 411,309 |
Transfers | 82,650 | 0 | 82,650 | 0 |
Sales | 0 | 0 | (9,076) | (376) |
Changes in valuation inputs or assumptions | 43,274 | 76,107 | 281,843 | 108,403 |
Other changes, including realization of expected cash flows | (24,874) | (18,791) | (61,492) | (47,972) |
Fair value, end of period | $ 1,705,254 | $ 572,259 | $ 1,705,254 | $ 572,259 |
MORTGAGE SERVICING RIGHTS - Int
MORTGAGE SERVICING RIGHTS - Interest in MSR Rollfoward (Details) - Level 3 - Interests in MSR - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2022 | Sep. 30, 2021 | Sep. 30, 2022 | Sep. 30, 2021 | |
Servicing Asset at Fair Value, Amount [Roll Forward] | ||||
Beginning balance | $ 83,622 | $ 49,035 | $ 69,316 | $ 0 |
Purchases | 0 | 5,936 | 4,860 | 53,034 |
Transfers | (82,650) | 0 | (82,650) | 0 |
Gain (loss) included in net income | (972) | 2,559 | 8,474 | 4,496 |
Ending balance September 30, 2022 | $ 0 | $ 57,530 | $ 0 | $ 57,530 |
VARIABLE INTEREST ENTITIES - Na
VARIABLE INTEREST ENTITIES - Narrative (Details) - USD ($) $ in Thousands | 1 Months Ended | 3 Months Ended | 9 Months Ended | ||||||
Aug. 31, 2017 | Sep. 30, 2022 | Sep. 30, 2021 | Sep. 30, 2022 | Sep. 30, 2021 | Dec. 31, 2021 | Mar. 31, 2020 | |||
Variable Interest Entity [Line Items] | |||||||||
Securitized debt of consolidated VIEs | $ 7,844,518 | $ 7,844,518 | $ 5,155,633 | [1] | |||||
Mortgage-backed securities | [2] | 66,839,353 | 66,839,353 | 63,655,674 | [1] | ||||
Costs incurred in connection with securitization | 37,922 | $ 43,882 | 119,724 | $ 145,313 | |||||
Participations issued | 745,729 | 745,729 | 1,049,066 | [1] | |||||
MSR Silo | |||||||||
Variable Interest Entity [Line Items] | |||||||||
Variable interest entity, ownership percentage | 100% | ||||||||
Consolidated VIEs | |||||||||
Variable Interest Entity [Line Items] | |||||||||
Exposure to obligations of VIEs | 1,100,000 | 1,100,000 | |||||||
Consolidated VIEs | OBX Trust | |||||||||
Variable Interest Entity [Line Items] | |||||||||
Securitized debt of consolidated VIEs | 7,400,000 | 7,400,000 | 4,600,000 | ||||||
Costs incurred in connection with securitization | 1,700 | $ 2,200 | 6,800 | $ 4,000 | |||||
Contractual principal amount of debt held by third parties | 8,600,000 | 8,600,000 | 4,600,000 | ||||||
Consolidated VIEs | Consolidation, Eliminations | OBX Trust | |||||||||
Variable Interest Entity [Line Items] | |||||||||
Mortgage-backed securities | 1,000,000 | 1,000,000 | 780,800 | ||||||
VIE, Not Primary Beneficiary | Residential mortgage loans | |||||||||
Variable Interest Entity [Line Items] | |||||||||
Participations issued | $ 700,000 | $ 700,000 | $ 1,000,000 | ||||||
Multifamily | Consolidated VIEs | |||||||||
Variable Interest Entity [Line Items] | |||||||||
Cut-off date principal balance | $ 500,000 | ||||||||
Multifamily | Retained Interest | Consolidated VIEs | |||||||||
Variable Interest Entity [Line Items] | |||||||||
Retained interest notional balance | $ 500,000 | ||||||||
[1] (1) Derived from the audited consolidated financial statements at December 31, 2021. (3) Excludes $27.3 million and $44.2 million at September 30, 2022 and December 31, 2021, respectively, of Agency mortgage-backed securities and $1.0 billion and $350.4 million at September 30, 2022 and December 31, 2021, respectively, of non-Agency mortgage-backed securities in consolidated VIEs pledged as collateral and eliminated from the Company’s Consolidated Statements of Financial Condition. |
VARIABLE INTEREST ENTITIES - Sc
VARIABLE INTEREST ENTITIES - Schedule of the Fair Value of OBX Trusts Closed (Details) - OBX Trust - Consolidated VIEs - USD ($) $ in Thousands | Sep. 30, 2022 | Aug. 31, 2022 | Jun. 30, 2022 | May 31, 2022 | Mar. 31, 2022 | Feb. 28, 2022 | Jan. 31, 2022 |
Variable Interest Entity [Line Items] | |||||||
Loans | $ 335,900 | $ 389,334 | $ 315,843 | $ 439,421 | $ 556,696 | ||
OBX 2022-INV1 | |||||||
Variable Interest Entity [Line Items] | |||||||
Loans | $ 377,275 | ||||||
OBX 2022-INV2 | |||||||
Variable Interest Entity [Line Items] | |||||||
Loans | $ 466,686 | ||||||
OBX 2022-INV3 | |||||||
Variable Interest Entity [Line Items] | |||||||
Loans | $ 330,823 | ||||||
OBX 2022-NQM4 | |||||||
Variable Interest Entity [Line Items] | |||||||
Loans | $ 457,285 | ||||||
OBX 2022-NQM5 | |||||||
Variable Interest Entity [Line Items] | |||||||
Loans | 390,775 | ||||||
OBX 2022-NQM6 | |||||||
Variable Interest Entity [Line Items] | |||||||
Loans | $ 387,913 | ||||||
OBX 2022-J2 | |||||||
Variable Interest Entity [Line Items] | |||||||
Loans | $ 305,969 | ||||||
OBX 2022-NQM7 | |||||||
Variable Interest Entity [Line Items] | |||||||
Loans | $ 358,931 | ||||||
OBX 2022-NQM8 | |||||||
Variable Interest Entity [Line Items] | |||||||
Loans | $ 397,470 |
VARIABLE INTEREST ENTITIES - _2
VARIABLE INTEREST ENTITIES - Schedule of Financial Condition of VIEs Reflected in Consolidated Statements of Financial Condition (Details) - USD ($) $ in Thousands | Sep. 30, 2022 | Dec. 31, 2021 | |
Assets | |||
Mortgage servicing rights | $ 1,705,254 | $ 544,562 | [1] |
Interests in MSR | 0 | 69,316 | [1] |
Other assets | 247,490 | 197,683 | [1] |
Total assets | 85,406,764 | 76,764,064 | [1] |
Liabilities | |||
Other liabilities | 912,895 | 94,423 | [1] |
Total liabilities | 74,455,209 | 63,568,739 | [1] |
Consolidated VIEs | |||
Assets | |||
Cash and cash equivalents | 3,500 | 16,200 | |
Consolidated VIEs | MSR VIEs | |||
Assets | |||
Cash and cash equivalents | 3,533 | 16,187 | |
Loans | 1,378 | 2,347 | |
Mortgage servicing rights | 37 | 7,254 | |
Interests in MSR | 0 | 69,316 | |
Other assets | 4,068 | 10,406 | |
Total assets | 9,016 | 105,510 | |
Liabilities | |||
Payable for unsettled trades | 2,152 | 1,911 | |
Other liabilities | 3,636 | 14,582 | |
Total liabilities | $ 5,788 | $ 16,493 | |
[1] (1) Derived from the audited consolidated financial statements at December 31, 2021. |
SALE OF COMMERCIAL REAL ESTAT_2
SALE OF COMMERCIAL REAL ESTATE BUSINESS - Narrative (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | 9 Months Ended | ||||
Sep. 30, 2022 | Sep. 30, 2021 | Mar. 31, 2021 | Jun. 30, 2021 | Sep. 30, 2022 | Sep. 30, 2021 | Mar. 25, 2021 | |
Income Statement, Balance Sheet and Additional Disclosures by Disposal Groups, Including Discontinued Operations [Line Items] | |||||||
Business divestiture-related gains (losses) | $ (2,936) | $ (14,009) | $ (27,245) | $ (262,045) | |||
CRE Business | Discontinued Operations, Disposed of by Sale | |||||||
Income Statement, Balance Sheet and Additional Disclosures by Disposal Groups, Including Discontinued Operations [Line Items] | |||||||
Sale of business | $ 2,330,000 | ||||||
Impairment of goodwill | $ 71,800 | ||||||
Business divestiture-related gains (losses) | $ (262,000) |
SALE OF MIDDLE MARKET LENDING_2
SALE OF MIDDLE MARKET LENDING PORTFOLIO (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | 9 Months Ended | |||
Sep. 30, 2022 | Sep. 30, 2021 | Jun. 30, 2022 | Sep. 30, 2022 | Sep. 30, 2021 | Apr. 22, 2022 | |
Income Statement, Balance Sheet and Additional Disclosures by Disposal Groups, Including Discontinued Operations [Line Items] | ||||||
Business divestiture-related gains (losses) | $ (2,936) | $ (14,009) | $ (27,245) | $ (262,045) | ||
Discontinued Operations, Disposed of by Sale | Middle Market Lending Portfolio | ||||||
Income Statement, Balance Sheet and Additional Disclosures by Disposal Groups, Including Discontinued Operations [Line Items] | ||||||
Sale of business | $ 2,400,000 | |||||
Loans sold | 1,900,000 | 1,900,000 | ||||
Cash proceeds | $ 1,900,000 | |||||
Business divestiture-related gains (losses) | $ 20,400 | |||||
Discontinued Operations, Held-for-sale | Middle Market Lending Portfolio | ||||||
Income Statement, Balance Sheet and Additional Disclosures by Disposal Groups, Including Discontinued Operations [Line Items] | ||||||
Loans sold | $ 14,200 | $ 14,200 |
DERIVATIVE INSTRUMENTS - Narrat
DERIVATIVE INSTRUMENTS - Narrative (Details) - USD ($) $ in Billions | Sep. 30, 2022 | Dec. 31, 2021 |
Interest rate swaps, at fair value | ||
Derivative [Line Items] | ||
Variation margin | $ (3.2) | $ (0.4) |
DERIVATIVE INSTRUMENTS - Summar
DERIVATIVE INSTRUMENTS - Summary of Fair Value Information about Derivative Assets and Liabilities (Details) - USD ($) $ in Thousands | Sep. 30, 2022 | Dec. 31, 2021 | |
Assets | |||
Total derivative assets | $ 1,949,530 | $ 170,370 | [1] |
Liabilities | |||
Interest rate swaps | 108,071 | 747,036 | |
Total derivative liabilities | 764,535 | 881,537 | [1] |
Futures contracts | |||
Assets | |||
Other derivative assets | 1,539,298 | 9,028 | |
Total derivative assets | 1,539,298 | 9,028 | |
Liabilities | |||
Other derivative liabilities | 2,946 | 129,134 | |
Total derivative liabilities | 2,946 | 129,134 | |
Purchase commitments | |||
Assets | |||
Other derivative assets | 1,037 | 1,779 | |
Total derivative assets | 1,037 | 1,779 | |
Liabilities | |||
Other derivative liabilities | 2,485 | 870 | |
Total derivative liabilities | 2,485 | 870 | |
Interest rate swaps | |||
Assets | |||
Total derivative assets | 36,861 | ||
Liabilities | |||
Total derivative liabilities | 108,071 | 747,036 | |
Current notional | 40,867,500 | 45,907,300 | |
Interest rate swaps | 36,861 | 0 | |
Interest rate swaptions | |||
Assets | |||
Other derivative assets | 344,301 | 105,710 | |
Total derivative assets | 344,301 | 105,710 | |
TBA derivatives | |||
Assets | |||
Other derivative assets | 28,033 | 52,693 | |
Total derivative assets | 28,033 | 52,693 | |
Liabilities | |||
Other derivative liabilities | 635,652 | 3,916 | |
Total derivative liabilities | 635,652 | 3,916 | |
Credit derivatives | |||
Assets | |||
Other derivative assets | 0 | 1,160 | |
Total derivative assets | 1,160 | ||
Liabilities | |||
Other derivative liabilities | 15,381 | 581 | |
Total derivative liabilities | 15,381 | 581 | |
Credit derivatives | Maximum | |||
Liabilities | |||
Current notional | $ 420,000 | $ 400,000 | |
[1] (1) Derived from the audited consolidated financial statements at December 31, 2021. |
DERIVATIVE INSTRUMENTS - Summ_2
DERIVATIVE INSTRUMENTS - Summary of Characteristics of Interest Rate Swaps (Details) - USD ($) | 9 Months Ended | 12 Months Ended |
Sep. 30, 2022 | Dec. 31, 2021 | |
Interest rate swaps, at fair value | ||
Derivative [Line Items] | ||
Current notional | $ 40,867,500,000 | $ 45,907,300,000 |
Weighted Average Pay Rate | 1.53% | 0.59% |
Weighted Average Receive Rate | 2.96% | 0.08% |
Weighted average years to maturity | 5 years 4 months 24 days | 3 years 3 months 25 days |
Interest rate swaps, at fair value | LIBOR | ||
Derivative [Line Items] | ||
Notional amount, percentage | 0.22 | 0.18 |
Interest rate swaps, at fair value | Federal funds index swap | ||
Derivative [Line Items] | ||
Notional amount, percentage | 0.30 | 0.53 |
Interest rate swaps, at fair value | Secured Overnight Financing Rate | ||
Derivative [Line Items] | ||
Notional amount, percentage | 0.48 | 0.29 |
Interest rate swaps, at fair value | 0 - 3 years | ||
Derivative [Line Items] | ||
Minimum maturity period | 0 years | 0 years |
Maximum maturity period | 3 years | 3 years |
Current notional | $ 21,501,900,000 | $ 32,709,300,000 |
Weighted Average Pay Rate | 1.08% | 0.25% |
Weighted Average Receive Rate | 2.95% | 0.06% |
Weighted average years to maturity | 7 months 28 days | 1 year 1 month 6 days |
Interest rate swaps, at fair value | 3 - 6 years | ||
Derivative [Line Items] | ||
Minimum maturity period | 3 years | 3 years |
Maximum maturity period | 6 years | 6 years |
Current notional | $ 1,120,400,000 | $ 2,780,000,000 |
Weighted Average Pay Rate | 2.20% | 0.21% |
Weighted Average Receive Rate | 2.95% | 0.07% |
Weighted average years to maturity | 4 years 3 months 25 days | 3 years 5 months 15 days |
Interest rate swaps, at fair value | 6 - 10 years | ||
Derivative [Line Items] | ||
Minimum maturity period | 6 years | 6 years |
Maximum maturity period | 10 years | 10 years |
Current notional | $ 15,936,200,000 | $ 9,118,000,000 |
Weighted Average Pay Rate | 2.06% | 1.43% |
Weighted Average Receive Rate | 2.99% | 0.13% |
Weighted average years to maturity | 9 years 3 months 14 days | 9 years 18 days |
Interest rate swaps, at fair value | Greater than 10 years | ||
Derivative [Line Items] | ||
Minimum maturity period | 10 years | 10 years |
Current notional | $ 2,309,000,000 | $ 1,300,000,000 |
Weighted Average Pay Rate | 3.49% | 4.04% |
Weighted Average Receive Rate | 2.89% | 0.11% |
Weighted average years to maturity | 23 years 2 months 4 days | 18 years 8 months 12 days |
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 | 9 Months Ended | 12 Months Ended |
Sep. 30, 2022 | Dec. 31, 2021 | |
Long pay | ||
Derivative [Line Items] | ||
Notional amount of credit derivatives | $ 3,000,000 | $ 4,050,000 |
Weighted Average Underlying Fixed Rate | 2.03% | 2% |
Weighted Average Underlying Years to Maturity | 8 years 8 months 15 days | 9 years 7 months 24 days |
Weighted Average Months to Expiration | 14 months 17 days | 19 months 15 days |
Long receive | ||
Derivative [Line Items] | ||
Notional amount of credit derivatives | $ 750,000 | $ 2,000,000 |
Weighted Average Underlying Fixed Rate | 1.57% | 1.47% |
Weighted Average Underlying Years to Maturity | 11 years 3 months 25 days | 10 years 11 months 12 days |
Weighted Average Months to Expiration | 15 months 27 days | 11 months 12 days |
DERIVATIVE INSTRUMENTS - Summ_4
DERIVATIVE INSTRUMENTS - Summary of Characteristics of TBA Derivatives (Details) - TBA derivatives - USD ($) $ in Thousands | 9 Months Ended | 12 Months Ended |
Sep. 30, 2022 | Dec. 31, 2021 | |
Derivative [Line Items] | ||
Notional | $ 16,084,000 | |
Implied Cost Basis | (15,790,425) | |
Implied Market Value | (15,182,806) | |
Net Carrying Value | (607,619) | |
Purchase contracts | ||
Derivative [Line Items] | ||
Notional | 18,064,000 | $ 20,133,000 |
Implied Cost Basis | (17,686,372) | (20,289,856) |
Implied Market Value | (17,060,584) | (20,338,633) |
Net Carrying Value | (625,788) | $ 48,777 |
Notional - Short Positions | ||
Derivative [Line Items] | ||
Implied Cost Basis | (1,895,947) | |
Implied Market Value | (1,877,778) | |
Net Carrying Value | 18,169 | |
Notional | $ (1,980,000) |
DERIVATIVE INSTRUMENTS - Summ_5
DERIVATIVE INSTRUMENTS - Summary of Certain Characteristics of Futures Derivatives (Details) - USD ($) $ in Thousands | 9 Months Ended | 12 Months Ended |
Sep. 30, 2022 | Dec. 31, 2021 | |
Futures contracts | ||
Derivative [Line Items] | ||
Weighted Average Underlying Years to Maturity | 4 years 8 months 12 days | 4 years 7 months 6 days |
Futures contracts | Notional - Long Positions | ||
Derivative [Line Items] | ||
Notional amount long (short) | $ 0 | $ 0 |
Futures contracts | Notional - Short Positions | ||
Derivative [Line Items] | ||
Notional amount long (short) | $ 42,271,300 | $ 22,535,100 |
U.S. Treasury futures - 2 year | ||
Derivative [Line Items] | ||
Maturity period | 2 years | 2 years |
Weighted Average Underlying Years to Maturity | 1 year 11 months 19 days | 1 year 11 months 15 days |
U.S. Treasury futures - 2 year | Notional - Long Positions | ||
Derivative [Line Items] | ||
Notional amount long (short) | $ 0 | $ 0 |
U.S. Treasury futures - 2 year | Notional - Short Positions | ||
Derivative [Line Items] | ||
Notional amount long (short) | $ 17,391,000 | $ 7,509,200 |
U.S. Treasury futures - 5 year | ||
Derivative [Line Items] | ||
Maturity period | 5 years | 5 years |
Weighted Average Underlying Years to Maturity | 4 years 4 months 17 days | 4 years 4 months 17 days |
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) | $ 6,503,400 | $ 5,644,900 |
U.S. Treasury futures - 10 year and greater | ||
Derivative [Line Items] | ||
Maturity period | 10 years | 10 years |
Weighted Average Underlying Years to Maturity | 7 years 4 months 24 days | 6 years 10 months 2 days |
U.S. Treasury futures - 10 year and greater | Notional - Long Positions | ||
Derivative [Line Items] | ||
Notional amount long (short) | $ 0 | $ 0 |
U.S. Treasury futures - 10 year and greater | Notional - Short Positions | ||
Derivative [Line Items] | ||
Notional amount long (short) | $ 18,376,900 | $ 9,381,000 |
DERIVATIVE INSTRUMENTS - Offset
DERIVATIVE INSTRUMENTS - Offsetting of Derivative Assets and Liabilities (Details) - USD ($) $ in Thousands | Sep. 30, 2022 | Dec. 31, 2021 | |
Assets | |||
Gross Amounts | $ 1,949,530 | $ 170,370 | [1] |
Liabilities | |||
Gross Amounts | 764,535 | 881,537 | [1] |
Futures contracts, at fair value | |||
Assets | |||
Gross Amounts | 1,539,298 | 9,028 | |
Financial Instruments | (2,946) | (9,028) | |
Cash Collateral | 0 | 0 | |
Net Amounts | 1,536,352 | 0 | |
Liabilities | |||
Gross Amounts | 2,946 | 129,134 | |
Financial Instruments | (2,946) | (9,028) | |
Cash Collateral | 0 | (120,106) | |
Net Amounts | 0 | 0 | |
Purchase commitments | |||
Assets | |||
Gross Amounts | 1,037 | 1,779 | |
Financial Instruments | 0 | 0 | |
Cash Collateral | 0 | 0 | |
Net Amounts | 1,037 | 1,779 | |
Liabilities | |||
Gross Amounts | 2,485 | 870 | |
Financial Instruments | 0 | 0 | |
Cash Collateral | 0 | 0 | |
Net Amounts | 2,485 | 870 | |
Interest rate swaps, at fair value | |||
Assets | |||
Gross Amounts | 36,861 | ||
Financial Instruments | (26,666) | ||
Cash Collateral | 0 | ||
Net Amounts | 10,195 | ||
Liabilities | |||
Gross Amounts | 108,071 | 747,036 | |
Financial Instruments | (26,666) | 0 | |
Cash Collateral | 0 | (77,607) | |
Net Amounts | 81,405 | 669,429 | |
Interest rate swaptions, at fair value | |||
Assets | |||
Gross Amounts | 344,301 | 105,710 | |
Financial Instruments | 0 | 0 | |
Cash Collateral | 0 | 0 | |
Net Amounts | 344,301 | 105,710 | |
TBA derivatives, at fair value | |||
Assets | |||
Gross Amounts | 28,033 | 52,693 | |
Financial Instruments | (9,864) | (3,876) | |
Cash Collateral | 0 | 0 | |
Net Amounts | 18,169 | 48,817 | |
Liabilities | |||
Gross Amounts | 635,652 | 3,916 | |
Financial Instruments | (9,864) | (3,876) | |
Cash Collateral | 0 | (40) | |
Net Amounts | 625,788 | 0 | |
Credit derivatives | |||
Assets | |||
Gross Amounts | 1,160 | ||
Financial Instruments | (516) | ||
Cash Collateral | 0 | ||
Net Amounts | 644 | ||
Liabilities | |||
Gross Amounts | 15,381 | 581 | |
Financial Instruments | 0 | (516) | |
Cash Collateral | (10,373) | (65) | |
Net Amounts | $ 5,008 | $ 0 | |
[1] (1) Derived from the audited consolidated financial statements at December 31, 2021. |
DERIVATIVE INSTRUMENTS - Effect
DERIVATIVE INSTRUMENTS - Effect of Interest Rate Swaps on Consolidated Statements of Comprehensive Income (Loss) (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2022 | Sep. 30, 2021 | Sep. 30, 2022 | Sep. 30, 2021 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | ||||
Net Interest Component of Interest Rate Swaps | $ 141,110 | $ (54,411) | $ 79,561 | $ (217,245) |
Realized Gains (Losses) on Termination of Interest Rate Swaps | (83,393) | (1,196,417) | (83,409) | (1,196,417) |
Unrealized Gain (Losses) on Interest Rate Swaps | $ 1,251,350 | $ 1,380,946 | $ 3,472,326 | $ 2,012,141 |
DERIVATIVE INSTRUMENTS - Effe_2
DERIVATIVE INSTRUMENTS - Effect of Other Derivative Contracts on the Consolidated Statements of Operations and Comprehensive Income (Loss) (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2022 | Sep. 30, 2021 | Sep. 30, 2022 | Sep. 30, 2021 | |
Derivative [Line Items] | ||||
Unrealized Gain (Loss) | $ 1,251,350 | $ 1,380,946 | $ 3,472,326 | $ 2,012,141 |
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Derivatives | 808,173 | (45,168) | 1,306,433 | 72,731 |
Futures | ||||
Derivative [Line Items] | ||||
Realized Gain (Loss) | 611,661 | (229,534) | 2,332,338 | 250,013 |
Unrealized Gain (Loss) | 1,197,942 | 279,293 | 1,656,458 | 218,527 |
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Derivatives | 1,809,603 | 49,759 | 3,988,796 | 468,540 |
Purchase commitments | ||||
Derivative [Line Items] | ||||
Realized Gain (Loss) | 0 | 0 | 0 | 0 |
Unrealized Gain (Loss) | (4,530) | 920 | (2,358) | 1,389 |
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Derivatives | (4,530) | 920 | (2,358) | 1,389 |
TBA derivatives | ||||
Derivative [Line Items] | ||||
Realized Gain (Loss) | (430,528) | 155,569 | (2,250,909) | (122,275) |
Unrealized Gain (Loss) | (577,156) | (182,845) | (656,394) | (249,847) |
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Derivatives | (1,007,684) | (27,276) | (2,907,303) | (372,122) |
Interest rate swaptions, at fair value | ||||
Derivative [Line Items] | ||||
Realized Gain (Loss) | (18,949) | (24,265) | (33,399) | (69,262) |
Unrealized Gain (Loss) | 30,610 | (44,602) | 272,668 | 28,528 |
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Derivatives | 11,661 | (68,867) | 239,269 | (40,734) |
Credit derivatives | ||||
Derivative [Line Items] | ||||
Realized Gain (Loss) | 1,105 | 2,616 | 2,539 | 7,024 |
Unrealized Gain (Loss) | (1,982) | (2,320) | (14,510) | 8,634 |
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Derivatives | $ (877) | $ 296 | $ (11,971) | $ 15,658 |
FAIR VALUE MEASUREMENTS - Estim
FAIR VALUE MEASUREMENTS - Estimated Fair Values of Financial Instruments (Details) - USD ($) $ in Thousands | Sep. 30, 2022 | Jun. 30, 2022 | Dec. 31, 2021 | Sep. 30, 2021 | Jun. 30, 2021 | Dec. 31, 2020 | ||
Assets | ||||||||
Mortgage-backed securities | [1] | $ 66,839,353 | $ 63,655,674 | [2] | ||||
Loans | ||||||||
Mortgage servicing rights | 1,705,254 | $ 1,421,420 | 544,562 | $ 572,259 | $ 202,616 | $ 100,895 | ||
Derivative assets | ||||||||
Derivative assets | 1,949,530 | 170,370 | [2] | |||||
Liabilities | ||||||||
Participations issued | 745,729 | 1,049,066 | [2] | |||||
Derivative liabilities | ||||||||
Interest rate swaps | 108,071 | 747,036 | ||||||
Residential Mortgage Loans | ||||||||
Loans | ||||||||
Residential mortgage loans | 10,322,263 | 7,768,507 | ||||||
Fair Value, Measurements, Recurring | ||||||||
Assets | ||||||||
Agency mortgage-backed securities | 63,037,241 | 60,525,605 | ||||||
Credit risk transfer securities | 1,056,906 | 936,228 | ||||||
Loans | ||||||||
Mortgage servicing rights | 1,705,254 | 544,562 | ||||||
Interests in MSR | 69,316 | |||||||
Assets transferred or pledged to securitization vehicles | 6,086,308 | |||||||
Derivative assets | ||||||||
Other derivatives | 1,912,669 | 170,370 | ||||||
Total assets | 81,247,858 | 72,799,282 | ||||||
Liabilities | ||||||||
Debt issued by securitization vehicles | 7,844,518 | 5,155,633 | ||||||
Participations issued | 745,729 | 1,049,066 | ||||||
Derivative liabilities | ||||||||
Interest rate swaps | 108,071 | 747,036 | ||||||
Other derivatives | 656,464 | 134,501 | ||||||
Total liabilities | 9,354,782 | 7,086,236 | ||||||
Fair Value, Measurements, Recurring | Asset Transferred or Pledged | ||||||||
Loans | ||||||||
Assets transferred or pledged to securitization vehicles | 9,202,014 | |||||||
Fair Value, Measurements, Recurring | Non-Agency Mortgage-Backed Securities | ||||||||
Assets | ||||||||
Mortgage-backed securities | 2,156,706 | 1,663,336 | ||||||
Fair Value, Measurements, Recurring | Commercial Mortgage-Backed Securities | ||||||||
Assets | ||||||||
Mortgage-backed securities | 588,500 | 530,505 | ||||||
Fair Value, Measurements, Recurring | Residential Mortgage Loans | ||||||||
Loans | ||||||||
Residential mortgage loans | 1,551,637 | 2,272,072 | ||||||
Residential mortgage loan warehouse facility | 70 | 980 | ||||||
Fair Value, Measurements, Recurring | Interest rate swaps | ||||||||
Derivative assets | ||||||||
Derivative assets | 36,861 | |||||||
Fair Value, Measurements, Recurring | Level 1 | ||||||||
Assets | ||||||||
Agency mortgage-backed securities | 0 | 0 | ||||||
Credit risk transfer securities | 0 | 0 | ||||||
Loans | ||||||||
Mortgage servicing rights | 0 | 0 | ||||||
Interests in MSR | 0 | |||||||
Derivative assets | ||||||||
Other derivatives | 1,539,298 | 9,028 | ||||||
Total assets | 1,539,298 | 9,028 | ||||||
Liabilities | ||||||||
Debt issued by securitization vehicles | 0 | 0 | ||||||
Participations issued | 0 | 0 | ||||||
Derivative liabilities | ||||||||
Interest rate swaps | 0 | 0 | ||||||
Other derivatives | 2,946 | 129,134 | ||||||
Total liabilities | 2,946 | 129,134 | ||||||
Fair Value, Measurements, Recurring | Level 1 | Asset Transferred or Pledged | ||||||||
Loans | ||||||||
Assets transferred or pledged to securitization vehicles | 0 | 0 | ||||||
Fair Value, Measurements, Recurring | Level 1 | Non-Agency Mortgage-Backed Securities | ||||||||
Assets | ||||||||
Mortgage-backed securities | 0 | 0 | ||||||
Fair Value, Measurements, Recurring | Level 1 | Commercial Mortgage-Backed Securities | ||||||||
Assets | ||||||||
Mortgage-backed securities | 0 | 0 | ||||||
Fair Value, Measurements, Recurring | Level 1 | Residential Mortgage Loans | ||||||||
Loans | ||||||||
Residential mortgage loans | 0 | 0 | ||||||
Residential mortgage loan warehouse facility | 0 | 0 | ||||||
Fair Value, Measurements, Recurring | Level 1 | Interest rate swaps | ||||||||
Derivative assets | ||||||||
Derivative assets | 0 | |||||||
Fair Value, Measurements, Recurring | Level 2 | ||||||||
Assets | ||||||||
Agency mortgage-backed securities | 63,037,241 | 60,525,605 | ||||||
Credit risk transfer securities | 1,056,906 | 936,228 | ||||||
Loans | ||||||||
Mortgage servicing rights | 0 | 0 | ||||||
Interests in MSR | 0 | |||||||
Assets transferred or pledged to securitization vehicles | 6,086,308 | |||||||
Derivative assets | ||||||||
Other derivatives | 373,371 | 161,342 | ||||||
Total assets | 78,003,306 | 72,176,376 | ||||||
Liabilities | ||||||||
Debt issued by securitization vehicles | 7,844,518 | 5,155,633 | ||||||
Participations issued | 745,729 | 1,049,066 | ||||||
Derivative liabilities | ||||||||
Interest rate swaps | 108,071 | 747,036 | ||||||
Other derivatives | 653,518 | 5,367 | ||||||
Total liabilities | 9,351,836 | 6,957,102 | ||||||
Fair Value, Measurements, Recurring | Level 2 | Asset Transferred or Pledged | ||||||||
Loans | ||||||||
Assets transferred or pledged to securitization vehicles | 9,202,014 | |||||||
Fair Value, Measurements, Recurring | Level 2 | Non-Agency Mortgage-Backed Securities | ||||||||
Assets | ||||||||
Mortgage-backed securities | 2,156,706 | 1,663,336 | ||||||
Fair Value, Measurements, Recurring | Level 2 | Commercial Mortgage-Backed Securities | ||||||||
Assets | ||||||||
Mortgage-backed securities | 588,500 | 530,505 | ||||||
Fair Value, Measurements, Recurring | Level 2 | Residential Mortgage Loans | ||||||||
Loans | ||||||||
Residential mortgage loans | 1,551,637 | 2,272,072 | ||||||
Residential mortgage loan warehouse facility | 70 | 980 | ||||||
Fair Value, Measurements, Recurring | Level 2 | Interest rate swaps | ||||||||
Derivative assets | ||||||||
Derivative assets | 36,861 | |||||||
Fair Value, Measurements, Recurring | Level 3 | ||||||||
Assets | ||||||||
Agency mortgage-backed securities | 0 | 0 | ||||||
Credit risk transfer securities | 0 | 0 | ||||||
Loans | ||||||||
Mortgage servicing rights | 1,705,254 | 544,562 | ||||||
Interests in MSR | 69,316 | |||||||
Assets transferred or pledged to securitization vehicles | 0 | |||||||
Derivative assets | ||||||||
Other derivatives | 0 | 0 | ||||||
Total assets | 1,705,254 | 613,878 | ||||||
Liabilities | ||||||||
Debt issued by securitization vehicles | 0 | 0 | ||||||
Participations issued | 0 | 0 | ||||||
Derivative liabilities | ||||||||
Interest rate swaps | 0 | 0 | ||||||
Other derivatives | 0 | 0 | ||||||
Total liabilities | 0 | 0 | ||||||
Fair Value, Measurements, Recurring | Level 3 | Asset Transferred or Pledged | ||||||||
Loans | ||||||||
Assets transferred or pledged to securitization vehicles | 0 | |||||||
Fair Value, Measurements, Recurring | Level 3 | Non-Agency Mortgage-Backed Securities | ||||||||
Assets | ||||||||
Mortgage-backed securities | 0 | 0 | ||||||
Fair Value, Measurements, Recurring | Level 3 | Commercial Mortgage-Backed Securities | ||||||||
Assets | ||||||||
Mortgage-backed securities | 0 | 0 | ||||||
Fair Value, Measurements, Recurring | Level 3 | Residential Mortgage Loans | ||||||||
Loans | ||||||||
Residential mortgage loans | 0 | 0 | ||||||
Residential mortgage loan warehouse facility | 0 | $ 0 | ||||||
Fair Value, Measurements, Recurring | Level 3 | Interest rate swaps | ||||||||
Derivative assets | ||||||||
Derivative assets | $ 0 | |||||||
[1] (3) Excludes $27.3 million and $44.2 million at September 30, 2022 and December 31, 2021, respectively, of Agency mortgage-backed securities and $1.0 billion and $350.4 million at September 30, 2022 and December 31, 2021, respectively, of non-Agency mortgage-backed securities in consolidated VIEs pledged as collateral and eliminated from the Company’s Consolidated Statements of Financial Condition. (1) Derived from the audited consolidated financial statements at December 31, 2021. |
FAIR VALUE MEASUREMENTS - Infor
FAIR VALUE MEASUREMENTS - Information about Significant Unobservable Inputs Used for Recurring Fair Value Measurements for Level 3 MSRs (Detail) - Fair Value, Measurements, Recurring - Level 3 | 9 Months Ended | 12 Months Ended |
Sep. 30, 2022 USD ($) | Dec. 31, 2021 USD ($) | |
MSR held directly | Minimum | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Cost to service | $ 88 | $ 90 |
MSR held directly | Maximum | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Cost to service | 108 | 103 |
MSR held directly | Weighted Average | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Cost to service | $ 94 | 96 |
Interests in MSR | Minimum | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Cost to service | 78 | |
Interests in MSR | Maximum | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Cost to service | 84 | |
Interests in MSR | Weighted Average | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Cost to service | $ 81 | |
Discount rate | MSR held directly | Minimum | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
MSR measurement inputs | 0.066 | 0.033 |
Discount rate | MSR held directly | Maximum | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
MSR measurement inputs | 0.095 | 0.111 |
Discount rate | MSR held directly | Weighted Average | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
MSR measurement inputs | 0.087 | 0.070 |
Discount rate | Interests in MSR | Minimum | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
MSR measurement inputs | 0.084 | |
Discount rate | Interests in MSR | Maximum | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
MSR measurement inputs | 0.084 | |
Discount rate | Interests in MSR | Weighted Average | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
MSR measurement inputs | 0.084 | |
Prepayment rate | MSR held directly | Minimum | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
MSR measurement inputs | 0.048 | 0.073 |
Prepayment rate | MSR held directly | Maximum | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
MSR measurement inputs | 0.080 | 0.159 |
Prepayment rate | MSR held directly | Weighted Average | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
MSR measurement inputs | 0.053 | 0.094 |
Prepayment rate | Interests in MSR | Minimum | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
MSR measurement inputs | 0.050 | |
Prepayment rate | Interests in MSR | Maximum | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
MSR measurement inputs | 0.144 | |
Prepayment rate | Interests in MSR | Weighted Average | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
MSR measurement inputs | 0.091 | |
Delinquency rate | MSR held directly | Minimum | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
MSR measurement inputs | 0.001 | 0.002 |
Delinquency rate | MSR held directly | Maximum | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
MSR measurement inputs | 0.041 | 0.025 |
Delinquency rate | MSR held directly | Weighted Average | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
MSR measurement inputs | 0.009 | 0.012 |
Delinquency rate | Interests in MSR | Minimum | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
MSR measurement inputs | 0 | |
Delinquency rate | Interests in MSR | Maximum | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
MSR measurement inputs | 0.002 | |
Delinquency rate | Interests in MSR | Weighted Average | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
MSR measurement inputs | 0.001 |
FAIR VALUE MEASUREMENTS - Est_2
FAIR VALUE MEASUREMENTS - Estimated Fair Values for All Financial Assets and Liabilities (Detail) - USD ($) $ in Thousands | Sep. 30, 2022 | Dec. 31, 2021 | |
Financial liabilities | |||
Other secured financing | $ 250,000 | $ 903,255 | [1] |
Carrying Value | Level 3 | |||
Financial assets | |||
Corporate debt, held for investment | 0 | 1,968,991 | |
Carrying Value | Level 2 | |||
Financial liabilities | |||
Repurchase agreements | 54,160,731 | 54,769,643 | |
Other secured financing | 250,000 | 903,255 | |
Fair Value | Level 3 | |||
Financial assets | |||
Corporate debt, held for investment | 0 | 1,986,379 | |
Fair Value | Level 2 | |||
Financial liabilities | |||
Repurchase agreements | 54,160,731 | 54,769,643 | |
Other secured financing | $ 250,000 | $ 903,255 | |
[1] (1) Derived from the audited consolidated financial statements at December 31, 2021. |
GOODWILL AND INTANGIBLE ASSET_2
GOODWILL AND INTANGIBLE ASSETS - Narrative (Details) $ in Millions | Jun. 30, 2020 USD ($) |
Assembled workforce | |
Finite-Lived Intangible Assets [Line Items] | |
Intangible assets acquired | $ 41.2 |
GOODWILL AND INTANGIBLE ASSET_3
GOODWILL AND INTANGIBLE ASSETS - Summary of Indefinite and Finite-Lived Intangible Assets (Details) $ in Thousands | 9 Months Ended |
Sep. 30, 2022 USD ($) | |
Intangible Assets, net | |
Balance at December 31, 2021 | $ 24,241 |
Impairment | (4,157) |
Less: amortization expense | (2,647) |
Balance at September 30, 2022 | $ 17,437 |
SECURED FINANCING - Narrative (
SECURED FINANCING - Narrative (Details) - USD ($) $ in Thousands | 9 Months Ended | 12 Months Ended | |
Sep. 30, 2022 | Dec. 31, 2021 | ||
Repurchase Agreements: | |||
Netted amounts | $ 54,160,731 | $ 54,769,643 | [1] |
Repurchase agreements - weighted average remaining maturities | 57 days | 52 days | |
Repurchase agreement amount | $ 1,800,000 | ||
Remaining capacity of repurchase agreement | 1,400,000 | ||
Other secured financing | $ 250,000 | $ 903,255 | [1] |
Debt weighted average interest rate | 5.81% | ||
Secured financings and interest rate swaps - collateral held, estimated fair value | $ 57,200,000 | 59,200,000 | |
Secured financings and interest rate swaps - collateral held, accrued interest | 199,100 | $ 160,800 | |
Line of Credit | Mortgage Servicing Rights Committed Credit Facility | |||
Repurchase Agreements: | |||
Credit facility, maximum borrowing capacity | 250,000 | ||
Line of Credit | Mortgage Servicing Rights Incremental Facility | |||
Repurchase Agreements: | |||
Credit facility, maximum borrowing capacity | $ 250,000 | ||
Minimum | |||
Repurchase Agreements: | |||
Debt Instrument, Maturity | 1 year | ||
Maximum | |||
Repurchase Agreements: | |||
Debt Instrument, Maturity | 3 years | ||
[1] (1) Derived from the audited consolidated financial statements at December 31, 2021. |
SECURED FINANCING - Repurchase
SECURED FINANCING - Repurchase Agreements - Remaining Maturities, Collateral Types and Weighted Average Rate (Details) - USD ($) $ in Thousands | Sep. 30, 2022 | Dec. 31, 2021 | |
Repurchase Agreements: | |||
Netted amounts | $ 54,160,731 | $ 54,769,643 | [1] |
Weighted Average Rate | 3.09% | 0.17% | |
Repurchase agreements, remaining maturities, percentage | 0% | ||
CRTs | |||
Repurchase Agreements: | |||
Netted amounts | $ 800,634 | $ 176,450 | |
Non-Agency Mortgage-Backed Securities | |||
Repurchase Agreements: | |||
Netted amounts | 2,269,674 | 977,366 | |
Residential Mortgage Loans | |||
Repurchase Agreements: | |||
Netted amounts | 441,968 | 505,001 | |
Agency Mortgage-Backed Securities | |||
Repurchase Agreements: | |||
Netted amounts | 50,113,402 | 52,724,923 | |
Commercial Mortgage-Backed Securities | |||
Repurchase Agreements: | |||
Netted amounts | 535,053 | 385,903 | |
1 day | |||
Repurchase Agreements: | |||
Netted amounts | $ 0 | $ 0 | |
Weighted Average Rate | 0% | 0% | |
1 day | CRTs | |||
Repurchase Agreements: | |||
Netted amounts | $ 0 | $ 0 | |
1 day | Non-Agency Mortgage-Backed Securities | |||
Repurchase Agreements: | |||
Netted amounts | 0 | 0 | |
1 day | Residential Mortgage Loans | |||
Repurchase Agreements: | |||
Netted amounts | 0 | 0 | |
1 day | Agency Mortgage-Backed Securities | |||
Repurchase Agreements: | |||
Netted amounts | 0 | 0 | |
1 day | Commercial Mortgage-Backed Securities | |||
Repurchase Agreements: | |||
Netted amounts | 0 | 0 | |
2 to 29 days | |||
Repurchase Agreements: | |||
Netted amounts | $ 23,789,105 | $ 27,013,474 | |
Weighted Average Rate | 2.95% | 0.14% | |
2 to 29 days | CRTs | |||
Repurchase Agreements: | |||
Netted amounts | $ 345,111 | $ 133,525 | |
2 to 29 days | Non-Agency Mortgage-Backed Securities | |||
Repurchase Agreements: | |||
Netted amounts | 563,625 | 246,707 | |
2 to 29 days | Residential Mortgage Loans | |||
Repurchase Agreements: | |||
Netted amounts | 33,718 | 0 | |
2 to 29 days | Agency Mortgage-Backed Securities | |||
Repurchase Agreements: | |||
Netted amounts | 22,837,664 | 26,435,408 | |
2 to 29 days | Commercial Mortgage-Backed Securities | |||
Repurchase Agreements: | |||
Netted amounts | 8,987 | 197,834 | |
30 to 59 days | |||
Repurchase Agreements: | |||
Netted amounts | $ 13,141,434 | $ 10,212,453 | |
Weighted Average Rate | 3.04% | 0.19% | |
30 to 59 days | CRTs | |||
Repurchase Agreements: | |||
Netted amounts | $ 48,414 | $ 38,854 | |
30 to 59 days | Non-Agency Mortgage-Backed Securities | |||
Repurchase Agreements: | |||
Netted amounts | 337,489 | 270,377 | |
30 to 59 days | Residential Mortgage Loans | |||
Repurchase Agreements: | |||
Netted amounts | 0 | 159,350 | |
30 to 59 days | Agency Mortgage-Backed Securities | |||
Repurchase Agreements: | |||
Netted amounts | 12,483,618 | 9,743,872 | |
30 to 59 days | Commercial Mortgage-Backed Securities | |||
Repurchase Agreements: | |||
Netted amounts | 271,913 | 0 | |
60 to 89 days | |||
Repurchase Agreements: | |||
Netted amounts | $ 1,097,481 | $ 6,377,347 | |
Weighted Average Rate | 3.72% | 0.17% | |
60 to 89 days | CRTs | |||
Repurchase Agreements: | |||
Netted amounts | $ 148,422 | $ 4,071 | |
60 to 89 days | Non-Agency Mortgage-Backed Securities | |||
Repurchase Agreements: | |||
Netted amounts | 632,694 | 351,426 | |
60 to 89 days | Residential Mortgage Loans | |||
Repurchase Agreements: | |||
Netted amounts | 0 | 0 | |
60 to 89 days | Agency Mortgage-Backed Securities | |||
Repurchase Agreements: | |||
Netted amounts | 183,316 | 6,021,850 | |
60 to 89 days | Commercial Mortgage-Backed Securities | |||
Repurchase Agreements: | |||
Netted amounts | 133,049 | 0 | |
90 to 119 days | |||
Repurchase Agreements: | |||
Netted amounts | $ 3,292,070 | $ 4,824,918 | |
Weighted Average Rate | 3.12% | 0.15% | |
90 to 119 days | CRTs | |||
Repurchase Agreements: | |||
Netted amounts | $ 201,027 | $ 0 | |
90 to 119 days | Non-Agency Mortgage-Backed Securities | |||
Repurchase Agreements: | |||
Netted amounts | 203,162 | 12,573 | |
90 to 119 days | Residential Mortgage Loans | |||
Repurchase Agreements: | |||
Netted amounts | 89,021 | 0 | |
90 to 119 days | Agency Mortgage-Backed Securities | |||
Repurchase Agreements: | |||
Netted amounts | 2,738,922 | 4,812,345 | |
90 to 119 days | Commercial Mortgage-Backed Securities | |||
Repurchase Agreements: | |||
Netted amounts | 59,938 | 0 | |
Over 119 days | |||
Repurchase Agreements: | |||
Netted amounts | $ 12,840,641 | $ 6,341,451 | |
Weighted Average Rate | 3.36% | 0.27% | |
Over 119 days | CRTs | |||
Repurchase Agreements: | |||
Netted amounts | $ 57,660 | $ 0 | |
Over 119 days | Non-Agency Mortgage-Backed Securities | |||
Repurchase Agreements: | |||
Netted amounts | 532,704 | 96,283 | |
Over 119 days | Residential Mortgage Loans | |||
Repurchase Agreements: | |||
Netted amounts | 319,229 | 345,651 | |
Over 119 days | Agency Mortgage-Backed Securities | |||
Repurchase Agreements: | |||
Netted amounts | 11,869,882 | 5,711,448 | |
Over 119 days | Commercial Mortgage-Backed Securities | |||
Repurchase Agreements: | |||
Netted amounts | $ 61,166 | $ 188,069 | |
[1] (1) Derived from the audited consolidated financial statements at December 31, 2021. |
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 | Sep. 30, 2022 | Dec. 31, 2021 | |
Reverse Repurchase Agreements | |||
Gross amounts | $ 0 | $ 0 | |
Amounts offset | 0 | 0 | |
Netted amounts | 0 | 0 | |
Repurchase Agreements | |||
Gross amounts | 54,160,731 | 54,769,643 | |
Amounts offset | 0 | 0 | |
Netted amounts | $ 54,160,731 | $ 54,769,643 | [1] |
[1] (1) Derived from the audited consolidated financial statements at December 31, 2021. |
CAPITAL STOCK - Schedule of Com
CAPITAL STOCK - Schedule of Common Stock (Details) - $ / shares | Sep. 30, 2022 | Sep. 08, 2022 | Dec. 31, 2021 |
Equity [Abstract] | |||
Shares authorized (in shares) | 2,936,500,000 | 2,936,500,000 | |
Shares issued (in shares) | 467,911,144 | 364,934,065 | |
Shares outstanding (in shares) | 467,911,144 | 364,934,065 | |
Par Value (in dollars per share) | $ 0.01 | $ 0.01 | $ 0.01 |
CAPITAL STOCK - Narrative (Deta
CAPITAL STOCK - Narrative (Details) - USD ($) | 3 Months Ended | 9 Months Ended | ||||||
Aug. 06, 2020 | Sep. 30, 2022 | Sep. 30, 2021 | Sep. 30, 2022 | Sep. 30, 2021 | Jan. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Class of Stock [Line Items] | ||||||||
Authorized amount of stock available for repurchase (up to) | $ 1,500,000,000 | |||||||
Shares repurchased (in shares) | 0 | 0 | 0 | 0 | ||||
Sale of stock, option to purchase additional shares, period (in years) | 30 days | |||||||
Preferred stock, par value (USD per share) | $ 0.01 | $ 0.01 | $ 0.01 | |||||
Preferred stock, redemption price (in dollars per share) | $ 25 | $ 25 | ||||||
Current Share Repurchase Program | ||||||||
Class of Stock [Line Items] | ||||||||
Authorized amount of stock available for repurchase (up to) | $ 1,500,000,000 | |||||||
At-the-market Sale Program | ||||||||
Class of Stock [Line Items] | ||||||||
Sale of stock, shares issued (in shares) | 36,800,000 | 1,400,000 | 45,200,000 | 12,800,000 | ||||
Proceeds from sale of stock | $ 913,900,000 | $ 49,000,000 | $ 1,100,000,000 | $ 469,500,000 | ||||
Aggregate stock offering price (up to) | $ 1,500,000,000 | |||||||
Public Offering | ||||||||
Class of Stock [Line Items] | ||||||||
Sale of stock, shares issued (in shares) | 25,000,000 | 50,000,000 | ||||||
Proceeds from sale of stock | $ 665,000,000 | $ 1,310,000,000 | ||||||
Public Offering Additional Share Purchase Option | ||||||||
Class of Stock [Line Items] | ||||||||
Sale of stock, shares issued (in shares) | 3,750,000 | |||||||
Proceeds from sale of stock | $ 99,800,000 | $ 196,500,000 |
CAPITAL STOCK - Schedule of Pre
CAPITAL STOCK - Schedule of Preferred Stock (Details) - USD ($) $ in Thousands | 9 Months Ended | ||
Sep. 30, 2022 | Dec. 31, 2021 | ||
Class of Stock [Line Items] | |||
Shares Authorized (in shares) | 63,500,000 | 63,500,000 | |
Shares Issued (in shares) | 63,500,000 | 63,500,000 | |
Shares Outstanding (in shares) | 63,500,000 | 63,500,000 | |
Carrying Value | $ 1,536,569 | $ 1,536,569 | [1] |
Series F | |||
Class of Stock [Line Items] | |||
Shares Authorized (in shares) | 28,800,000 | 28,800,000 | |
Shares Issued (in shares) | 28,800,000 | 28,800,000 | |
Shares Outstanding (in shares) | 28,800,000 | 28,800,000 | |
Carrying Value | $ 696,910 | $ 696,910 | |
Contractual Rate | 6.95% | ||
Floating Annual Rate | 4.993% | ||
Series G | |||
Class of Stock [Line Items] | |||
Shares Authorized (in shares) | 17,000,000 | 17,000,000 | |
Shares Issued (in shares) | 17,000,000 | 17,000,000 | |
Shares Outstanding (in shares) | 17,000,000 | 17,000,000 | |
Carrying Value | $ 411,335 | $ 411,335 | |
Contractual Rate | 6.50% | ||
Floating Annual Rate | 4.172% | ||
Series I | |||
Class of Stock [Line Items] | |||
Shares Authorized (in shares) | 17,700,000 | 17,700,000 | |
Shares Issued (in shares) | 17,700,000 | 17,700,000 | |
Shares Outstanding (in shares) | 17,700,000 | 17,700,000 | |
Carrying Value | $ 428,324 | $ 428,324 | |
Contractual Rate | 6.75% | ||
Floating Annual Rate | 4.989% | ||
[1] (1) Derived from the audited consolidated financial statements at December 31, 2021. |
CAPITAL STOCK - Summary of Divi
CAPITAL STOCK - Summary of Dividend Distribution Activity (Details) - USD ($) $ / shares in Units, $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2022 | Sep. 30, 2021 | Sep. 30, 2022 | Sep. 30, 2021 | |
Dividends Payable [Line Items] | ||||
Dividends and dividend equivalents declared on common stock and share-based awards | $ 413,150 | $ 319,768 | $ 1,090,814 | $ 946,648 |
Distributions declared per common share (in dollars per share) | $ 0.88 | $ 0.88 | $ 2.64 | $ 2.64 |
Distributions paid to common stockholders after period end | $ 411,762 | $ 318,986 | $ 411,762 | $ 318,986 |
Distributions paid per common share after period end (in dollars per share) | $ 0.88 | $ 0.88 | $ 0.88 | $ 0.88 |
Series F | ||||
Dividends Payable [Line Items] | ||||
Preferred dividends declared | $ 12,510 | $ 12,510 | $ 37,530 | $ 37,530 |
Preferred series dividends declared (in dollars per share) | $ 0.434 | $ 0.434 | $ 1.303 | $ 1.303 |
Series G | ||||
Dividends Payable [Line Items] | ||||
Preferred dividends declared | $ 6,906 | $ 6,906 | $ 20,718 | $ 20,718 |
Preferred series dividends declared (in dollars per share) | $ 0.406 | $ 0.406 | $ 1.219 | $ 1.219 |
Series I | ||||
Dividends Payable [Line Items] | ||||
Preferred dividends declared | $ 7,467 | $ 7,467 | $ 22,401 | $ 22,401 |
Preferred series dividends declared (in dollars per share) | $ 0.422 | $ 0.422 | $ 1.266 | $ 1.266 |
INTEREST INCOME AND INTEREST _3
INTEREST INCOME AND INTEREST EXPENSE - Components of Company's Interest Income and Interest Expense (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2022 | Sep. 30, 2021 | Sep. 30, 2022 | Sep. 30, 2021 | |
Interest income | ||||
Agency securities | $ 517,528 | $ 299,898 | $ 1,537,614 | $ 1,183,353 |
Residential credit securities | 41,388 | 20,774 | 93,547 | 57,231 |
Residential mortgage loans | 109,977 | 45,801 | 275,113 | 121,873 |
Commercial investment portfolio | 8,853 | 46,494 | 72,711 | 197,758 |
Reverse repurchase agreements | 742 | 5 | 968 | 41 |
Total interest income | 678,488 | 412,972 | 1,979,953 | 1,560,256 |
Interest expense | ||||
Repurchase agreements | 324,573 | 22,397 | 457,060 | 94,122 |
Debt issued by securitization vehicles | 64,593 | 18,740 | 149,521 | 68,232 |
Participations issued | 9,727 | 2,578 | 24,958 | 4,914 |
Other | 1,598 | 6,723 | 14,349 | 20,190 |
Total interest expense | 400,491 | 50,438 | 645,888 | 187,458 |
Net interest income | $ 277,997 | $ 362,534 | $ 1,334,065 | $ 1,372,798 |
NET INCOME (LOSS) PER COMMON _3
NET INCOME (LOSS) PER COMMON SHARE - Schedule of Net Income (Loss) per Share Reconciliation (Details) - USD ($) $ / shares in Units, $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2022 | Sep. 30, 2021 | Sep. 30, 2022 | Sep. 30, 2021 | |
Earnings Per Share [Abstract] | ||||
Net income (loss) | $ (273,977) | $ 521,534 | $ 2,613,234 | $ 1,977,820 |
Net income (loss) attributable to noncontrolling interests | 1,287 | 2,290 | (453) | 3,405 |
Net income (loss) attributable to Annaly | (275,264) | 519,244 | 2,613,687 | 1,974,415 |
Dividends on preferred stock | 26,883 | 26,883 | 80,649 | 80,649 |
Net income (loss) available (related) to common stockholders | $ (302,147) | $ 492,361 | $ 2,533,038 | $ 1,893,766 |
Weighted average shares of common stock outstanding-basic (in shares) | 429,858,876 | 361,328,979 | 392,172,655 | 354,606,052 |
Add: Effect of stock awards, if dilutive (in shares) | 0 | 260,488 | 272,379 | 269,499 |
Weighted average shares of common stock outstanding-diluted (in shares) | 429,858,876 | 361,589,467 | 392,445,034 | 354,875,551 |
Net income (loss) per share available (related) to common share | ||||
Basic (in dollars per share) | $ (0.70) | $ 1.36 | $ 6.46 | $ 5.34 |
Diluted (in dollars per share) | $ (0.70) | $ 1.36 | $ 6.45 | $ 5.34 |
NET INCOME (LOSS) PER COMMON _4
NET INCOME (LOSS) PER COMMON SHARE - Narrative (Details) - shares shares in Millions | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2022 | Sep. 30, 2021 | Sep. 30, 2022 | Sep. 30, 2021 | |
Earnings Per Share [Abstract] | ||||
Options to purchase common stock (in shares) | 1.4 | 3.2 | 0.7 | 3.2 |
INCOME TAXES - Narrative (Detai
INCOME TAXES - Narrative (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2022 | Sep. 30, 2021 | Sep. 30, 2022 | Sep. 30, 2021 | |
Income Taxes: | ||||
REIT Taxable income distributed | 100% | |||
Income tax expense (benefit) | $ (4,311) | $ (6,767) | $ 45,657 | $ (1,954) |
Taxable REIT Subsidiary | ||||
Income Taxes: | ||||
Income tax expense (benefit) | $ (4,300) | $ (6,800) | $ 45,700 | $ (2,000) |
LEASE COMMITMENTS AND CONTING_3
LEASE COMMITMENTS AND CONTINGENCIES - Narrative (Details) - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2022 | Sep. 30, 2021 | Sep. 30, 2022 | Sep. 30, 2021 | Dec. 31, 2021 | |
Lessee, Lease, Description [Line Items] | |||||
Option to extend, in years | 5 years | 5 years | |||
Lease cost | $ 0.8 | $ 0.8 | $ 2.4 | $ 2.5 | |
Material contingencies | $ 0 | $ 0 | $ 0 | ||
Minimum | |||||
Lessee, Lease, Description [Line Items] | |||||
Remaining lease term, in years | 3 years | ||||
Maximum | |||||
Lessee, Lease, Description [Line Items] | |||||
Remaining lease term, in years | 5 years |
LEASE COMMITMENTS AND CONTING_4
LEASE COMMITMENTS AND CONTINGENCIES - Supplemental Information Regarding Leases (Details) $ in Thousands | 9 Months Ended |
Sep. 30, 2022 USD ($) | |
Leases [Abstract] | |
Operating lease right-of-use assets | $ 9,591 |
Operating Lease, Right-of-Use Asset, Statement of Financial Position [Extensible Enumeration] | Other assets |
Operating lease liabilities | $ 12,137 |
Operating Lease, Liability, Statement of Financial Position [Extensible Enumeration] | Other Liabilities |
Weighted average remaining lease term | 3 years 2 months 12 days |
Weighted average discount rate | 3.20% |
Operating cash flows from operating leases | $ 2,906 |
LEASE COMMITMENTS AND CONTING_5
LEASE COMMITMENTS AND CONTINGENCIES - Details of Future Lease Payments (Details) $ in Thousands | Sep. 30, 2022 USD ($) |
Leases [Abstract] | |
2022 (remaining) | $ 965 |
2023 | 4,061 |
2024 | 4,107 |
2025 | 3,149 |
2026 | 262 |
Later years | 291 |
Total lease payments | 12,835 |
Less imputed interest | 698 |
Present value of lease liabilities | $ 12,137 |
ARCOLA REGULATORY REQUIREMENTS
ARCOLA REGULATORY REQUIREMENTS - Additional Information (Details) - Arcola $ in Millions | Sep. 30, 2022 USD ($) |
Compliance with Regulatory Capital Requirements for Mortgage Companies [Line Items] | |
Minimum net capital requirement | $ 0.3 |
Regulatory net capital | 513.8 |
Regulatory net capital, excess net capital | $ 513.5 |
SUBSEQUENT EVENTS (Details)
SUBSEQUENT EVENTS (Details) - USD ($) | 9 Months Ended | ||||
Nov. 03, 2022 | Sep. 30, 2022 | Oct. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Subsequent Event [Line Items] | |||||
Preferred stock, par value (USD per share) | $ 0.01 | $ 0.01 | |||
Authorized amount of stock available for repurchase (up to) | $ 1,500,000,000 | ||||
Series F | |||||
Subsequent Event [Line Items] | |||||
Preferred stock dividend rate, percentage | 6.95% | ||||
Series G | |||||
Subsequent Event [Line Items] | |||||
Preferred stock dividend rate, percentage | 6.50% | ||||
Series I | |||||
Subsequent Event [Line Items] | |||||
Preferred stock dividend rate, percentage | 6.75% | ||||
Mortgage Servicing Rights Incremental Facility | Line of Credit | |||||
Subsequent Event [Line Items] | |||||
Credit facility, maximum borrowing capacity | $ 250,000,000 | ||||
Subsequent Event | |||||
Subsequent Event [Line Items] | |||||
Aggregate stock offering price (up to) | $ 1,500,000,000 | ||||
Subsequent Event | Preferred stock | |||||
Subsequent Event [Line Items] | |||||
Stock repurchase program, number of shares authorized to be repurchased (in shares) | 63,500,000 | ||||
Authorized amount of stock available for repurchase (up to) | $ 1,600,000,000 | ||||
Subsequent Event | Series F | |||||
Subsequent Event [Line Items] | |||||
Stock repurchase program, number of shares authorized to be repurchased (in shares) | 28,800,000 | ||||
Preferred stock dividend rate, percentage | 6.95% | ||||
Preferred stock, par value (USD per share) | $ 0.01 | ||||
Subsequent Event | Series G | |||||
Subsequent Event [Line Items] | |||||
Stock repurchase program, number of shares authorized to be repurchased (in shares) | 17,000,000 | ||||
Preferred stock dividend rate, percentage | 6.50% | ||||
Preferred stock, par value (USD per share) | $ 0.01 | ||||
Subsequent Event | Series I | |||||
Subsequent Event [Line Items] | |||||
Stock repurchase program, number of shares authorized to be repurchased (in shares) | 17,700,000 | ||||
Preferred stock dividend rate, percentage | 6.75% | ||||
Preferred stock, par value (USD per share) | $ 0.01 | ||||
Subsequent Event | Mortgage Servicing Rights Incremental Facility | Line of Credit | |||||
Subsequent Event [Line Items] | |||||
Credit facility, maximum borrowing capacity | $ 250,000,000 |