COVER PAGE
COVER PAGE - shares | 6 Months Ended | |
Jun. 30, 2024 | Jul. 23, 2024 | |
Document Information [Line Items] | ||
Document Type | 10-Q | |
Document Quarterly Report | true | |
Document Period End Date | Jun. 30, 2024 | |
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 | 501,018,415 | |
Amendment Flag | false | |
Document Fiscal Year Focus | 2024 | |
Document Fiscal Period Focus | Q2 | |
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 | Jun. 30, 2024 | Dec. 31, 2023 | ||
Assets | ||||
Cash and cash equivalents (includes pledged assets of $1,266,528 and $1,136,298, respectively) | [1] | $ 1,587,108 | $ 1,412,148 | [2] |
Securities (includes pledged assets of $62,801,367 and $65,400,248, respectively) | [3] | 67,044,753 | 69,613,565 | [2] |
Loans, net (includes pledged assets of $2,326,386 and $2,082,419, respectively) | [4] | 2,548,228 | 2,353,084 | [2] |
Mortgage servicing rights (includes pledged assets of $1,865,890 and $1,781,279, respectively) | 2,785,614 | 2,122,196 | [2] | |
Assets transferred or pledged to securitization vehicles | 17,946,812 | 13,307,622 | [2] | |
Derivative assets | 187,868 | 162,557 | [2] | |
Receivable for unsettled trades | 320,659 | 2,710,224 | [2] | |
Principal and interest receivable | 917,130 | 1,222,705 | [2] | |
Intangible assets, net | 10,761 | 12,106 | [2] | |
Other assets | 319,644 | 311,029 | [2] | |
Total assets | 93,668,577 | 93,227,236 | [2] | |
Liabilities | ||||
Repurchase agreements | 60,787,994 | 62,201,543 | [2] | |
Other secured financing | 600,000 | 500,000 | [2] | |
Debt issued by securitization vehicles | 15,831,915 | 11,600,338 | [2] | |
Participations issued | 1,144,821 | 1,103,835 | [2] | |
U.S. Treasury securities sold, not yet purchased | 1,974,602 | 2,132,751 | ||
Derivative liabilities | 100,829 | 302,295 | [2] | |
Payable for unsettled trades | 1,096,271 | 3,249,389 | [2] | |
Interest payable | 369,106 | 287,937 | [2] | |
Dividends payable | 325,662 | 325,052 | [2] | |
Other liabilities | 174,473 | 179,005 | [2] | |
Total liabilities | 82,405,673 | 81,882,145 | [2] | |
Stockholders’ equity | ||||
Preferred stock, par value $0.01 per share, 63,500,000 authorized, issued and outstanding | 1,536,569 | 1,536,569 | [2] | |
Common stock, par value $0.01 per share, 1,468,250,000 authorized, 501,018,415 and 500,080,287 issued and outstanding, respectively | 5,010 | 5,001 | [2] | |
Additional paid-in capital | 23,694,663 | 23,672,391 | [2] | |
Accumulated other comprehensive income (loss) | (1,156,927) | (1,335,400) | [2] | |
Accumulated deficit | (12,898,191) | (12,622,768) | [2] | |
Total stockholders’ equity | 11,181,124 | 11,255,793 | [2] | |
Noncontrolling interests | 81,780 | 89,298 | [2] | |
Total equity | 11,262,904 | 11,345,091 | [2] | |
Total liabilities and equity | $ 93,668,577 | $ 93,227,236 | [2] | |
[1] (2) Includes cash of consolidated Variable Interest Entities (“VIEs”) of $2.3 million and $2.0 million at June 30, 2024 and December 31, 2023, respectively. (1) Derived from the audited consolidated financial statements at December 31, 2023. (3) Excludes $1.8 billion and $1.5 billion at June 30, 2024 and December 31, 2023, respectively, of non-Agency mortgage-backed securities in consolidated VIEs pledged as collateral and eliminated from the Company’s Consolidated Statements of Financial Condition. (4) Includes $3.9 million and $1.2 million of residential mortgage loans held for sale at June 30, 2024 and December 31, 2023, respectively. |
CONSOLIDATED STATEMENTS OF FI_2
CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION (Parenthetical) - USD ($) $ in Thousands | Jun. 30, 2024 | Dec. 31, 2023 | ||
Pledged assets included in cash and cash equivalents | $ 1,266,528 | $ 1,136,298 | ||
Pledged assets in securities | [1] | 67,044,753 | 69,613,565 | [2] |
Pledged assets in loans, net | [3] | 2,548,228 | 2,353,084 | [2] |
Pledged assets included in mortgage servicing rights | $ 2,785,614 | $ 2,122,196 | [2] | |
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) | 1,468,250,000 | 1,468,250,000 | ||
Common stock issued (shares) | 501,018,415 | 500,080,287 | ||
Common stock outstanding (shares) | 501,018,415 | 500,080,287 | ||
Residential Mortgage Loans | ||||
Loans held-for-sale | $ 3,900 | $ 1,200 | ||
Consolidated VIEs | ||||
Cash and Cash Equivalents, at Carrying Value | 2,300 | 2,000 | ||
Consolidated VIEs | Non-Agency Mortgage-Backed Securities | ||||
Mortgage-backed securities | 1,800,000 | 1,500,000 | ||
Asset Pledged as Collateral | ||||
Pledged assets in securities | 62,801,367 | 65,400,248 | ||
Pledged assets in loans, net | 2,326,386 | 2,082,419 | ||
Pledged assets included in mortgage servicing rights | $ 1,865,890 | $ 1,781,279 | ||
[1] (3) Excludes $1.8 billion and $1.5 billion at June 30, 2024 and December 31, 2023, 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, 2023. (4) Includes $3.9 million and $1.2 million of residential mortgage loans held for sale at June 30, 2024 and December 31, 2023, respectively. |
CONSOLIDATED STATEMENTS OF COMP
CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2024 | Jun. 30, 2023 | Jun. 30, 2024 | Jun. 30, 2023 | |
Net interest income | ||||
Interest income | $ 1,177,325 | $ 921,494 | $ 2,271,813 | $ 1,739,744 |
Interest expense | 1,123,767 | 953,457 | 2,224,706 | 1,752,244 |
Net interest income | 53,558 | (31,963) | 47,107 | (12,500) |
Net servicing income | ||||
Servicing and related income | 120,515 | 83,790 | 235,599 | 168,063 |
Servicing and related expense | 12,617 | 8,930 | 24,833 | 16,810 |
Net servicing income | 107,898 | 74,860 | 210,766 | 151,253 |
Other income (loss) | ||||
Net gains (losses) on investments and other | (568,745) | (1,308,948) | (1,562,872) | (1,307,236) |
Net gains (losses) on derivatives | 430,487 | 1,475,325 | 1,807,631 | 574,573 |
Loan loss (provision) reversal | 0 | 0 | 0 | 219 |
Other, net | 24,791 | 9,105 | 48,158 | 24,603 |
Total other income (loss) | (113,467) | 175,482 | 292,917 | (707,841) |
General and administrative expenses | ||||
Compensation expense | 33,274 | 30,635 | 61,995 | 60,026 |
Other general and administrative expenses | 11,617 | 12,280 | 21,466 | 23,717 |
Total general and administrative expenses | 44,891 | 42,915 | 83,461 | 83,743 |
Income (loss) before income taxes | 3,098 | 175,464 | 467,329 | (652,831) |
Income taxes | 11,931 | 14,277 | 10,988 | 25,310 |
Net income (loss) | (8,833) | 161,187 | 456,341 | (678,141) |
Net income (loss) attributable to noncontrolling interests | 650 | (5,846) | 2,932 | (918) |
Net income (loss) attributable to Annaly | (9,483) | 167,033 | 453,409 | (677,223) |
Dividends on preferred stock | 37,158 | 35,766 | 74,219 | 67,641 |
Net income (loss) available (related) to common stockholders | $ (46,641) | $ 131,267 | $ 379,190 | $ (744,864) |
Net income (loss) per share available (related) to common stockholders | ||||
Basic (in dollars per share) | $ (0.09) | $ 0.27 | $ 0.76 | $ (1.51) |
Diluted (in dollars per share) | $ (0.09) | $ 0.27 | $ 0.76 | $ (1.51) |
Weighted average number of common shares outstanding | ||||
Basic (in shares) | 500,950,563 | 494,165,256 | 500,781,701 | 491,939,177 |
Diluted (in shares) | 500,950,563 | 494,358,982 | 501,415,515 | 491,939,177 |
Other comprehensive income (loss) | ||||
Net income (loss) | $ (8,833) | $ 161,187 | $ 456,341 | $ (678,141) |
Unrealized gains (losses) on available-for-sale securities | (54,243) | (294,045) | (336,112) | 381,329 |
Reclassification adjustment for net (gains) losses included in net income (loss) | 179,234 | 462,128 | 514,585 | 945,036 |
Other comprehensive income (loss) | 124,991 | 168,083 | 178,473 | 1,326,365 |
Comprehensive income (loss) | 116,158 | 329,270 | 634,814 | 648,224 |
Comprehensive income (loss) attributable to noncontrolling interests | 650 | (5,846) | 2,932 | (918) |
Comprehensive income (loss) attributable to Annaly | 115,508 | 335,116 | 631,882 | 649,142 |
Dividends on preferred stock | 37,158 | 35,766 | 74,219 | 67,641 |
Comprehensive income (loss) attributable to common stockholders | $ 78,350 | $ 299,350 | $ 557,663 | $ 581,501 |
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, 2022 | $ 1,536,569 | $ 4,683 | $ 22,981,320 | $ (3,708,896) | $ (9,543,233) | $ 98,983 | |||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||||||||||
Issuance | 253 | 562,338 | |||||||||
Stock-based award activity | 3 | 6,688 | |||||||||
Unrealized gains (losses) on available-for-sale securities | $ 381,329 | 381,329 | |||||||||
Reclassification adjustment for net (gains) losses included in net income (loss) | 945,036 | 945,036 | |||||||||
Net income (loss) attributable to Annaly | (677,223) | (677,223) | |||||||||
Dividends declared on preferred stock | [1] | (67,641) | |||||||||
Dividends and dividend equivalents declared on common stock and stock-based awards | (644,947) | (644,947) | [1] | ||||||||
Net income (loss) attributable to noncontrolling interests | 918 | (918) | |||||||||
Equity contributions from (distributions to) noncontrolling interests | 13,001 | ||||||||||
End of period at Jun. 30, 2023 | 11,887,345 | $ 11,776,279 | 1,536,569 | 4,939 | 23,550,346 | (2,382,531) | (10,933,044) | 111,066 | |||
Beginning of period at Mar. 31, 2023 | 1,536,569 | 4,939 | 23,543,091 | (2,550,614) | (10,741,863) | 116,911 | |||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||||||||||
Issuance | 0 | (118) | |||||||||
Stock-based award activity | 0 | 7,373 | |||||||||
Unrealized gains (losses) on available-for-sale securities | (294,045) | (294,045) | |||||||||
Reclassification adjustment for net (gains) losses included in net income (loss) | 462,128 | 462,128 | |||||||||
Net income (loss) attributable to Annaly | 167,033 | 167,033 | |||||||||
Dividends declared on preferred stock | [1] | (35,766) | |||||||||
Dividends and dividend equivalents declared on common stock and stock-based awards | (322,448) | (322,448) | [1] | ||||||||
Net income (loss) attributable to noncontrolling interests | 5,846 | (5,846) | |||||||||
Equity contributions from (distributions to) noncontrolling interests | 1 | ||||||||||
End of period at Jun. 30, 2023 | 11,887,345 | 11,776,279 | 1,536,569 | 4,939 | 23,550,346 | (2,382,531) | (10,933,044) | 111,066 | |||
Beginning of period at Dec. 31, 2023 | 11,345,091 | [2] | 1,536,569 | 5,001 | 23,672,391 | (1,335,400) | (12,622,768) | 89,298 | |||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||||||||||
Issuance | 6 | 10,893 | |||||||||
Stock-based award activity | 3 | 11,379 | |||||||||
Unrealized gains (losses) on available-for-sale securities | (336,112) | (336,112) | |||||||||
Reclassification adjustment for net (gains) losses included in net income (loss) | 514,585 | 514,585 | |||||||||
Net income (loss) attributable to Annaly | 453,409 | 453,409 | |||||||||
Dividends declared on preferred stock | [1] | (74,219) | |||||||||
Dividends and dividend equivalents declared on common stock and stock-based awards | (654,613) | (654,613) | [1] | ||||||||
Net income (loss) attributable to noncontrolling interests | (2,932) | 2,932 | |||||||||
Equity contributions from (distributions to) noncontrolling interests | (10,450) | ||||||||||
End of period at Jun. 30, 2024 | 11,262,904 | 11,181,124 | 1,536,569 | 5,010 | 23,694,663 | (1,156,927) | (12,898,191) | 81,780 | |||
Beginning of period at Mar. 31, 2024 | 1,536,569 | 5,004 | 23,673,687 | (1,281,918) | (12,523,809) | 86,580 | |||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||||||||||
Issuance | 6 | 10,941 | |||||||||
Stock-based award activity | 0 | 10,035 | |||||||||
Unrealized gains (losses) on available-for-sale securities | (54,243) | (54,243) | |||||||||
Reclassification adjustment for net (gains) losses included in net income (loss) | 179,234 | 179,234 | |||||||||
Net income (loss) attributable to Annaly | (9,483) | (9,483) | |||||||||
Dividends declared on preferred stock | [1] | (37,158) | |||||||||
Dividends and dividend equivalents declared on common stock and stock-based awards | (327,741) | (327,741) | [1] | ||||||||
Net income (loss) attributable to noncontrolling interests | (650) | 650 | |||||||||
Equity contributions from (distributions to) noncontrolling interests | (5,450) | ||||||||||
End of period at Jun. 30, 2024 | $ 11,262,904 | $ 11,181,124 | $ 1,536,569 | $ 5,010 | $ 23,694,663 | $ (1,156,927) | $ (12,898,191) | $ 81,780 | |||
[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, 2023. |
CONSOLIDATED STATEMENTS OF CASH
CONSOLIDATED STATEMENTS OF CASH FLOWS - USD ($) $ in Thousands | 6 Months Ended | ||
Jun. 30, 2024 | Jun. 30, 2023 | ||
Cash flows from operating activities | |||
Net income (loss) | $ 456,341 | $ (678,141) | |
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities | |||
Amortization of premiums and discounts of investments, net | 40,216 | 105,438 | |
Amortization of securitized debt premiums and discounts and deferred financing costs | 5,238 | 6,435 | |
Depreciation, amortization and other noncash expenses | 16,134 | 12,032 | |
Net (gains) losses on investments and derivatives | 383,762 | 1,543,662 | |
Income (loss) from unconsolidated joint ventures | (2,617) | (289) | |
Loan loss provision (reversal) | 0 | (219) | |
Payments on purchases of loans held for sale | (20,225) | 0 | |
Proceeds from sales and repayments of loans held for sale | 17,368 | 747 | |
Proceeds from U.S. Treasury securities | 4,039,385 | 0 | |
Payments on U.S. Treasury securities | (4,118,083) | 0 | |
Net receipts (payments) on derivatives | 963,260 | (332,685) | |
Net change in | |||
Other assets | (7,208) | (12,979) | |
Interest receivable | 305,552 | (306,771) | |
Interest payable | 81,169 | (184,660) | |
Other liabilities | 14,670 | (34,903) | |
Net cash provided by (used in) operating activities | 2,174,962 | 117,667 | |
Cash flows from investing activities | |||
Payments on purchases of securities | (16,710,894) | (18,067,651) | |
Proceeds from sales of securities | 14,936,642 | 12,501,702 | |
Principal payments on securities | 3,050,093 | 3,012,034 | |
Payments on purchases and origination of loans | (5,978,114) | (1,946,157) | |
Proceeds from sales of loans | 92,637 | 0 | |
Principal payments on loans | 928,297 | 466,538 | |
Payments on purchases of MSR | (636,658) | (213,346) | |
Proceeds from sales of MSR | 1,068 | 0 | |
Proceeds from reverse repurchase agreements | 295,838,237 | 32,900,024 | |
Payments on reverse repurchase agreements | (295,838,237) | (32,900,024) | |
Distributions in excess of cumulative earnings from unconsolidated joint ventures | 11,189 | 0 | |
Net cash provided by (used in) investing activities | (4,305,740) | (4,246,880) | |
Cash flows from financing activities | |||
Proceeds from repurchase agreements and other secured financing | 2,731,104,468 | 2,519,472,348 | |
Payments on repurchase agreements and other secured financing | (2,732,418,011) | (2,517,093,741) | |
Proceeds from issuances of securitized debt | 5,158,091 | 2,355,559 | |
Principal payments on securitized debt | (844,020) | (397,043) | |
Payments on purchases of securitized debt | 0 | (2,504) | |
Payment of deferred financing cost | (1,331) | 0 | |
Proceeds from participations issued | 2,279,391 | 532,445 | |
Payments on repurchases of participations issued | (2,214,696) | (825,613) | |
Principal payments on participations issued | (27,729) | (20,954) | |
Net contributions (distributions) from (to) noncontrolling interests | (10,450) | 13,001 | |
Net proceeds from stock offerings, direct purchases and dividend reinvestments | 10,899 | 562,591 | |
Settlement of stock-based awards in satisfaction of withholding tax requirements | (6,157) | (5,810) | |
Dividends paid | (724,717) | (800,908) | |
Net cash provided by (used in) financing activities | 2,305,738 | 3,789,371 | |
Net (decrease) increase in cash and cash equivalents | 174,960 | (339,842) | |
Cash and cash equivalents including cash pledged as collateral, beginning of period | 1,412,148 | [1],[2] | 1,576,714 |
Cash and cash equivalents including cash pledged as collateral, end of period | 1,587,108 | [2] | 1,236,872 |
Supplemental disclosure of cash flow information | |||
Interest received | 1,823,472 | 1,550,061 | |
Interest paid (excluding interest paid on interest rate swaps) | 1,805,416 | 1,780,252 | |
Net interest received (paid) on interest rate swaps | 1,087,460 | 618,036 | |
Taxes received (paid) | (657) | (654) | |
Noncash investing and financing activities | |||
Receivable for unsettled trades | 320,659 | 787,442 | |
Payable for unsettled trades | 1,096,271 | 4,331,315 | |
Net change in unrealized gains (losses) on available-for-sale securities, net of reclassification adjustment | 178,473 | 1,326,365 | |
Dividends declared, not yet paid | $ 325,662 | $ 321,031 | |
[1] (1) Derived from the audited consolidated financial statements at December 31, 2023. (2) Includes cash of consolidated Variable Interest Entities (“VIEs”) of $2.3 million and $2.0 million at June 30, 2024 and December 31, 2023, respectively. |
DESCRIPTION OF BUSINESS
DESCRIPTION OF BUSINESS | 6 Months Ended |
Jun. 30, 2024 | |
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. Annaly 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 three 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 MBS. 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 mortgage servicing rights (“MSR”), which provide the right to service residential mortgage loans in exchange for a portion of the interest payments made on the loans. |
BASIS OF PRESENTATION
BASIS OF PRESENTATION | 6 Months Ended |
Jun. 30, 2024 | |
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, 2023 (the “2023 Form 10-K”). The consolidated financial information as of December 31, 2023 has been derived from audited consolidated financial statements included in the Company’s 2023 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. |
SIGNIFICANT ACCOUNTING POLICIES
SIGNIFICANT ACCOUNTING POLICIES | 6 Months Ended |
Jun. 30, 2024 | |
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 $1.3 billion and $1.1 billion at June 30, 2024 and December 31, 2023, 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 refer to 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. 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 received is recognized as Interest receivable in the Consolidated Statements of Financial Condition. Interest income is presented as a separate line item in the Consolidated Statements of Comprehensive Income (Loss). 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 or discounts associated with the purchase of multifamily securities are amortized or accreted into interest income based upon their contractual payment terms. If a prepayment occurs, an adjustment is made to the unpaid principal balance and unamortized premium or discount in the current period and the original effective yield continues to be applied. 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. The Company has made an accounting policy election not to measure an allowance for loans losses for accrued interest receivable. If interest receivable is deemed to be uncollectible or not collected within 90 days of its contractual due date for commercial loans 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”). The Company has early adopted ASU 2023-07, Improvements to Segment Reporting, as its Residential Credit and MSR operating segments have become a more significant component of consolidated results. Refer to the “Segments” Note for more information. The Company reviewed other recently issued ASUs and determined that they were 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. |
FINANCIAL INSTRUMENTS
FINANCIAL INSTRUMENTS | 6 Months Ended |
Jun. 30, 2024 | |
Investments, All Other Investments [Abstract] | |
FINANCIAL INSTRUMENTS | 4. FINANCIAL INSTRUMENTS The following table presents characteristics for certain of the Company’s financial instruments at June 30, 2024 and December 31, 2023. Financial Instruments (1) Balance Sheet Line Item Type / Form Measurement Basis June 30, 2024 December 31, 2023 Assets (dollars in thousands) Securities Agency mortgage-backed securities (2) Fair value, with unrealized gains (losses) through other comprehensive income $ 9,669,178 $ 15,665,352 Securities Agency mortgage-backed securities (3) Fair value, with unrealized gains (losses) through earnings 54,721,727 50,643,436 Securities Residential credit risk transfer securities Fair value, with unrealized gains (losses) through earnings 838,437 974,059 Securities Non-agency mortgage-backed securities Fair value, with unrealized gains (losses) through earnings 1,702,859 2,108,274 Securities Commercial real estate debt investments - CMBS Fair value, with unrealized gains (losses) through earnings 112,552 222,444 Total securities 67,044,753 69,613,565 Loans, net Residential mortgage loans Fair value, with unrealized gains (losses) through earnings 2,548,228 2,353,084 Assets transferred or pledged to securitization vehicles Residential mortgage loans Fair value, with unrealized gains (losses) through earnings 17,946,812 13,307,622 Liabilities Repurchase agreements Repurchase agreements Amortized cost $ 60,787,994 $ 62,201,543 Other secured financing Loans Amortized cost 600,000 500,000 Debt issued by securitization vehicles Securities Fair value, with unrealized gains (losses) through earnings 15,831,915 11,600,338 Participations issued Participations issued Fair value, with unrealized gains (losses) through earnings 1,144,821 1,103,835 U.S. Treasury securities sold, not yet purchased Securities Fair value, with unrealized gains (losses) through earnings 1,974,602 2,132,751 (1) Receivable for unsettled trades, Principal and interest receivable, Payable for unsettled trades, Interest payable and Dividends payable are accounted for at cost. (2) Includes Agency pass-through, collateralized mortgage obligation (“CMO”) and multifamily securities 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 | 6 Months Ended |
Jun. 30, 2024 | |
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. During the three and six months ended June 30, 2024 and 2023, ($274.9) million and ($948.9) million, and ($744.7) million and ($358.0) million, respectively, of unrealized gains (losses) on the Agency mortgage-backed securities, for which the fair value option was elected effective July 1, 2022, were reported in Net gains (losses) on investments and other in the Company's Consolidated Statements of Comprehensive Income (Loss). 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. The Company has also elected the fair value option for CRT securities, interest only securities, Non-Agency and commercial mortgage-backed securities in order to simplify the accounting. 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 in 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. 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 table represents a rollforward of the activity for the Company’s securities for the six months ended June 30, 2024: Agency Residential Credit Securities Commercial Total (dollars in thousands) Beginning balance January 1, 2024 $ 66,308,788 $ 3,082,333 $ 222,444 $ 69,613,565 Purchases 14,195,878 353,033 — 14,548,911 Sales (12,543,493) (731,027) (107,464) (13,381,984) Principal paydowns (2,781,021) (264,073) (4,438) (3,049,532) (Amortization) / accretion (39,917) 2,747 468 (36,702) Fair value adjustment (749,330) 98,283 1,542 (649,505) Ending balance June 30, 2024 $ 64,390,905 $ 2,541,296 $ 112,552 $ 67,044,753 The following tables present the Company’s securities portfolio that were carried at their fair value at June 30, 2024 and December 31, 2023: June 30, 2024 Principal / Remaining Premium Remaining Discount Amortized Unrealized Unrealized Estimated Fair Value Agency (dollars in thousands) Fixed-rate pass-through $ 62,483,207 $ 1,273,211 $ (1,194,156) $ 62,562,262 $ 142,638 $ (2,230,420) $ 60,474,480 Adjustable-rate pass-through 173,655 14,982 (49) 188,588 2,118 (12,945) 177,761 CMO 90,987 1,539 — 92,526 — (15,607) 76,919 Interest-only 2,281,909 408,515 — 408,515 8,991 (143,950) 273,556 Multifamily (1) 20,155,207 433,555 (9,197) 3,425,145 17,494 (81,456) 3,361,183 Reverse mortgages 25,823 2,902 — 28,725 — (1,719) 27,006 Total agency securities $ 85,210,788 $ 2,134,704 $ (1,203,402) $ 66,705,761 $ 171,241 $ (2,486,097) $ 64,390,905 Residential credit Credit risk transfer $ 780,293 $ 1,863 $ (3,843) $ 778,313 $ 60,272 $ (148) $ 838,437 Alt-A 165,585 37 (1,889) 163,733 2,934 (9,739) 156,928 Prime (2) 1,372,222 14,026 (10,409) 30,527 2,844 (559) 32,812 Subprime 295,067 13 (30,949) 264,131 6,963 (11,728) 259,366 NPL/RPL 1,114,675 8,087 (9,181) 1,113,581 3,247 (20,660) 1,096,168 Prime jumbo (>=2010 vintage) (3) 10,046,140 80,970 (30,794) 143,697 18,670 (4,782) 157,585 Total residential credit securities $ 13,773,982 $ 104,996 $ (87,065) $ 2,493,982 $ 94,930 $ (47,616) $ 2,541,296 Total residential securities $ 98,984,770 $ 2,239,700 $ (1,290,467) $ 69,199,743 $ 266,171 $ (2,533,713) $ 66,932,201 Commercial Commercial securities $ 112,288 $ 116 $ (47) $ 112,357 $ 199 $ (4) $ 112,552 Total securities $ 99,097,058 $ 2,239,816 $ (1,290,514) $ 69,312,100 $ 266,370 $ (2,533,717) $ 67,044,753 December 31, 2023 Principal / Remaining Premium Remaining Discount Amortized Unrealized Unrealized Estimated Fair Value Agency (dollars in thousands) Fixed-rate pass-through $ 63,444,987 $ 1,448,886 $ (1,318,948) $ 63,574,925 $ 477,242 $ (1,853,226) $ 62,198,941 Adjustable-rate pass-through 188,996 15,834 (51) 204,779 1,663 (14,953) 191,489 CMO 94,448 1,612 — 96,060 — (13,088) 82,972 Interest-only 2,010,697 416,955 — 416,955 4,729 (157,679) 264,005 Multifamily (1) 17,130,045 400,781 (9,752) 3,552,217 52,055 (59,744) 3,544,528 Reverse mortgages 26,183 3,193 — 29,376 — (2,523) 26,853 Total agency investments $ 82,895,356 $ 2,287,261 $ (1,328,751) $ 67,874,312 $ 535,689 $ (2,101,213) $ 66,308,788 Residential credit Credit risk transfer $ 924,729 $ 2,240 $ (4,358) $ 922,611 $ 51,984 $ (536) $ 974,059 Alt-A 164,384 9 (3,922) 160,471 2,135 (12,371) 150,235 Prime (2) 1,076,497 8,590 (21,163) 207,077 1,704 (28,134) 180,647 Subprime 272,955 — (31,751) 241,204 5,622 (11,221) 235,605 NPL/RPL 1,237,531 8,336 (9,224) 1,236,643 4,578 (43,666) 1,197,555 Prime jumbo (>=2010 vintage) (3) 9,425,280 71,960 (49,859) 365,676 10,696 (32,140) 344,232 Total residential credit securities $ 13,101,376 $ 91,135 $ (120,277) $ 3,133,682 $ 76,719 $ (128,068) $ 3,082,333 Total residential securities $ 95,996,732 $ 2,378,396 $ (1,449,028) $ 71,007,994 $ 612,408 $ (2,229,281) $ 69,391,121 Commercial Commercial securities $ 224,597 $ 15 $ (822) $ 223,790 $ 19 $ (1,365) $ 222,444 Total securities $ 96,221,329 $ 2,378,411 $ (1,449,850) $ 71,231,784 $ 612,427 $ (2,230,646) $ 69,613,565 (1) Principal/Notional amount includes $17.2 billion and $14.0 billion of Agency Multifamily interest-only securities as of June 30, 2024 and December 31, 2023, respectively. (2) Principal/Notional amount includes $1.3 billion and $0.9 billion of Prime interest-only securities as of June 30, 2024 and December 31, 2023, respectively. (3) Principal/Notional amount includes $10.0 billion and $9.1 billion of Prime Jumbo interest-only securities as of June 30, 2024 and December 31, 2023, respectively. The following table presents the Company’s Agency mortgage-backed securities portfolio by issuing Agency at June 30, 2024 and December 31, 2023: June 30, 2024 December 31, 2023 Investment Type (dollars in thousands) Fannie Mae $ 59,746,320 $ 60,477,303 Freddie Mac 4,576,036 5,778,809 Ginnie Mae 68,549 52,676 Total $ 64,390,905 $ 66,308,788 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 at June 30, 2024 and December 31, 2023, according to their estimated weighted average life classifications: June 30, 2024 December 31, 2023 Estimated Fair Value Amortized Estimated Fair Value Amortized Estimated weighted average life (dollars in thousands) Less than one year $ 158,772 $ 160,077 $ 254,753 $ 257,170 Greater than one year through five years 1,758,528 1,783,897 5,159,969 5,213,575 Greater than five years through ten years 63,127,997 65,303,899 62,158,711 63,662,144 Greater than ten years 1,886,904 1,951,870 1,817,688 1,875,105 Total $ 66,932,201 $ 69,199,743 $ 69,391,121 $ 71,007,994 The estimated weighted average lives of the Residential Securities at June 30, 2024 and December 31, 2023 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 June 30, 2024 and December 31, 2023. June 30, 2024 December 31, 2023 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 $ 31,026 $ (986) 35 $ 35,453 $ (418) 16 12 Months or more 9,501,393 (1,159,761) 1,441 15,455,118 (1,340,032) 1,747 Total $ 9,532,419 $ (1,160,747) 1,476 $ 15,490,571 $ (1,340,450) 1,763 (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 six months ended June 30, 2024, the Company disposed of $5.2 billion and $13.3 billion amortized cost basis of Residential Securities, respectively. During the three and six months ended June 30, 2023, the Company disposed of $8.4 billion and $13.6 billion amortized cost basis of Residential Securities, respectively. The following table presents the Company’s net gains (losses) from the disposal of Residential Securities for the three and six months ended June 30, 2024 and 2023, which is included in Net gains (losses) on investments and other in the Consolidated Statements of Comprehensive Income (Loss). Gross Realized Gains Gross Realized Losses Net Realized Gains (Losses) For the three months ended (dollars in thousands) June 30, 2024 $ 7,302 $ (382,254) $ (374,952) June 30, 2023 $ 9,496 $ (608,732) $ (599,236) For the six months ended June 30, 2024 $ 40,226 $ (853,425) $ (813,199) June 30, 2023 $ 13,765 $ (1,134,849) $ (1,121,084) |
LOANS
LOANS | 6 Months Ended |
Jun. 30, 2024 | |
Receivables [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, as of June 30, 2024 and December 31, 2023, the Company rep orted $2.5 billion and $2.4 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. 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 $3.9 million and $1.2 million at June 30, 2024 and December 31, 2023, respectively. The following table presents the activity of the Company’s loan investments, excluding loans transferred or pledged to securitization vehicles, for the six months ended June 30, 2024: Residential Loans (dollars in thousands) Beginning balance January 1, 2024 $ 2,353,084 Purchases / originations 5,987,132 Sales and transfers (1) (5,729,881) Principal payments (64,526) Gains / (losses) 10,431 (Amortization) / accretion (8,012) Ending balance June 30, 2024 $ 2,548,228 (1) Includes transfer of residential loans to securitization vehicles with a carrying value of $5.6 billion during the six months ended June 30, 2024. 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 retained 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 mortgage loans are secured by first liens on primarily one-to-four family residential properties. A subsidiary of the Company has engaged a third party to act as its custodian, agent and bailee for the purposes of receiving and holding certain documents, instruments and papers related to the residential mortgage loans it purchases. Pursuant to the Company’s custodial agreement, the custodian segregates and maintains continuous custody of all documents constituting the mortgage file with respect to each mortgage loan owned by the subsidiary in secure and fire resistant facilities and in a manner consistent with the standard of care employed by prudent mortgage loan document custodians. At or prior to the funding of any residential mortgage loan, the related seller, pursuant to the terms of our mortgage loan purchase agreement, must deliver to the custodian, the mortgage loan documents including the mortgage note, the mortgage and other related loan documents. In addition, a complete credit file for the related mortgage and borrower must be delivered to the subsidiary prior to the date of purchase. The following table presents the fair value and the unpaid principal balances of the residential mortgage loan portfolio, including loans transferred or pledged to securitization vehicles, at June 30, 2024 and December 31, 2023: June 30, 2024 December 31, 2023 (dollars in thousands) Fair value $ 20,495,040 $ 15,660,706 Unpaid principal balance $ 21,482,560 $ 16,611,204 The following table provides information regarding the line items and amounts recognized in the Consolidated Statements of Comprehensive Income (Loss) for the three and six months ended June 30, 2024 and 2023 for these investments: For the Three Months Ended For the Six Months Ended June 30, 2024 June 30, 2023 June 30, 2024 June 30, 2023 (dollars in thousands) Interest income $ 301,820 $ 162,202 $ 553,836 $ 309,432 Net gains (losses) on disposal of investments (1) (1,228) (1,495) (3,344) (2,272) Net unrealized gains (losses) on instruments measured at fair value through earnings (1) (3,913) (167,759) (88,698) 92,680 Total included in net income (loss) $ 296,679 $ (7,052) $ 461,794 $ 399,840 (1) These amounts are presented in the line item Net gains (losses) on investments and other in the Consolidated Statements of Comprehensive Income (loss). The following table provides the geographic concentrations based on the unpaid principal balances at June 30, 2024 and December 31, 2023 for the residential mortgage loans, including loans transferred or pledged to securitization vehicles: Geographic Concentrations of Residential Mortgage Loans June 30, 2024 December 31, 2023 Property location % of Balance Property location % of Balance California 38.0% California 40.1% Florida 10.8% Florida 10.6% New York 10.6% New York 10.5% Texas 5.6% Texas 5.6% All other (none individually greater than 5%) 35.0% All other (none individually greater than 5%) 33.2% 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 June 30, 2024 and December 31, 2023: June 30, 2024 December 31, 2023 Portfolio Range Portfolio Weighted Portfolio Range Portfolio Weighted Average (dollars in thousands) Unpaid principal balance $1 - $4,396 $476 $1 - $4,396 $477 Interest rate 2.00% - 14.13% 6.12% 2.00% - 13.25% 5.63% Maturity 7/1/2029 - 7/1/2064 8/14/2052 7/1/2029 - 12/1/2063 4/22/2052 FICO score at loan origination 549 - 850 757 549 - 850 758 Loan-to-value ratio at loan origination 3% - 100% 69% 3% - 100% 68% |
MORTGAGE SERVICING RIGHTS
MORTGAGE SERVICING RIGHTS | 6 Months Ended |
Jun. 30, 2024 | |
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 in 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). The following table presents activity related to MSR for the three and six months ended June 30, 2024 and 2023: Mortgage Servicing Rights Three Months Ended Six Months Ended June 30, 2024 June 30, 2023 June 30, 2024 June 30, 2023 (dollars in thousands) Fair value, beginning of period $ 2,651,279 $ 1,790,980 $ 2,122,196 $ 1,748,209 Purchases (1) 120,896 177,521 636,627 214,151 Sales (1,068) — (1,068) — Change in fair value due to: Changes in valuation inputs or assumptions (2) 59,902 80,323 106,038 110,530 Other changes, including realization of expected cash flows (45,395) (29,928) (78,179) (53,994) Fair value, end of period $ 2,785,614 $ 2,018,896 $ 2,785,614 $ 2,018,896 (1) Includes adjustments to original purchase price from early payoffs, defaults, or loans that were delivered but were deemed to not be acceptable. (2) Principally represents changes in discount rates and prepayment speed inputs used in valuation model, primarily due to changes in interest rates. |
VARIABLE INTEREST ENTITIES
VARIABLE INTEREST ENTITIES | 6 Months Ended |
Jun. 30, 2024 | |
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 $1.9 billion at June 30, 2024. 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. 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. Refer to 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 that provide non-recourse financing to the Company and are collateralized by residential mortgage loans purchased by the Company. Residential securitizations closed as of June 30, 2024 are included in the following table: Securitization Date of Closing Face Value at Closing (dollars in thousands) OBX 2024-NQM1 January 2024 $ 413,581 OBX 2024-NQM2 January 2024 $ 495,980 OBX 2024-HYB1 February 2024 $ 412,084 OBX 2024-NQM3 February 2024 $ 439,904 OBX 2024-NQM4 March 2024 $ 592,448 OBX 2024-HYB2 March 2024 $ 397,787 OBX 2024-NQM5 April 2024 $ 574,553 OBX 2024-NQM6 April 2024 $ 441,421 OBX 2024-NQM7 May 2024 $ 551,759 OBX 2024-NQM8 May 2024 $ 723,086 OBX 2024-NQM9 June 2024 $ 532,126 As of June 30, 2024 and December 31, 2023, a total carrying value of $15.8 billion and $11.6 billion, respectively, of bonds were held by third parties and the Company retained $1.9 billion and $1.4 billion, respectively, of MBS, 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. 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 the 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 $5.3 million and $2.7 million of costs during the three months ended June 30, 2024 and 2023, respectively, and $9.1 million and $4.0 million of costs during the six months ended June 30, 2024 and 2023, 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 $16.9 billion and $12.6 billion at June 30, 2024 and December 31, 2023, respectively. During the three months ended June 30, 2024 and 2023, the Company recorded $4.8 million and $130.5 million, respectively, and $90.8 million and ($81.4) million during the six months ended June 30, 2024 and 2023, respectively, of unrealized gains (losses) on debt held by third parties issued by OBX Trusts, which is reported in Net gains (losses) on investments and other in the Company's Consolidated Statements of Comprehensive Income (Loss). 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. 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 June 30, 2024 and December 31, 2023, the Company had outstanding participating interests in residential mortgage loans of $1.1 billion and $1.1 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. |
DERIVATIVE INSTRUMENTS
DERIVATIVE INSTRUMENTS | 6 Months Ended |
Jun. 30, 2024 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
DERIVATIVE INSTRUMENTS | 9. DERIVATIVE INSTRUMENTS Derivative instruments include, but are not limited to, interest rate swaps, options to enter into interest rate swaps (“swaptions”), TBA derivatives, U.S. Treasury and Secured Overnight Financing Rate (“SOFR”) 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, U.S. Treasury 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 or received under such transactions. At June 30, 2024 and December 31, 2023, ($3.3) billion and ($2.4) billion, respectively, of variation margin was reported as an adjustment to interest rate swaps, at fair value. Initial margin is reported in Cash and cash equivalents in the Consolidated Statements of Financial Condition. Interest Rate Swap Agreements – Interest rate swap agreements are the primary instruments used to mitigate interest rate risk. In particular, the Company uses interest rate swap agreements to manage its exposure to changing interest rates on its repurchase agreements by economically hedging cash flows associated with these borrowings. The Company may have outstanding interest rate swap agreements where the floating leg is linked to the SOFR, 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. 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 following table summarizes fair value information about the Company’s derivative assets and liabilities at June 30, 2024 and December 31, 2023: Derivatives Instruments June 30, 2024 December 31, 2023 Assets (dollars in thousands) Interest rate swaps $ 16,824 $ 26,344 Interest rate swaptions 148,040 105,883 TBA derivatives 14,641 20,689 Futures contracts 1,723 — Purchase commitments 6,640 9,641 Total derivative assets $ 187,868 $ 162,557 Liabilities Interest rate swaps $ 15,314 $ 83,051 TBA derivatives 2,193 39,070 Futures contracts 81,730 179,835 Purchase commitments 1,592 339 Total derivative liabilities $ 100,829 $ 302,295 The following tables summarize certain characteristics of the Company’s interest rate swaps at June 30, 2024 and December 31, 2023: June 30, 2024 Maturity Current Notional (1) Weighted Average Pay Rate Weighted Average Receive Rate Weighted Average Years to Maturity (2) (dollars in thousands) 0 - 3 years $ 19,861,229 3.35 % 5.33 % 1.29 3 - 6 years 14,533,021 3.36 % 5.30 % 4.82 6 - 10 years 20,501,637 2.80 % 5.28 % 8.06 Greater than 10 years 1,559,384 3.47 % 5.18 % 23.75 Total / Weighted average $ 56,455,271 3.13 % 5.30 % 5.28 December 31, 2023 Maturity Current Notional (1) Weighted Average Weighted Average Receive Rate Weighted Average Years to Maturity (2) (dollars in thousands) 0 - 3 years $ 21,397,358 3.17 % 5.26 % 1.23 3 - 6 years 12,461,799 3.09 % 5.37 % 4.75 6 - 10 years 22,949,150 2.85 % 5.34 % 8.02 Greater than 10 years 2,021,247 3.53 % 5.27 % 22.71 Total / Weighted average $ 58,829,554 3.04 % 5.31 % 5.36 (1) As of June 30, 2024, 6% and 94% of the Company’s interest rate swaps were linked to the Federal funds rate and the SOFR, respectively. As of December 31, 2023, 6% and 94% of the Company’s interest rate swaps were linked to the Federal funds rate and the SOFR, respectively. (2) 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 tables summarize certain characteristics of the Company’s swaptions at June 30, 2024 and December 31, 2023: June 30, 2024 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 $1,250,000 2.21% SOFR 7.19 2.15 December 31, 2023 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 $1,250,000 2.21% SOFR 7.69 8.21 Long receive $500,000 1.65% SOFR 10.30 3.53 The following tables summarize certain characteristics of the Company’s TBA derivatives at June 30, 2024 and December 31, 2023: June 30, 2024 Purchase and sale contracts for derivative TBAs Notional Implied Cost Basis Implied Market Value Net Carrying Value (dollars in thousands) Purchase contracts $ 2,395,000 $ 2,313,203 $ 2,324,113 $ 10,910 Sale contracts (733,000) (673,262) (671,724) 1,538 Net TBA derivatives $ 1,662,000 $ 1,639,941 $ 1,652,389 $ 12,448 December 31, 2023 Purchase and sale contracts for derivative TBAs Notional Implied Cost Basis Implied Market Value Net Carrying Value (dollars in thousands) Purchase contracts $ 988,000 $ 920,626 $ 915,790 $ (4,836) Sale contracts (1,491,000) (1,475,847) (1,489,392) (13,545) Net TBA derivatives $ (503,000) $ (555,221) $ (573,602) $ (18,381) The following tables summarize certain characteristics of the Company’s futures derivatives at June 30, 2024 and December 31, 2023: June 30, 2024 Notional - Long Notional - Short Weighted Average (dollars in thousands) 2-year swap equivalent SOFR contracts $ 2,790,000 $ — 1.97 U.S. Treasury futures - 2 year — (1,306,400) 1.97 U.S. Treasury futures - 10 year and greater — (6,025,500) 10.72 Total $ 2,790,000 $ (7,331,900) 7.18 December 31, 2023 Notional - Long Notional - Short Weighted Average (dollars in thousands) U.S. Treasury futures - 2 year $ — $ (5,001,400) 1.97 U.S. Treasury futures - 10 year and greater — (1,733,600) 14.26 Total $ — $ (6,735,000) 5.13 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 the Company’s Consolidated Statements of Financial Condition at June 30, 2024 and December 31, 2023, respectively. June 30, 2024 Amounts Eligible for Offset Gross Amounts Financial Instruments Cash Collateral Net Amounts Assets (dollars in thousands) Interest rate swaps, at fair value $ 16,824 $ (9,263) $ — $ 7,561 Interest rate swaptions, at fair value 148,040 (62,215) (82,110) 3,715 TBA derivatives, at fair value 14,641 (4,285) (6,595) 3,761 Futures contracts, at fair value 1,723 (1,723) — — Purchase commitments 6,640 — — 6,640 Liabilities Interest rate swaps, at fair value $ 15,314 $ (13,899) $ — $ 1,415 TBA derivatives, at fair value 2,193 (2,193) — — Futures contracts, at fair value 81,730 (1,723) (80,007) — Purchase commitments 1,592 — — 1,592 December 31, 2023 Amounts Eligible for Offset Gross Amounts Financial Instruments Cash Collateral Net Amounts Assets (dollars in thousands) Interest rate swaps, at fair value $ 26,344 $ (21,505) $ — $ 4,839 Interest rate swaptions, at fair value 105,883 (45,930) (57,320) 2,633 TBA derivatives, at fair value 20,689 (13,282) — 7,407 Purchase commitments 9,641 — — 9,641 Liabilities Interest rate swaps, at fair value $ 83,051 $ (72,844) $ — $ 10,207 TBA derivatives, at fair value 39,070 (34,525) — 4,545 Futures contracts, at fair value 179,835 — (179,835) — Purchase commitments 339 — — 339 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) June 30, 2024 $ 298,372 $ 18,721 $ 97,484 June 30, 2023 $ 425,293 $ 48,148 $ 841,702 For the six months ended June 30, 2024 $ 628,521 $ (2,516) $ 998,386 June 30, 2023 $ 810,999 $ (97,671) $ (114,570) (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 June 30, 2024 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 $ (16,252) $ 15,931 $ (321) Net interest rate swaptions (12,331) 23,857 11,526 Futures (1) 48,227 (45,882) 2,345 Purchase commitments — 2,360 2,360 Total $ 15,910 (1) For the three months ended June 30, 2024, includes ($1.2) million of unrealized loss and ($6.8) million of realized loss related to SOFR futures options. Three Months Ended June 30, 2023 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 $ 99,361 $ (160,873) $ (61,512) Net interest rate swaptions — 53,413 53,413 Futures (1) (242,013) 413,240 171,227 Purchase commitments — (3,444) (3,444) Credit derivatives (17,970) 18,468 498 Total $ 160,182 (1) For the three months ended June 30, 2023, includes ($18.8) million of unrealized loss related to SOFR futures options. Six Months Ended June 30, 2024 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 $ (24,868) $ 30,829 $ 5,961 Net interest rate swaptions (12,331) 54,488 42,157 Futures (1) 39,547 99,827 139,374 Purchase commitments — (4,252) (4,252) Total $ 183,240 (1) For the six months ended June 30, 2024, includes ($6.8) million of realized loss related to SOFR futures options. Six Months Ended June 30, 2023 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 $ (54,488) $ 54,487 $ (1) Net interest rate swaptions 2,323 7,415 9,738 Futures (1) (123,681) 98,362 (25,319) Purchase commitments — (2,581) (2,581) Credit derivatives (19,282) 13,260 (6,022) Total $ (24,185) (1) For the six months ended June 30, 2023, includes ($18.8) million of unrealized loss related to SOFR futures options. Certain of the Company’s derivative contracts are subject to International Swaps and Derivatives Association Master Agreements or other similar agreements which may contain provisions that grant counterparties certain rights with respect to the applicable agreement upon the occurrence of certain events such as (i) a decline in stockholders’ equity in excess of specified thresholds or dollar amounts over set periods of time, (ii) the Company’s failure to maintain its REIT status, (iii) the Company’s failure to comply with limits on the amount of leverage, and (iv) the Company’s stock being delisted from the New York Stock Exchange. Upon the occurrence of any one of items (i) through (iv), or another default under the agreement, the counterparty to the applicable agreement has a right to terminate the agreement in accordance with its provisions. The aggregate fair value of all derivative instruments with the aforementioned features were in a net asset position at June 30, 2024. |
FAIR VALUE MEASUREMENTS
FAIR VALUE MEASUREMENTS | 6 Months Ended |
Jun. 30, 2024 | |
Fair Value Disclosures [Abstract] | |
FAIR VALUE MEASUREMENTS | 10. 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 in 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 and U.S. Treasury securities are valued using quoted prices for identical instruments in active markets and are classified as Level 1. Residential Securities, interest rate swaps, swaptions and other derivatives are valued using quoted prices or internally estimated prices for similar assets using internal models. The Company incorporates common market pricing methods, including a spread measurement to the Treasury curve as well as underlying characteristics of the particular security including coupon, prepayment speeds, periodic and life caps, rate reset period and expected life of the security in its estimates of fair value. Fair value estimates for residential mortgage loans are generated by a discounted cash flow model and are primarily based on observable market-based inputs including discount rates, prepayment speeds, delinquency levels, and credit losses. Management reviews and indirectly corroborates its estimates of the fair value derived using internal models by comparing its results to independent prices provided by dealers in the securities and/or third party pricing services. Certain liquid asset classes, such as Agency fixed-rate pass-throughs, may be priced using independent sources such as quoted prices for TBA securities. Residential Securities, residential mortgage loans, interest rate swap and swaption markets and TBA derivatives 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 and TBA derivatives 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 and TBA derivatives 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 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 requires significant judgment by management and the third party pricing providers. Assumptions used for which there is a lack of observable inputs may significantly impact the resulting fair value and therefore the Company’s financial statements. The following tables present the estimated fair values of financial instruments and MSR measured at fair value on a recurring basis as of June 30, 2024 and December 31, 2023. There were no transfers between levels of the fair value hierarchy during the periods presented. June 30, 2024 Level 1 Level 2 Level 3 Total Assets (dollars in thousands) Securities Agency mortgage-backed securities $ — $ 64,390,905 $ — $ 64,390,905 Credit risk transfer securities — 838,437 — 838,437 Non-Agency mortgage-backed securities — 1,702,859 — 1,702,859 Commercial mortgage-backed securities — 112,552 — 112,552 Loans Residential mortgage loans — 2,548,228 — 2,548,228 Mortgage servicing rights — — 2,785,614 2,785,614 Assets transferred or pledged to securitization vehicles — 17,946,812 — 17,946,812 Derivative assets Interest rate swaps — 16,824 — 16,824 Other derivatives 1,723 169,321 — 171,044 Total assets $ 1,723 $ 87,725,938 $ 2,785,614 $ 90,513,275 Liabilities Debt issued by securitization vehicles $ — $ 15,831,915 $ — $ 15,831,915 Participations issued — 1,144,821 — 1,144,821 U.S. Treasury securities sold, not yet purchased 1,974,602 — — 1,974,602 Derivative liabilities Interest rate swaps — 15,314 — 15,314 Other derivatives 81,730 3,785 — 85,515 Total liabilities $ 2,056,332 $ 16,995,835 $ — $ 19,052,167 December 31, 2023 Level 1 Level 2 Level 3 Total Assets (dollars in thousands) Securities Agency mortgage-backed securities $ — $ 66,308,788 $ — $ 66,308,788 Credit risk transfer securities — 974,059 — 974,059 Non-Agency mortgage-backed securities — 2,108,274 — 2,108,274 Commercial mortgage-backed securities — 222,444 — 222,444 Loans Residential mortgage loans — 2,353,084 — 2,353,084 Mortgage servicing rights — — 2,122,196 2,122,196 Assets transferred or pledged to securitization vehicles — 13,307,622 — 13,307,622 Derivative assets Interest rate swaps — 26,344 — 26,344 Other derivatives — 136,213 — 136,213 Total assets $ — $ 85,436,828 $ 2,122,196 $ 87,559,024 Liabilities Debt issued by securitization vehicles $ — $ 11,600,338 $ — $ 11,600,338 Participations issued — 1,103,835 — 1,103,835 U.S. Treasury securities sold, not yet purchased 2,132,751 — — 2,132,751 Derivative liabilities Interest rate swaps — 83,051 — 83,051 Other derivatives 179,835 39,409 — 219,244 Total liabilities $ 2,312,586 $ 12,826,633 $ — $ 15,139,219 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, 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, which in turn could result in a decline in the estimated fair value of MSR. Refer to the “Mortgage Servicing Rights” Note for additional information, including rollforwards. The following table presents information about the significant unobservable inputs used for recurring fair value measurements for Level 3 MSR. The table does not give effect to the Company’s risk management practices that might offset risks inherent in these Level 3 investments. Unobservable Input (1) Range (Weighted Average) (2) June 30, 2024 December 31, 2023 Discount rate 5.3% - 12.4% (8.4%) 7.0% - 12.0% (8.6%) Prepayment rate 4.7% - 17.3% (5.5%) 4.8% - 11.0% (5.6%) Delinquency rate 0.2% - 3.8% (1.1%) 0.2% - 4.2% (1.3%) Cost to service $83 - $109 ($91) $84 - $111 ($94) (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 June 30, 2024 and December 31, 2023. June 30, 2024 December 31, 2023 Carrying Fair Carrying Fair Financial liabilities Repurchase agreements $60,787,994 $60,787,994 $62,201,543 $62,201,543 Other secured financing 600,000 600,000 500,000 500,000 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. |
INTANGIBLE ASSETS
INTANGIBLE ASSETS | 6 Months Ended |
Jun. 30, 2024 | |
Goodwill and Intangible Assets Disclosure [Abstract] | |
INTANGIBLE ASSETS | 11. INTANGIBLE ASSETS 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 six months ended June 30, 2024. Intangible Assets, net (dollars in thousands) Beginning balance January 1, 2024 $ 12,106 Less: amortization expense (1,345) Ending balance June 30, 2024 $ 10,761 |
SECURED FINANCING
SECURED FINANCING | 6 Months Ended |
Jun. 30, 2024 | |
Debt Disclosure [Abstract] | |
SECURED FINANCING | 12. 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 secured 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 $60.8 billion and $62.2 billion of repurchase agreements with weighted average remaining maturities of 36 days and 44 days and weighted average rates of 5.59% and 5.70% at June 30, 2024 and December 31, 2023, respectively. In connection with its residential mortgage loans, the Company has select arrangements with counterparties to enter into repurchase agreements for $2.9 billion with remaining capacity of $1.9 billion at June 30, 2024. At June 30, 2024 and December 31, 2023, the repurchase agreements had the following remaining maturities and collateral types: June 30, 2024 Agency Mortgage-Backed Securities CRTs Non-Agency Mortgage-Backed Securities Residential Mortgage Loans Commercial Mortgage-Backed Securities Total Repurchase Agreements (dollars in thousands) 1 day $ 20,898,019 $ 47,794 $ 88,066 $ — $ — $ 21,033,879 2 to 29 days 14,107,044 315,802 644,301 — 100,617 15,167,764 30 to 59 days 17,110,329 — 711,446 — — 17,821,775 60 to 89 days 3,329,272 273,174 542,254 — — 4,144,700 90 to 119 days 460,761 — 66,755 330,994 — 858,510 Over 119 days (1) 2,750,361 — 320,691 701,685 — 3,772,737 Total $ 58,655,786 $ 636,770 $ 2,373,513 $ 1,032,679 $ 100,617 $ 62,799,365 Amounts offset in accordance with netting arrangements. $ (2,011,371) Net amounts of Repurchase agreements as presented in the Consolidated Statements of Financial Condition. $ 60,787,994 December 31, 2023 Agency Mortgage-Backed Securities CRTs Non-Agency Mortgage-Backed Securities Residential Mortgage Loans Commercial Mortgage-Backed Securities Total Repurchase Agreements (dollars in thousands) 1 day $ — $ — $ — $ — $ — $ — 2 to 29 days 33,492,952 555,568 840,400 — 191,276 35,080,196 30 to 59 days 18,090,265 — 528,341 — — 18,618,606 60 to 89 days 6,479,206 139,952 579,611 — — 7,198,769 90 to 119 days — — 39,714 207,592 — 247,306 Over 119 days (1) 2,511,003 — 169,697 644,259 — 3,324,959 Total $ 60,573,426 $ 695,520 $ 2,157,763 $ 851,851 $ 191,276 $ 64,469,836 Amounts offset in accordance with netting arrangements. $ (2,268,293) Net amounts of Repurchase agreements as presented in the Consolidated Statements of Financial Condition. $ 62,201,543 (1) Less than 1% of repurchase agreements had a remaining maturity over 1 year at June 30, 2024. No repurchase agreements had a remaining maturity over 1 year at December 31, 2023. 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 June 30, 2024 and December 31, 2023. Refer to the “Derivative Instruments” Note for information related to the effect of netting arrangements on the Company’s derivative instruments. June 30, 2024 December 31, 2023 Reverse Repurchase Agreements Repurchase Agreements Reverse Repurchase Agreements Repurchase Agreements (dollars in thousands) Gross amounts $ 2,011,371 $ 62,799,365 $ 2,268,293 $ 64,469,836 Amounts offset (2,011,371) (2,011,371) (2,268,293) (2,268,293) Netted amounts $ — $ 60,787,994 $ — $ 62,201,543 The fair value of collateral received in connection with reverse repurchase agreements as of June 30, 2024 was $2.0 billion, of which the Company sold $2.0 billion. The fair value of collateral received in connection with reverse repurchase agreements as of December 31, 2023 was $2.3 billion, of which the Company sold $2.1 billion. The amount of collateral sold is reported at fair value in the Company’s Consolidated Statements of Financial Condition as U.S. Treasury securities sold, not yet purchased. Other Secured Financing - As of June 30, 2024, the Company had $1.3 billion in total committed credit facilities to finance a portion of its MSR portfolio. Outstanding borrowings under this facility as of June 30, 2024 totaled $600.0 million with maturities ranging between seven months to one year. The weighted average interest rate of the borrowings was 8.07% as of June 30, 2024. Borrowings are reported in Other secured financing in the Company’s Consolidated Statements of Financial Condition. Refer to the “Variable Interest Entities” Note for additional information on the Company’s other secured financing arrangements at December 31, 2023. 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 $65.8 billion and $293.3 million, respectively, at June 30, 2024 and $68.2 billion and $279.5 million, respectively, at December 31, 2023. |
CAPITAL STOCK
CAPITAL STOCK | 6 Months Ended |
Jun. 30, 2024 | |
Equity [Abstract] | |
CAPITAL STOCK | 13. CAPITAL STOCK (A) Common Stock The following table provides a summary of the Company’s common shares authorized, and issued and outstanding at June 30, 2024 and December 31, 2023. Shares authorized Shares issued and outstanding June 30, 2024 December 31, 2023 June 30, 2024 December 31, 2023 Par Value Common stock 1,468,250,000 1,468,250,000 501,018,415 500,080,287 $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 six months ended June 30, 2024 and 2023, no shares were repurchased under the Current Share Repurchase Program or Prior Share Repurchase Program. 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 and Amendment No. 2 to the Amended and Restated Distribution Agency Agreements on November 3, 2022, collectively, the “Sales Agreements”) with each of Barclays Capital Inc., BofA Securities, Inc., Citigroup Global Markets Inc., Goldman Sachs & Co. LLC, Keefe, Bruyette & Woods, Inc., J.P. Morgan Securities LLC, RBC Capital Markets, 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 six months ended June 30, 2024, under the at-the-market sales program, the Company issued 0.6 million shares for proceeds of $11.3 million, net of commissions and fees. During the six months ended June 30, 2023, under the at-the-market sales program, the Company issued 25.3 million shares for proceeds of $562.7 million, net of commissions and fees. (B) Preferred Stock The following is a summary of the Company’s cumulative redeemable preferred stock outstanding at June 30, 2024 and December 31, 2023. 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) Effective Date of Floating Rate Dividend Period Floating Annual Rate (2) June 30, 2024 December 31, 2023 June 30, 2024 December 31, 2023 June 30, 2024 December 31, 2023 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 Term SOFR + 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 Term SOFR + 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 Term SOFR + 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. (2) For each series of fixed-to-floating rate cumulative redeemable preferred stock, the floating rate is calculated as 3-month CME Term SOFR (plus a spread adjustment of 0.26161%) plus the spread specified in the prospectus. 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 June 30, 2024, 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. 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. No shares were repurchased with respect to the Preferred Stock Repurchase Program during the three and six months ended June 30, 2024. (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 Six Months Ended June 30, 2024 June 30, 2023 June 30, 2024 June 30, 2023 (dollars in thousands, except per share data) Dividends and dividend equivalents declared on common stock and share-based awards $ 327,741 $ 322,448 $ 654,613 $ 644,947 Distributions declared per common share $ 0.65 $ 0.65 $ 1.30 $ 1.30 Distributions paid to common stockholders after period end $ 325,662 $ 321,031 $ 325,662 $ 321,031 Distributions paid per common share after period end $ 0.65 $ 0.65 $ 0.65 $ 0.65 Date of distributions paid to common stockholders after period end July 31, 2024 July 28, 2023 July 31, 2024 July 28, 2023 Dividends declared to series F preferred stockholders $ 19,002 $ 18,274 $ 38,087 $ 35,776 Dividends declared per share of series F preferred stock $ 0.660 $ 0.635 $ 1.322 $ 1.242 Dividends declared to series G preferred stockholders $ 10,689 $ 10,025 $ 21,198 $ 16,931 Dividends declared per share of series G preferred stock $ 0.629 $ 0.590 $ 1.247 $ 0.996 Dividends declared to series I preferred stockholders $ 7,467 $ 7,467 $ 14,934 $ 14,934 Dividends declared per share of series I preferred stock $ 0.422 $ 0.422 $ 0.844 $ 0.844 |
INTEREST INCOME AND INTEREST EX
INTEREST INCOME AND INTEREST EXPENSE | 6 Months Ended |
Jun. 30, 2024 | |
Banking and Thrift, Interest [Abstract] | |
INTEREST INCOME AND INTEREST EXPENSE | 14. 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) in 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 in 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 in 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 table presents the components of the Company’s interest income and interest expense for the three and six months ended June 30, 2024 and 2023. For the Three Months Ended June 30, For the Six Months Ended June 30, 2024 2023 2024 2023 Interest income (dollars in thousands) Agency securities $ 790,779 $ 686,912 $ 1,542,295 $ 1,290,014 Residential credit securities 50,895 56,477 106,891 110,222 Residential mortgage loans (1) 301,820 162,202 553,836 309,433 Commercial investment portfolio (1) (2) 2,441 8,310 5,995 18,197 Reverse repurchase agreements 31,390 7,593 62,796 11,878 Total interest income $ 1,177,325 $ 921,494 $ 2,271,813 $ 1,739,744 Interest expense Repurchase agreements $ 881,926 $ 841,257 $ 1,779,524 $ 1,539,999 Debt issued by securitization vehicles 200,812 101,819 361,829 190,753 Participations issued 19,756 10,381 40,007 21,492 U.S. Treasury securities sold, not yet purchased 21,273 — 43,346 — Total interest expense 1,123,767 953,457 2,224,706 1,752,244 Net interest income $ 53,558 $ (31,963) $ 47,107 $ (12,500) (1) Includes assets transferred or pledged to securitization vehicles. (2) Includes commercial real estate debt and preferred equity. |
NET INCOME (LOSS) PER COMMON SH
NET INCOME (LOSS) PER COMMON SHARE | 6 Months Ended |
Jun. 30, 2024 | |
Earnings Per Share [Abstract] | |
NET INCOME (LOSS) PER COMMON SHARE | 15. 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 six months ended June 30, 2024 and 2023. For the Three Months Ended For the Six Months Ended June 30, 2024 June 30, 2023 June 30, 2024 June 30, 2023 (dollars in thousands, except per share data) Net income (loss) $ (8,833) $ 161,187 $ 456,341 $ (678,141) Net income (loss) attributable to noncontrolling interests 650 (5,846) 2,932 (918) Net income (loss) attributable to Annaly (9,483) 167,033 453,409 (677,223) Dividends on preferred stock 37,158 35,766 74,219 67,641 Net income (loss) available (related) to common stockholders $ (46,641) $ 131,267 $ 379,190 $ (744,864) Weighted average shares of common stock outstanding-basic 500,950,563 494,165,256 500,781,701 491,939,177 Add: Effect of stock awards, if dilutive — 193,726 633,814 — Weighted average shares of common stock outstanding-diluted 500,950,563 494,358,982 501,415,515 491,939,177 Net income (loss) per share available (related) to common share Basic $ (0.09) $ 0.27 $ 0.76 $ (1.51) Diluted $ (0.09) $ 0.27 $ 0.76 $ (1.51) The computations of diluted net income (loss) per share available (related) to common share for the three and six months ended June 30, 2024 excludes 2.7 million and 0, respectively, and for the three and six months ended June 30, 2023 excludes 1.3 million and 1.8 million, respectively, of potentially dilutive restricted and performance stock units because their effect would have been anti-dilutive. |
INCOME TAXES
INCOME TAXES | 6 Months Ended |
Jun. 30, 2024 | |
Income Tax Disclosure [Abstract] | |
INCOME TAXES | 16. INCOME TAXES For the three months ended June 30, 2024, 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 joint ventures, 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 June 30, 2024 and December 31, 2023. 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 six months ended June 30, 2024, the Company recorded $11.9 million and $11.0 million, respectively, of income tax expense attributable to its TRSs. During the three and six months ended June 30, 2023, the Company recorded $14.3 million and $25.3 million, respectively, of income tax expense attributable to its TRSs. The Company’s federal, state and local tax returns from 2020 and forward remain open for examination. |
SEGMENTS
SEGMENTS | 6 Months Ended |
Jun. 30, 2024 | |
Segment Reporting [Abstract] | |
SEGMENTS | 17. SEGMENTS The Company operates in three reportable segments further described in the Description of Business Note. The accounting policies applied to the segments are the same as those described in the summary of significant accounting policies, with the exception of allocations between segments related to net interest income and other comprehensive income (loss), which are reflected in Other income (loss), and allocations between segments related to investment balances, which are presented net of associated financings in Total Assets. These allocations are made to reflect the economic hedging relationship between investments within different operating segments. Activities that are not directly attributable or not allocated to any of the three current operating segments (such as investments in commercial mortgage-backed securities, preferred stock dividends and corporate existence costs) are reported under Corporate and Other as reconciling items to the Company’s consolidated financial statements. The tables below summarize the result of operations and total assets by segment that are provided to the Chief Operating Decision Maker (CODM), which is the Company’s Operating Committee. Comprehensive income is the measure of segment profit or loss that is determined in accordance with the measurement principles used in measuring the corresponding amounts in the consolidated financial statements and is a key determinant of the Company’s economic return (computed as the change in stockholders’ equity attributable to common shareholders plus common stock dividends declared divided by the prior period’s stockholders’ equity attributable to common shareholders), a measure which is used by the CODM to evaluate segment results and is one of the factors considered in determining capital allocation among the segments. The following tables present the reportable operating segments related to the Company’s results of operations for the three and six months ended June 30, 2024 and 2023: Three Months Ended June 30, 2024 Agency Resi-credit MSR Corporate & Other Consolidated (dollars in thousands) Interest income $ 821,339 $ 353,545 $ — $ 2,441 $ 1,177,325 Interest expense 830,324 291,816 — 1,627 1,123,767 Net interest income (8,985) 61,729 — 814 53,558 Servicing and related income — — 120,515 — 120,515 Servicing and related expense — — 12,617 — 12,617 Net servicing income — — 107,898 — 107,898 Other income (loss) (184,910) 48,457 22,324 662 (113,467) Less: Total general and administrative expenses 15,862 13,148 8,507 7,374 44,891 Income (loss) before income taxes (209,757) 97,038 121,715 (5,898) 3,098 Income taxes 118 (24) 11,920 (83) 11,931 Net income (loss) (209,875) 97,062 109,795 (5,815) (8,833) Less: Net income (loss) attributable to noncontrolling interest — 650 — — 650 Net income (loss) attributable to Annaly (209,875) 96,412 109,795 (5,815) (9,483) Dividends on preferred stock — — — 37,158 37,158 Net income (loss) available (related) to common stockholders (209,875) 96,412 109,795 (42,973) (46,641) Unrealized gains (losses) on available-for-sale securities (54,243) — — — (54,243) Reclassification adjustment for net (gains) losses included in net income (loss) 179,234 — — — 179,234 Other comprehensive income (loss) 124,991 — — — 124,991 Comprehensive income (loss) (84,884) 97,062 109,795 (5,815) 116,158 Comprehensive income (loss) attributable to noncontrolling interests — 650 — — 650 Comprehensive income (loss) attributable to Annaly $ (84,884) $ 96,412 $ 109,795 $ (5,815) $ 115,508 Noncash investing and financing activities: Receivable for unsettled trades 311,349 — 9,310 — 320,659 Payable for unsettled trades 1,041,278 — 54,993 — 1,096,271 Net change in unrealized gains (losses) on available-for-sale securities, net of reclassification adjustment 124,991 — — — 124,991 Dividends declared, not yet paid — — — 325,662 325,662 Total assets Total assets $ 66,660,065 $ 23,462,284 $ 3,326,780 $ 219,448 $ 93,668,577 Three Months Ended June 30, 2023 Agency Resi-credit MSR Corporate & Other Consolidated (dollars in thousands) Interest income $ 694,505 $ 218,679 $ — $ 8,310 $ 921,494 Interest expense 778,480 169,239 — 5,738 953,457 Net interest income (83,975) 49,440 — 2,572 (31,963) Servicing and related income — — 83,790 — 83,790 Servicing and related expense — — 8,930 — 8,930 Net servicing income — — 74,860 — 74,860 Other income (loss) 58,225 66,637 54,950 (4,330) 175,482 Less: Total general and administrative expenses 15,685 11,884 7,183 8,163 42,915 Income (loss) before income taxes (41,435) 104,193 122,627 (9,921) 175,464 Income taxes 705 673 13,089 (190) 14,277 Net income (loss) (42,140) 103,520 109,538 (9,731) 161,187 Less: Net income (loss) attributable to noncontrolling interest — (5,846) — — (5,846) Net income (loss) attributable to Annaly (42,140) 109,366 109,538 (9,731) 167,033 Dividends on preferred stock — — — 35,766 35,766 Net income (loss) available (related) to common stockholders (42,140) 109,366 109,538 (45,497) 131,267 Unrealized gains (losses) on available-for-sale securities (294,045) — — — (294,045) Reclassification adjustment for net (gains) losses included in net income (loss) 462,128 — — — 462,128 Other comprehensive income (loss) 168,083 — — — 168,083 Comprehensive income (loss) 125,943 103,520 109,538 (9,731) 329,270 Comprehensive income (loss) attributable to noncontrolling interests — (5,846) — — (5,846) Comprehensive income (loss) attributable to Annaly $ 125,943 $ 109,366 $ 109,538 $ (9,731) $ 335,116 Noncash investing and financing activities: Receivable for unsettled trades 780,458 4,857 1,994 133 787,442 Payable for unsettled trades 4,295,056 10 36,249 — 4,331,315 Net change in unrealized gains (losses) on available-for-sale securities, net of reclassification adjustment 168,083 — — — 168,083 Dividends declared, not yet paid — — — 321,031 321,031 Total assets Total assets $ 70,775,689 $ 15,822,726 $ 2,252,578 $ 479,484 $ 89,330,477 Six Months Ended June 30, 2024 Agency Resi-credit MSR Corporate & Other Consolidated (dollars in thousands) Interest income $ 1,603,265 $ 662,553 $ — $ 5,995 $ 2,271,813 Interest expense 1,677,095 543,678 — 3,933 2,224,706 Net interest income (73,830) 118,875 — 2,062 47,107 Servicing and related income — — 235,599 — 235,599 Servicing and related expense — — 24,833 — 24,833 Net servicing income — — 210,766 — 210,766 Other income (loss) 116,042 153,823 21,454 1,598 292,917 Less: Total general and administrative expenses 31,450 25,822 17,101 9,088 83,461 Income (loss) before income taxes 10,762 246,876 215,119 (5,428) 467,329 Income taxes 725 (1,703) 12,069 (103) 10,988 Net income (loss) 10,037 248,579 203,050 (5,325) 456,341 Less: Net income (loss) attributable to noncontrolling interest — 2,932 — — 2,932 Net income (loss) attributable to Annaly 10,037 245,647 203,050 (5,325) 453,409 Dividends on preferred stock — — — 74,219 74,219 Net income (loss) available (related) to common stockholders 10,037 245,647 203,050 (79,544) 379,190 Unrealized gains (losses) on available-for-sale securities (336,112) — — — (336,112) Reclassification adjustment for net (gains) losses included in net income (loss) 514,585 — — — 514,585 Other comprehensive income (loss) 178,473 — — — 178,473 Comprehensive income (loss) 188,510 248,579 203,050 (5,325) 634,814 Comprehensive income (loss) attributable to noncontrolling interests — 2,932 — — 2,932 Comprehensive income (loss) attributable to Annaly $ 188,510 $ 245,647 $ 203,050 $ (5,325) $ 631,882 Noncash investing and financing activities: Receivable for unsettled trades 311,349 — 9,310 — 320,659 Payable for unsettled trades 1,041,278 — 54,993 — 1,096,271 Net change in unrealized gains (losses) on available-for-sale securities, net of reclassification adjustment 178,473 — — — 178,473 Dividends declared, not yet paid — — — 325,662 325,662 Total assets Total assets $ 66,660,065 $ 23,462,284 $ 3,326,780 $ 219,448 $ 93,668,577 Six Months Ended June 30, 2023 Agency Resi-credit MSR Corporate & Other Consolidated (dollars in thousands) Interest income $ 1,301,892 $ 419,655 $ — $ 18,197 $ 1,739,744 Interest expense 1,430,164 310,740 — 11,340 1,752,244 Net interest income (128,272) 108,915 — 6,857 (12,500) Servicing and related income — — 168,063 — 168,063 Servicing and related expense — — 16,810 — 16,810 Net servicing income — — 151,253 — 151,253 Other income (loss) (886,798) 104,413 83,184 (8,640) (707,841) Less: Total general and administrative expenses 29,825 24,562 14,553 14,803 83,743 Income (loss) before income taxes (1,044,895) 188,766 219,884 (16,586) (652,831) Income taxes 486 8,049 16,848 (73) 25,310 Net income (loss) (1,045,381) 180,717 203,036 (16,513) (678,141) Less: Net income (loss) attributable to noncontrolling interest — (918) — — (918) Net income (loss) attributable to Annaly (1,045,381) 181,635 203,036 (16,513) (677,223) Dividends on preferred stock — — — 67,641 67,641 Net income (loss) available (related) to common stockholders (1,045,381) 181,635 203,036 (84,154) (744,864) Unrealized gains (losses) on available-for-sale securities 381,329 — — — 381,329 Reclassification adjustment for net (gains) losses included in net income (loss) 945,036 — — — 945,036 Other comprehensive income (loss) 1,326,365 — — — 1,326,365 Comprehensive income (loss) 280,984 180,717 203,036 (16,513) 648,224 Comprehensive income (loss) attributable to noncontrolling interests — (918) — — (918) Comprehensive income (loss) attributable to Annaly $ 280,984 $ 181,635 $ 203,036 $ (16,513) $ 649,142 Noncash investing and financing activities: Receivable for unsettled trades 780,458 4,857 1,994 133 787,442 Payable for unsettled trades 4,295,056 10 36,249 — 4,331,315 Net change in unrealized gains (losses) on available-for-sale securities, net of reclassification adjustment 1,326,365 — — — 1,326,365 Dividends declared, not yet paid — — — 321,031 321,031 Total assets Total assets $ 70,775,689 $ 15,822,726 $ 2,252,578 $ 479,484 $ 89,330,477 |
RISK MANAGEMENT
RISK MANAGEMENT | 6 Months Ended |
Jun. 30, 2024 | |
Risk Management [Abstract] | |
RISK MANAGEMENT | 18. RISK MANAGEMENT The primary risks to the Company are 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 and other non-Agency mortgage-backed securities. 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. The Company depends on third party service providers to perform various business processes related to its operations, including mortgage loan servicers and sub-servicers. The Company’s vendor management policy establishes procedures for engaging, onboarding and monitoring the performance of third party vendors. For mortgage loan servicers and sub-servicers, these procedures include assessing a vendor’s financial health as well as oversight of its compliance with applicable laws and regulations, cybersecurity and business continuity programs and security of personally identifiable information. |
LEASE COMMITMENTS AND CONTINGEN
LEASE COMMITMENTS AND CONTINGENCIES | 6 Months Ended |
Jun. 30, 2024 | |
Leases [Abstract] | |
LEASE COMMITMENTS AND CONTINGENCIES | 19. LEASE COMMITMENTS AND CONTINGENCIES The Company’s operating leases are primarily comprised of corporate office leases with remaining lease terms of approximately one year and four years. 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 Company recognizes lease expense for these leases on a straight-line basis over the lease term. The lease cost for the three and six months ended June 30, 2024 and 2023 was $0.8 million and $1.6 million, and $0.8 million and $1.6 million, respectively. Supplemental information related to leases as of and for the six months ended June 30, 2024 was as follows: Operating Leases Classification June 30, 2024 Assets (dollars in thousands) Operating lease right-of-use assets Other assets $ 4,429 Liabilities Operating lease liabilities (1) Other liabilities $ 5,568 Lease term and discount rate Weighted average remaining lease term 1.6 years Weighted average discount rate (1) 3.4% Cash paid for amounts included in the measurement of lease liabilities Operating cash flows from operating leases $ 2,053 (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) 2024 (remaining) $ 2,054 2025 3,149 2026 261 2027 269 2028 22 Later years — Total lease payments $ 5,755 Less imputed interest 187 Present value of lease liabilities $ 5,568 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 June 30, 2024 and December 31, 2023. |
SUBSEQUENT EVENTS
SUBSEQUENT EVENTS | 6 Months Ended |
Jun. 30, 2024 | |
Subsequent Events [Abstract] | |
Subsequent Events | 20. SUBSEQUENT EVENTS In July 2024, the Company completed and closed two securitizations of residential mortgage loans: OBX 2024-NQM10, with a face value of $482.5 million, and OBX 2024-NQM11, with a face value of $603.0 million. These securitizations represent financing transactions which provided non-recourse financing to the Company collateralized by residential mortgage loans purchased by the Company. |
Pay vs Performance Disclosure
Pay vs Performance Disclosure - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2024 | Jun. 30, 2023 | Jun. 30, 2024 | Jun. 30, 2023 | |
Pay vs Performance Disclosure | ||||
Net Income (Loss) | $ (9,483) | $ 167,033 | $ 453,409 | $ (677,223) |
Insider Trading Arrangements
Insider Trading Arrangements | 3 Months Ended | 6 Months Ended |
Jun. 30, 2024 shares | Jun. 30, 2024 shares | |
Trading Arrangements, by Individual | ||
Material Terms of Trading Arrangement | During the quarter ended June 30, 2024, no director or officer of the Company adopted, modified or terminated any Rule 10b5-1 trading arrangement or non-Rule 10b5-1 trading arrangement, each as defined in Item 408 of Regulation S-K, except as set forth below: Name and Title Date of Adoption of Rule 10b5-1 Trading Plan Duration of 10b5-1 Trading Arrangements Aggregate Number of Securities to be Purchased or Sold David L. Finkelstein, Chief Executive Officer and Chief Investment Officer May 16, 2024 The plan’s maximum duration is until December 5, 2025 and the first trades will not occur until August 16, 2024 at the earliest Up to 300,000 shares of common stock in multiple transactions Anthony Green, Chief Corporate Officer and Chief Legal Officer May 16, 2024 The plan’s maximum duration is until March 7, 2025 and the first trades will not occur until August 16, 2024 at the earliest Up to 50,000 shares of common stock in multiple transactions | |
Non-Rule 10b5-1 Arrangement Adopted | false | |
Rule 10b5-1 Arrangement Terminated | false | |
Non-Rule 10b5-1 Arrangement Terminated | false | |
David L. Finkelstein [Member] | ||
Trading Arrangements, by Individual | ||
Name | David L. Finkelstein | |
Title | Chief Executive Officer and Chief Investment Officer | |
Rule 10b5-1 Arrangement Adopted | true | |
Adoption Date | May 16, 2024 | |
Arrangement Duration | 568 days | |
Aggregate Available | 300,000 | 300,000 |
Anthony Green [Member] | ||
Trading Arrangements, by Individual | ||
Name | Anthony Green | |
Title | Chief Corporate Officer and Chief Legal Officer | |
Rule 10b5-1 Arrangement Adopted | true | |
Adoption Date | May 16, 2024 | |
Arrangement Duration | 325 days | |
Aggregate Available | 50,000 | 50,000 |
SIGNIFICANT ACCOUNTING POLICI_2
SIGNIFICANT ACCOUNTING POLICIES (Policies) | 6 Months Ended |
Jun. 30, 2024 | |
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 | 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. |
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 refer to 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 in 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 | 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. 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. Derivative instruments include, but are not limited to, interest rate swaps, options to enter into interest rate swaps (“swaptions”), TBA derivatives, U.S. Treasury and Secured Overnight Financing Rate (“SOFR”) 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, U.S. Treasury 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. 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 SOFR, 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. 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. |
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 received is recognized as Interest receivable in the Consolidated Statements of Financial Condition. Interest income is presented as a separate line item in the Consolidated Statements of Comprehensive Income (Loss). 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 or discounts associated with the purchase of multifamily securities are amortized or accreted into interest income based upon their contractual payment terms. If a prepayment occurs, an adjustment is made to the unpaid principal balance and unamortized premium or discount in the current period and the original effective yield continues to be applied. 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. The Company has made an accounting policy election not to measure an allowance for loans losses for accrued interest receivable. If interest receivable is deemed to be uncollectible or not collected within 90 days of its contractual due date for commercial loans 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”). The Company has early adopted ASU 2023-07, Improvements to Segment Reporting, as its Residential Credit and MSR operating segments have become a more significant component of consolidated results. Refer to the “Segments” Note for more information. The Company reviewed other recently issued ASUs and determined that they were 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. |
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 retained 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 mortgage loans are secured by first liens on primarily one-to-four family residential properties. A subsidiary of the Company has engaged a third party to act as its custodian, agent and bailee for the purposes of receiving and holding certain documents, instruments and papers related to the residential mortgage loans it purchases. Pursuant to the Company’s custodial agreement, the custodian segregates and maintains continuous custody of all documents constituting the mortgage file with respect to each mortgage loan owned by the subsidiary in secure and fire resistant facilities and in a manner consistent with the standard of care employed by prudent mortgage loan document custodians. At or prior to the funding of any residential mortgage loan, the related seller, pursuant to the terms of our mortgage loan purchase agreement, must deliver to the custodian, the mortgage loan documents including the mortgage note, the mortgage and other related loan documents. In addition, a complete credit file for the related mortgage and borrower must be delivered to the subsidiary prior to the date of purchase. |
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 and U.S. Treasury securities are valued using quoted prices for identical instruments in active markets and are classified as Level 1. Residential Securities, interest rate swaps, swaptions and other derivatives are valued using quoted prices or internally estimated prices for similar assets using internal models. The Company incorporates common market pricing methods, including a spread measurement to the Treasury curve as well as underlying characteristics of the particular security including coupon, prepayment speeds, periodic and life caps, rate reset period and expected life of the security in its estimates of fair value. Fair value estimates for residential mortgage loans are generated by a discounted cash flow model and are primarily based on observable market-based inputs including discount rates, prepayment speeds, delinquency levels, and credit losses. Management reviews and indirectly corroborates its estimates of the fair value derived using internal models by comparing its results to independent prices provided by dealers in the securities and/or third party pricing services. Certain liquid asset classes, such as Agency fixed-rate pass-throughs, may be priced using independent sources such as quoted prices for TBA securities. Residential Securities, residential mortgage loans, interest rate swap and swaption markets and TBA derivatives 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 and TBA derivatives 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 and TBA derivatives 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. |
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 secured 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 | From time to time, the Company is involved in various claims and legal actions arising in the ordinary course of business. In the opinion of management, the ultimate disposition of these matters will not have a material effect on the Company’s consolidated financial statements. |
DESCRIPTION OF BUSINESS (Tables
DESCRIPTION OF BUSINESS (Tables) | 6 Months Ended |
Jun. 30, 2024 | |
Accounting Policies [Abstract] | |
Schedule of Investment Groups | The Company’s three 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 MBS. 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 mortgage servicing rights (“MSR”), which provide the right to service residential mortgage loans in exchange for a portion of the interest payments made on the loans. |
FINANCIAL INSTRUMENTS (Tables)
FINANCIAL INSTRUMENTS (Tables) | 6 Months Ended |
Jun. 30, 2024 | |
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 June 30, 2024 and December 31, 2023. Financial Instruments (1) Balance Sheet Line Item Type / Form Measurement Basis June 30, 2024 December 31, 2023 Assets (dollars in thousands) Securities Agency mortgage-backed securities (2) Fair value, with unrealized gains (losses) through other comprehensive income $ 9,669,178 $ 15,665,352 Securities Agency mortgage-backed securities (3) Fair value, with unrealized gains (losses) through earnings 54,721,727 50,643,436 Securities Residential credit risk transfer securities Fair value, with unrealized gains (losses) through earnings 838,437 974,059 Securities Non-agency mortgage-backed securities Fair value, with unrealized gains (losses) through earnings 1,702,859 2,108,274 Securities Commercial real estate debt investments - CMBS Fair value, with unrealized gains (losses) through earnings 112,552 222,444 Total securities 67,044,753 69,613,565 Loans, net Residential mortgage loans Fair value, with unrealized gains (losses) through earnings 2,548,228 2,353,084 Assets transferred or pledged to securitization vehicles Residential mortgage loans Fair value, with unrealized gains (losses) through earnings 17,946,812 13,307,622 Liabilities Repurchase agreements Repurchase agreements Amortized cost $ 60,787,994 $ 62,201,543 Other secured financing Loans Amortized cost 600,000 500,000 Debt issued by securitization vehicles Securities Fair value, with unrealized gains (losses) through earnings 15,831,915 11,600,338 Participations issued Participations issued Fair value, with unrealized gains (losses) through earnings 1,144,821 1,103,835 U.S. Treasury securities sold, not yet purchased Securities Fair value, with unrealized gains (losses) through earnings 1,974,602 2,132,751 (1) Receivable for unsettled trades, Principal and interest receivable, Payable for unsettled trades, Interest payable and Dividends payable are accounted for at cost. (2) Includes Agency pass-through, collateralized mortgage obligation (“CMO”) and multifamily securities 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) | 6 Months Ended |
Jun. 30, 2024 | |
Investments, Debt and Equity Securities [Abstract] | |
Rollforward of Company's Securities | The following table represents a rollforward of the activity for the Company’s securities for the six months ended June 30, 2024: Agency Residential Credit Securities Commercial Total (dollars in thousands) Beginning balance January 1, 2024 $ 66,308,788 $ 3,082,333 $ 222,444 $ 69,613,565 Purchases 14,195,878 353,033 — 14,548,911 Sales (12,543,493) (731,027) (107,464) (13,381,984) Principal paydowns (2,781,021) (264,073) (4,438) (3,049,532) (Amortization) / accretion (39,917) 2,747 468 (36,702) Fair value adjustment (749,330) 98,283 1,542 (649,505) Ending balance June 30, 2024 $ 64,390,905 $ 2,541,296 $ 112,552 $ 67,044,753 |
Schedule of Available-for-sale Securities Reconciliation | The following tables present the Company’s securities portfolio that were carried at their fair value at June 30, 2024 and December 31, 2023: June 30, 2024 Principal / Remaining Premium Remaining Discount Amortized Unrealized Unrealized Estimated Fair Value Agency (dollars in thousands) Fixed-rate pass-through $ 62,483,207 $ 1,273,211 $ (1,194,156) $ 62,562,262 $ 142,638 $ (2,230,420) $ 60,474,480 Adjustable-rate pass-through 173,655 14,982 (49) 188,588 2,118 (12,945) 177,761 CMO 90,987 1,539 — 92,526 — (15,607) 76,919 Interest-only 2,281,909 408,515 — 408,515 8,991 (143,950) 273,556 Multifamily (1) 20,155,207 433,555 (9,197) 3,425,145 17,494 (81,456) 3,361,183 Reverse mortgages 25,823 2,902 — 28,725 — (1,719) 27,006 Total agency securities $ 85,210,788 $ 2,134,704 $ (1,203,402) $ 66,705,761 $ 171,241 $ (2,486,097) $ 64,390,905 Residential credit Credit risk transfer $ 780,293 $ 1,863 $ (3,843) $ 778,313 $ 60,272 $ (148) $ 838,437 Alt-A 165,585 37 (1,889) 163,733 2,934 (9,739) 156,928 Prime (2) 1,372,222 14,026 (10,409) 30,527 2,844 (559) 32,812 Subprime 295,067 13 (30,949) 264,131 6,963 (11,728) 259,366 NPL/RPL 1,114,675 8,087 (9,181) 1,113,581 3,247 (20,660) 1,096,168 Prime jumbo (>=2010 vintage) (3) 10,046,140 80,970 (30,794) 143,697 18,670 (4,782) 157,585 Total residential credit securities $ 13,773,982 $ 104,996 $ (87,065) $ 2,493,982 $ 94,930 $ (47,616) $ 2,541,296 Total residential securities $ 98,984,770 $ 2,239,700 $ (1,290,467) $ 69,199,743 $ 266,171 $ (2,533,713) $ 66,932,201 Commercial Commercial securities $ 112,288 $ 116 $ (47) $ 112,357 $ 199 $ (4) $ 112,552 Total securities $ 99,097,058 $ 2,239,816 $ (1,290,514) $ 69,312,100 $ 266,370 $ (2,533,717) $ 67,044,753 December 31, 2023 Principal / Remaining Premium Remaining Discount Amortized Unrealized Unrealized Estimated Fair Value Agency (dollars in thousands) Fixed-rate pass-through $ 63,444,987 $ 1,448,886 $ (1,318,948) $ 63,574,925 $ 477,242 $ (1,853,226) $ 62,198,941 Adjustable-rate pass-through 188,996 15,834 (51) 204,779 1,663 (14,953) 191,489 CMO 94,448 1,612 — 96,060 — (13,088) 82,972 Interest-only 2,010,697 416,955 — 416,955 4,729 (157,679) 264,005 Multifamily (1) 17,130,045 400,781 (9,752) 3,552,217 52,055 (59,744) 3,544,528 Reverse mortgages 26,183 3,193 — 29,376 — (2,523) 26,853 Total agency investments $ 82,895,356 $ 2,287,261 $ (1,328,751) $ 67,874,312 $ 535,689 $ (2,101,213) $ 66,308,788 Residential credit Credit risk transfer $ 924,729 $ 2,240 $ (4,358) $ 922,611 $ 51,984 $ (536) $ 974,059 Alt-A 164,384 9 (3,922) 160,471 2,135 (12,371) 150,235 Prime (2) 1,076,497 8,590 (21,163) 207,077 1,704 (28,134) 180,647 Subprime 272,955 — (31,751) 241,204 5,622 (11,221) 235,605 NPL/RPL 1,237,531 8,336 (9,224) 1,236,643 4,578 (43,666) 1,197,555 Prime jumbo (>=2010 vintage) (3) 9,425,280 71,960 (49,859) 365,676 10,696 (32,140) 344,232 Total residential credit securities $ 13,101,376 $ 91,135 $ (120,277) $ 3,133,682 $ 76,719 $ (128,068) $ 3,082,333 Total residential securities $ 95,996,732 $ 2,378,396 $ (1,449,028) $ 71,007,994 $ 612,408 $ (2,229,281) $ 69,391,121 Commercial Commercial securities $ 224,597 $ 15 $ (822) $ 223,790 $ 19 $ (1,365) $ 222,444 Total securities $ 96,221,329 $ 2,378,411 $ (1,449,850) $ 71,231,784 $ 612,427 $ (2,230,646) $ 69,613,565 (1) Principal/Notional amount includes $17.2 billion and $14.0 billion of Agency Multifamily interest-only securities as of June 30, 2024 and December 31, 2023, respectively. (2) Principal/Notional amount includes $1.3 billion and $0.9 billion of Prime interest-only securities as of June 30, 2024 and December 31, 2023, respectively. (3) Principal/Notional amount includes $10.0 billion and $9.1 billion of Prime Jumbo interest-only securities as of June 30, 2024 and December 31, 2023, respectively. |
Types of Agency Mortgage Backed Securities | The following table presents the Company’s Agency mortgage-backed securities portfolio by issuing Agency at June 30, 2024 and December 31, 2023: June 30, 2024 December 31, 2023 Investment Type (dollars in thousands) Fannie Mae $ 59,746,320 $ 60,477,303 Freddie Mac 4,576,036 5,778,809 Ginnie Mae 68,549 52,676 Total $ 64,390,905 $ 66,308,788 |
Schedule of Residential Investment Securities by Estimated Weighted Average Life Classification | The following table summarizes the Company’s Residential Securities at June 30, 2024 and December 31, 2023, according to their estimated weighted average life classifications: June 30, 2024 December 31, 2023 Estimated Fair Value Amortized Estimated Fair Value Amortized Estimated weighted average life (dollars in thousands) Less than one year $ 158,772 $ 160,077 $ 254,753 $ 257,170 Greater than one year through five years 1,758,528 1,783,897 5,159,969 5,213,575 Greater than five years through ten years 63,127,997 65,303,899 62,158,711 63,662,144 Greater than ten years 1,886,904 1,951,870 1,817,688 1,875,105 Total $ 66,932,201 $ 69,199,743 $ 69,391,121 $ 71,007,994 |
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 June 30, 2024 and December 31, 2023. June 30, 2024 December 31, 2023 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 $ 31,026 $ (986) 35 $ 35,453 $ (418) 16 12 Months or more 9,501,393 (1,159,761) 1,441 15,455,118 (1,340,032) 1,747 Total $ 9,532,419 $ (1,160,747) 1,476 $ 15,490,571 $ (1,340,450) 1,763 (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 six months ended June 30, 2024 and 2023, which is included in Net gains (losses) on investments and other in the Consolidated Statements of Comprehensive Income (Loss). Gross Realized Gains Gross Realized Losses Net Realized Gains (Losses) For the three months ended (dollars in thousands) June 30, 2024 $ 7,302 $ (382,254) $ (374,952) June 30, 2023 $ 9,496 $ (608,732) $ (599,236) For the six months ended June 30, 2024 $ 40,226 $ (853,425) $ (813,199) June 30, 2023 $ 13,765 $ (1,134,849) $ (1,121,084) |
LOANS (Tables)
LOANS (Tables) | 6 Months Ended |
Jun. 30, 2024 | |
Receivables [Abstract] | |
Loan Investment Activity | The following table presents the activity of the Company’s loan investments, excluding loans transferred or pledged to securitization vehicles, for the six months ended June 30, 2024: Residential Loans (dollars in thousands) Beginning balance January 1, 2024 $ 2,353,084 Purchases / originations 5,987,132 Sales and transfers (1) (5,729,881) Principal payments (64,526) Gains / (losses) 10,431 (Amortization) / accretion (8,012) Ending balance June 30, 2024 $ 2,548,228 (1) Includes transfer of residential loans to securitization vehicles with a carrying value of $5.6 billion during the six months ended June 30, 2024. |
Fair Value and Unpaid Principal of Residential Mortgage Loan Portfolio | The following table presents the fair value and the unpaid principal balances of the residential mortgage loan portfolio, including loans transferred or pledged to securitization vehicles, at June 30, 2024 and December 31, 2023: June 30, 2024 December 31, 2023 (dollars in thousands) Fair value $ 20,495,040 $ 15,660,706 Unpaid principal balance $ 21,482,560 $ 16,611,204 |
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 six months ended June 30, 2024 and 2023 for these investments: For the Three Months Ended For the Six Months Ended June 30, 2024 June 30, 2023 June 30, 2024 June 30, 2023 (dollars in thousands) Interest income $ 301,820 $ 162,202 $ 553,836 $ 309,432 Net gains (losses) on disposal of investments (1) (1,228) (1,495) (3,344) (2,272) Net unrealized gains (losses) on instruments measured at fair value through earnings (1) (3,913) (167,759) (88,698) 92,680 Total included in net income (loss) $ 296,679 $ (7,052) $ 461,794 $ 399,840 (1) These amounts are presented in the line item Net gains (losses) on investments and other in 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 June 30, 2024 and December 31, 2023 for the residential mortgage loans, including loans transferred or pledged to securitization vehicles: Geographic Concentrations of Residential Mortgage Loans June 30, 2024 December 31, 2023 Property location % of Balance Property location % of Balance California 38.0% California 40.1% Florida 10.8% Florida 10.6% New York 10.6% New York 10.5% Texas 5.6% Texas 5.6% All other (none individually greater than 5%) 35.0% All other (none individually greater than 5%) 33.2% 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 June 30, 2024 and December 31, 2023: June 30, 2024 December 31, 2023 Portfolio Range Portfolio Weighted Portfolio Range Portfolio Weighted Average (dollars in thousands) Unpaid principal balance $1 - $4,396 $476 $1 - $4,396 $477 Interest rate 2.00% - 14.13% 6.12% 2.00% - 13.25% 5.63% Maturity 7/1/2029 - 7/1/2064 8/14/2052 7/1/2029 - 12/1/2063 4/22/2052 FICO score at loan origination 549 - 850 757 549 - 850 758 Loan-to-value ratio at loan origination 3% - 100% 69% 3% - 100% 68% |
MORTGAGE SERVICING RIGHTS (Tabl
MORTGAGE SERVICING RIGHTS (Tables) | 6 Months Ended |
Jun. 30, 2024 | |
Transfers and Servicing [Abstract] | |
Presentation of Activity Related to MSR | The following table presents activity related to MSR for the three and six months ended June 30, 2024 and 2023: Mortgage Servicing Rights Three Months Ended Six Months Ended June 30, 2024 June 30, 2023 June 30, 2024 June 30, 2023 (dollars in thousands) Fair value, beginning of period $ 2,651,279 $ 1,790,980 $ 2,122,196 $ 1,748,209 Purchases (1) 120,896 177,521 636,627 214,151 Sales (1,068) — (1,068) — Change in fair value due to: Changes in valuation inputs or assumptions (2) 59,902 80,323 106,038 110,530 Other changes, including realization of expected cash flows (45,395) (29,928) (78,179) (53,994) Fair value, end of period $ 2,785,614 $ 2,018,896 $ 2,785,614 $ 2,018,896 (1) Includes adjustments to original purchase price from early payoffs, defaults, or loans that were delivered but were deemed to not be acceptable. (2) Principally represents changes in discount rates and prepayment speed inputs used in valuation model, primarily due to changes in interest rates. |
VARIABLE INTEREST ENTITIES (Tab
VARIABLE INTEREST ENTITIES (Tables) | 6 Months Ended |
Jun. 30, 2024 | |
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 that provide non-recourse financing to the Company and are collateralized by residential mortgage loans purchased by the Company. Residential securitizations closed as of June 30, 2024 are included in the following table: Securitization Date of Closing Face Value at Closing (dollars in thousands) OBX 2024-NQM1 January 2024 $ 413,581 OBX 2024-NQM2 January 2024 $ 495,980 OBX 2024-HYB1 February 2024 $ 412,084 OBX 2024-NQM3 February 2024 $ 439,904 OBX 2024-NQM4 March 2024 $ 592,448 OBX 2024-HYB2 March 2024 $ 397,787 OBX 2024-NQM5 April 2024 $ 574,553 OBX 2024-NQM6 April 2024 $ 441,421 OBX 2024-NQM7 May 2024 $ 551,759 OBX 2024-NQM8 May 2024 $ 723,086 OBX 2024-NQM9 June 2024 $ 532,126 |
DERIVATIVE INSTRUMENTS (Tables)
DERIVATIVE INSTRUMENTS (Tables) | 6 Months Ended |
Jun. 30, 2024 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Summarizes Fair Value Information about Derivative Assets Liabilities | The following table summarizes fair value information about the Company’s derivative assets and liabilities at June 30, 2024 and December 31, 2023: Derivatives Instruments June 30, 2024 December 31, 2023 Assets (dollars in thousands) Interest rate swaps $ 16,824 $ 26,344 Interest rate swaptions 148,040 105,883 TBA derivatives 14,641 20,689 Futures contracts 1,723 — Purchase commitments 6,640 9,641 Total derivative assets $ 187,868 $ 162,557 Liabilities Interest rate swaps $ 15,314 $ 83,051 TBA derivatives 2,193 39,070 Futures contracts 81,730 179,835 Purchase commitments 1,592 339 Total derivative liabilities $ 100,829 $ 302,295 |
Summary of Certain Characteristics of Derivatives | The following tables summarize certain characteristics of the Company’s interest rate swaps at June 30, 2024 and December 31, 2023: June 30, 2024 Maturity Current Notional (1) Weighted Average Pay Rate Weighted Average Receive Rate Weighted Average Years to Maturity (2) (dollars in thousands) 0 - 3 years $ 19,861,229 3.35 % 5.33 % 1.29 3 - 6 years 14,533,021 3.36 % 5.30 % 4.82 6 - 10 years 20,501,637 2.80 % 5.28 % 8.06 Greater than 10 years 1,559,384 3.47 % 5.18 % 23.75 Total / Weighted average $ 56,455,271 3.13 % 5.30 % 5.28 December 31, 2023 Maturity Current Notional (1) Weighted Average Weighted Average Receive Rate Weighted Average Years to Maturity (2) (dollars in thousands) 0 - 3 years $ 21,397,358 3.17 % 5.26 % 1.23 3 - 6 years 12,461,799 3.09 % 5.37 % 4.75 6 - 10 years 22,949,150 2.85 % 5.34 % 8.02 Greater than 10 years 2,021,247 3.53 % 5.27 % 22.71 Total / Weighted average $ 58,829,554 3.04 % 5.31 % 5.36 (1) As of June 30, 2024, 6% and 94% of the Company’s interest rate swaps were linked to the Federal funds rate and the SOFR, respectively. As of December 31, 2023, 6% and 94% of the Company’s interest rate swaps were linked to the Federal funds rate and the SOFR, respectively. (2) 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 tables summarize certain characteristics of the Company’s swaptions at June 30, 2024 and December 31, 2023: June 30, 2024 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 $1,250,000 2.21% SOFR 7.19 2.15 December 31, 2023 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 $1,250,000 2.21% SOFR 7.69 8.21 Long receive $500,000 1.65% SOFR 10.30 3.53 The following tables summarize certain characteristics of the Company’s TBA derivatives at June 30, 2024 and December 31, 2023: June 30, 2024 Purchase and sale contracts for derivative TBAs Notional Implied Cost Basis Implied Market Value Net Carrying Value (dollars in thousands) Purchase contracts $ 2,395,000 $ 2,313,203 $ 2,324,113 $ 10,910 Sale contracts (733,000) (673,262) (671,724) 1,538 Net TBA derivatives $ 1,662,000 $ 1,639,941 $ 1,652,389 $ 12,448 December 31, 2023 Purchase and sale contracts for derivative TBAs Notional Implied Cost Basis Implied Market Value Net Carrying Value (dollars in thousands) Purchase contracts $ 988,000 $ 920,626 $ 915,790 $ (4,836) Sale contracts (1,491,000) (1,475,847) (1,489,392) (13,545) Net TBA derivatives $ (503,000) $ (555,221) $ (573,602) $ (18,381) The following tables summarize certain characteristics of the Company’s futures derivatives at June 30, 2024 and December 31, 2023: June 30, 2024 Notional - Long Notional - Short Weighted Average (dollars in thousands) 2-year swap equivalent SOFR contracts $ 2,790,000 $ — 1.97 U.S. Treasury futures - 2 year — (1,306,400) 1.97 U.S. Treasury futures - 10 year and greater — (6,025,500) 10.72 Total $ 2,790,000 $ (7,331,900) 7.18 December 31, 2023 Notional - Long Notional - Short Weighted Average (dollars in thousands) U.S. Treasury futures - 2 year $ — $ (5,001,400) 1.97 U.S. Treasury futures - 10 year and greater — (1,733,600) 14.26 Total $ — $ (6,735,000) 5.13 |
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 the Company’s Consolidated Statements of Financial Condition at June 30, 2024 and December 31, 2023, respectively. June 30, 2024 Amounts Eligible for Offset Gross Amounts Financial Instruments Cash Collateral Net Amounts Assets (dollars in thousands) Interest rate swaps, at fair value $ 16,824 $ (9,263) $ — $ 7,561 Interest rate swaptions, at fair value 148,040 (62,215) (82,110) 3,715 TBA derivatives, at fair value 14,641 (4,285) (6,595) 3,761 Futures contracts, at fair value 1,723 (1,723) — — Purchase commitments 6,640 — — 6,640 Liabilities Interest rate swaps, at fair value $ 15,314 $ (13,899) $ — $ 1,415 TBA derivatives, at fair value 2,193 (2,193) — — Futures contracts, at fair value 81,730 (1,723) (80,007) — Purchase commitments 1,592 — — 1,592 December 31, 2023 Amounts Eligible for Offset Gross Amounts Financial Instruments Cash Collateral Net Amounts Assets (dollars in thousands) Interest rate swaps, at fair value $ 26,344 $ (21,505) $ — $ 4,839 Interest rate swaptions, at fair value 105,883 (45,930) (57,320) 2,633 TBA derivatives, at fair value 20,689 (13,282) — 7,407 Purchase commitments 9,641 — — 9,641 Liabilities Interest rate swaps, at fair value $ 83,051 $ (72,844) $ — $ 10,207 TBA derivatives, at fair value 39,070 (34,525) — 4,545 Futures contracts, at fair value 179,835 — (179,835) — Purchase commitments 339 — — 339 |
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) June 30, 2024 $ 298,372 $ 18,721 $ 97,484 June 30, 2023 $ 425,293 $ 48,148 $ 841,702 For the six months ended June 30, 2024 $ 628,521 $ (2,516) $ 998,386 June 30, 2023 $ 810,999 $ (97,671) $ (114,570) (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 June 30, 2024 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 $ (16,252) $ 15,931 $ (321) Net interest rate swaptions (12,331) 23,857 11,526 Futures (1) 48,227 (45,882) 2,345 Purchase commitments — 2,360 2,360 Total $ 15,910 (1) For the three months ended June 30, 2024, includes ($1.2) million of unrealized loss and ($6.8) million of realized loss related to SOFR futures options. Three Months Ended June 30, 2023 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 $ 99,361 $ (160,873) $ (61,512) Net interest rate swaptions — 53,413 53,413 Futures (1) (242,013) 413,240 171,227 Purchase commitments — (3,444) (3,444) Credit derivatives (17,970) 18,468 498 Total $ 160,182 (1) For the three months ended June 30, 2023, includes ($18.8) million of unrealized loss related to SOFR futures options. Six Months Ended June 30, 2024 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 $ (24,868) $ 30,829 $ 5,961 Net interest rate swaptions (12,331) 54,488 42,157 Futures (1) 39,547 99,827 139,374 Purchase commitments — (4,252) (4,252) Total $ 183,240 (1) For the six months ended June 30, 2024, includes ($6.8) million of realized loss related to SOFR futures options. Six Months Ended June 30, 2023 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 $ (54,488) $ 54,487 $ (1) Net interest rate swaptions 2,323 7,415 9,738 Futures (1) (123,681) 98,362 (25,319) Purchase commitments — (2,581) (2,581) Credit derivatives (19,282) 13,260 (6,022) Total $ (24,185) (1) For the six months ended June 30, 2023, includes ($18.8) million of unrealized loss related to SOFR futures options. |
FAIR VALUE MEASUREMENTS (Tables
FAIR VALUE MEASUREMENTS (Tables) | 6 Months Ended |
Jun. 30, 2024 | |
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 as of June 30, 2024 and December 31, 2023. There were no transfers between levels of the fair value hierarchy during the periods presented. June 30, 2024 Level 1 Level 2 Level 3 Total Assets (dollars in thousands) Securities Agency mortgage-backed securities $ — $ 64,390,905 $ — $ 64,390,905 Credit risk transfer securities — 838,437 — 838,437 Non-Agency mortgage-backed securities — 1,702,859 — 1,702,859 Commercial mortgage-backed securities — 112,552 — 112,552 Loans Residential mortgage loans — 2,548,228 — 2,548,228 Mortgage servicing rights — — 2,785,614 2,785,614 Assets transferred or pledged to securitization vehicles — 17,946,812 — 17,946,812 Derivative assets Interest rate swaps — 16,824 — 16,824 Other derivatives 1,723 169,321 — 171,044 Total assets $ 1,723 $ 87,725,938 $ 2,785,614 $ 90,513,275 Liabilities Debt issued by securitization vehicles $ — $ 15,831,915 $ — $ 15,831,915 Participations issued — 1,144,821 — 1,144,821 U.S. Treasury securities sold, not yet purchased 1,974,602 — — 1,974,602 Derivative liabilities Interest rate swaps — 15,314 — 15,314 Other derivatives 81,730 3,785 — 85,515 Total liabilities $ 2,056,332 $ 16,995,835 $ — $ 19,052,167 December 31, 2023 Level 1 Level 2 Level 3 Total Assets (dollars in thousands) Securities Agency mortgage-backed securities $ — $ 66,308,788 $ — $ 66,308,788 Credit risk transfer securities — 974,059 — 974,059 Non-Agency mortgage-backed securities — 2,108,274 — 2,108,274 Commercial mortgage-backed securities — 222,444 — 222,444 Loans Residential mortgage loans — 2,353,084 — 2,353,084 Mortgage servicing rights — — 2,122,196 2,122,196 Assets transferred or pledged to securitization vehicles — 13,307,622 — 13,307,622 Derivative assets Interest rate swaps — 26,344 — 26,344 Other derivatives — 136,213 — 136,213 Total assets $ — $ 85,436,828 $ 2,122,196 $ 87,559,024 Liabilities Debt issued by securitization vehicles $ — $ 11,600,338 $ — $ 11,600,338 Participations issued — 1,103,835 — 1,103,835 U.S. Treasury securities sold, not yet purchased 2,132,751 — — 2,132,751 Derivative liabilities Interest rate swaps — 83,051 — 83,051 Other derivatives 179,835 39,409 — 219,244 Total liabilities $ 2,312,586 $ 12,826,633 $ — $ 15,139,219 |
Information about Significant Unobservable Inputs Used for Recurring Fair Value Measurements for Level 3 MSRs | The following table presents information about the significant unobservable inputs used for recurring fair value measurements for Level 3 MSR. The table does not give effect to the Company’s risk management practices that might offset risks inherent in these Level 3 investments. Unobservable Input (1) Range (Weighted Average) (2) June 30, 2024 December 31, 2023 Discount rate 5.3% - 12.4% (8.4%) 7.0% - 12.0% (8.6%) Prepayment rate 4.7% - 17.3% (5.5%) 4.8% - 11.0% (5.6%) Delinquency rate 0.2% - 3.8% (1.1%) 0.2% - 4.2% (1.3%) Cost to service $83 - $109 ($91) $84 - $111 ($94) (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 June 30, 2024 and December 31, 2023. June 30, 2024 December 31, 2023 Carrying Fair Carrying Fair Financial liabilities Repurchase agreements $60,787,994 $60,787,994 $62,201,543 $62,201,543 Other secured financing 600,000 600,000 500,000 500,000 |
INTANGIBLE ASSETS (Tables)
INTANGIBLE ASSETS (Tables) | 6 Months Ended |
Jun. 30, 2024 | |
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 six months ended June 30, 2024. Intangible Assets, net (dollars in thousands) Beginning balance January 1, 2024 $ 12,106 Less: amortization expense (1,345) Ending balance June 30, 2024 $ 10,761 |
SECURED FINANCING (Tables)
SECURED FINANCING (Tables) | 6 Months Ended |
Jun. 30, 2024 | |
Debt Disclosure [Abstract] | |
Schedule of Repurchase Agreements Remaining Maturity ,Collateral Types and Weighted Average Rates | At June 30, 2024 and December 31, 2023, the repurchase agreements had the following remaining maturities and collateral types: June 30, 2024 Agency Mortgage-Backed Securities CRTs Non-Agency Mortgage-Backed Securities Residential Mortgage Loans Commercial Mortgage-Backed Securities Total Repurchase Agreements (dollars in thousands) 1 day $ 20,898,019 $ 47,794 $ 88,066 $ — $ — $ 21,033,879 2 to 29 days 14,107,044 315,802 644,301 — 100,617 15,167,764 30 to 59 days 17,110,329 — 711,446 — — 17,821,775 60 to 89 days 3,329,272 273,174 542,254 — — 4,144,700 90 to 119 days 460,761 — 66,755 330,994 — 858,510 Over 119 days (1) 2,750,361 — 320,691 701,685 — 3,772,737 Total $ 58,655,786 $ 636,770 $ 2,373,513 $ 1,032,679 $ 100,617 $ 62,799,365 Amounts offset in accordance with netting arrangements. $ (2,011,371) Net amounts of Repurchase agreements as presented in the Consolidated Statements of Financial Condition. $ 60,787,994 December 31, 2023 Agency Mortgage-Backed Securities CRTs Non-Agency Mortgage-Backed Securities Residential Mortgage Loans Commercial Mortgage-Backed Securities Total Repurchase Agreements (dollars in thousands) 1 day $ — $ — $ — $ — $ — $ — 2 to 29 days 33,492,952 555,568 840,400 — 191,276 35,080,196 30 to 59 days 18,090,265 — 528,341 — — 18,618,606 60 to 89 days 6,479,206 139,952 579,611 — — 7,198,769 90 to 119 days — — 39,714 207,592 — 247,306 Over 119 days (1) 2,511,003 — 169,697 644,259 — 3,324,959 Total $ 60,573,426 $ 695,520 $ 2,157,763 $ 851,851 $ 191,276 $ 64,469,836 Amounts offset in accordance with netting arrangements. $ (2,268,293) Net amounts of Repurchase agreements as presented in the Consolidated Statements of Financial Condition. $ 62,201,543 (1) Less than 1% of repurchase agreements had a remaining maturity over 1 year at June 30, 2024. No repurchase agreements had a remaining maturity over 1 year at December 31, 2023. |
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 June 30, 2024 and December 31, 2023. Refer to the “Derivative Instruments” Note for information related to the effect of netting arrangements on the Company’s derivative instruments. June 30, 2024 December 31, 2023 Reverse Repurchase Agreements Repurchase Agreements Reverse Repurchase Agreements Repurchase Agreements (dollars in thousands) Gross amounts $ 2,011,371 $ 62,799,365 $ 2,268,293 $ 64,469,836 Amounts offset (2,011,371) (2,011,371) (2,268,293) (2,268,293) Netted amounts $ — $ 60,787,994 $ — $ 62,201,543 |
CAPITAL STOCK (Tables)
CAPITAL STOCK (Tables) | 6 Months Ended |
Jun. 30, 2024 | |
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 June 30, 2024 and December 31, 2023. Shares authorized Shares issued and outstanding June 30, 2024 December 31, 2023 June 30, 2024 December 31, 2023 Par Value Common stock 1,468,250,000 1,468,250,000 501,018,415 500,080,287 $0.01 The following is a summary of the Company’s cumulative redeemable preferred stock outstanding at June 30, 2024 and December 31, 2023. 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) Effective Date of Floating Rate Dividend Period Floating Annual Rate (2) June 30, 2024 December 31, 2023 June 30, 2024 December 31, 2023 June 30, 2024 December 31, 2023 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 Term SOFR + 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 Term SOFR + 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 Term SOFR + 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. (2) For each series of fixed-to-floating rate cumulative redeemable preferred stock, the floating rate is calculated as 3-month CME Term SOFR (plus a spread adjustment of 0.26161%) plus the spread specified in the prospectus. |
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 Six Months Ended June 30, 2024 June 30, 2023 June 30, 2024 June 30, 2023 (dollars in thousands, except per share data) Dividends and dividend equivalents declared on common stock and share-based awards $ 327,741 $ 322,448 $ 654,613 $ 644,947 Distributions declared per common share $ 0.65 $ 0.65 $ 1.30 $ 1.30 Distributions paid to common stockholders after period end $ 325,662 $ 321,031 $ 325,662 $ 321,031 Distributions paid per common share after period end $ 0.65 $ 0.65 $ 0.65 $ 0.65 Date of distributions paid to common stockholders after period end July 31, 2024 July 28, 2023 July 31, 2024 July 28, 2023 Dividends declared to series F preferred stockholders $ 19,002 $ 18,274 $ 38,087 $ 35,776 Dividends declared per share of series F preferred stock $ 0.660 $ 0.635 $ 1.322 $ 1.242 Dividends declared to series G preferred stockholders $ 10,689 $ 10,025 $ 21,198 $ 16,931 Dividends declared per share of series G preferred stock $ 0.629 $ 0.590 $ 1.247 $ 0.996 Dividends declared to series I preferred stockholders $ 7,467 $ 7,467 $ 14,934 $ 14,934 Dividends declared per share of series I preferred stock $ 0.422 $ 0.422 $ 0.844 $ 0.844 |
INTEREST INCOME AND INTEREST _2
INTEREST INCOME AND INTEREST EXPENSE (Tables) | 6 Months Ended |
Jun. 30, 2024 | |
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) in 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 in 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 in 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 table presents the components of the Company’s interest income and interest expense for the three and six months ended June 30, 2024 and 2023. For the Three Months Ended June 30, For the Six Months Ended June 30, 2024 2023 2024 2023 Interest income (dollars in thousands) Agency securities $ 790,779 $ 686,912 $ 1,542,295 $ 1,290,014 Residential credit securities 50,895 56,477 106,891 110,222 Residential mortgage loans (1) 301,820 162,202 553,836 309,433 Commercial investment portfolio (1) (2) 2,441 8,310 5,995 18,197 Reverse repurchase agreements 31,390 7,593 62,796 11,878 Total interest income $ 1,177,325 $ 921,494 $ 2,271,813 $ 1,739,744 Interest expense Repurchase agreements $ 881,926 $ 841,257 $ 1,779,524 $ 1,539,999 Debt issued by securitization vehicles 200,812 101,819 361,829 190,753 Participations issued 19,756 10,381 40,007 21,492 U.S. Treasury securities sold, not yet purchased 21,273 — 43,346 — Total interest expense 1,123,767 953,457 2,224,706 1,752,244 Net interest income $ 53,558 $ (31,963) $ 47,107 $ (12,500) (1) Includes assets transferred or pledged to securitization vehicles. (2) Includes commercial real estate debt and preferred equity. |
NET INCOME (LOSS) PER COMMON _2
NET INCOME (LOSS) PER COMMON SHARE (Tables) | 6 Months Ended |
Jun. 30, 2024 | |
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 six months ended June 30, 2024 and 2023. For the Three Months Ended For the Six Months Ended June 30, 2024 June 30, 2023 June 30, 2024 June 30, 2023 (dollars in thousands, except per share data) Net income (loss) $ (8,833) $ 161,187 $ 456,341 $ (678,141) Net income (loss) attributable to noncontrolling interests 650 (5,846) 2,932 (918) Net income (loss) attributable to Annaly (9,483) 167,033 453,409 (677,223) Dividends on preferred stock 37,158 35,766 74,219 67,641 Net income (loss) available (related) to common stockholders $ (46,641) $ 131,267 $ 379,190 $ (744,864) Weighted average shares of common stock outstanding-basic 500,950,563 494,165,256 500,781,701 491,939,177 Add: Effect of stock awards, if dilutive — 193,726 633,814 — Weighted average shares of common stock outstanding-diluted 500,950,563 494,358,982 501,415,515 491,939,177 Net income (loss) per share available (related) to common share Basic $ (0.09) $ 0.27 $ 0.76 $ (1.51) Diluted $ (0.09) $ 0.27 $ 0.76 $ (1.51) |
SEGMENTS (Tables)
SEGMENTS (Tables) | 6 Months Ended |
Jun. 30, 2024 | |
Segment Reporting [Abstract] | |
Schedule of Segment Reporting Information, by Segment | The following tables present the reportable operating segments related to the Company’s results of operations for the three and six months ended June 30, 2024 and 2023: Three Months Ended June 30, 2024 Agency Resi-credit MSR Corporate & Other Consolidated (dollars in thousands) Interest income $ 821,339 $ 353,545 $ — $ 2,441 $ 1,177,325 Interest expense 830,324 291,816 — 1,627 1,123,767 Net interest income (8,985) 61,729 — 814 53,558 Servicing and related income — — 120,515 — 120,515 Servicing and related expense — — 12,617 — 12,617 Net servicing income — — 107,898 — 107,898 Other income (loss) (184,910) 48,457 22,324 662 (113,467) Less: Total general and administrative expenses 15,862 13,148 8,507 7,374 44,891 Income (loss) before income taxes (209,757) 97,038 121,715 (5,898) 3,098 Income taxes 118 (24) 11,920 (83) 11,931 Net income (loss) (209,875) 97,062 109,795 (5,815) (8,833) Less: Net income (loss) attributable to noncontrolling interest — 650 — — 650 Net income (loss) attributable to Annaly (209,875) 96,412 109,795 (5,815) (9,483) Dividends on preferred stock — — — 37,158 37,158 Net income (loss) available (related) to common stockholders (209,875) 96,412 109,795 (42,973) (46,641) Unrealized gains (losses) on available-for-sale securities (54,243) — — — (54,243) Reclassification adjustment for net (gains) losses included in net income (loss) 179,234 — — — 179,234 Other comprehensive income (loss) 124,991 — — — 124,991 Comprehensive income (loss) (84,884) 97,062 109,795 (5,815) 116,158 Comprehensive income (loss) attributable to noncontrolling interests — 650 — — 650 Comprehensive income (loss) attributable to Annaly $ (84,884) $ 96,412 $ 109,795 $ (5,815) $ 115,508 Noncash investing and financing activities: Receivable for unsettled trades 311,349 — 9,310 — 320,659 Payable for unsettled trades 1,041,278 — 54,993 — 1,096,271 Net change in unrealized gains (losses) on available-for-sale securities, net of reclassification adjustment 124,991 — — — 124,991 Dividends declared, not yet paid — — — 325,662 325,662 Total assets Total assets $ 66,660,065 $ 23,462,284 $ 3,326,780 $ 219,448 $ 93,668,577 Three Months Ended June 30, 2023 Agency Resi-credit MSR Corporate & Other Consolidated (dollars in thousands) Interest income $ 694,505 $ 218,679 $ — $ 8,310 $ 921,494 Interest expense 778,480 169,239 — 5,738 953,457 Net interest income (83,975) 49,440 — 2,572 (31,963) Servicing and related income — — 83,790 — 83,790 Servicing and related expense — — 8,930 — 8,930 Net servicing income — — 74,860 — 74,860 Other income (loss) 58,225 66,637 54,950 (4,330) 175,482 Less: Total general and administrative expenses 15,685 11,884 7,183 8,163 42,915 Income (loss) before income taxes (41,435) 104,193 122,627 (9,921) 175,464 Income taxes 705 673 13,089 (190) 14,277 Net income (loss) (42,140) 103,520 109,538 (9,731) 161,187 Less: Net income (loss) attributable to noncontrolling interest — (5,846) — — (5,846) Net income (loss) attributable to Annaly (42,140) 109,366 109,538 (9,731) 167,033 Dividends on preferred stock — — — 35,766 35,766 Net income (loss) available (related) to common stockholders (42,140) 109,366 109,538 (45,497) 131,267 Unrealized gains (losses) on available-for-sale securities (294,045) — — — (294,045) Reclassification adjustment for net (gains) losses included in net income (loss) 462,128 — — — 462,128 Other comprehensive income (loss) 168,083 — — — 168,083 Comprehensive income (loss) 125,943 103,520 109,538 (9,731) 329,270 Comprehensive income (loss) attributable to noncontrolling interests — (5,846) — — (5,846) Comprehensive income (loss) attributable to Annaly $ 125,943 $ 109,366 $ 109,538 $ (9,731) $ 335,116 Noncash investing and financing activities: Receivable for unsettled trades 780,458 4,857 1,994 133 787,442 Payable for unsettled trades 4,295,056 10 36,249 — 4,331,315 Net change in unrealized gains (losses) on available-for-sale securities, net of reclassification adjustment 168,083 — — — 168,083 Dividends declared, not yet paid — — — 321,031 321,031 Total assets Total assets $ 70,775,689 $ 15,822,726 $ 2,252,578 $ 479,484 $ 89,330,477 |
LEASE COMMITMENTS AND CONTING_2
LEASE COMMITMENTS AND CONTINGENCIES (Tables) | 6 Months Ended |
Jun. 30, 2024 | |
Leases [Abstract] | |
Supplemental Information Regarding Leases | Supplemental information related to leases as of and for the six months ended June 30, 2024 was as follows: Operating Leases Classification June 30, 2024 Assets (dollars in thousands) Operating lease right-of-use assets Other assets $ 4,429 Liabilities Operating lease liabilities (1) Other liabilities $ 5,568 Lease term and discount rate Weighted average remaining lease term 1.6 years Weighted average discount rate (1) 3.4% Cash paid for amounts included in the measurement of lease liabilities Operating cash flows from operating leases $ 2,053 (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) 2024 (remaining) $ 2,054 2025 3,149 2026 261 2027 269 2028 22 Later years — Total lease payments $ 5,755 Less imputed interest 187 Present value of lease liabilities $ 5,568 |
DESCRIPTION OF BUSINESS (Detail
DESCRIPTION OF BUSINESS (Details) | Jun. 30, 2024 investmentGroup |
Accounting Policies [Abstract] | |
Number of investment groups | 3 |
SIGNIFICANT ACCOUNTING POLICI_3
SIGNIFICANT ACCOUNTING POLICIES (Details) - USD ($) $ in Billions | Jun. 30, 2024 | Dec. 31, 2023 |
Interest rate swaps, at fair value | ||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||
Margin deposit assets | $ 1.3 | $ 1.1 |
FINANCIAL INSTRUMENTS (Details)
FINANCIAL INSTRUMENTS (Details) - USD ($) $ in Thousands | Jun. 30, 2024 | Dec. 31, 2023 | Jun. 30, 2023 | |
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items] | ||||
Assets | $ 93,668,577 | $ 93,227,236 | [1] | $ 89,330,477 |
Liabilities | 82,405,673 | 81,882,145 | [1] | |
Total securities | ||||
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items] | ||||
Assets | 67,044,753 | 69,613,565 | ||
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 | 9,669,178 | 15,665,352 | ||
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 | 54,721,727 | 50,643,436 | ||
Residential credit risk transfer securities | ||||
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items] | ||||
Assets | 838,437 | 974,059 | ||
Non-agency mortgage-backed securities | ||||
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items] | ||||
Assets | 1,702,859 | 2,108,274 | ||
Commercial real estate debt investments - CMBS | ||||
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items] | ||||
Assets | 112,552 | 222,444 | ||
Residential mortgage loans | ||||
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items] | ||||
Assets | 2,548,228 | 2,353,084 | ||
Residential mortgage loans | ||||
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items] | ||||
Assets | 17,946,812 | 13,307,622 | ||
Repurchase agreements | ||||
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items] | ||||
Liabilities | 60,787,994 | 62,201,543 | ||
Other secured financing | ||||
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items] | ||||
Liabilities | 600,000 | 500,000 | ||
Debt issued by securitization vehicles | ||||
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items] | ||||
Liabilities | 15,831,915 | 11,600,338 | ||
Participations issued | ||||
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items] | ||||
Liabilities | 1,144,821 | 1,103,835 | ||
U.S. Treasury securities sold, not yet purchased | ||||
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items] | ||||
Liabilities | $ 1,974,602 | $ 2,132,751 | ||
[1] (1) Derived from the audited consolidated financial statements at December 31, 2023. |
SECURITIES - Narrative (Details
SECURITIES - Narrative (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2024 | Jun. 30, 2023 | Jun. 30, 2024 | Jun. 30, 2023 | |
Debt Securities, Available-for-sale [Line Items] | ||||
Unrealized gains (losses) on agency mortgage-backed securities | $ (568,745) | $ (1,308,948) | $ (1,562,872) | $ (1,307,236) |
Residential Investment securities sold, carrying value | 5,200,000 | 8,400,000 | 13,300,000 | 13,600,000 |
Agency | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
Unrealized gains (losses) on agency mortgage-backed securities | $ (274,900) | $ (744,700) | $ (948,900) | $ (358,000) |
SECURITIES - Summary of Residen
SECURITIES - Summary of Residential Securities and CMBS (Details) $ in Thousands | 6 Months Ended | |
Jun. 30, 2024 USD ($) | ||
Debt Securities, Available-For-Sale [Roll Forward] | ||
Beginning balance January 1, 2024 | $ 69,613,565 | [1],[2] |
Purchases | 14,548,911 | |
Sales | (13,381,984) | |
Principal paydowns | (3,049,532) | |
(Amortization) / accretion | (36,702) | |
Fair value adjustment | (649,505) | |
Ending balance June 30, 2024 | 67,044,753 | [2] |
Agency Securities | ||
Debt Securities, Available-For-Sale [Roll Forward] | ||
Beginning balance January 1, 2024 | 66,308,788 | |
Purchases | 14,195,878 | |
Sales | (12,543,493) | |
Principal paydowns | (2,781,021) | |
(Amortization) / accretion | (39,917) | |
Fair value adjustment | (749,330) | |
Ending balance June 30, 2024 | 64,390,905 | |
Residential Credit Securities | ||
Debt Securities, Available-For-Sale [Roll Forward] | ||
Beginning balance January 1, 2024 | 3,082,333 | |
Purchases | 353,033 | |
Sales | (731,027) | |
Principal paydowns | (264,073) | |
(Amortization) / accretion | 2,747 | |
Fair value adjustment | 98,283 | |
Ending balance June 30, 2024 | 2,541,296 | |
Commercial Securities | ||
Debt Securities, Available-For-Sale [Roll Forward] | ||
Beginning balance January 1, 2024 | 222,444 | |
Purchases | 0 | |
Sales | (107,464) | |
Principal paydowns | (4,438) | |
(Amortization) / accretion | 468 | |
Fair value adjustment | 1,542 | |
Ending balance June 30, 2024 | $ 112,552 | |
[1] (1) Derived from the audited consolidated financial statements at December 31, 2023. (3) Excludes $1.8 billion and $1.5 billion at June 30, 2024 and December 31, 2023, respectively, of non-Agency mortgage-backed securities in consolidated VIEs pledged as collateral and eliminated from the Company’s Consolidated Statements of Financial Condition. |
SECURITIES - Portfolio (Details
SECURITIES - Portfolio (Details) - USD ($) $ in Thousands | Jun. 30, 2024 | Dec. 31, 2023 | ||
Mortgage-Backed Securities Portfolio [Line Items] | ||||
Principal / Notional | $ 99,097,058 | $ 96,221,329 | ||
Remaining Premium | 2,239,816 | 2,378,411 | ||
Remaining Discount | (1,290,514) | (1,449,850) | ||
Amortized Cost | 69,312,100 | 71,231,784 | ||
Unrealized Gains | 266,370 | 612,427 | ||
Unrealized Losses | (2,533,717) | (2,230,646) | ||
Estimated Fair Value | [1] | 67,044,753 | 69,613,565 | [2] |
Total residential securities | ||||
Mortgage-Backed Securities Portfolio [Line Items] | ||||
Principal / Notional | 98,984,770 | 95,996,732 | ||
Remaining Premium | 2,239,700 | 2,378,396 | ||
Remaining Discount | (1,290,467) | (1,449,028) | ||
Amortized Cost | 69,199,743 | 71,007,994 | ||
Unrealized Gains | 266,171 | 612,408 | ||
Unrealized Losses | (2,533,713) | (2,229,281) | ||
Estimated Fair Value | 66,932,201 | 69,391,121 | ||
Agency | ||||
Mortgage-Backed Securities Portfolio [Line Items] | ||||
Principal / Notional | 85,210,788 | 82,895,356 | ||
Remaining Premium | 2,134,704 | 2,287,261 | ||
Remaining Discount | (1,203,402) | (1,328,751) | ||
Amortized Cost | 66,705,761 | 67,874,312 | ||
Unrealized Gains | 171,241 | 535,689 | ||
Unrealized Losses | (2,486,097) | (2,101,213) | ||
Estimated Fair Value | 64,390,905 | 66,308,788 | ||
Agency | Fixed-rate pass-through | ||||
Mortgage-Backed Securities Portfolio [Line Items] | ||||
Principal / Notional | 62,483,207 | 63,444,987 | ||
Remaining Premium | 1,273,211 | 1,448,886 | ||
Remaining Discount | (1,194,156) | (1,318,948) | ||
Amortized Cost | 62,562,262 | 63,574,925 | ||
Unrealized Gains | 142,638 | 477,242 | ||
Unrealized Losses | (2,230,420) | (1,853,226) | ||
Estimated Fair Value | 60,474,480 | 62,198,941 | ||
Agency | Adjustable-rate pass-through | ||||
Mortgage-Backed Securities Portfolio [Line Items] | ||||
Principal / Notional | 173,655 | 188,996 | ||
Remaining Premium | 14,982 | 15,834 | ||
Remaining Discount | (49) | (51) | ||
Amortized Cost | 188,588 | 204,779 | ||
Unrealized Gains | 2,118 | 1,663 | ||
Unrealized Losses | (12,945) | (14,953) | ||
Estimated Fair Value | 177,761 | 191,489 | ||
Agency | CMO | ||||
Mortgage-Backed Securities Portfolio [Line Items] | ||||
Principal / Notional | 90,987 | 94,448 | ||
Remaining Premium | 1,539 | 1,612 | ||
Remaining Discount | 0 | 0 | ||
Amortized Cost | 92,526 | 96,060 | ||
Unrealized Gains | 0 | 0 | ||
Unrealized Losses | (15,607) | (13,088) | ||
Estimated Fair Value | 76,919 | 82,972 | ||
Agency | Interest-only | ||||
Mortgage-Backed Securities Portfolio [Line Items] | ||||
Principal / Notional | 2,281,909 | 2,010,697 | ||
Remaining Premium | 408,515 | 416,955 | ||
Remaining Discount | 0 | 0 | ||
Amortized Cost | 408,515 | 416,955 | ||
Unrealized Gains | 8,991 | 4,729 | ||
Unrealized Losses | (143,950) | (157,679) | ||
Estimated Fair Value | 273,556 | 264,005 | ||
Agency | Multifamily | ||||
Mortgage-Backed Securities Portfolio [Line Items] | ||||
Principal / Notional | 20,155,207 | 17,130,045 | ||
Remaining Premium | 433,555 | 400,781 | ||
Remaining Discount | (9,197) | (9,752) | ||
Amortized Cost | 3,425,145 | 3,552,217 | ||
Unrealized Gains | 17,494 | 52,055 | ||
Unrealized Losses | (81,456) | (59,744) | ||
Estimated Fair Value | 3,361,183 | 3,544,528 | ||
Agency | Reverse mortgages | ||||
Mortgage-Backed Securities Portfolio [Line Items] | ||||
Principal / Notional | 25,823 | 26,183 | ||
Remaining Premium | 2,902 | 3,193 | ||
Remaining Discount | 0 | 0 | ||
Amortized Cost | 28,725 | 29,376 | ||
Unrealized Gains | 0 | 0 | ||
Unrealized Losses | (1,719) | (2,523) | ||
Estimated Fair Value | 27,006 | 26,853 | ||
Agency | Multifamily interest-only security | ||||
Mortgage-Backed Securities Portfolio [Line Items] | ||||
Principal / Notional | 17,200,000 | 14,000,000 | ||
Residential credit | ||||
Mortgage-Backed Securities Portfolio [Line Items] | ||||
Principal / Notional | 13,773,982 | 13,101,376 | ||
Remaining Premium | 104,996 | 91,135 | ||
Remaining Discount | (87,065) | (120,277) | ||
Amortized Cost | 2,493,982 | 3,133,682 | ||
Unrealized Gains | 94,930 | 76,719 | ||
Unrealized Losses | (47,616) | (128,068) | ||
Estimated Fair Value | 2,541,296 | 3,082,333 | ||
Residential credit | Credit risk transfer | ||||
Mortgage-Backed Securities Portfolio [Line Items] | ||||
Principal / Notional | 780,293 | 924,729 | ||
Remaining Premium | 1,863 | 2,240 | ||
Remaining Discount | (3,843) | (4,358) | ||
Amortized Cost | 778,313 | 922,611 | ||
Unrealized Gains | 60,272 | 51,984 | ||
Unrealized Losses | (148) | (536) | ||
Estimated Fair Value | 838,437 | 974,059 | ||
Residential credit | Alt-A | ||||
Mortgage-Backed Securities Portfolio [Line Items] | ||||
Principal / Notional | 165,585 | 164,384 | ||
Remaining Premium | 37 | 9 | ||
Remaining Discount | (1,889) | (3,922) | ||
Amortized Cost | 163,733 | 160,471 | ||
Unrealized Gains | 2,934 | 2,135 | ||
Unrealized Losses | (9,739) | (12,371) | ||
Estimated Fair Value | 156,928 | 150,235 | ||
Residential credit | Prime | ||||
Mortgage-Backed Securities Portfolio [Line Items] | ||||
Principal / Notional | 1,372,222 | 1,076,497 | ||
Remaining Premium | 14,026 | 8,590 | ||
Remaining Discount | (10,409) | (21,163) | ||
Amortized Cost | 30,527 | 207,077 | ||
Unrealized Gains | 2,844 | 1,704 | ||
Unrealized Losses | (559) | (28,134) | ||
Estimated Fair Value | 32,812 | 180,647 | ||
Residential credit | Subprime | ||||
Mortgage-Backed Securities Portfolio [Line Items] | ||||
Principal / Notional | 295,067 | 272,955 | ||
Remaining Premium | 13 | 0 | ||
Remaining Discount | (30,949) | (31,751) | ||
Amortized Cost | 264,131 | 241,204 | ||
Unrealized Gains | 6,963 | 5,622 | ||
Unrealized Losses | (11,728) | (11,221) | ||
Estimated Fair Value | 259,366 | 235,605 | ||
Residential credit | NPL/RPL | ||||
Mortgage-Backed Securities Portfolio [Line Items] | ||||
Principal / Notional | 1,114,675 | 1,237,531 | ||
Remaining Premium | 8,087 | 8,336 | ||
Remaining Discount | (9,181) | (9,224) | ||
Amortized Cost | 1,113,581 | 1,236,643 | ||
Unrealized Gains | 3,247 | 4,578 | ||
Unrealized Losses | (20,660) | (43,666) | ||
Estimated Fair Value | 1,096,168 | 1,197,555 | ||
Residential credit | Prime jumbo (>=2010 vintage) | ||||
Mortgage-Backed Securities Portfolio [Line Items] | ||||
Principal / Notional | 10,046,140 | 9,425,280 | ||
Remaining Premium | 80,970 | 71,960 | ||
Remaining Discount | (30,794) | (49,859) | ||
Amortized Cost | 143,697 | 365,676 | ||
Unrealized Gains | 18,670 | 10,696 | ||
Unrealized Losses | (4,782) | (32,140) | ||
Estimated Fair Value | 157,585 | 344,232 | ||
Residential credit | Prime interest-only | ||||
Mortgage-Backed Securities Portfolio [Line Items] | ||||
Principal / Notional | 1,300,000 | 900,000 | ||
Residential credit | Prime jumbo interest-only | ||||
Mortgage-Backed Securities Portfolio [Line Items] | ||||
Principal / Notional | 10,000,000 | 9,100,000 | ||
Commercial Securities | ||||
Mortgage-Backed Securities Portfolio [Line Items] | ||||
Principal / Notional | 112,288 | 224,597 | ||
Remaining Premium | 116 | 15 | ||
Remaining Discount | (47) | (822) | ||
Amortized Cost | 112,357 | 223,790 | ||
Unrealized Gains | 199 | 19 | ||
Unrealized Losses | (4) | (1,365) | ||
Estimated Fair Value | $ 112,552 | $ 222,444 | ||
[1] (3) Excludes $1.8 billion and $1.5 billion at June 30, 2024 and December 31, 2023, respectively, of non-Agency mortgage-backed securities in consolidated VIEs pledged as collateral and eliminated from the Company’s Consolidated Statements of Financial Condition. (1) Derived from the audited consolidated financial statements at December 31, 2023. |
SECURITIES - Component of Agenc
SECURITIES - Component of Agency Mortgage-Backed Securities Portfolio by Issuing Agency Concentration (Details) - Agency Mortgage-Backed Securities - USD ($) $ in Thousands | Jun. 30, 2024 | Dec. 31, 2023 |
Mortgage-Backed Securities Portfolio [Line Items] | ||
Total | $ 64,390,905 | $ 66,308,788 |
Fannie Mae | ||
Mortgage-Backed Securities Portfolio [Line Items] | ||
Total | 59,746,320 | 60,477,303 |
Freddie Mac | ||
Mortgage-Backed Securities Portfolio [Line Items] | ||
Total | 4,576,036 | 5,778,809 |
Ginnie Mae | ||
Mortgage-Backed Securities Portfolio [Line Items] | ||
Total | $ 68,549 | $ 52,676 |
SECURITIES - Weighted Average L
SECURITIES - Weighted Average Life (Details) - USD ($) $ in Thousands | Jun. 30, 2024 | Dec. 31, 2023 |
Amortized Cost | ||
Amortized Cost | $ 69,312,100 | $ 71,231,784 |
Total residential securities | ||
Estimated Fair Value | ||
Less than one year | 158,772 | 254,753 |
Greater than one year through five years | 1,758,528 | 5,159,969 |
Greater than five years through ten years | 63,127,997 | 62,158,711 |
Greater than ten years | 1,886,904 | 1,817,688 |
Estimated Fair Value | 66,932,201 | 69,391,121 |
Amortized Cost | ||
Less than one year | 160,077 | 257,170 |
Greater than one year through five years | 1,783,897 | 5,213,575 |
Greater than five years through ten years | 65,303,899 | 63,662,144 |
Greater than ten years | 1,951,870 | 1,875,105 |
Amortized Cost | $ 69,199,743 | $ 71,007,994 |
SECURITIES - Unrealized Loss Po
SECURITIES - Unrealized Loss Position (Details) $ in Thousands | Jun. 30, 2024 USD ($) security | Dec. 31, 2023 USD ($) security | ||
Unrealized Loss Position For: | ||||
Estimated Fair Value | [1] | $ 67,044,753 | $ 69,613,565 | [2] |
Gross Unrealized Losses | (2,533,717) | (2,230,646) | ||
Agency Mortgage-Backed Securities | ||||
Unrealized Loss Position For: | ||||
Estimated Fair Value | 9,532,419 | 15,490,571 | ||
Gross Unrealized Losses | $ (1,160,747) | $ (1,340,450) | ||
Number of Securities | security | 1,476 | 1,763 | ||
Agency Mortgage-Backed Securities | Less than 12 months | ||||
Unrealized Loss Position For: | ||||
Estimated Fair Value | $ 31,026 | $ 35,453 | ||
Gross Unrealized Losses | $ (986) | $ (418) | ||
Number of Securities | security | 35 | 16 | ||
Agency Mortgage-Backed Securities | 12 Months or more | ||||
Unrealized Loss Position For: | ||||
Estimated Fair Value | $ 9,501,393 | $ 15,455,118 | ||
Gross Unrealized Losses | $ (1,159,761) | $ (1,340,032) | ||
Number of Securities | security | 1,441 | 1,747 | ||
[1] (3) Excludes $1.8 billion and $1.5 billion at June 30, 2024 and December 31, 2023, respectively, of non-Agency mortgage-backed securities in consolidated VIEs pledged as collateral and eliminated from the Company’s Consolidated Statements of Financial Condition. (1) Derived from the audited consolidated financial statements at December 31, 2023. |
SECURITIES - Realized Gain (Los
SECURITIES - Realized Gain (Loss) (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2024 | Jun. 30, 2023 | Jun. 30, 2024 | Jun. 30, 2023 | |
Investments, Debt and Equity Securities [Abstract] | ||||
Gross Realized Gains | $ 7,302 | $ 9,496 | $ 40,226 | $ 13,765 |
Gross Realized Losses | (382,254) | (608,732) | (853,425) | (1,134,849) |
Net Realized Gains (Losses) | $ (374,952) | $ (599,236) | $ (813,199) | $ (1,121,084) |
LOANS - Narrative (Details)
LOANS - Narrative (Details) - USD ($) $ in Thousands | Jun. 30, 2024 | Dec. 31, 2023 | Jun. 30, 2023 | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Assets | $ 93,668,577 | $ 93,227,236 | [1] | $ 89,330,477 |
Residential Mortgage Loans | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Assets | 2,500,000 | 2,400,000 | ||
Loans held-for-sale | $ 3,900 | $ 1,200 | ||
Percent of adjustable-rate loans | 15% | 11% | ||
[1] (1) Derived from the audited consolidated financial statements at December 31, 2023. |
LOANS - Investment Loan Activit
LOANS - Investment Loan Activity (Details) $ in Thousands | 6 Months Ended | |
Jun. 30, 2024 USD ($) | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Movement in Mortgage Loans on Real Estate [Roll Forward] | ||
Beginning balance January 1, 2024 | $ 2,353,084 | [1],[2] |
Purchases / originations | 5,987,132 | |
Sales and transfers | (5,729,881) | |
Principal payments | (64,526) | |
Gains / (losses) | 10,431 | |
(Amortization) / accretion | (8,012) | |
Ending balance June 30, 2024 | 2,548,228 | [2] |
Transfer of residential loans to securitization vehicles, carrying value | $ 5,600,000 | |
[1] (1) Derived from the audited consolidated financial statements at December 31, 2023. (4) Includes $3.9 million and $1.2 million of residential mortgage loans held for sale at June 30, 2024 and December 31, 2023, respectively. |
LOANS - Fair Value and Unpaid P
LOANS - Fair Value and Unpaid Principal of Residential Mortgage Loan Portfolio (Details) - Residential Mortgage Loans - USD ($) $ in Thousands | Jun. 30, 2024 | Dec. 31, 2023 |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Fair value | $ 20,495,040 | $ 15,660,706 |
Unpaid principal balance | $ 21,482,560 | $ 16,611,204 |
LOANS - Summary of Comprehensiv
LOANS - Summary of Comprehensive Income (Loss) (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2024 | Jun. 30, 2023 | Jun. 30, 2024 | Jun. 30, 2023 | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Interest income | $ 53,558 | $ (31,963) | $ 47,107 | $ (12,500) |
Net income (loss) attributable to Annaly | (9,483) | 167,033 | 453,409 | (677,223) |
Residential Mortgage Loans | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Interest income | 301,820 | 162,202 | 553,836 | 309,432 |
Net gains (losses) on disposal of investments | (1,228) | (1,495) | (3,344) | (2,272) |
Net unrealized gains (losses) on instruments measured at fair value through earnings | (3,913) | (167,759) | (88,698) | 92,680 |
Net income (loss) attributable to Annaly | $ 296,679 | $ (7,052) | $ 461,794 | $ 399,840 |
LOANS - Geographic Concentratio
LOANS - Geographic Concentrations Based on Unpaid Principal Balances (Details) - Residential mortgage loans - Geographic Concentration Risk | 6 Months Ended | 12 Months Ended |
Jun. 30, 2024 | Dec. 31, 2023 | |
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% |
California | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Geographic Concentrations of Residential Mortgage Loans | 38% | 40.10% |
Florida | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Geographic Concentrations of Residential Mortgage Loans | 10.80% | 10.60% |
New York | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Geographic Concentrations of Residential Mortgage Loans | 10.60% | 10.50% |
Texas | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Geographic Concentrations of Residential Mortgage Loans | 5.60% | 5.60% |
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% | 33.20% |
LOANS - Additional Data On Resi
LOANS - Additional Data On Residential Mortgage Loans (Details) - Residential Mortgage Loans $ in Thousands | 6 Months Ended | 12 Months Ended |
Jun. 30, 2024 USD ($) point | Dec. 31, 2023 USD ($) point | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Unpaid principal balance | $ 21,482,560 | $ 16,611,204 |
Minimum | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Unpaid principal balance | $ 1 | $ 1 |
Interest rate | 2% | 2% |
FICO score at loan origination | point | 549 | 549 |
Loan-to-value ratio at loan origination | 3% | 3% |
Maximum | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Unpaid principal balance | $ 4,396 | $ 4,396 |
Interest rate | 14.13% | 13.25% |
FICO score at loan origination | point | 850 | 850 |
Loan-to-value ratio at loan origination | 100% | 100% |
Weighted Average | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Unpaid principal balance | $ 476 | $ 477 |
Interest rate | 6.12% | 5.63% |
FICO score at loan origination | point | 757 | 758 |
Loan-to-value ratio at loan origination | 69% | 68% |
MORTGAGE SERVICING RIGHTS (Deta
MORTGAGE SERVICING RIGHTS (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2024 | Jun. 30, 2023 | Jun. 30, 2024 | Jun. 30, 2023 | |
Servicing Asset at Fair Value, Amount [Roll Forward] | ||||
Fair value, beginning of period | $ 2,651,279 | $ 1,790,980 | $ 2,122,196 | $ 1,748,209 |
Purchases | 120,896 | 177,521 | 636,627 | 214,151 |
Sales | (1,068) | 0 | (1,068) | 0 |
Changes in valuation inputs or assumptions | 59,902 | 80,323 | 106,038 | 110,530 |
Other changes, including realization of expected cash flows | (45,395) | (29,928) | (78,179) | (53,994) |
Fair value, end of period | $ 2,785,614 | $ 2,018,896 | $ 2,785,614 | $ 2,018,896 |
VARIABLE INTEREST ENTITIES - Na
VARIABLE INTEREST ENTITIES - Narrative (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||||
Jun. 30, 2024 | Jun. 30, 2023 | Jun. 30, 2024 | Jun. 30, 2023 | Dec. 31, 2023 | ||
Variable Interest Entity [Line Items] | ||||||
Securitized debt of consolidated VIEs | $ 15,831,915 | $ 15,831,915 | $ 11,600,338 | [1] | ||
Costs incurred in connection with securitization | 44,891 | $ 42,915 | 83,461 | $ 83,743 | ||
Securitized debt of consolidated VIE, unrealized gain (loss) | 4,800 | 90,800 | 130,500 | (81,400) | ||
Participations issued | 1,144,821 | 1,144,821 | 1,103,835 | [1] | ||
Consolidated VIEs | ||||||
Variable Interest Entity [Line Items] | ||||||
Exposure to obligations of VIEs | 1,900,000 | 1,900,000 | ||||
Securitized debt of consolidated VIEs | 15,800,000 | 15,800,000 | 11,600,000 | |||
Costs incurred in connection with securitization | 5,300 | $ 2,700 | ||||
Contractual principal amount of debt held by third parties | 16,900,000 | 16,900,000 | 12,600,000 | |||
Consolidated VIEs | OBX Trust | ||||||
Variable Interest Entity [Line Items] | ||||||
Costs incurred in connection with securitization | 9,100 | $ 4,000 | ||||
Consolidated VIEs | Consolidation, Eliminations | ||||||
Variable Interest Entity [Line Items] | ||||||
Mortgage-backed securities | 1,900,000 | 1,900,000 | 1,400,000 | |||
VIE, Not Primary Beneficiary | ||||||
Variable Interest Entity [Line Items] | ||||||
Participations issued | $ 1,100,000 | $ 1,100,000 | $ 1,100,000 | |||
[1] (1) Derived from the audited consolidated financial statements at December 31, 2023. |
VARIABLE INTEREST ENTITIES - Sc
VARIABLE INTEREST ENTITIES - Schedule of the Fair Value of OBX Trusts Closed (Details) - Consolidated VIEs - USD ($) $ in Thousands | Jun. 30, 2024 | May 30, 2024 | Apr. 30, 2024 | Mar. 31, 2024 | Feb. 29, 2024 | Jan. 31, 2024 |
OBX 2024-NQM1 | ||||||
Variable Interest Entity [Line Items] | ||||||
Face Value at Closing | $ 413,581 | |||||
OBX 2024-NQM2 | ||||||
Variable Interest Entity [Line Items] | ||||||
Face Value at Closing | $ 495,980 | |||||
OBX 2024-HYB1 | ||||||
Variable Interest Entity [Line Items] | ||||||
Face Value at Closing | $ 412,084 | |||||
OBX 2024-NQM3 | ||||||
Variable Interest Entity [Line Items] | ||||||
Face Value at Closing | $ 439,904 | |||||
OBX 2024-NQM4 | ||||||
Variable Interest Entity [Line Items] | ||||||
Face Value at Closing | $ 592,448 | |||||
OBX 2024-HYB2 | ||||||
Variable Interest Entity [Line Items] | ||||||
Face Value at Closing | $ 397,787 | |||||
OBX 2024-NQM5 | ||||||
Variable Interest Entity [Line Items] | ||||||
Face Value at Closing | $ 574,553 | |||||
OBX 2024-NQM6 | ||||||
Variable Interest Entity [Line Items] | ||||||
Face Value at Closing | $ 441,421 | |||||
OBX 2024-NQM7 | ||||||
Variable Interest Entity [Line Items] | ||||||
Face Value at Closing | $ 551,759 | |||||
OBX 2024-NQM8 | ||||||
Variable Interest Entity [Line Items] | ||||||
Face Value at Closing | $ 723,086 | |||||
OBX 2024-NQM9 | ||||||
Variable Interest Entity [Line Items] | ||||||
Face Value at Closing | $ 532,126 |
DERIVATIVE INSTRUMENTS - Narrat
DERIVATIVE INSTRUMENTS - Narrative (Details) - USD ($) $ in Billions | Jun. 30, 2024 | Dec. 31, 2023 |
Interest rate swaps, at fair value | ||
Derivative [Line Items] | ||
Variation margin | $ (3.3) | $ (2.4) |
DERIVATIVE INSTRUMENTS - Summar
DERIVATIVE INSTRUMENTS - Summary of Fair Value Information about Derivative Assets and Liabilities (Details) - USD ($) $ in Thousands | Jun. 30, 2024 | Dec. 31, 2023 | |
Assets | |||
Total derivative assets | $ 187,868 | $ 162,557 | [1] |
Liabilities | |||
Interest rate swaps | 15,314 | 83,051 | |
Total derivative liabilities | 100,829 | 302,295 | [1] |
Futures contracts | |||
Assets | |||
Other derivative assets | 1,723 | 0 | |
Total derivative assets | 1,723 | ||
Liabilities | |||
Other derivative liabilities | 81,730 | 179,835 | |
Total derivative liabilities | 81,730 | 179,835 | |
Purchase commitments | |||
Assets | |||
Other derivative assets | 6,640 | 9,641 | |
Total derivative assets | 6,640 | 9,641 | |
Liabilities | |||
Other derivative liabilities | 1,592 | 339 | |
Total derivative liabilities | 1,592 | 339 | |
Interest rate swaps | |||
Assets | |||
Interest rate swaps | 16,824 | 26,344 | |
Total derivative assets | 16,824 | 26,344 | |
Liabilities | |||
Total derivative liabilities | 15,314 | 83,051 | |
Interest rate swaptions | |||
Assets | |||
Other derivative assets | 148,040 | 105,883 | |
Total derivative assets | 148,040 | 105,883 | |
TBA derivatives | |||
Assets | |||
Other derivative assets | 14,641 | 20,689 | |
Total derivative assets | 14,641 | 20,689 | |
Liabilities | |||
Other derivative liabilities | 2,193 | 39,070 | |
Total derivative liabilities | $ 2,193 | $ 39,070 | |
[1] (1) Derived from the audited consolidated financial statements at December 31, 2023. |
DERIVATIVE INSTRUMENTS - Summ_2
DERIVATIVE INSTRUMENTS - Summary of Characteristics of Interest Rate Swaps (Details) - Interest rate swaps, at fair value - USD ($) $ in Thousands | 6 Months Ended | 12 Months Ended |
Jun. 30, 2024 | Dec. 31, 2023 | |
Derivative [Line Items] | ||
Current Notional | $ 56,455,271 | $ 58,829,554 |
Weighted Average Pay Rate | 3.13% | 3.04% |
Weighted Average Receive Rate | 5.30% | 5.31% |
Weighted Average Years to Maturity | 5 years 3 months 10 days | 5 years 4 months 9 days |
Federal funds index swap | ||
Derivative [Line Items] | ||
Notional amount, percentage | 6% | 6% |
Secured Overnight Financing Rate | ||
Derivative [Line Items] | ||
Notional amount, percentage | 94% | 94% |
0 - 3 years | ||
Derivative [Line Items] | ||
Minimum maturity period | 0 years | 0 years |
Maximum maturity period | 3 years | 3 years |
Current Notional | $ 19,861,229 | $ 21,397,358 |
Weighted Average Pay Rate | 3.35% | 3.17% |
Weighted Average Receive Rate | 5.33% | 5.26% |
Weighted Average Years to Maturity | 1 year 3 months 14 days | 1 year 2 months 23 days |
3 - 6 years | ||
Derivative [Line Items] | ||
Minimum maturity period | 3 years | 3 years |
Maximum maturity period | 6 years | 6 years |
Current Notional | $ 14,533,021 | $ 12,461,799 |
Weighted Average Pay Rate | 3.36% | 3.09% |
Weighted Average Receive Rate | 5.30% | 5.37% |
Weighted Average Years to Maturity | 4 years 9 months 25 days | 4 years 9 months |
6 - 10 years | ||
Derivative [Line Items] | ||
Minimum maturity period | 6 years | 6 years |
Maximum maturity period | 10 years | 10 years |
Current Notional | $ 20,501,637 | $ 22,949,150 |
Weighted Average Pay Rate | 2.80% | 2.85% |
Weighted Average Receive Rate | 5.28% | 5.34% |
Weighted Average Years to Maturity | 8 years 21 days | 8 years 7 days |
Greater than 10 years | ||
Derivative [Line Items] | ||
Minimum maturity period | 10 years | 10 years |
Current Notional | $ 1,559,384 | $ 2,021,247 |
Weighted Average Pay Rate | 3.47% | 3.53% |
Weighted Average Receive Rate | 5.18% | 5.27% |
Weighted Average Years to Maturity | 23 years 9 months | 22 years 8 months 15 days |
DERIVATIVE INSTRUMENTS - Summ_3
DERIVATIVE INSTRUMENTS - Summary of Swaptions Outstanding (Details) - Notional - Long Positions - USD ($) $ in Thousands | 6 Months Ended | 12 Months Ended |
Jun. 30, 2024 | Dec. 31, 2023 | |
Long pay | ||
Derivative [Line Items] | ||
Current Underlying Notional | $ 1,250,000 | $ 1,250,000 |
Weighted Average Underlying Fixed Rate | 2.21% | 2.21% |
Weighted Average Underlying Years to Maturity | 7 years 2 months 8 days | 7 years 8 months 8 days |
Weighted Average Months to Expiration | 2 months 5 days | 8 months 5 days |
Long receive | ||
Derivative [Line Items] | ||
Current Underlying Notional | $ 500,000 | |
Weighted Average Underlying Fixed Rate | 1.65% | |
Weighted Average Underlying Years to Maturity | 10 years 3 months 18 days | |
Weighted Average Months to Expiration | 3 months 15 days |
DERIVATIVE INSTRUMENTS - Summ_4
DERIVATIVE INSTRUMENTS - Summary of Characteristics of TBA Derivatives (Details) - TBA derivatives - USD ($) $ in Thousands | 6 Months Ended | 12 Months Ended |
Jun. 30, 2024 | Dec. 31, 2023 | |
Derivative [Line Items] | ||
Notional | $ 1,662,000 | $ 503,000 |
Implied Cost Basis | 1,639,941 | (555,221) |
Implied Market Value | 1,652,389 | (573,602) |
Net Carrying Value | 12,448 | (18,381) |
Purchase contracts | ||
Derivative [Line Items] | ||
Notional | 2,395,000 | 988,000 |
Implied Cost Basis | 2,313,203 | 920,626 |
Implied Market Value | 2,324,113 | 915,790 |
Net Carrying Value | 10,910 | (4,836) |
Sale contracts | ||
Derivative [Line Items] | ||
Notional | (733,000) | (1,491,000) |
Implied Cost Basis | (673,262) | (1,475,847) |
Implied Market Value | (671,724) | (1,489,392) |
Net Carrying Value | $ 1,538 | $ (13,545) |
DERIVATIVE INSTRUMENTS - Summ_5
DERIVATIVE INSTRUMENTS - Summary of Certain Characteristics of Futures Derivatives (Details) - USD ($) $ in Thousands | 6 Months Ended | 12 Months Ended |
Jun. 30, 2024 | Dec. 31, 2023 | |
Futures contracts | ||
Derivative [Line Items] | ||
Weighted Average Underlying Years to Maturity | 7 years 2 months 4 days | 5 years 1 month 17 days |
Futures contracts | Notional - Long Positions | ||
Derivative [Line Items] | ||
Current notional | $ 2,790,000 | $ 0 |
Futures contracts | Notional - Short Positions | ||
Derivative [Line Items] | ||
Current notional | $ 7,331,900 | $ 6,735,000 |
2-year swap equivalent SOFR contracts | ||
Derivative [Line Items] | ||
Weighted Average Underlying Years to Maturity | 1 year 11 months 19 days | |
2-year swap equivalent SOFR contracts | Notional - Long Positions | ||
Derivative [Line Items] | ||
Current notional | $ 2,790,000 | |
2-year swap equivalent SOFR contracts | Notional - Short Positions | ||
Derivative [Line Items] | ||
Current notional | $ 0 | |
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 19 days |
U.S. Treasury futures - 2 year | Notional - Long Positions | ||
Derivative [Line Items] | ||
Current notional | $ 0 | $ 0 |
U.S. Treasury futures - 2 year | Notional - Short Positions | ||
Derivative [Line Items] | ||
Current notional | $ 1,306,400 | $ 5,001,400 |
U.S. Treasury futures - 10 year and greater | ||
Derivative [Line Items] | ||
Maturity period | 10 years | 10 years |
Weighted Average Underlying Years to Maturity | 10 years 8 months 19 days | 14 years 3 months 3 days |
U.S. Treasury futures - 10 year and greater | Notional - Long Positions | ||
Derivative [Line Items] | ||
Current notional | $ 0 | $ 0 |
U.S. Treasury futures - 10 year and greater | Notional - Short Positions | ||
Derivative [Line Items] | ||
Current notional | $ 6,025,500 | $ 1,733,600 |
DERIVATIVE INSTRUMENTS - Offset
DERIVATIVE INSTRUMENTS - Offsetting of Derivative Assets and Liabilities (Details) - USD ($) $ in Thousands | Jun. 30, 2024 | Dec. 31, 2023 | |
Assets | |||
Gross Amounts | $ 187,868 | $ 162,557 | [1] |
Liabilities | |||
Gross Amounts | 100,829 | 302,295 | [1] |
Futures contracts, at fair value | |||
Assets | |||
Gross Amounts | 1,723 | ||
Financial Instruments | (1,723) | ||
Cash Collateral | 0 | ||
Net Amounts | 0 | ||
Liabilities | |||
Gross Amounts | 81,730 | 179,835 | |
Financial Instruments | (1,723) | 0 | |
Cash Collateral | (80,007) | (179,835) | |
Net Amounts | 0 | 0 | |
Other derivative assets | 1,723 | 0 | |
Other derivative liabilities | 81,730 | 179,835 | |
Purchase commitments | |||
Assets | |||
Gross Amounts | 6,640 | 9,641 | |
Financial Instruments | 0 | 0 | |
Cash Collateral | 0 | 0 | |
Net Amounts | 6,640 | 9,641 | |
Liabilities | |||
Gross Amounts | 1,592 | 339 | |
Financial Instruments | 0 | 0 | |
Cash Collateral | 0 | 0 | |
Net Amounts | 1,592 | 339 | |
Other derivative assets | 6,640 | 9,641 | |
Other derivative liabilities | 1,592 | 339 | |
Interest rate swaps, at fair value | |||
Assets | |||
Gross Amounts | 16,824 | 26,344 | |
Financial Instruments | (9,263) | (21,505) | |
Cash Collateral | 0 | 0 | |
Net Amounts | 7,561 | 4,839 | |
Liabilities | |||
Gross Amounts | 15,314 | 83,051 | |
Financial Instruments | (13,899) | (72,844) | |
Cash Collateral | 0 | 0 | |
Net Amounts | 1,415 | 10,207 | |
Interest rate swaptions, at fair value | |||
Assets | |||
Gross Amounts | 148,040 | 105,883 | |
Financial Instruments | (62,215) | (45,930) | |
Cash Collateral | (82,110) | (57,320) | |
Net Amounts | 3,715 | 2,633 | |
Liabilities | |||
Other derivative assets | 148,040 | 105,883 | |
TBA derivatives, at fair value | |||
Assets | |||
Gross Amounts | 14,641 | 20,689 | |
Financial Instruments | (4,285) | (13,282) | |
Cash Collateral | (6,595) | 0 | |
Net Amounts | 3,761 | 7,407 | |
Liabilities | |||
Gross Amounts | 2,193 | 39,070 | |
Financial Instruments | (2,193) | (34,525) | |
Cash Collateral | 0 | 0 | |
Net Amounts | 0 | 4,545 | |
Other derivative assets | 14,641 | 20,689 | |
Other derivative liabilities | $ 2,193 | $ 39,070 | |
[1] (1) Derived from the audited consolidated financial statements at December 31, 2023. |
DERIVATIVE INSTRUMENTS - Effect
DERIVATIVE INSTRUMENTS - Effect of Interest Rate Swaps on Consolidated Statements of Comprehensive Income (Loss) (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2024 | Jun. 30, 2023 | Jun. 30, 2024 | Jun. 30, 2023 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | ||||
Net Interest Component of Interest Rate Swaps | $ 298,372 | $ 425,293 | $ 628,521 | $ 810,999 |
Realized Gains (Losses) on Termination of Interest Rate Swaps | 18,721 | 48,148 | (2,516) | (97,671) |
Unrealized Gain (Loss) | $ 97,484 | $ 841,702 | $ 998,386 | $ (114,570) |
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 | 6 Months Ended | ||
Jun. 30, 2024 | Jun. 30, 2023 | Jun. 30, 2024 | Jun. 30, 2023 | |
Derivative [Line Items] | ||||
Unrealized Gain (Loss) | $ 97,484 | $ 841,702 | $ 998,386 | $ (114,570) |
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Derivatives | 15,910 | 160,182 | 183,240 | (24,185) |
Futures | ||||
Derivative [Line Items] | ||||
Realized Gain (Loss) | 48,227 | (242,013) | 39,547 | (123,681) |
Unrealized Gain (Loss) | (45,882) | 413,240 | 99,827 | 98,362 |
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Derivatives | 2,345 | 171,227 | 139,374 | (25,319) |
Futures | Secured Overnight Financing Rate (SOFR) | ||||
Derivative [Line Items] | ||||
Realized Gain (Loss) | (6,800) | (6,800) | ||
Unrealized Gain (Loss) | (1,200) | (18,800) | (18,800) | |
Purchase commitments | ||||
Derivative [Line Items] | ||||
Realized Gain (Loss) | 0 | 0 | 0 | 0 |
Unrealized Gain (Loss) | 2,360 | (3,444) | (4,252) | (2,581) |
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Derivatives | 2,360 | (3,444) | (4,252) | (2,581) |
Net TBA derivatives | ||||
Derivative [Line Items] | ||||
Realized Gain (Loss) | (16,252) | 99,361 | (24,868) | (54,488) |
Unrealized Gain (Loss) | 15,931 | (160,873) | 30,829 | 54,487 |
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Derivatives | (321) | (61,512) | 5,961 | (1) |
Net interest rate swaptions | ||||
Derivative [Line Items] | ||||
Realized Gain (Loss) | (12,331) | 0 | (12,331) | 2,323 |
Unrealized Gain (Loss) | 23,857 | 53,413 | 54,488 | 7,415 |
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Derivatives | $ 11,526 | 53,413 | $ 42,157 | 9,738 |
Credit derivatives | ||||
Derivative [Line Items] | ||||
Realized Gain (Loss) | (17,970) | (19,282) | ||
Unrealized Gain (Loss) | 18,468 | 13,260 | ||
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Derivatives | $ 498 | $ (6,022) |
FAIR VALUE MEASUREMENTS - Estim
FAIR VALUE MEASUREMENTS - Estimated Fair Values of Financial Instruments (Details) - USD ($) $ in Thousands | Jun. 30, 2024 | Mar. 31, 2024 | Dec. 31, 2023 | Jun. 30, 2023 | Mar. 31, 2023 | Dec. 31, 2022 | |
Loans | |||||||
Mortgage servicing rights | $ 2,785,614 | $ 2,651,279 | $ 2,122,196 | $ 2,018,896 | $ 1,790,980 | $ 1,748,209 | |
Derivative assets | |||||||
Interest rate swaps | 187,868 | 162,557 | [1] | ||||
Liabilities | |||||||
Participations issued | 1,144,821 | 1,103,835 | [1] | ||||
U.S. Treasury securities sold, not yet purchased | 1,974,602 | 2,132,751 | |||||
Derivative liabilities | |||||||
Interest rate swaps | 15,314 | 83,051 | |||||
Residential mortgage loans | |||||||
Loans | |||||||
Residential mortgage loans | 20,495,040 | 15,660,706 | |||||
Fair Value, Measurements, Recurring | |||||||
Assets | |||||||
Agency mortgage-backed securities | 64,390,905 | 66,308,788 | |||||
Credit risk transfer securities | 838,437 | 974,059 | |||||
Loans | |||||||
Mortgage servicing rights | 2,785,614 | 2,122,196 | |||||
Derivative assets | |||||||
Other derivatives | 171,044 | 136,213 | |||||
Total assets | 90,513,275 | 87,559,024 | |||||
Liabilities | |||||||
Debt issued by securitization vehicles | 15,831,915 | 11,600,338 | |||||
Participations issued | 1,144,821 | 1,103,835 | |||||
U.S. Treasury securities sold, not yet purchased | 1,974,602 | 2,132,751 | |||||
Derivative liabilities | |||||||
Interest rate swaps | 15,314 | 83,051 | |||||
Other derivatives | 85,515 | 219,244 | |||||
Total liabilities | 19,052,167 | 15,139,219 | |||||
Fair Value, Measurements, Recurring | Assets transferred or pledged to securitization vehicles | |||||||
Loans | |||||||
Assets transferred or pledged to securitization vehicles | 17,946,812 | 13,307,622 | |||||
Fair Value, Measurements, Recurring | Non-Agency mortgage-backed securities | |||||||
Assets | |||||||
Mortgage-backed securities | 1,702,859 | 2,108,274 | |||||
Fair Value, Measurements, Recurring | Commercial mortgage-backed securities | |||||||
Assets | |||||||
Mortgage-backed securities | 112,552 | 222,444 | |||||
Fair Value, Measurements, Recurring | Residential mortgage loans | |||||||
Loans | |||||||
Residential mortgage loans | 2,548,228 | 2,353,084 | |||||
Fair Value, Measurements, Recurring | Interest rate swaps | |||||||
Derivative assets | |||||||
Interest rate swaps | 16,824 | 26,344 | |||||
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 | |||||
Derivative assets | |||||||
Other derivatives | 1,723 | 0 | |||||
Total assets | 1,723 | 0 | |||||
Liabilities | |||||||
Debt issued by securitization vehicles | 0 | 0 | |||||
Participations issued | 0 | 0 | |||||
U.S. Treasury securities sold, not yet purchased | 1,974,602 | 2,132,751 | |||||
Derivative liabilities | |||||||
Interest rate swaps | 0 | 0 | |||||
Other derivatives | 81,730 | 179,835 | |||||
Total liabilities | 2,056,332 | 2,312,586 | |||||
Fair Value, Measurements, Recurring | Level 1 | Assets transferred or pledged to securitization vehicles | |||||||
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 | |||||
Fair Value, Measurements, Recurring | Level 1 | Interest rate swaps | |||||||
Derivative assets | |||||||
Interest rate swaps | 0 | 0 | |||||
Fair Value, Measurements, Recurring | Level 2 | |||||||
Assets | |||||||
Agency mortgage-backed securities | 64,390,905 | 66,308,788 | |||||
Credit risk transfer securities | 838,437 | 974,059 | |||||
Loans | |||||||
Mortgage servicing rights | 0 | 0 | |||||
Derivative assets | |||||||
Other derivatives | 169,321 | 136,213 | |||||
Total assets | 87,725,938 | 85,436,828 | |||||
Liabilities | |||||||
Debt issued by securitization vehicles | 15,831,915 | 11,600,338 | |||||
Participations issued | 1,144,821 | 1,103,835 | |||||
U.S. Treasury securities sold, not yet purchased | 0 | 0 | |||||
Derivative liabilities | |||||||
Interest rate swaps | 15,314 | 83,051 | |||||
Other derivatives | 3,785 | 39,409 | |||||
Total liabilities | 16,995,835 | 12,826,633 | |||||
Fair Value, Measurements, Recurring | Level 2 | Assets transferred or pledged to securitization vehicles | |||||||
Loans | |||||||
Assets transferred or pledged to securitization vehicles | 17,946,812 | 13,307,622 | |||||
Fair Value, Measurements, Recurring | Level 2 | Non-Agency mortgage-backed securities | |||||||
Assets | |||||||
Mortgage-backed securities | 1,702,859 | 2,108,274 | |||||
Fair Value, Measurements, Recurring | Level 2 | Commercial mortgage-backed securities | |||||||
Assets | |||||||
Mortgage-backed securities | 112,552 | 222,444 | |||||
Fair Value, Measurements, Recurring | Level 2 | Residential mortgage loans | |||||||
Loans | |||||||
Residential mortgage loans | 2,548,228 | 2,353,084 | |||||
Fair Value, Measurements, Recurring | Level 2 | Interest rate swaps | |||||||
Derivative assets | |||||||
Interest rate swaps | 16,824 | 26,344 | |||||
Fair Value, Measurements, Recurring | Level 3 | |||||||
Assets | |||||||
Agency mortgage-backed securities | 0 | 0 | |||||
Credit risk transfer securities | 0 | 0 | |||||
Loans | |||||||
Mortgage servicing rights | 2,785,614 | 2,122,196 | |||||
Derivative assets | |||||||
Other derivatives | 0 | 0 | |||||
Total assets | 2,785,614 | 2,122,196 | |||||
Liabilities | |||||||
Debt issued by securitization vehicles | 0 | 0 | |||||
Participations issued | 0 | 0 | |||||
U.S. Treasury securities sold, not yet purchased | 0 | 0 | |||||
Derivative liabilities | |||||||
Interest rate swaps | 0 | 0 | |||||
Other derivatives | 0 | 0 | |||||
Total liabilities | 0 | 0 | |||||
Fair Value, Measurements, Recurring | Level 3 | Assets transferred or pledged to securitization vehicles | |||||||
Loans | |||||||
Assets transferred or pledged to securitization vehicles | 0 | 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 | |||||
Fair Value, Measurements, Recurring | Level 3 | Interest rate swaps | |||||||
Derivative assets | |||||||
Interest rate swaps | $ 0 | $ 0 | |||||
[1] (1) Derived from the audited consolidated financial statements at December 31, 2023. |
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 | Jun. 30, 2024 USD ($) | Dec. 31, 2023 USD ($) |
Discount rate | Minimum | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
MSR measurement inputs | 0.053 | 0.070 |
Discount rate | Maximum | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
MSR measurement inputs | 0.124 | 0.120 |
Discount rate | Weighted Average | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
MSR measurement inputs | 0.084 | 0.086 |
Prepayment rate | Minimum | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
MSR measurement inputs | 0.047 | 0.048 |
Prepayment rate | Maximum | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
MSR measurement inputs | 0.173 | 0.110 |
Prepayment rate | Weighted Average | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
MSR measurement inputs | 0.055 | 0.056 |
Delinquency rate | Minimum | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
MSR measurement inputs | 0.002 | 0.002 |
Delinquency rate | Maximum | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
MSR measurement inputs | 0.038 | 0.042 |
Delinquency rate | Weighted Average | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
MSR measurement inputs | 0.011 | 0.013 |
Cost to service | Minimum | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
MSR measurement inputs | 83 | 84 |
Cost to service | Maximum | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
MSR measurement inputs | 109 | 111 |
Cost to service | Weighted Average | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
MSR measurement inputs | 91 | 94 |
FAIR VALUE MEASUREMENTS - Est_2
FAIR VALUE MEASUREMENTS - Estimated Fair Values for All Financial Assets and Liabilities (Detail) - USD ($) $ in Thousands | Jun. 30, 2024 | Dec. 31, 2023 | |
Financial liabilities | |||
Other secured financing | $ 600,000 | $ 500,000 | [1] |
Carrying Value | Level 2 | |||
Financial liabilities | |||
Repurchase agreements | 60,787,994 | 62,201,543 | |
Other secured financing | 600,000 | 500,000 | |
Fair Value | Level 2 | |||
Financial liabilities | |||
Repurchase agreements | 60,787,994 | 62,201,543 | |
Other secured financing | $ 600,000 | $ 500,000 | |
[1] (1) Derived from the audited consolidated financial statements at December 31, 2023. |
INTANGIBLE ASSETS - Narrative (
INTANGIBLE ASSETS - Narrative (Details) $ in Millions | Jun. 30, 2020 USD ($) |
Assembled workforce | |
Finite-Lived Intangible Assets [Line Items] | |
Intangible assets acquired | $ 41.2 |
INTANGIBLE ASSETS - Summary of
INTANGIBLE ASSETS - Summary of Indefinite and Finite-Lived Intangible Assets (Details) $ in Thousands | 6 Months Ended | |
Jun. 30, 2024 USD ($) | ||
Intangible Assets, net | ||
Beginning balance January 1, 2024 | $ 12,106 | [1] |
Less: amortization expense | (1,345) | |
Ending balance June 30, 2024 | $ 10,761 | |
[1] (1) Derived from the audited consolidated financial statements at December 31, 2023. |
SECURED FINANCING - Narrative (
SECURED FINANCING - Narrative (Details) - USD ($) $ in Thousands | 6 Months Ended | 12 Months Ended | |
Jun. 30, 2024 | Dec. 31, 2023 | ||
Repurchase Agreements: | |||
Netted amounts | $ 60,787,994 | $ 62,201,543 | [1] |
Repurchase agreements, weighted average remaining maturities | 36 days | 44 days | |
Repurchase agreements weighted average rate | 5.59% | 5.70% | |
Repurchase agreement amount | $ 2,900,000 | ||
Remaining capacity of repurchase agreement | 1,900,000 | ||
Fair value of collateral received for reverse repurchase agreements | 2,000,000 | $ 2,300,000 | |
Fair value of securities sold | 2,000,000 | 2,100,000 | |
Other secured financing | $ 600,000 | 500,000 | [1] |
Debt weighted average interest rate | 8.07% | ||
Secured financings and interest rate swaps - collateral held, estimated fair value | $ 65,800,000 | 68,200,000 | |
Secured financings and interest rate swaps - collateral held, accrued interest | 293,300 | $ 279,500 | |
Line of Credit | Mortgage Servicing Rights Committed Credit Facility | |||
Repurchase Agreements: | |||
Credit facility, maximum borrowing capacity | $ 1,300,000 | ||
Minimum | |||
Repurchase Agreements: | |||
Debt instrument, maturity | 7 months | ||
Maximum | |||
Repurchase Agreements: | |||
Debt instrument, maturity | 1 year | ||
[1] (1) Derived from the audited consolidated financial statements at December 31, 2023. |
SECURED FINANCING - Repurchase
SECURED FINANCING - Repurchase Agreements - Remaining Maturities, Collateral Types and Weighted Average Rate (Details) - USD ($) $ in Thousands | Jun. 30, 2024 | Dec. 31, 2023 | |
Repurchase Agreements: | |||
Gross amounts | $ 62,799,365 | $ 64,469,836 | |
Amounts offset | (2,011,371) | (2,268,293) | |
Net amounts of Repurchase agreements as presented in the Consolidated Statements of Financial Condition. | $ 60,787,994 | $ 62,201,543 | [1] |
Repurchase agreements, remaining maturities, percentage | 1% | 0% | |
CRTs | |||
Repurchase Agreements: | |||
Gross amounts | $ 636,770 | $ 695,520 | |
Non-Agency Mortgage-Backed Securities | |||
Repurchase Agreements: | |||
Gross amounts | 2,373,513 | 2,157,763 | |
Residential Mortgage Loans | |||
Repurchase Agreements: | |||
Gross amounts | 1,032,679 | 851,851 | |
Agency Mortgage-Backed Securities | |||
Repurchase Agreements: | |||
Gross amounts | 58,655,786 | 60,573,426 | |
Commercial Mortgage-Backed Securities | |||
Repurchase Agreements: | |||
Gross amounts | 100,617 | 191,276 | |
1 day | |||
Repurchase Agreements: | |||
Gross amounts | 21,033,879 | 0 | |
1 day | CRTs | |||
Repurchase Agreements: | |||
Gross amounts | 47,794 | 0 | |
1 day | Non-Agency Mortgage-Backed Securities | |||
Repurchase Agreements: | |||
Gross amounts | 88,066 | 0 | |
1 day | Residential Mortgage Loans | |||
Repurchase Agreements: | |||
Gross amounts | 0 | 0 | |
1 day | Agency Mortgage-Backed Securities | |||
Repurchase Agreements: | |||
Gross amounts | 20,898,019 | 0 | |
1 day | Commercial Mortgage-Backed Securities | |||
Repurchase Agreements: | |||
Gross amounts | 0 | 0 | |
2 to 29 days | |||
Repurchase Agreements: | |||
Gross amounts | 15,167,764 | 35,080,196 | |
2 to 29 days | CRTs | |||
Repurchase Agreements: | |||
Gross amounts | 315,802 | 555,568 | |
2 to 29 days | Non-Agency Mortgage-Backed Securities | |||
Repurchase Agreements: | |||
Gross amounts | 644,301 | 840,400 | |
2 to 29 days | Residential Mortgage Loans | |||
Repurchase Agreements: | |||
Gross amounts | 0 | 0 | |
2 to 29 days | Agency Mortgage-Backed Securities | |||
Repurchase Agreements: | |||
Gross amounts | 14,107,044 | 33,492,952 | |
2 to 29 days | Commercial Mortgage-Backed Securities | |||
Repurchase Agreements: | |||
Gross amounts | 100,617 | 191,276 | |
30 to 59 days | |||
Repurchase Agreements: | |||
Gross amounts | 17,821,775 | 18,618,606 | |
30 to 59 days | CRTs | |||
Repurchase Agreements: | |||
Gross amounts | 0 | 0 | |
30 to 59 days | Non-Agency Mortgage-Backed Securities | |||
Repurchase Agreements: | |||
Gross amounts | 711,446 | 528,341 | |
30 to 59 days | Residential Mortgage Loans | |||
Repurchase Agreements: | |||
Gross amounts | 0 | 0 | |
30 to 59 days | Agency Mortgage-Backed Securities | |||
Repurchase Agreements: | |||
Gross amounts | 17,110,329 | 18,090,265 | |
30 to 59 days | Commercial Mortgage-Backed Securities | |||
Repurchase Agreements: | |||
Gross amounts | 0 | 0 | |
60 to 89 days | |||
Repurchase Agreements: | |||
Gross amounts | 4,144,700 | 7,198,769 | |
60 to 89 days | CRTs | |||
Repurchase Agreements: | |||
Gross amounts | 273,174 | 139,952 | |
60 to 89 days | Non-Agency Mortgage-Backed Securities | |||
Repurchase Agreements: | |||
Gross amounts | 542,254 | 579,611 | |
60 to 89 days | Residential Mortgage Loans | |||
Repurchase Agreements: | |||
Gross amounts | 0 | 0 | |
60 to 89 days | Agency Mortgage-Backed Securities | |||
Repurchase Agreements: | |||
Gross amounts | 3,329,272 | 6,479,206 | |
60 to 89 days | Commercial Mortgage-Backed Securities | |||
Repurchase Agreements: | |||
Gross amounts | 0 | 0 | |
90 to 119 days | |||
Repurchase Agreements: | |||
Gross amounts | 858,510 | 247,306 | |
90 to 119 days | CRTs | |||
Repurchase Agreements: | |||
Gross amounts | 0 | 0 | |
90 to 119 days | Non-Agency Mortgage-Backed Securities | |||
Repurchase Agreements: | |||
Gross amounts | 66,755 | 39,714 | |
90 to 119 days | Residential Mortgage Loans | |||
Repurchase Agreements: | |||
Gross amounts | 330,994 | 207,592 | |
90 to 119 days | Agency Mortgage-Backed Securities | |||
Repurchase Agreements: | |||
Gross amounts | 460,761 | 0 | |
90 to 119 days | Commercial Mortgage-Backed Securities | |||
Repurchase Agreements: | |||
Gross amounts | 0 | 0 | |
Over 119 days | |||
Repurchase Agreements: | |||
Gross amounts | 3,772,737 | 3,324,959 | |
Over 119 days | CRTs | |||
Repurchase Agreements: | |||
Gross amounts | 0 | 0 | |
Over 119 days | Non-Agency Mortgage-Backed Securities | |||
Repurchase Agreements: | |||
Gross amounts | 320,691 | 169,697 | |
Over 119 days | Residential Mortgage Loans | |||
Repurchase Agreements: | |||
Gross amounts | 701,685 | 644,259 | |
Over 119 days | Agency Mortgage-Backed Securities | |||
Repurchase Agreements: | |||
Gross amounts | 2,750,361 | 2,511,003 | |
Over 119 days | Commercial Mortgage-Backed Securities | |||
Repurchase Agreements: | |||
Gross amounts | $ 0 | $ 0 | |
[1] (1) Derived from the audited consolidated financial statements at December 31, 2023. |
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 | Jun. 30, 2024 | Dec. 31, 2023 | |
Reverse Repurchase Agreements | |||
Gross amounts | $ 2,011,371 | $ 2,268,293 | |
Amounts offset | (2,011,371) | (2,268,293) | |
Netted amounts | 0 | 0 | |
Repurchase Agreements | |||
Gross amounts | 62,799,365 | 64,469,836 | |
Amounts offset | (2,011,371) | (2,268,293) | |
Netted amounts | $ 60,787,994 | $ 62,201,543 | [1] |
[1] (1) Derived from the audited consolidated financial statements at December 31, 2023. |
CAPITAL STOCK - Schedule of Com
CAPITAL STOCK - Schedule of Common Stock (Details) - $ / shares | Jun. 30, 2024 | Dec. 31, 2023 |
Equity [Abstract] | ||
Shares authorized (in shares) | 1,468,250,000 | 1,468,250,000 |
Shares issued (in shares) | 501,018,415 | 500,080,287 |
Shares outstanding (in shares) | 501,018,415 | 500,080,287 |
Par Value (in dollars per share) | $ 0.01 | $ 0.01 |
CAPITAL STOCK - Narrative (Deta
CAPITAL STOCK - Narrative (Details) - USD ($) $ / shares in Units, $ in Millions | 3 Months Ended | 6 Months Ended | |||||||
Nov. 03, 2022 | Aug. 06, 2020 | Jun. 30, 2024 | Jun. 30, 2023 | Jun. 30, 2024 | Jun. 30, 2023 | Dec. 31, 2023 | Jan. 31, 2022 | Dec. 31, 2020 | |
Class of Stock [Line Items] | |||||||||
Authorized amount of stock available for repurchase (up to) | $ 1,500 | ||||||||
Preferred stock, par value (USD per share) | $ 0.01 | $ 0.01 | $ 0.01 | ||||||
Preferred stock, redemption price (in dollars per share) | $ 25 | $ 25 | |||||||
Preferred stock | |||||||||
Class of Stock [Line Items] | |||||||||
Authorized amount of stock available for repurchase (up to) | $ 1,600 | ||||||||
Shares repurchased (in shares) | 0 | 0 | |||||||
Stock repurchase program, number of shares authorized to be repurchased (in shares) | 63,500,000 | ||||||||
Series F Preferred Stock | |||||||||
Class of Stock [Line Items] | |||||||||
Preferred stock, par value (USD per share) | $ 0.01 | ||||||||
Stock repurchase program, number of shares authorized to be repurchased (in shares) | 28,800,000 | ||||||||
Preferred stock dividend rate, percentage | 6.95% | 6.95% | |||||||
Series G Preferred Stock | |||||||||
Class of Stock [Line Items] | |||||||||
Preferred stock, par value (USD per share) | $ 0.01 | ||||||||
Stock repurchase program, number of shares authorized to be repurchased (in shares) | 17,000,000 | ||||||||
Preferred stock dividend rate, percentage | 6.50% | 6.50% | |||||||
Series I | |||||||||
Class of Stock [Line Items] | |||||||||
Preferred stock, par value (USD per share) | $ 0.01 | ||||||||
Stock repurchase program, number of shares authorized to be repurchased (in shares) | 17,700,000 | ||||||||
Preferred stock dividend rate, percentage | 6.75% | 6.75% | |||||||
At-the-market Sale Program | |||||||||
Class of Stock [Line Items] | |||||||||
Aggregate stock offering price (up to) | $ 1,500 | ||||||||
Sale of stock, shares issued (in shares) | 600,000 | 600,000 | 25,300,000 | ||||||
Proceeds from sale of stock | $ 11.3 | $ 11.3 | $ 562.7 | ||||||
Current Share Repurchase Program | |||||||||
Class of Stock [Line Items] | |||||||||
Authorized amount of stock available for repurchase (up to) | $ 1,500 | ||||||||
Shares repurchased (in shares) | 0 | 0 | 0 | 0 |
CAPITAL STOCK - Schedule of Pre
CAPITAL STOCK - Schedule of Preferred Stock (Details) - USD ($) $ in Thousands | 6 Months Ended | |||
Nov. 03, 2022 | Jun. 30, 2024 | Dec. 31, 2023 | ||
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% | 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% | 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% | 6.75% | ||
Floating Annual Rate | 4.989% | |||
Redeemable Preferred Stock | ||||
Class of Stock [Line Items] | ||||
Floating Annual Rate | 0.26161% | |||
[1] (1) Derived from the audited consolidated financial statements at December 31, 2023. |
CAPITAL STOCK - Summary of Divi
CAPITAL STOCK - Summary of Dividend Distribution Activity (Details) - USD ($) $ / shares in Units, $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2024 | Jun. 30, 2023 | Jun. 30, 2024 | Jun. 30, 2023 | |
Dividends Payable [Line Items] | ||||
Dividends and dividend equivalents declared on common stock and share-based awards | $ 327,741 | $ 322,448 | $ 654,613 | $ 644,947 |
Distributions declared per common share (in dollars per share) | $ 0.65 | $ 0.65 | $ 1.30 | $ 1.30 |
Distributions paid to common stockholders after period end | $ 325,662 | $ 321,031 | $ 325,662 | $ 321,031 |
Distributions paid per common share after period end (in dollars per share) | $ 0.65 | $ 0.65 | $ 0.65 | $ 0.65 |
Series F | ||||
Dividends Payable [Line Items] | ||||
Preferred dividends declared | $ 19,002 | $ 18,274 | $ 38,087 | $ 35,776 |
Preferred series dividends declared (in dollars per share) | $ 0.660 | $ 0.635 | $ 1.322 | $ 1.242 |
Series G | ||||
Dividends Payable [Line Items] | ||||
Preferred dividends declared | $ 10,689 | $ 10,025 | $ 21,198 | $ 16,931 |
Preferred series dividends declared (in dollars per share) | $ 0.629 | $ 0.590 | $ 1.247 | $ 0.996 |
Series I | ||||
Dividends Payable [Line Items] | ||||
Preferred dividends declared | $ 7,467 | $ 7,467 | $ 14,934 | $ 14,934 |
Preferred series dividends declared (in dollars per share) | $ 0.422 | $ 0.422 | $ 0.844 | $ 0.844 |
INTEREST INCOME AND INTEREST _3
INTEREST INCOME AND INTEREST EXPENSE (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2024 | Jun. 30, 2023 | Jun. 30, 2024 | Jun. 30, 2023 | |
Interest income | ||||
Agency securities | $ 790,779 | $ 686,912 | $ 1,542,295 | $ 1,290,014 |
Residential credit securities | 50,895 | 56,477 | 106,891 | 110,222 |
Residential mortgage loans | 301,820 | 162,202 | 553,836 | 309,433 |
Commercial investment portfolio | 2,441 | 8,310 | 5,995 | 18,197 |
Reverse repurchase agreements | 31,390 | 7,593 | 62,796 | 11,878 |
Total interest income | 1,177,325 | 921,494 | 2,271,813 | 1,739,744 |
Interest expense | ||||
Repurchase agreements | 881,926 | 841,257 | 1,779,524 | 1,539,999 |
Debt issued by securitization vehicles | 200,812 | 101,819 | 361,829 | 190,753 |
Participations issued | 19,756 | 10,381 | 40,007 | 21,492 |
U.S. Treasury securities sold, not yet purchased | 21,273 | 0 | 43,346 | 0 |
Total interest expense | 1,123,767 | 953,457 | 2,224,706 | 1,752,244 |
Interest income | $ 53,558 | $ (31,963) | $ 47,107 | $ (12,500) |
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 | 6 Months Ended | ||
Jun. 30, 2024 | Jun. 30, 2023 | Jun. 30, 2024 | Jun. 30, 2023 | |
Earnings Per Share [Abstract] | ||||
Net income (loss) | $ (8,833) | $ 161,187 | $ 456,341 | $ (678,141) |
Net income (loss) attributable to noncontrolling interests | 650 | (5,846) | 2,932 | (918) |
Net income (loss) attributable to Annaly | (9,483) | 167,033 | 453,409 | (677,223) |
Dividends on preferred stock | 37,158 | 35,766 | 74,219 | 67,641 |
Net income (loss) available (related) to common stockholders | $ (46,641) | $ 131,267 | $ 379,190 | $ (744,864) |
Weighted average shares of common stock outstanding-basic (in shares) | 500,950,563 | 494,165,256 | 500,781,701 | 491,939,177 |
Add: Effect of stock awards, if dilutive (in shares) | 0 | 193,726 | 633,814 | 0 |
Weighted average shares of common stock outstanding-diluted (in shares) | 500,950,563 | 494,358,982 | 501,415,515 | 491,939,177 |
Net income (loss) per share available (related) to common share | ||||
Basic (in dollars per share) | $ (0.09) | $ 0.27 | $ 0.76 | $ (1.51) |
Diluted (in dollars per share) | $ (0.09) | $ 0.27 | $ 0.76 | $ (1.51) |
NET INCOME (LOSS) PER COMMON _4
NET INCOME (LOSS) PER COMMON SHARE - Narrative (Details) - shares shares in Millions | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2024 | Jun. 30, 2023 | Jun. 30, 2024 | Jun. 30, 2023 | |
Earnings Per Share [Abstract] | ||||
Options to purchase common stock (in shares) | 2.7 | 1.3 | 0 | 1.8 |
INCOME TAXES (Details)
INCOME TAXES (Details) - USD ($) | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2024 | Jun. 30, 2023 | Jun. 30, 2024 | Jun. 30, 2023 | Dec. 31, 2023 | |
Income Taxes: | |||||
REIT Taxable income distributed | 100% | ||||
Unrecognized tax benefits | $ 0 | $ 0 | $ 0 | ||
Unrecognized tax benefits, income tax penalties and interest accrued | 0 | 0 | $ 0 | ||
Income tax expense (benefit) | 11,931,000 | $ 14,277,000 | 10,988,000 | $ 25,310,000 | |
Taxable REIT Subsidiary | |||||
Income Taxes: | |||||
Income tax expense (benefit) | $ 11,900,000 | $ 14,300,000 | $ 11,000,000 | $ 25,300,000 |
SEGMENTS - Narrative (Details)
SEGMENTS - Narrative (Details) | 6 Months Ended |
Jun. 30, 2024 segment | |
Segment Reporting [Abstract] | |
Number of reportable segments | 3 |
Number of operating segments | 3 |
SEGMENTS - Schedule of Segment
SEGMENTS - Schedule of Segment Reporting (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||||
Jun. 30, 2024 | Jun. 30, 2023 | Jun. 30, 2024 | Jun. 30, 2023 | Dec. 31, 2023 | [1] | |
Segment Reporting Information [Line Items] | ||||||
Interest income | $ 1,177,325 | $ 921,494 | $ 2,271,813 | $ 1,739,744 | ||
Interest expense | 1,123,767 | 953,457 | 2,224,706 | 1,752,244 | ||
Net interest income | 53,558 | (31,963) | 47,107 | (12,500) | ||
Servicing and related income | 120,515 | 83,790 | 235,599 | 168,063 | ||
Servicing and related expense | 12,617 | 8,930 | 24,833 | 16,810 | ||
Net servicing income | 107,898 | 74,860 | 210,766 | 151,253 | ||
Other income (loss) | (113,467) | 175,482 | 292,917 | (707,841) | ||
Less: Total general and administrative expenses | 44,891 | 42,915 | 83,461 | 83,743 | ||
Income (loss) before income taxes | 3,098 | 175,464 | 467,329 | (652,831) | ||
Income taxes | 11,931 | 14,277 | 10,988 | 25,310 | ||
Net income (loss) | (8,833) | 161,187 | 456,341 | (678,141) | ||
Less: Net income (loss) attributable to noncontrolling interest | 650 | (5,846) | 2,932 | (918) | ||
Net income (loss) attributable to Annaly | (9,483) | 167,033 | 453,409 | (677,223) | ||
Dividends on preferred stock | 37,158 | 35,766 | 74,219 | 67,641 | ||
Net income (loss) available (related) to common stockholders | (46,641) | 131,267 | 379,190 | (744,864) | ||
Unrealized gains (losses) on available-for-sale securities | (54,243) | (294,045) | (336,112) | 381,329 | ||
Reclassification adjustment for net (gains) losses included in net income (loss) | 179,234 | 462,128 | 514,585 | 945,036 | ||
Other comprehensive income (loss) | 124,991 | 168,083 | 178,473 | 1,326,365 | ||
Comprehensive income (loss) | 116,158 | 329,270 | 634,814 | 648,224 | ||
Comprehensive income (loss) attributable to noncontrolling interests | 650 | (5,846) | 2,932 | (918) | ||
Comprehensive income (loss) attributable to Annaly | 115,508 | 335,116 | 631,882 | 649,142 | ||
Receivable for unsettled trades | 320,659 | 787,442 | 320,659 | 787,442 | $ 2,710,224 | |
Payable for unsettled trades | 1,096,271 | 4,331,315 | 1,096,271 | 4,331,315 | 3,249,389 | |
Net change in unrealized gains (losses) on available-for-sale securities, net of reclassification adjustment | 124,991 | 168,083 | 178,473 | 1,326,365 | ||
Dividends declared, not yet paid | 325,662 | 321,031 | 325,662 | 321,031 | 325,052 | |
Total assets | 93,668,577 | 89,330,477 | 93,668,577 | 89,330,477 | $ 93,227,236 | |
Operating Segments | Agency | ||||||
Segment Reporting Information [Line Items] | ||||||
Interest income | 821,339 | 694,505 | 1,603,265 | 1,301,892 | ||
Interest expense | 830,324 | 778,480 | 1,677,095 | 1,430,164 | ||
Net interest income | (8,985) | (83,975) | (73,830) | (128,272) | ||
Servicing and related income | 0 | 0 | 0 | 0 | ||
Servicing and related expense | 0 | 0 | 0 | 0 | ||
Net servicing income | 0 | 0 | 0 | 0 | ||
Other income (loss) | (184,910) | 58,225 | 116,042 | (886,798) | ||
Less: Total general and administrative expenses | 15,862 | 15,685 | 31,450 | 29,825 | ||
Income (loss) before income taxes | (209,757) | (41,435) | 10,762 | (1,044,895) | ||
Income taxes | 118 | 705 | 725 | 486 | ||
Net income (loss) | (209,875) | (42,140) | 10,037 | (1,045,381) | ||
Less: Net income (loss) attributable to noncontrolling interest | 0 | 0 | 0 | 0 | ||
Net income (loss) attributable to Annaly | (209,875) | (42,140) | 10,037 | (1,045,381) | ||
Dividends on preferred stock | 0 | 0 | 0 | 0 | ||
Net income (loss) available (related) to common stockholders | (209,875) | (42,140) | 10,037 | (1,045,381) | ||
Unrealized gains (losses) on available-for-sale securities | (54,243) | (294,045) | (336,112) | 381,329 | ||
Reclassification adjustment for net (gains) losses included in net income (loss) | 179,234 | 462,128 | 514,585 | 945,036 | ||
Other comprehensive income (loss) | 124,991 | 168,083 | 178,473 | 1,326,365 | ||
Comprehensive income (loss) | (84,884) | 125,943 | 188,510 | 280,984 | ||
Comprehensive income (loss) attributable to noncontrolling interests | 0 | 0 | 0 | 0 | ||
Comprehensive income (loss) attributable to Annaly | (84,884) | 125,943 | 188,510 | 280,984 | ||
Receivable for unsettled trades | 311,349 | 780,458 | 311,349 | 780,458 | ||
Payable for unsettled trades | 1,041,278 | 4,295,056 | 1,041,278 | 4,295,056 | ||
Net change in unrealized gains (losses) on available-for-sale securities, net of reclassification adjustment | 124,991 | 168,083 | 178,473 | 1,326,365 | ||
Dividends declared, not yet paid | 0 | 0 | 0 | 0 | ||
Total assets | 66,660,065 | 70,775,689 | 66,660,065 | 70,775,689 | ||
Operating Segments | Resi-credit | ||||||
Segment Reporting Information [Line Items] | ||||||
Interest income | 353,545 | 218,679 | 662,553 | 419,655 | ||
Interest expense | 291,816 | 169,239 | 543,678 | 310,740 | ||
Net interest income | 61,729 | 49,440 | 118,875 | 108,915 | ||
Servicing and related income | 0 | 0 | 0 | 0 | ||
Servicing and related expense | 0 | 0 | 0 | 0 | ||
Net servicing income | 0 | 0 | 0 | 0 | ||
Other income (loss) | 48,457 | 66,637 | 153,823 | 104,413 | ||
Less: Total general and administrative expenses | 13,148 | 11,884 | 25,822 | 24,562 | ||
Income (loss) before income taxes | 97,038 | 104,193 | 246,876 | 188,766 | ||
Income taxes | (24) | 673 | (1,703) | 8,049 | ||
Net income (loss) | 97,062 | 103,520 | 248,579 | 180,717 | ||
Less: Net income (loss) attributable to noncontrolling interest | 650 | (5,846) | 2,932 | (918) | ||
Net income (loss) attributable to Annaly | 96,412 | 109,366 | 245,647 | 181,635 | ||
Dividends on preferred stock | 0 | 0 | 0 | 0 | ||
Net income (loss) available (related) to common stockholders | 96,412 | 109,366 | 245,647 | 181,635 | ||
Unrealized gains (losses) on available-for-sale securities | 0 | 0 | 0 | 0 | ||
Reclassification adjustment for net (gains) losses included in net income (loss) | 0 | 0 | 0 | 0 | ||
Other comprehensive income (loss) | 0 | 0 | 0 | 0 | ||
Comprehensive income (loss) | 97,062 | 103,520 | 248,579 | 180,717 | ||
Comprehensive income (loss) attributable to noncontrolling interests | 650 | (5,846) | 2,932 | (918) | ||
Comprehensive income (loss) attributable to Annaly | 96,412 | 109,366 | 245,647 | 181,635 | ||
Receivable for unsettled trades | 0 | 4,857 | 0 | 4,857 | ||
Payable for unsettled trades | 0 | 10 | 0 | 10 | ||
Net change in unrealized gains (losses) on available-for-sale securities, net of reclassification adjustment | 0 | 0 | 0 | 0 | ||
Dividends declared, not yet paid | 0 | 0 | 0 | 0 | ||
Total assets | 23,462,284 | 15,822,726 | 23,462,284 | 15,822,726 | ||
Operating Segments | MSR | ||||||
Segment Reporting Information [Line Items] | ||||||
Interest income | 0 | 0 | 0 | 0 | ||
Interest expense | 0 | 0 | 0 | 0 | ||
Net interest income | 0 | 0 | 0 | 0 | ||
Servicing and related income | 120,515 | 83,790 | 235,599 | 168,063 | ||
Servicing and related expense | 12,617 | 8,930 | 24,833 | 16,810 | ||
Net servicing income | 107,898 | 74,860 | 210,766 | 151,253 | ||
Other income (loss) | 22,324 | 54,950 | 21,454 | 83,184 | ||
Less: Total general and administrative expenses | 8,507 | 7,183 | 17,101 | 14,553 | ||
Income (loss) before income taxes | 121,715 | 122,627 | 215,119 | 219,884 | ||
Income taxes | 11,920 | 13,089 | 12,069 | 16,848 | ||
Net income (loss) | 109,795 | 109,538 | 203,050 | 203,036 | ||
Less: Net income (loss) attributable to noncontrolling interest | 0 | 0 | 0 | 0 | ||
Net income (loss) attributable to Annaly | 109,795 | 109,538 | 203,050 | 203,036 | ||
Dividends on preferred stock | 0 | 0 | 0 | 0 | ||
Net income (loss) available (related) to common stockholders | 109,795 | 109,538 | 203,050 | 203,036 | ||
Unrealized gains (losses) on available-for-sale securities | 0 | 0 | 0 | 0 | ||
Reclassification adjustment for net (gains) losses included in net income (loss) | 0 | 0 | 0 | 0 | ||
Other comprehensive income (loss) | 0 | 0 | 0 | 0 | ||
Comprehensive income (loss) | 109,795 | 109,538 | 203,050 | 203,036 | ||
Comprehensive income (loss) attributable to noncontrolling interests | 0 | 0 | 0 | 0 | ||
Comprehensive income (loss) attributable to Annaly | 109,795 | 109,538 | 203,050 | 203,036 | ||
Receivable for unsettled trades | 9,310 | 1,994 | 9,310 | 1,994 | ||
Payable for unsettled trades | 54,993 | 36,249 | 54,993 | 36,249 | ||
Net change in unrealized gains (losses) on available-for-sale securities, net of reclassification adjustment | 0 | 0 | 0 | 0 | ||
Dividends declared, not yet paid | 0 | 0 | 0 | 0 | ||
Total assets | 3,326,780 | 2,252,578 | 3,326,780 | 2,252,578 | ||
Corporate & Other | ||||||
Segment Reporting Information [Line Items] | ||||||
Interest income | 2,441 | 8,310 | 5,995 | 18,197 | ||
Interest expense | 1,627 | 5,738 | 3,933 | 11,340 | ||
Net interest income | 814 | 2,572 | 2,062 | 6,857 | ||
Servicing and related income | 0 | 0 | 0 | 0 | ||
Servicing and related expense | 0 | 0 | 0 | 0 | ||
Net servicing income | 0 | 0 | 0 | 0 | ||
Other income (loss) | 662 | (4,330) | 1,598 | (8,640) | ||
Less: Total general and administrative expenses | 7,374 | 8,163 | 9,088 | 14,803 | ||
Income (loss) before income taxes | (5,898) | (9,921) | (5,428) | (16,586) | ||
Income taxes | (83) | (190) | (103) | (73) | ||
Net income (loss) | (5,815) | (9,731) | (5,325) | (16,513) | ||
Less: Net income (loss) attributable to noncontrolling interest | 0 | 0 | 0 | 0 | ||
Net income (loss) attributable to Annaly | (5,815) | (9,731) | (5,325) | (16,513) | ||
Dividends on preferred stock | 37,158 | 35,766 | 74,219 | 67,641 | ||
Net income (loss) available (related) to common stockholders | (42,973) | (45,497) | (79,544) | (84,154) | ||
Unrealized gains (losses) on available-for-sale securities | 0 | 0 | 0 | 0 | ||
Reclassification adjustment for net (gains) losses included in net income (loss) | 0 | 0 | 0 | 0 | ||
Other comprehensive income (loss) | 0 | 0 | 0 | 0 | ||
Comprehensive income (loss) | (5,815) | (9,731) | (5,325) | (16,513) | ||
Comprehensive income (loss) attributable to noncontrolling interests | 0 | 0 | 0 | 0 | ||
Comprehensive income (loss) attributable to Annaly | (5,815) | (9,731) | (5,325) | (16,513) | ||
Receivable for unsettled trades | 0 | 133 | 0 | 133 | ||
Payable for unsettled trades | 0 | 0 | 0 | 0 | ||
Net change in unrealized gains (losses) on available-for-sale securities, net of reclassification adjustment | 0 | 0 | 0 | 0 | ||
Dividends declared, not yet paid | 325,662 | 321,031 | 325,662 | 321,031 | ||
Total assets | $ 219,448 | $ 479,484 | $ 219,448 | $ 479,484 | ||
[1] (1) Derived from the audited consolidated financial statements at December 31, 2023. |
LEASE COMMITMENTS AND CONTING_3
LEASE COMMITMENTS AND CONTINGENCIES - Narrative (Details) - USD ($) $ in Millions | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2024 | Jun. 30, 2023 | Jun. 30, 2024 | Jun. 30, 2023 | Dec. 31, 2023 | |
Lessee, Lease, Description [Line Items] | |||||
Option to extend (in years) | 5 years | 5 years | |||
Lease cost | $ 0.8 | $ 0.8 | $ 1.6 | $ 1.6 | |
Material contingencies | $ 0 | $ 0 | $ 0 | ||
Minimum | |||||
Lessee, Lease, Description [Line Items] | |||||
Remaining lease term (in years) | 1 year | 1 year | |||
Maximum | |||||
Lessee, Lease, Description [Line Items] | |||||
Remaining lease term (in years) | 4 years | 4 years |
LEASE COMMITMENTS AND CONTING_4
LEASE COMMITMENTS AND CONTINGENCIES - Supplemental Information Regarding Leases (Details) $ in Thousands | 6 Months Ended |
Jun. 30, 2024 USD ($) | |
Leases [Abstract] | |
Operating lease right-of-use assets | $ 4,429 |
Operating Lease, Right-of-Use Asset, Statement of Financial Position [Extensible Enumeration] | Other assets |
Operating lease liabilities | $ 5,568 |
Operating Lease, Liability, Statement of Financial Position [Extensible Enumeration] | Other Liabilities |
Weighted average remaining lease term | 1 year 7 months 6 days |
Weighted average discount rate | 3.40% |
Operating cash flows from operating leases | $ 2,053 |
LEASE COMMITMENTS AND CONTING_5
LEASE COMMITMENTS AND CONTINGENCIES - Details of Future Lease Payments (Details) $ in Thousands | Jun. 30, 2024 USD ($) |
Leases [Abstract] | |
2024 (remaining) | $ 2,054 |
2025 | 3,149 |
2026 | 261 |
2027 | 269 |
2028 | 22 |
Later years | 0 |
Total lease payments | 5,755 |
Less imputed interest | 187 |
Present value of lease liabilities | $ 5,568 |
SUBSEQUENT EVENTS (Details)
SUBSEQUENT EVENTS (Details) - Subsequent Event $ in Millions | 1 Months Ended |
Jul. 31, 2024 USD ($) securitization | |
Subsequent Event [Line Items] | |
Number of closed securitizations | securitization | 2 |
OBX 2024-NQM10 | |
Subsequent Event [Line Items] | |
Residential mortgage loan, face value | $ 482.5 |
OBX 2024-NQM11 | |
Subsequent Event [Line Items] | |
Residential mortgage loan, face value | $ 603 |