ANNALY CAPITAL MANAGEMENT, INC. |
(Exact Name of Registrant as Specified in its Charter) |
MARYLAND (State or other jurisdiction of incorporation or organization) | 22-3479661 (IRS Employer Identification No.) | |
1211 AVENUE OF THE AMERICAS NEW YORK, NY 10036 (Address of principal executive offices) | 10036 (Zip Code) |
(212) 696-0100 |
(Registrant’s telephone number, including area code) |
Class | Outstanding at |
Common Stock, $.01 par value |
ANNALY CAPITAL MANAGEMENT, INC. | |
FORM 10-Q | |
TABLE OF CONTENTS | |
Page | |
ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES | ||||||||
CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION | ||||||||
(dollars in thousands, except per share data) | ||||||||
June 30, | December 31, | |||||||
2018 | 2017 (1) | |||||||
(Unaudited) | ||||||||
ASSETS | ||||||||
Cash and cash equivalents (including cash pledged as collateral of $1,042,671 and $579,213, respectively) (2) | $ | 1,135,329 | $ | 706,589 | ||||
Investments, at fair value: | ||||||||
Agency mortgage-backed securities (including pledged assets of $80,997,975 and $83,628,132, respectively) | 86,593,058 | 90,551,763 | ||||||
Credit risk transfer securities (including pledged assets of $417,403 and $363,944, respectively) | 563,796 | 651,764 | ||||||
Non-Agency mortgage-backed securities (including pledged assets of $435,877 and $516,078, respectively) (3) | 1,006,785 | 1,097,294 | ||||||
Residential mortgage loans (including pledged assets of $1,608,935 and $1,169,496, respectively) (4) | 1,666,157 | 1,438,322 | ||||||
Mortgage servicing rights (including pledged assets of $4,164 and $5,224, respectively) | 599,014 | 580,860 | ||||||
Commercial real estate debt investments (including pledged assets of $2,733,405 and $3,070,993, respectively) (5) | 2,857,463 | 3,089,108 | ||||||
Commercial real estate debt and preferred equity, held for investment (including pledged assets of $652,897 and $520,329, respectively) | 1,251,138 | 1,029,327 | ||||||
Loans held for sale, net | 42,458 | — | ||||||
Investments in commercial real estate | 477,887 | 485,953 | ||||||
Corporate debt (including pledged assets of $642,016 and $600,049, respectively) | 1,256,276 | 1,011,275 | ||||||
Interest rate swaps, at fair value | 82,458 | 30,272 | ||||||
Other derivatives, at fair value | 129,680 | 283,613 | ||||||
Reverse repurchase agreements | 259,762 | — | ||||||
Receivable for investments sold | 21,728 | 1,232 | ||||||
Accrued interest and dividends receivable | 323,769 | 323,526 | ||||||
Other assets | 475,230 | 384,117 | ||||||
Goodwill | 71,815 | 71,815 | ||||||
Intangible assets, net | 19,194 | 23,220 | ||||||
Total assets | $ | 98,832,997 | $ | 101,760,050 | ||||
LIABILITIES AND STOCKHOLDERS’ EQUITY | ||||||||
Liabilities: | ||||||||
Repurchase agreements | $ | 75,760,655 | $ | 77,696,343 | ||||
Other secured financing | 3,760,487 | 3,837,528 | ||||||
Securitized debt of consolidated VIEs (6) | 2,728,692 | 2,971,771 | ||||||
Mortgages payable | 309,878 | 309,686 | ||||||
Interest rate swaps, at fair value | 376,106 | 569,129 | ||||||
Other derivatives, at fair value | 117,931 | 38,725 | ||||||
Dividends payable | 349,300 | 347,876 | ||||||
Payable for investments purchased | 1,108,834 | 656,581 | ||||||
Accrued interest payable | 478,439 | 253,068 | ||||||
Accounts payable and other liabilities | 68,819 | 207,770 | ||||||
Total liabilities | 85,059,141 | 86,888,477 | ||||||
Stockholders’ Equity: | ||||||||
7.625% Series C Cumulative Redeemable Preferred Stock: 12,000,000 authorized, 7,000,000 and 12,000,0000 issued and outstanding, respectively | 169,466 | 290,514 | ||||||
7.50% Series D Cumulative Redeemable Preferred Stock: 18,400,000 authorized, issued and outstanding | 445,457 | 445,457 | ||||||
7.625% Series E Cumulative Redeemable Preferred Stock: 11,500,000 authorized, 0 and 11,500,000 issued and outstanding, respectively | — | 287,500 | ||||||
6.95% Series F Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock: 28,800,000 authorized, issued and outstanding | 696,910 | 696,910 | ||||||
6.50% Series G Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock: 19,550,000 and 0 authorized, 17,000,000 and 0 issued, and outstanding, respectively | 411,335 | — | ||||||
Common stock, par value $0.01 per share, 1,909,750,000 and 1,929,300,000 authorized, 1,164,333,831 and 1,159,585,078 issued and outstanding, respectively | 11,643 | 11,596 | ||||||
Additional paid-in capital | 17,268,596 | 17,221,265 | ||||||
Accumulated other comprehensive income (loss) | (3,434,447 | ) | (1,126,020 | ) | ||||
Accumulated deficit | (1,800,370 | ) | (2,961,749 | ) | ||||
Total stockholders’ equity | 13,768,590 | 14,865,473 | ||||||
Noncontrolling interest | 5,266 | 6,100 | ||||||
Total equity | 13,773,856 | 14,871,573 | ||||||
Total liabilities and equity | $ | 98,832,997 | $ | 101,760,050 |
ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES | ||||||||
CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION | ||||||||
(dollars in thousands, except per share data) | ||||||||
September 30, | December 31, | |||||||
2018 | 2017 (1) | |||||||
(Unaudited) | ||||||||
ASSETS | ||||||||
Cash and cash equivalents (includes pledged assets $924,891 and $579,213, respectively) (2) | $ | 1,082,747 | $ | 706,589 | ||||
Securities (includes pledged assets of $84,613,575 and $84,752,790, respectively) (3) | 91,338,611 | 92,563,572 | ||||||
Loans (includes pledged assets of $2,519,340 and $1,811,062, respectively) | 4,224,203 | 2,999,148 | ||||||
Mortgage servicing rights (includes pledged assets of $2,958 and $5,224, respectively) | 588,833 | 580,860 | ||||||
Assets transferred or pledged to securitization vehicles | 4,287,821 | 3,306,133 | ||||||
Real estate, net | 753,014 | 485,953 | ||||||
Derivative assets | 404,841 | 313,885 | ||||||
Reverse repurchase agreements | 1,234,704 | — | ||||||
Receivable for unsettled trades | 1,266,840 | 1,232 | ||||||
Interest receivable | 347,278 | 323,526 | ||||||
Goodwill and intangible assets, net | 103,043 | 95,035 | ||||||
Other assets | 329,868 | 384,117 | ||||||
Total assets | $ | 105,961,803 | $ | 101,760,050 | ||||
LIABILITIES AND STOCKHOLDERS’ EQUITY | ||||||||
Liabilities: | ||||||||
Repurchase agreements | $ | 79,073,026 | $ | 77,696,343 | ||||
Other secured financing | 4,108,547 | 3,837,528 | ||||||
Debt issued by securitization vehicles | 3,799,542 | 2,971,771 | ||||||
Mortgages payable | 511,588 | 309,686 | ||||||
Derivative liabilities | 379,794 | 607,854 | ||||||
Payable for unsettled trades | 2,505,428 | 656,581 | ||||||
Interest payable | 399,605 | 253,068 | ||||||
Dividends payable | 102,811 | 347,876 | ||||||
Other liabilities | 125,606 | 207,770 | ||||||
Total liabilities | 91,005,947 | 86,888,477 | ||||||
Stockholders’ Equity: | ||||||||
Preferred stock, par value $0.01 per share, 75,950,000 and 70,700,000 authorized, 73,400,000 and 70,700,000 issued and outstanding, respectively | 1,778,168 | 1,720,381 | ||||||
Common stock, par value $0.01 per share, 1,924,050,000 and 1,929,300,000 authorized, 1,303,079,555 and 1,159,585,078 issued and outstanding, respectively | 13,031 | 11,596 | ||||||
Additional paid-in capital | 18,793,706 | 17,221,265 | ||||||
Accumulated other comprehensive income (loss) | (3,822,956 | ) | (1,126,020 | ) | ||||
Accumulated deficit | (1,811,955 | ) | (2,961,749 | ) | ||||
Total stockholders’ equity | 14,949,994 | 14,865,473 | ||||||
Noncontrolling interests | 5,862 | 6,100 | ||||||
Total equity | 14,955,856 | 14,871,573 | ||||||
Total liabilities and equity | $ | 105,961,803 | $ | 101,760,050 |
(1) | Derived from the audited consolidated financial statements at December 31, 2017. |
(2) | Includes cash of consolidated Variable Interest Entities (“VIEs”) of |
(3) | Excludes |
ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES | ||||||||||||||||
CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS) | ||||||||||||||||
(dollars in thousands, except per share data) | ||||||||||||||||
(Unaudited) | ||||||||||||||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2018 | 2017 | 2018 | 2017 | |||||||||||||
Net interest income: | ||||||||||||||||
Interest income | $ | 816,596 | $ | 622,550 | $ | 2,472,889 | $ | 1,747,703 | ||||||||
Interest expense | 500,973 | 268,937 | 1,311,086 | 689,643 | ||||||||||||
Net interest income | 315,623 | 353,613 | 1,161,803 | 1,058,060 | ||||||||||||
Realized and unrealized gains (losses): | ||||||||||||||||
Net interest component of interest rate swaps | 51,349 | (88,211 | ) | 34,664 | (288,837 | ) | ||||||||||
Realized gains (losses) on termination or maturity of interest rate swaps | 575 | — | 1,409 | (58 | ) | |||||||||||
Unrealized gains (losses) on interest rate swaps | 417,203 | 56,854 | 1,737,963 | 28,471 | ||||||||||||
Subtotal | 469,127 | (31,357 | ) | 1,774,036 | (260,424 | ) | ||||||||||
Net gains (losses) on disposal of investments | (324,294 | ) | (11,552 | ) | (376,943 | ) | (11,833 | ) | ||||||||
Net gains (losses) on other derivatives | 94,827 | 154,208 | 81,871 | 140,104 | ||||||||||||
Net unrealized gains (losses) on instruments measured at fair value through earnings | (39,944 | ) | (67,492 | ) | (139,913 | ) | (27,569 | ) | ||||||||
Subtotal | (269,411 | ) | 75,164 | (434,985 | ) | 100,702 | ||||||||||
Total realized and unrealized gains (losses) | 199,716 | 43,807 | 1,339,051 | (159,722 | ) | |||||||||||
Other income (loss) | (10,643 | ) | 28,282 | 57,550 | 90,793 | |||||||||||
General and administrative expenses: | ||||||||||||||||
Compensation and management fee | 45,983 | 41,993 | 136,091 | 120,193 | ||||||||||||
Other general and administrative expenses | 80,526 | 15,023 | 116,709 | 44,674 | ||||||||||||
Total general and administrative expenses | 126,509 | 57,016 | 252,800 | 164,867 | ||||||||||||
Income (loss) before income taxes | 378,187 | 368,686 | 2,305,604 | 824,264 | ||||||||||||
Income taxes | (7,242 | ) | 1,371 | (3,416 | ) | 2,019 | ||||||||||
Net income (loss) | 385,429 | 367,315 | 2,309,020 | 822,245 | ||||||||||||
Net income (loss) attributable to noncontrolling interests | (149 | ) | (232 | ) | (277 | ) | (437 | ) | ||||||||
Net income (loss) attributable to Annaly | 385,578 | 367,547 | 2,309,297 | 822,682 | ||||||||||||
Dividends on preferred stock (1) | 31,675 | 30,355 | 96,818 | 77,301 | ||||||||||||
Net income (loss) available (related) to common stockholders | $ | 353,903 | $ | 337,192 | $ | 2,212,479 | $ | 745,381 | ||||||||
Net income (loss) per share available (related) to common stockholders: | ||||||||||||||||
Basic | $ | 0.29 | $ | 0.31 | $ | 1.88 | $ | 0.72 | ||||||||
Diluted | $ | 0.29 | $ | 0.31 | $ | 1.88 | $ | 0.72 | ||||||||
Weighted average number of common shares outstanding: | ||||||||||||||||
Basic | 1,202,353,851 | 1,072,566,395 | 1,174,292,701 | 1,037,033,076 | ||||||||||||
Diluted | 1,202,353,851 | 1,073,040,637 | 1,174,292,701 | 1,037,445,177 | ||||||||||||
Dividends declared per share of common stock | $ | 0.30 | $ | 0.30 | $ | 0.90 | $ | 0.90 | ||||||||
Net income (loss) | $ | 385,429 | $ | 367,315 | $ | 2,309,020 | $ | 822,245 | ||||||||
Other comprehensive income (loss): | ||||||||||||||||
Unrealized gains (losses) on available-for-sale securities | (719,609 | ) | 195,251 | (3,104,218 | ) | 397,600 | ||||||||||
Reclassification adjustment for net (gains) losses included in net income (loss) | 331,100 | 15,367 | 407,282 | 48,144 | ||||||||||||
Other comprehensive income (loss) | (388,509 | ) | 210,618 | (2,696,936 | ) | 445,744 | ||||||||||
Comprehensive income (loss) | (3,080 | ) | 577,933 | (387,916 | ) | 1,267,989 | ||||||||||
Comprehensive income (loss) attributable to noncontrolling interests | (149 | ) | (232 | ) | (277 | ) | (437 | ) | ||||||||
Comprehensive income (loss) attributable to Annaly | (2,931 | ) | 578,165 | (387,639 | ) | 1,268,426 | ||||||||||
Dividends on preferred stock (1) | 31,675 | 30,355 | 96,818 | 77,301 | ||||||||||||
Comprehensive income (loss) attributable to common stockholders | $ | (34,606 | ) | $ | 547,810 | $ | (484,457 | ) | $ | 1,191,125 |
Includes |
ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES | ||||||||||||||||
CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS) | ||||||||||||||||
(dollars in thousands, except per share data) | ||||||||||||||||
(Unaudited) | ||||||||||||||||
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
2018 | 2017 | 2018 | 2017 | |||||||||||||
Net interest income: | ||||||||||||||||
Interest income | $ | 776,806 | $ | 537,426 | $ | 1,656,293 | $ | 1,125,153 | ||||||||
Interest expense | 442,692 | 222,281 | 810,113 | 420,706 | ||||||||||||
Net interest income | 334,114 | 315,145 | 846,180 | 704,447 | ||||||||||||
Realized and unrealized gains (losses): | ||||||||||||||||
Net interest component of interest rate swaps | 31,475 | (96,470 | ) | (16,685 | ) | (200,626 | ) | |||||||||
Realized gains (losses) on termination or maturity of interest rate swaps | — | (58 | ) | 834 | (58 | ) | ||||||||||
Unrealized gains (losses) on interest rate swaps | 343,475 | (177,567 | ) | 1,320,760 | (28,383 | ) | ||||||||||
Subtotal | 374,950 | (274,095 | ) | 1,304,909 | (229,067 | ) | ||||||||||
Net gains (losses) on disposal of investments | (66,117 | ) | (5,516 | ) | (52,649 | ) | (281 | ) | ||||||||
Net gains (losses) on other derivatives | 34,189 | (14,423 | ) | (12,956 | ) | (14,104 | ) | |||||||||
Net unrealized gains (losses) on instruments measured at fair value through earnings | (48,376 | ) | 16,240 | (99,969 | ) | 39,923 | ||||||||||
Subtotal | (80,304 | ) | (3,699 | ) | (165,574 | ) | 25,538 | |||||||||
Total realized and unrealized gains (losses) | 294,646 | (277,794 | ) | 1,139,335 | (203,529 | ) | ||||||||||
Other income (loss): | ||||||||||||||||
Other income (loss) | 34,170 | 30,865 | 68,193 | 62,511 | ||||||||||||
Total other income (loss) | 34,170 | 30,865 | 68,193 | 62,511 | ||||||||||||
General and administrative expenses: | ||||||||||||||||
Compensation and management fee | 45,579 | 38,938 | 90,108 | 78,200 | ||||||||||||
Other general and administrative expenses | 18,202 | 15,085 | 36,183 | 29,651 | ||||||||||||
Total general and administrative expenses | 63,781 | 54,023 | 126,291 | 107,851 | ||||||||||||
Income (loss) before income taxes | 599,149 | 14,193 | 1,927,417 | 455,578 | ||||||||||||
Income taxes | 3,262 | (329 | ) | 3,826 | 648 | |||||||||||
Net income (loss) | 595,887 | 14,522 | 1,923,591 | 454,930 | ||||||||||||
Net income (loss) attributable to noncontrolling interest | (32 | ) | (102 | ) | (128 | ) | (205 | ) | ||||||||
Net income (loss) attributable to Annaly | 595,919 | 14,624 | 1,923,719 | 455,135 | ||||||||||||
Dividends on preferred stock | 31,377 | 23,473 | 65,143 | 46,946 | ||||||||||||
Net income (loss) available (related) to common stockholders | $ | 564,542 | $ | (8,849 | ) | $ | 1,858,576 | $ | 408,189 | |||||||
Net income (loss) per share available (related) to common stockholders: | ||||||||||||||||
Basic | $ | 0.49 | $ | (0.01 | ) | $ | 1.60 | $ | 0.40 | |||||||
Diluted | $ | 0.49 | $ | (0.01 | ) | $ | 1.60 | $ | 0.40 | |||||||
Weighted average number of common shares outstanding: | ||||||||||||||||
Basic | 1,160,436,777 | 1,019,000,817 | 1,160,029,575 | 1,018,971,942 | ||||||||||||
Diluted | 1,160,979,451 | 1,019,000,817 | 1,160,543,580 | 1,019,357,697 | ||||||||||||
Dividends declared per share of common stock | $ | 0.30 | $ | 0.30 | $ | 0.60 | $ | 0.60 | ||||||||
Net income (loss) | $ | 595,887 | $ | 14,522 | $ | 1,923,591 | $ | 454,930 | ||||||||
Other comprehensive income (loss): | ||||||||||||||||
Unrealized gains (losses) on available-for-sale securities | (505,130 | ) | 261,964 | (2,384,609 | ) | 202,349 | ||||||||||
Reclassification adjustment for net (gains) losses included in net income (loss) | 70,763 | 13,360 | 76,182 | 32,777 | ||||||||||||
Other comprehensive income (loss) | (434,367 | ) | 275,324 | (2,308,427 | ) | 235,126 | ||||||||||
Comprehensive income (loss) | 161,520 | 289,846 | (384,836 | ) | 690,056 | |||||||||||
Comprehensive income (loss) attributable to noncontrolling interest | (32 | ) | (102 | ) | (128 | ) | (205 | ) | ||||||||
Comprehensive income (loss) attributable to Annaly | 161,552 | 289,948 | (384,708 | ) | 690,261 | |||||||||||
Dividends on preferred stock | 31,377 | 23,473 | 65,143 | 46,946 | ||||||||||||
Comprehensive income (loss) attributable to common stockholders | $ | 130,175 | $ | 266,475 | $ | (449,851 | ) | $ | 643,315 |
ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES | ||||||||
CONSOLIDATED STATEMENTS OF STOCKHOLDERS' EQUITY | ||||||||
(dollars in thousands) | ||||||||
(Unaudited) | ||||||||
Nine Months Ended September 30, | ||||||||
2018 | 2017 | |||||||
Preferred Stock | ||||||||
Beginning of period | $ | 1,720,381 | $ | 1,200,559 | ||||
Issuance | 411,335 | 696,910 | ||||||
Acquisition of subsidiary | 55,000 | — | ||||||
Redemption | (408,548 | ) | (177,088 | ) | ||||
End of period | $ | 1,778,168 | $ | 1,720,381 | ||||
Common Stock | ||||||||
Beginning of period | $ | 11,596 | $ | 10,189 | ||||
Issuance | 1,103 | 690 | ||||||
Acquisition of subsidiary | 330 | — | ||||||
Direct purchase and dividend reinvestment | 2 | 2 | ||||||
End of period | $ | 13,031 | $ | 10,881 | ||||
Additional paid-in capital | ||||||||
Beginning of period | $ | 17,221,265 | $ | 15,579,342 | ||||
Stock compensation expense | 1,789 | 1,276 | ||||||
Issuance | 1,116,409 | 803,464 | ||||||
Acquisition of subsidiary | 455,613 | — | ||||||
Redemption of preferred stock | (3,952 | ) | (8,224 | ) | ||||
Direct purchase and dividend reinvestment | 2,582 | 1,947 | ||||||
End of period | $ | 18,793,706 | $ | 16,377,805 | ||||
Accumulated other comprehensive income (loss) | ||||||||
Beginning of period | $ | (1,126,020 | ) | $ | (1,085,893 | ) | ||
Unrealized gains (losses) on available-for-sale securities | (3,104,218 | ) | 397,600 | |||||
Reclassification adjustment for net gains (losses) included in net income (loss) | 407,282 | 48,144 | ||||||
End of period | $ | (3,822,956 | ) | $ | (640,149 | ) | ||
Accumulated deficit | ||||||||
Beginning of period | $ | (2,961,749 | ) | $ | (3,136,017 | ) | ||
Net income (loss) attributable to Annaly | 2,309,297 | 822,682 | ||||||
Dividends declared on preferred stock | (96,818 | ) | (69,000 | ) | ||||
Dividends and dividend equivalents declared on common stock and share-based awards | (1,062,685 | ) | (937,825 | ) | ||||
End of period | $ | (1,811,955 | ) | $ | (3,320,160 | ) | ||
Total stockholder’s equity | $ | 14,949,994 | $ | 14,148,758 | ||||
Noncontrolling interests | ||||||||
Beginning of period | $ | 6,100 | $ | 7,792 | ||||
Net income (loss) attributable to noncontrolling interests | (277 | ) | (437 | ) | ||||
Equity contributions from (distributions to) noncontrolling interests | 39 | (895 | ) | |||||
End of period | $ | 5,862 | $ | 6,460 | ||||
Total | $ | 14,955,856 | $ | 14,155,218 |
ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES | |||||||||||||||||||||||||||||||||||||||
CONSOLIDATED STATEMENTS OF STOCKHOLDERS' EQUITY | |||||||||||||||||||||||||||||||||||||||
Six Months Ended June 30, 2018 and 2017 | |||||||||||||||||||||||||||||||||||||||
(dollars in thousands, except per share data) | |||||||||||||||||||||||||||||||||||||||
(Unaudited) | |||||||||||||||||||||||||||||||||||||||
7.875% Series A Cumulative Redeemable Preferred Stock | 7.625% Series C Cumulative Redeemable Preferred Stock | 7.50% Series D Cumulative Redeemable Preferred Stock | 7.625% Series E Cumulative Redeemable Preferred Stock | 6.95% Series F Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | 6.50% Series G Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | Common stock par value | Additional paid-in capital | Accumulated other comprehensive income (loss) | Accumulated deficit | Total stockholders' equity | Noncontrolling interest | Total | |||||||||||||||||||||||||||
BALANCE, December 31, 2016 | $ | 177,088 | $ | 290,514 | $ | 445,457 | $ | 287,500 | $ | — | $ | — | $ | 10,189 | $ | 15,579,342 | $ | (1,085,893 | ) | $ | (3,136,017 | ) | $ | 12,568,180 | $ | 7,792 | $ | 12,575,972 | |||||||||||
Net income (loss) attributable to Annaly | — | — | — | — | — | — | — | — | — | 455,135 | 455,135 | — | 455,135 | ||||||||||||||||||||||||||
Net income (loss) attributable to noncontrolling interest | — | — | — | — | — | — | — | — | — | — | — | (205 | ) | (205 | ) | ||||||||||||||||||||||||
Unrealized gains (losses) on available-for-sale securities | — | — | — | — | — | — | — | — | 202,349 | — | 202,349 | — | 202,349 | ||||||||||||||||||||||||||
Reclassification adjustment for net (gains) losses included in net income (loss) | — | — | — | — | — | — | — | — | 32,777 | — | 32,777 | — | 32,777 | ||||||||||||||||||||||||||
Stock compensation expense | — | — | — | — | — | — | — | 1,149 | — | — | 1,149 | — | 1,149 | ||||||||||||||||||||||||||
Net proceeds from direct purchase and dividend reinvestment | — | — | — | — | — | — | 1 | 1,269 | — | — | 1,270 | — | 1,270 | ||||||||||||||||||||||||||
Equity contributions from (distributions to) noncontrolling interest | — | — | — | — | — | — | — | — | — | — | — | (676 | ) | (676 | ) | ||||||||||||||||||||||||
Preferred Series A dividends, declared $0.984 per share | — | — | — | — | — | — | — | — | — | (7,296 | ) | (7,296 | ) | — | (7,296 | ) | |||||||||||||||||||||||
Preferred Series C dividends, declared $0.953 per share | — | — | — | — | — | — | — | — | — | (11,438 | ) | (11,438 | ) | — | (11,438 | ) | |||||||||||||||||||||||
Preferred Series D dividends, declared $0.938 per share | — | — | — | — | — | — | — | — | — | (17,250 | ) | (17,250 | ) | — | (17,250 | ) | |||||||||||||||||||||||
Preferred Series E dividends, declared $0.953 per share | — | — | — | — | — | — | — | — | — | (10,962 | ) | (10,962 | ) | (10,962 | ) | ||||||||||||||||||||||||
Common dividends declared, $0.60 per share | — | — | — | — | — | — | — | — | — | (611,400 | ) | (611,400 | ) | — | (611,400 | ) | |||||||||||||||||||||||
BALANCE, June 30, 2017 | $ | 177,088 | $ | 290,514 | $ | 445,457 | $ | 287,500 | $ | — | $ | — | $ | 10,190 | $ | 15,581,760 | $ | (850,767 | ) | $ | (3,339,228 | ) | $ | 12,602,514 | $ | 6,911 | $ | 12,609,425 | |||||||||||
BALANCE, December 31, 2017 | $ | — | $ | 290,514 | $ | 445,457 | $ | 287,500 | $ | 696,910 | $ | — | $ | 11,596 | $ | 17,221,265 | $ | (1,126,020 | ) | $ | (2,961,749 | ) | $ | 14,865,473 | $ | 6,100 | $ | 14,871,573 | |||||||||||
Net income (loss) attributable to Annaly | — | — | — | — | — | — | — | — | — | 1,923,719 | 1,923,719 | — | 1,923,719 | ||||||||||||||||||||||||||
Net income (loss) attributable to noncontrolling interest | — | — | — | — | — | — | — | — | — | — | — | (128 | ) | (128 | ) | ||||||||||||||||||||||||
Unrealized gains (losses) on available-for-sale securities | — | — | — | — | — | �� | — | — | (2,384,609 | ) | — | (2,384,609 | ) | — | (2,384,609 | ) | |||||||||||||||||||||||
Reclassification adjustment for net (gains) losses included in net income (loss) | — | — | — | — | — | — | — | — | 76,182 | — | 76,182 | — | 76,182 | ||||||||||||||||||||||||||
Stock compensation expense | — | — | — | — | — | — | — | 1,621 | — | — | 1,621 | — | 1,621 | ||||||||||||||||||||||||||
Redemption of Preferred Stock | — | (121,048 | ) | — | (287,500 | ) | — | — | — | (3,952 | ) | — | — | (412,500 | ) | — | (412,500 | ) | |||||||||||||||||||||
Net proceeds from direct purchase and dividend reinvestment | — | — | — | — | — | — | 1 | 1,545 | — | — | 1,546 | — | 1,546 | ||||||||||||||||||||||||||
Net proceeds from issuance of common stock | — | — | — | — | — | — | 46 | 48,117 | — | — | 48,163 | — | 48,163 | ||||||||||||||||||||||||||
Net proceeds from issuance of preferred stock | — | — | — | — | — | 411,335 | — | — | — | — | 411,335 | — | 411,335 | ||||||||||||||||||||||||||
Equity contributions from (distributions to) noncontrolling interest | — | — | — | — | — | — | — | — | — | — | — | (706 | ) | (706 | ) | ||||||||||||||||||||||||
Preferred Series C dividends, declared $0.953 per share (1) | — | — | — | — | — | — | — | — | — | (7,652 | ) | (7,652 | ) | — | (7,652 | ) | |||||||||||||||||||||||
Preferred Series D dividends, declared $0.938 per share | — | — | — | — | — | — | — | — | — | (17,250 | ) | (17,250 | ) | — | (17,250 | ) | |||||||||||||||||||||||
Preferred Series E dividends, declared $0.196 per share | — | — | — | — | — | — | — | — | — | (2,253 | ) | (2,253 | ) | — | (2,253 | ) | |||||||||||||||||||||||
Preferred Series F dividends, declared $0.869 per share | — | — | — | — | — | — | — | — | — | (25,020 | ) | (25,020 | ) | — | (25,020 | ) | |||||||||||||||||||||||
Preferred Series G dividends, declared $0.763 per share | — | — | — | — | — | — | — | — | — | (12,968 | ) | (12,968 | ) | — | (12,968 | ) | |||||||||||||||||||||||
Common dividends declared, $0.60 per share | — | — | — | — | — | — | — | — | — | (697,197 | ) | (697,197 | ) | — | (697,197 | ) | |||||||||||||||||||||||
BALANCE, June 30, 2018 | $ | — | $ | 169,466 | $ | 445,457 | $ | — | $ | 696,910 | $ | 411,335 | $ | 11,643 | $ | 17,268,596 | $ | (3,434,447 | ) | $ | (1,800,370 | ) | $ | 13,768,590 | $ | 5,266 | $ | 13,773,856 |
ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES | CONSOLIDATED STATEMENTS OF CASH FLOWS | (dollars in thousands) | (Unaudited) | |||||||||||||
Six Months Ended June 30, | Nine Months Ended September 30, | |||||||||||||||
2018 | 2017 | 2018 | 2017 | |||||||||||||
Cash flows from operating activities: | ||||||||||||||||
Net income (loss) | $ | 1,923,591 | $ | 454,930 | $ | 2,309,020 | $ | 822,245 | ||||||||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | ||||||||||||||||
Amortization of premiums and discounts of investments, net | 289,693 | 450,031 | 474,449 | 668,195 | ||||||||||||
Amortization of securitized debt premiums and discounts and deferred financing costs | (202 | ) | 789 | 991 | 618 | |||||||||||
Depreciation, amortization and other noncash expenses | 12,907 | 14,846 | 63,839 | 21,686 | ||||||||||||
Net (gains) losses on disposals of investments | 52,649 | 281 | 376,943 | 11,833 | ||||||||||||
Net (gains) losses on investments and derivatives | (1,207,835 | ) | 2,564 | (1,679,921 | ) | (141,006 | ) | |||||||||
Income from unconsolidated joint ventures | 5,067 | 1,651 | 6,441 | 2,223 | ||||||||||||
Payments on purchases of loans held for sale | (110,350 | ) | (69,093 | ) | (191,641 | ) | (230,503 | ) | ||||||||
Proceeds of sales and repayments of loans held for sale | 46,721 | 176,921 | ||||||||||||||
Net payments on derivatives | 1,286,408 | (797,580 | ) | |||||||||||||
Proceeds from sales and repayments of loans held for sale | 64,460 | 330,285 | ||||||||||||||
Net receipts (payments) on derivatives | 1,519,228 | (732,998 | ) | |||||||||||||
Net change in: | ||||||||||||||||
Other assets | (98,456 | ) | (65,053 | ) | 100,010 | (30,387 | ) | |||||||||
Accrued interest and dividends receivable | 759 | 8,475 | ||||||||||||||
Accrued interest payable | 225,371 | 22,707 | ||||||||||||||
Accounts payable and other liabilities | (136,273 | ) | (88,818 | ) | ||||||||||||
Interest receivable | (8,468 | ) | (17,322 | ) | ||||||||||||
Interest payable | 124,316 | 68,598 | ||||||||||||||
Other liabilities | (136,510 | ) | (43,936 | ) | ||||||||||||
Net cash provided by (used in) operating activities | $ | 2,290,050 | $ | 112,651 | 3,023,157 | 729,531 | ||||||||||
Cash flows from investing activities: | ||||||||||||||||
Payments on purchases of Residential Investment Securities | $ | (7,309,307 | ) | $ | (7,682,326 | ) | ||||||||||
Proceeds from sales of Residential Investment Securities | 3,365,971 | 4,629,227 | ||||||||||||||
Principal payments on Residential Investment Securities | 5,664,811 | 5,846,683 | ||||||||||||||
Purchase of MSRs | (381 | ) | (10,000 | ) | ||||||||||||
Payments on purchases of Residential Securities | (17,053,068 | ) | (25,852,497 | ) | ||||||||||||
Proceeds from sales of Residential Securities | 9,558,735 | 11,598,472 | ||||||||||||||
Principal payments on Residential Securities | 8,696,239 | 8,971,444 | ||||||||||||||
Payments on purchases of MSRs | (381 | ) | (11,081 | ) | ||||||||||||
Payments on purchases of corporate debt | (464,496 | ) | (252,452 | ) | (744,071 | ) | (374,358 | ) | ||||||||
Principal payments on corporate debt | 226,723 | 254,318 | 235,423 | 295,380 | ||||||||||||
Originations and purchases of commercial real estate related assets | (358,179 | ) | (169,001 | ) | (697,753 | ) | (388,951 | ) | ||||||||
Proceeds from sales on commercial real estate related assets | 28,079 | 11,960 | ||||||||||||||
Proceeds from sales of commercial real estate related assets | 134,538 | 11,960 | ||||||||||||||
Principal repayments on commercial real estate related assets | 395,325 | 589,499 | 478,726 | 852,381 | ||||||||||||
Proceeds from reverse repurchase agreements | 41,248,786 | 38,955,000 | 70,016,988 | 50,280,000 | ||||||||||||
Payments on reverse repurchase agreements | (41,508,548 | ) | (38,955,000 | ) | (70,313,441 | ) | (50,280,000 | ) | ||||||||
Distributions in excess of cumulative earnings from unconsolidated joint ventures | 4,133 | 4,227 | 5,434 | 6,160 | ||||||||||||
Payments on purchases of residential mortgage loans held for investment | (373,051 | ) | (512,146 | ) | (729,917 | ) | (668,977 | ) | ||||||||
Proceeds from repayments from residential mortgage loans held for investment | 153,722 | 85,643 | ||||||||||||||
Proceeds from repayments of residential mortgage loans held for investment | 251,407 | 131,052 | ||||||||||||||
Payments on purchases of equity securities | — | (2,104 | ) | — | (2,104 | ) | ||||||||||
Cash paid related to asset acquisition, net of cash acquired | (258,334 | ) | — | |||||||||||||
Net payment from disposal of subsidiary | — | 5,337 | ||||||||||||||
Net cash provided by (used in) investing activities | $ | 1,073,588 | $ | 2,793,528 | (419,475 | ) | (5,425,782 | ) |
Cash flows from financing activities: | ||||||||||||||||
Proceeds from repurchase agreements and other secured financing | $ | 2,727,664,289 | $ | 1,613,527,631 | 3,866,183,872 | 2,505,995,751 | ||||||||||
Principal payments on repurchase agreements and other secured financing | (2,729,676,977 | ) | (1,616,345,278 | ) | (3,868,097,943 | ) | (2,501,952,817 | ) | ||||||||
Proceeds from issuance of securitized debt | 279,203 | — | 588,111 | — | ||||||||||||
Principal repayments on securitized debt | (488,335 | ) | (255,927 | ) | (614,536 | ) | (334,386 | ) | ||||||||
Payment of deferred financing cost | — | (1,079 | ) | — | (2,054 | ) | ||||||||||
Net proceeds from stock offerings, direct purchases and dividend reinvestments | 461,044 | 1,270 | 1,531,690 | 1,503,013 | ||||||||||||
Redemption of preferred stock | (412,500 | ) | — | (412,500 | ) | (185,312 | ) | |||||||||
Principal payments on participation sold | — | (12,827 | ) | — | (12,827 | ) | ||||||||||
Principal payments on mortgages payable | — | (36 | ) | (49 | ) | (54 | ) | |||||||||
Net contributions/(distributions) from/(to) noncontrolling interests | (706 | ) | (676 | ) | ||||||||||||
Net contributions (distributions) from (to) noncontrolling interests | (780 | ) | (895 | ) | ||||||||||||
Dividends paid | (760,916 | ) | (658,311 | ) | (1,405,389 | ) | (986,074 | ) | ||||||||
Net cash provided by (used in) financing activities | $ | (2,934,898 | ) | $ | (3,745,233 | ) | (2,227,524 | ) | 4,024,345 | |||||||
Net (decrease) increase in cash and cash equivalents | $ | 428,740 | $ | (839,054 | ) | 376,158 | (671,906 | ) | ||||||||
Cash and cash equivalents including cash pledged as collateral, beginning of period | 706,589 | 1,539,746 | 706,589 | 1,539,746 | ||||||||||||
Cash and cash equivalents including cash pledged as collateral, end of period | $ | 1,135,329 | $ | 700,692 | $ | 1,082,747 | $ | 867,840 | ||||||||
Supplemental disclosure of cash flow information: | ||||||||||||||||
Interest received | $ | 1,879,931 | $ | 1,582,650 | $ | 2,846,535 | $ | 2,460,097 | ||||||||
Dividends received | $ | 3,355 | $ | 2,511 | $ | 5,448 | $ | 3,774 | ||||||||
Interest paid (excluding interest paid on interest rate swaps) | $ | 740,186 | $ | 454,110 | $ | 1,159,384 | $ | 693,983 | ||||||||
Net interest paid (received) on interest rate swaps | $ | (141,772 | ) | $ | 195,973 | $ | (243,946 | ) | $ | 264,965 | ||||||
Taxes paid | $ | 136 | $ | 1,336 | $ | 86 | $ | 2,612 | ||||||||
Noncash investing activities: | ||||||||||||||||
Receivable for investments sold | $ | 21,728 | $ | 9,784 | ||||||||||||
Payable for investments purchased | $ | 1,108,834 | $ | 1,043,379 | ||||||||||||
Receivable for unsettled trades | $ | 1,266,840 | $ | 340,033 | ||||||||||||
Payable for unsettled trades | $ | 2,505,428 | $ | 5,243,868 | ||||||||||||
Net change in unrealized gains (losses) on available-for-sale securities, net of reclassification adjustment | $ | (2,308,427 | ) | $ | 235,126 | $ | (2,696,936 | ) | $ | 445,744 | ||||||
Noncash financing activities: | ||||||||||||||||
Dividends declared, not yet paid | $ | 349,300 | $ | 305,709 | $ | 102,811 | $ | 326,425 |
Investment Groups | Description |
Annaly Agency Group | Invests in Agency mortgage-backed securities (“MBS”) collateralized by residential mortgages which are guaranteed by Fannie Mae, Freddie Mac or Ginnie Mae. |
Annaly Residential Credit Group | Invests primarily in non-Agency residential mortgage assets within securitized products and residential mortgage loan markets. |
Annaly Commercial Real Estate Group | Originates and invests in commercial mortgage loans, securities, and other commercial real estate debt and equity investments. |
Annaly Middle Market Lending Group | Provides financing to private equity-backed middle market businesses across the capital structure. |
Note 1. Description of Business | Note 17. Income Taxes | |
Note 2. Basis of Presentation | Note 10. Derivative Instruments | Note 18. Risk Management |
Note 3. Significant Accounting Policies | Note 11. Fair Value Measurements | Note 19. Related Party Transactions |
Note 4. Financial Instruments | Note 12. Goodwill and Intangible Assets, Net | Note 20. Lease Commitments and Contingencies |
Note 5. Securities | Note 13. Secured Financing | Note 21. Arcola Regulatory Requirements |
Note 6. Loans | Note 14. Capital Stock | Note 22. Acquisition of MTGE Investment Corp. |
Note 7. Mortgage Servicing Rights | Note 15. Interest Income and Interest Expense | Note 23. Subsequent Events |
Note 8. Variable Interest Entities | Note 16. Net Income (Loss) Per Common Share |
Effective Date | Effect on the Financial Statements or Other Significant Matters | ||
ASU 2016-13 Financial Instruments - Credit Losses (Topic 326): Measurement of Credit Losses on Financial Instruments | This ASU updates the existing incurred loss model to a current expected credit loss (“CECL”) model for financial assets and net investments in leases that are not accounted for at fair value through earnings. The amendments affect loans, held-to-maturity debt securities, trade receivables, net investments in leases, off-balance sheet credit exposures and any other financial assets not excluded from the scope. There are also limited amendments to the impairment model for available-for-sale debt securities. | January 1, | The Company currently plans to adopt the new standard on its effective date. While the Company is continuing to assess the impact the ASU will have on the consolidated financial statements, the measurement of expected credit losses under the CECL model will be based on relevant information about past events, including historical experience, current conditions, and reasonable and supportable forecasts that affect the collectability of the reported amounts of the financial assets in scope of the model. The Company needs to complete the development of an appropriate allowance methodology, assess the impact on the consolidated financial statements and determine appropriate internal controls and financial statement disclosures. Further, based on the amended guidance for available-for-sale debt securities, the Company: • will be required to use an allowance approach to recognize credit impairment, with the allowance to be limited to the amount by which the security’s fair value is less than its amortized cost basis; • may not consider the length of time fair value has been below amortized cost, and •may not consider recoveries of fair value after the balance sheet date when assessing whether a credit loss exists. |
Standard | Description | Effective Date | Effect on the Financial Statements or Other Significant Matters |
Standards that were adopted | |||
ASU 2017-01 Business Combinations (Topic 805): Clarifying the Definition of a Business | This update provides a screen to determine and a framework to evaluate when a set of assets and activities is a business. | January 1, 2018 | The amendments are expected to result in fewer transactions being accounted for as business combinations. |
ASU 2016-15 Statement of Cash Flows (Topic 230): Classification of Certain Cash Receipts and Cash Payments | This update provides specific guidance on certain cash flow classification issues, including classification of cash receipts and payments that have aspects of more than one class of cash flows. If cash flows cannot be separated by source or use, the appropriate classification should depend on the activity that is likely to be the predominant source or use of cash flows. | January 1, 2018 | As a result of adopting this standard, the Company reclassified its cash flows on reverse repurchase and repurchase agreements entered into by Arcola Securities, Inc. from operating activities to investing and financing activities, respectively, in the Consolidated Statements of Cash Flows. The Company applied the retrospective transition method, which resulted in reclassification of comparative periods. |
Financial Instruments (1) | |||||||||
Balance Sheet Line Item | Type / Form | Measurement Basis | September 30, 2018 | December 31, 2017 | |||||
Assets | (dollars in thousands) | ||||||||
Securities | Agency mortgage-backed securities (2) | Fair value, with unrealized gains (losses) through other comprehensive income | $ | 88,363,876 | $ | 89,426,437 | |||
Securities | Agency mortgage-backed securities (3) | Fair value, with unrealized gains (losses) through earnings | 926,252 | 1,125,326 | |||||
Securities | Credit risk transfer securities | Fair value, with unrealized gains (losses) through earnings | 688,521 | 651,764 | |||||
Securities | Non-agency mortgage-backed securities | Fair value, with unrealized gains (losses) through earnings | 1,173,467 | 1,097,294 | |||||
Securities | Commercial real estate debt investments - CMBS | Fair value, with unrealized gains (losses) through other comprehensive income | 162,678 | 244,636 | |||||
Securities | Commercial real estate debt investments - Conduit CMBS | Fair value, with unrealized gains (losses) through earnings | 23,817 | 18,115 | |||||
Total securities | 91,338,611 | 92,563,572 | |||||||
Loans | Residential mortgage loans | Fair value, with unrealized gains (losses) through earnings | 1,217,139 | 958,546 | |||||
Loans | Commercial real estate debt and preferred equity, held for investment | Amortized cost | 1,435,865 | 1,029,327 | |||||
Loans | Loans held for sale, net | Lower of amortized cost or fair value | 42,325 | — | |||||
Loans | Corporate debt | Amortized cost | 1,528,874 | 1,011,275 | |||||
Total loans | 4,224,203 | 2,999,148 | |||||||
Assets transferred or pledged to securitization vehicles | Residential mortgage loans | Fair value, with unrealized gains (losses) through earnings | 765,876 | 479,776 | |||||
Assets transferred or pledged to securitization vehicles | Commercial mortgage loans | Fair value, with unrealized gains (losses) through earnings | 3,521,945 | 2,826,357 | |||||
Total assets transferred or pledged to securitization vehicles | 4,287,821 | 3,306,133 | |||||||
Reverse repurchase agreements | Reverse repurchase agreements | Amortized cost | 1,234,704 | — | |||||
Liabilities | |||||||||
Repurchase agreements | Repurchase agreements | Amortized cost | 79,073,026 | 77,696,343 | |||||
Other secured financing | Loans | Amortized cost | 4,108,547 | 3,837,528 | |||||
Debt issued by securitization vehicles | Securities | Fair value, with unrealized gains (losses) through earnings | 3,799,542 | 2,971,771 | |||||
Mortgages payable | Loans | Amortized cost | 511,588 | 309,686 |
(1) | Receivable for unsettled trades, Interest receivable, Dividends payable, Payable for unsettled trades and Interest payable are accounted for at cost. |
(2) | Includes Agency pass-through, CMO and multifamily securities. |
(3) | Includes interest-only securities and reverse mortgages. |
September 30, 2018 | |||||||||||
Residential Securities | Commercial Securities | Total | |||||||||
(dollars in thousands) | |||||||||||
Beginning Balance January 1 | $ | 92,300,821 | $ | 262,751 | $ | 92,563,572 | |||||
Purchases | 25,395,018 | 62,402 | 25,457,420 | ||||||||
Sales | (14,532,225 | ) | (40,900 | ) | (14,573,125 | ) | |||||
Principal paydowns | (8,695,247 | ) | (96,397 | ) | (8,791,644 | ) | |||||
Amortization / accretion | (485,804 | ) | 501 | (485,303 | ) | ||||||
Fair value adjustment | (2,830,447 | ) | (1,862 | ) | (2,832,309 | ) | |||||
Ending Balance September 30 | $ | 91,152,116 | $ | 186,495 | $ | 91,338,611 |
September 30, 2018 | |||||||||||||||||||||||||||
Principal / Notional | Remaining Premium | Remaining Discount | Amortized Cost | Unrealized Gains | Unrealized Losses | Estimated Fair Value | |||||||||||||||||||||
Agency | (dollars in thousands) | ||||||||||||||||||||||||||
Fixed-rate pass-through | $ | 80,917,596 | $ | 4,376,927 | $ | (7,643 | ) | $ | 85,286,880 | $ | 28,156 | $ | (3,664,420 | ) | $ | 81,650,616 | |||||||||||
Adjustable-rate pass-through | 5,415,559 | 268,852 | (1,568 | ) | 5,682,843 | 9,098 | (164,520 | ) | 5,527,421 | ||||||||||||||||||
CMO | 11,610 | 55 | — | 11,665 | — | (124 | ) | 11,541 | |||||||||||||||||||
Interest-only | 6,248,885 | 1,226,033 | — | 1,226,033 | 2,500 | (340,766 | ) | 887,767 | |||||||||||||||||||
Multifamily | 1,204,773 | 8,596 | (8,242 | ) | 1,205,127 | 306 | (31,135 | ) | 1,174,298 | ||||||||||||||||||
Reverse mortgages | 34,552 | 4,272 | — | 38,824 | — | (339 | ) | 38,485 | |||||||||||||||||||
Total Agency Securities | $ | 93,832,975 | $ | 5,884,735 | $ | (17,453 | ) | $ | 93,451,372 | $ | 40,060 | $ | (4,201,304 | ) | $ | 89,290,128 | |||||||||||
Residential Credit | |||||||||||||||||||||||||||
CRT | $ | 651,360 | $ | 33,670 | $ | (14,996 | ) | $ | 670,034 | $ | 18,537 | $ | (50 | ) | $ | 688,521 | |||||||||||
Alt-A | 239,990 | 385 | (36,910 | ) | 203,465 | 12,730 | (131 | ) | 216,064 | ||||||||||||||||||
Prime | 386,193 | 2,111 | (25,419 | ) | 362,885 | 15,341 | (596 | ) | 377,630 | ||||||||||||||||||
Subprime | 449,425 | 1,973 | (67,841 | ) | 383,557 | 45,238 | (109 | ) | 428,686 | ||||||||||||||||||
NPL/RPL | 3,431 | — | (37 | ) | 3,394 | 45 | — | 3,439 | |||||||||||||||||||
Prime Jumbo (>= 2010 Vintage) | 137,953 | 587 | (4,644 | ) | 133,896 | 49 | (3,977 | ) | 129,968 | ||||||||||||||||||
Prime Jumbo (>= 2010 Vintage) Interest-Only | 884,325 | 13,265 | — | 13,265 | 4,415 | — | 17,680 | ||||||||||||||||||||
Total Residential Credit Securities | $ | 2,752,677 | $ | 51,991 | $ | (149,847 | ) | $ | 1,770,496 | $ | 96,355 | $ | (4,863 | ) | $ | 1,861,988 | |||||||||||
Total Residential Securities | $ | 96,585,652 | $ | 5,936,726 | $ | (167,300 | ) | $ | 95,221,868 | $ | 136,415 | $ | (4,206,167 | ) | $ | 91,152,116 | |||||||||||
Commercial | |||||||||||||||||||||||||||
Commercial Securities | 196,407 | 339 | (9,903 | ) | 186,843 | 575 | (923 | ) | 186,495 | ||||||||||||||||||
Total Securities | $ | 96,782,059 | $ | 5,937,065 | $ | (177,203 | ) | $ | 95,408,711 | $ | 136,990 | $ | (4,207,090 | ) | $ | 91,338,611 | |||||||||||
December 31, 2017 | |||||||||||||||||||||||||||
Principal / Notional | Remaining Premium | Remaining Discount | Amortized Cost | Unrealized Gains | Unrealized Losses | Estimated Fair Value | |||||||||||||||||||||
Agency | (dollars in thousands) | ||||||||||||||||||||||||||
Fixed-rate pass-through | $ | 78,509,335 | $ | 4,514,815 | $ | (1,750 | ) | $ | 83,022,400 | $ | 140,115 | $ | (1,178,673 | ) | $ | 81,983,842 | |||||||||||
Adjustable-rate pass-through | 6,760,991 | 277,212 | (1,952 | ) | 7,036,251 | 15,776 | (103,121 | ) | 6,948,906 | ||||||||||||||||||
Interest-only | 6,804,715 | 1,326,761 | — | 1,326,761 | 1,863 | (242,862 | ) | 1,085,762 | |||||||||||||||||||
Multifamily | 490,753 | 5,038 | (341 | ) | 495,450 | 84 | (1,845 | ) | 493,689 | ||||||||||||||||||
Reverse mortgages | 35,000 | 4,527 | — | 39,527 | 37 | — | 39,564 | ||||||||||||||||||||
Total Agency Securities | $ | 92,600,794 | $ | 6,128,353 | $ | (4,043 | ) | $ | 91,920,389 | $ | 157,875 | $ | (1,526,501 | ) | $ | 90,551,763 | |||||||||||
Residential Credit | |||||||||||||||||||||||||||
CRT | $ | 593,027 | $ | 25,463 | $ | (3,456 | ) | $ | 615,034 | $ | 36,730 | $ | — | $ | 651,764 | ||||||||||||
Alt-A | 204,213 | 499 | (34,000 | ) | 170,712 | 13,976 | (802 | ) | 183,886 | ||||||||||||||||||
Prime | 197,756 | 358 | (24,158 | ) | 173,956 | 18,804 | — | 192,760 | |||||||||||||||||||
Subprime | 554,470 | 2,037 | (78,561 | ) | 477,946 | 56,024 | (90 | ) | 533,880 | ||||||||||||||||||
NPL/RPL | 42,585 | 14 | (117 | ) | 42,482 | 506 | — | 42,988 | |||||||||||||||||||
Prime Jumbo (>= 2010 Vintage) | 130,025 | 627 | (3,956 | ) | 126,696 | 1,038 | (1,112 | ) | 126,622 | ||||||||||||||||||
Prime Jumbo (>= 2010 Vintage) Interest-Only | 989,052 | 15,287 | — | 15,287 | 1,871 | — | 17,158 | ||||||||||||||||||||
Total Residential Credit Securities | 2,711,128 | 44,285 | (144,248 | ) | 1,622,113 | 128,949 | (2,004 | ) | 1,749,058 | ||||||||||||||||||
Total Residential Securities | $ | 95,311,922 | $ | 6,172,638 | $ | (148,291 | ) | $ | 93,542,502 | $ | 286,824 | $ | (1,528,505 | ) | $ | 92,300,821 | |||||||||||
Commercial | |||||||||||||||||||||||||||
Commercial Securities | $ | 270,288 | $ | 680 | $ | (9,731 | ) | $ | 261,237 | $ | 1,843 | $ | (329 | ) | $ | 262,751 | |||||||||||
Total Securities | $ | 95,582,210 | $ | 6,173,318 | $ | (158,022 | ) | $ | 93,803,739 | $ | 288,667 | $ | (1,528,834 | ) | $ | 92,563,572 |
September 30, 2018 | December 31, 2017 | |||||||
Investment Type | (dollars in thousands) | |||||||
Fannie Mae | $ | 59,568,293 | $ | 63,361,415 | ||||
Freddie Mac | 29,636,443 | 27,091,978 | ||||||
Ginnie Mae | 85,392 | 98,370 | ||||||
Total | $ | 89,290,128 | $ | 90,551,763 |
September 30, 2018 | December 31, 2017 | |||||||||||||||
Estimated Fair Value | Amortized Cost | Estimated Fair Value | Amortized Cost | |||||||||||||
Weighted Average Life | (dollars in thousands) | |||||||||||||||
Less than one year | $ | 19,335 | $ | 19,339 | $ | 471,977 | $ | 476,538 | ||||||||
Greater than one year through five years | 10,442,022 | 10,737,675 | 13,838,890 | 13,925,749 | ||||||||||||
Greater than five years through ten years | 79,260,878 | 83,003,720 | 77,273,833 | 78,431,852 | ||||||||||||
Greater than ten years | 1,429,881 | 1,461,134 | 716,121 | 708,363 | ||||||||||||
Total | $ | 91,152,116 | $ | 95,221,868 | $ | 92,300,821 | $ | 93,542,502 |
September 30, 2018 | December 31, 2017 | |||||||||||||||||||||
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 | $ | 46,457,384 | $ | (1,401,491 | ) | 2,213 | $ | 39,878,158 | $ | (272,234 | ) | 1,114 | ||||||||||
12 Months or More | 40,098,674 | (2,458,708 | ) | 1,233 | 39,491,238 | (1,011,405 | ) | 911 | ||||||||||||||
Total | $ | 86,556,058 | $ | (3,860,199 | ) | 3,446 | $ | 79,369,396 | $ | (1,283,639 | ) | 2,025 |
(1) | Excludes interest-only mortgage-backed securities and reverse mortgages. |
Financial Instruments (1) | ||||||||
Balance Sheet Location | Form | Measurement Basis | June 30, 2018 | December 31, 2017 | ||||
Assets | (dollars in thousands) | |||||||
Agency mortgage-backed securities | Securities | Fair value, with unrealized gains (losses) through other comprehensive income | $ | 85,593,158 | $ | 89,426,437 | ||
Agency mortgage-backed securities | Securities | Fair value, with unrealized gains (losses) through earnings | 999,900 | 1,125,326 | ||||
Total agency mortgage-backed securities | 86,593,058 | 90,551,763 | ||||||
Credit risk transfer securities | Securities | Fair value, with unrealized gains (losses) through earnings | 563,796 | 651,764 | ||||
Non-agency mortgage-backed securities | Securities | Fair value, with unrealized gains (losses) through earnings | 1,006,785 | 1,097,294 | ||||
Residential mortgage loans | Loans | Fair value, with unrealized gains (losses) through earnings | 1,666,157 | 1,438,322 | ||||
Commercial real estate debt investments | Loans | Fair value, with unrealized gains (losses) through earnings | 2,542,413 | 2,826,357 | ||||
Commercial real estate debt investments | Securities | Fair value, with unrealized gains (losses) through other comprehensive income | 204,319 | 244,636 | ||||
Commercial real estate debt investments | Securities | Fair value, with unrealized gains (losses) through earnings | 110,731 | 18,115 | ||||
Total commercial real estate debt investments | 2,857,463 | 3,089,108 | ||||||
Commercial real estate debt and preferred equity, held for investment | Loans | Amortized cost | 1,251,138 | 1,029,327 | ||||
Loans held for sale, net | Loans | Lower of amortized cost or fair value | 42,458 | — | ||||
Corporate debt | Loans | Amortized cost | 1,256,276 | 1,011,275 | ||||
Reverse repurchase agreements | Reverse repurchase agreements | Amortized cost | 259,762 | — | ||||
Liabilities | ||||||||
Repurchase agreements | Repurchase agreements | Amortized cost | 75,760,655 | 77,696,343 | ||||
Other secured financing | Loans | Amortized cost | 3,760,487 | 3,837,528 | ||||
Securitized debt of consolidated VIEs | Securities | Fair value, with unrealized gains (losses) through earnings | 2,728,692 | 2,971,771 | ||||
Mortgages payable | Loans | Amortized cost | 309,878 | 309,686 |
June 30, 2018 | |||||||||||||||||||||
Principal / Notional | Remaining Premium | Remaining Discount | Amortized Cost | Unrealized Gains | Unrealized Losses | Estimated Fair Value | |||||||||||||||
Agency | (dollars in thousands) | ||||||||||||||||||||
Fixed-rate pass-through | $ | 77,646,763 | $ | 4,442,937 | $ | (1,556 | ) | $ | 82,088,144 | $ | 43,095 | $ | (3,309,253 | ) | $ | 78,821,986 | |||||
Adjustable-rate pass-through | 5,847,337 | 277,049 | (1,100 | ) | 6,123,286 | 10,478 | (156,983 | ) | 5,976,781 | ||||||||||||
Interest-only | 6,537,051 | 1,273,388 | — | 1,273,388 | 2,447 | (315,482 | ) | 960,353 | |||||||||||||
Multifamily | 816,976 | 4,872 | (7,237 | ) | 814,611 | 1,065 | (21,285 | ) | 794,391 | ||||||||||||
Reverse mortgages | 35,392 | 4,341 | — | 39,733 | 33 | (219 | ) | 39,547 | |||||||||||||
Total Agency investments | $ | 90,883,519 | $ | 6,002,587 | $ | (9,893 | ) | $ | 90,339,162 | $ | 57,118 | $ | (3,803,222 | ) | $ | 86,593,058 | |||||
Residential Credit | |||||||||||||||||||||
CRT | $ | 528,869 | $ | 18,234 | $ | (1,079 | ) | $ | 546,024 | $ | 18,429 | $ | (657 | ) | $ | 563,796 | |||||
Alt-A | 191,939 | 378 | (32,845 | ) | 159,472 | 11,539 | (89 | ) | 170,922 | ||||||||||||
Prime | 270,226 | 1,926 | (23,127 | ) | 249,025 | 15,588 | (122 | ) | 264,491 | ||||||||||||
Subprime | 449,644 | 1,827 | (71,425 | ) | 380,046 | 46,511 | (108 | ) | 426,449 | ||||||||||||
NPL/RPL | 3,431 | — | (44 | ) | 3,387 | 60 | — | 3,447 | |||||||||||||
Prime Jumbo (>= 2010 Vintage) | 130,544 | 598 | (4,113 | ) | 127,029 | 107 | (2,995 | ) | 124,141 | ||||||||||||
Prime Jumbo (>= 2010 Vintage) Interest-Only | 910,065 | 13,731 | — | 13,731 | 3,616 | (12 | ) | 17,335 | |||||||||||||
Total residential credit investments | $ | 2,484,718 | $ | 36,694 | $ | (132,633 | ) | $ | 1,478,714 | $ | 95,850 | $ | (3,983 | ) | $ | 1,570,581 | |||||
Total Residential Investment Securities | $ | 93,368,237 | $ | 6,039,281 | $ | (142,526 | ) | $ | 91,817,876 | $ | 152,968 | $ | (3,807,205 | ) | $ | 88,163,639 | |||||
December 31, 2017 | |||||||||||||||||||||
Principal / Notional | Remaining Premium | Remaining Discount | Amortized Cost | Unrealized Gains | Unrealized Losses | Estimated Fair Value | |||||||||||||||
Agency | (dollars in thousands) | ||||||||||||||||||||
Fixed-rate pass-through | $ | 78,509,335 | $ | 4,514,815 | $ | (1,750 | ) | $ | 83,022,400 | $ | 140,115 | $ | (1,178,673 | ) | $ | 81,983,842 | |||||
Adjustable-rate pass-through | 6,760,991 | 277,212 | (1,952 | ) | 7,036,251 | 15,776 | (103,121 | ) | 6,948,906 | ||||||||||||
Interest-only | 6,804,715 | 1,326,761 | — | 1,326,761 | 1,863 | (242,862 | ) | 1,085,762 | |||||||||||||
Multifamily | 490,753 | 5,038 | (341 | ) | 495,450 | 84 | (1,845 | ) | 493,689 | ||||||||||||
Reverse mortgages | 35,000 | 4,527 | — | 39,527 | 37 | — | 39,564 | ||||||||||||||
Total Agency investments | $ | 92,600,794 | $ | 6,128,353 | $ | (4,043 | ) | $ | 91,920,389 | $ | 157,875 | $ | (1,526,501 | ) | $ | 90,551,763 | |||||
Residential Credit | |||||||||||||||||||||
CRT | $ | 593,027 | $ | 25,463 | $ | (3,456 | ) | $ | 615,034 | $ | 36,730 | $ | — | $ | 651,764 | ||||||
Alt-A | 204,213 | 499 | (34,000 | ) | 170,712 | 13,976 | (802 | ) | 183,886 | ||||||||||||
Prime | 197,756 | 358 | (24,158 | ) | 173,956 | 18,804 | — | 192,760 | |||||||||||||
Subprime | 554,470 | 2,037 | (78,561 | ) | 477,946 | 56,024 | (90 | ) | 533,880 | ||||||||||||
NPL/RPL | 42,585 | 14 | (117 | ) | 42,482 | 506 | — | 42,988 | |||||||||||||
Prime Jumbo (>= 2010 Vintage) | 130,025 | 627 | (3,956 | ) | 126,696 | 1,038 | (1,112 | ) | 126,622 | ||||||||||||
Prime Jumbo (>= 2010 Vintage) Interest-Only | 989,052 | 15,287 | — | 15,287 | 1,871 | — | 17,158 | ||||||||||||||
Total residential credit investments | $ | 2,711,128 | $ | 44,285 | $ | (144,248 | ) | $ | 1,622,113 | $ | 128,949 | $ | (2,004 | ) | $ | 1,749,058 | |||||
Total Residential Investment Securities | $ | 95,311,922 | $ | 6,172,638 | $ | (148,291 | ) | $ | 93,542,502 | $ | 286,824 | $ | (1,528,505 | ) | $ | 92,300,821 |
Investment Type | June 30, 2018 | December 31, 2017 | ||||||
(dollars in thousands) | ||||||||
Fannie Mae | $ | 61,012,468 | $ | 63,361,415 | ||||
Freddie Mac | 25,490,083 | 27,091,978 | ||||||
Ginnie Mae | 90,507 | 98,370 | ||||||
Total | $ | 86,593,058 | $ | 90,551,763 |
June 30, 2018 | December 31, 2017 | |||||||||||||||
Weighted Average Life | Estimated Fair Value | Amortized Cost | Estimated Fair Value | Amortized Cost | ||||||||||||
(dollars in thousands) | ||||||||||||||||
Less than one year | $ | 6,224 | $ | 6,304 | $ | 471,977 | $ | 476,538 | ||||||||
Greater than one year through five years | 10,712,094 | 10,950,207 | 13,838,890 | 13,925,749 | ||||||||||||
Greater than five years through ten years | 76,435,458 | 79,830,605 | 77,273,833 | 78,431,852 | ||||||||||||
Greater than ten years | 1,009,863 | 1,030,760 | 716,121 | 708,363 | ||||||||||||
Total | $ | 88,163,639 | $ | 91,817,876 | $ | 92,300,821 | $ | 93,542,502 |
June 30, 2018 | December 31, 2017 | |||||||||||||||||||||
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 | $ | 43,845,297 | $ | (1,386,377 | ) | 1,360 | $ | 39,878,158 | $ | (272,234 | ) | 1,114 | ||||||||||
12 Months or More | 38,372,979 | (2,101,144 | ) | 1,102 | 39,491,238 | (1,011,405 | ) | 911 | ||||||||||||||
Total | $ | 82,218,276 | $ | (3,487,521 | ) | 2,462 | $ | 79,369,396 | $ | (1,283,639 | ) | 2,025 |
June 30, 2018 | December 31, 2017 | |||||||
(dollars in thousands) | ||||||||
Fair value | $ | 1,666,157 | $ | 1,438,322 | ||||
Unpaid principal balance | $ | 1,658,358 | $ | 1,419,807 |
Three Months Ended | Six Months Ended | |||||||||||||||
June 30, 2018 | June 30, 2017 | June 30, 2018 | June 30, 2017 | |||||||||||||
(dollars in thousands) | ||||||||||||||||
Net interest income | $ | 15,784 | $ | 7,120 | $ | 29,279 | $ | 10,709 | ||||||||
Net gains (losses) on disposal of investments | (3,191 | ) | (321 | ) | (4,949 | ) | (1,314 | ) | ||||||||
Net unrealized gains (losses) on instruments measured at fair value through earnings | (1,305 | ) | 5,310 | (11,169 | ) | 6,125 | ||||||||||
Total included in net income (loss) | $ | 11,288 | $ | 12,109 | $ | 13,161 | $ | 15,520 |
Geographic Concentrations of Residential Mortgage Loans | ||||||
June 30, 2018 | December 31, 2017 | |||||
Property Location | % of Balance | Property Location | % of Balance | |||
California | 53.1 | % | California | 49.8 | % | |
New York | 9.3 | % | Florida | 9.3 | % | |
Florida | 7.2 | % | New York | 7.1 | % | |
All other (none individually greater than 5%) | 30.4 | % | All other (none individually greater than 5%) | 33.8 | % | |
Total | 100.0 | % | Total | 100.0 | % |
June 30, 2018 | December 31, 2017 | |||||||
Portfolio Range | Portfolio Weighted Average | Portfolio Range | Portfolio Weighted Average | |||||
(dollars in thousands) | (dollars in thousands) | |||||||
Unpaid principal balance | $0 - $3,635 | $539 | $1 - $3,663 | $514 | ||||
Interest rate | 2.00% - 7.50% | 4.53% | 1.63% - 7.50% | 4.25% | ||||
Maturity | 1/1/2028 - 6/1/2058 | 2/5/2044 | 1/1/2028 - 5/1/2057 | 2/1/2043 | ||||
FICO score at loan origination | 498 - 823 | 750 | 468 - 823 | 748 | ||||
Loan-to-value ratio at loan origination | 11% - 100% | 67% | 11% - 100% | 68% |
Three Months Ended | Six Months Ended | ||||||||||||||
June 30, 2018 | June 30, 2017 | June 30, 2018 | June 30, 2017 | ||||||||||||
(dollars in thousands) | |||||||||||||||
Fair value, beginning of period | $ | 596,378 | $ | 632,166 | $ | 580,860 | $ | 652,216 | |||||||
Purchases (1) | — | (210 | ) | — | 3 | ||||||||||
Change in fair value due to: | |||||||||||||||
Changes in valuation inputs or assumptions (2) | 22,578 | (9,205 | ) | 59,252 | (15,438 | ) | |||||||||
Other changes, including realization of expected cash flows | (19,942 | ) | (17,098 | ) | (41,098 | ) | (31,128 | ) | |||||||
Fair value, end of period | $ | 599,014 | $ | 605,653 | $ | 599,014 | $ | 605,653 |
June 30, 2018 | December 31, 2017 | |||||||||||||||||||||
Outstanding Principal | Carrying Value (1) | Percentage of Loan Portfolio (2) | Outstanding Principal | Carrying Value (1) | Percentage of Loan Portfolio (2) | |||||||||||||||||
(dollars in thousands) | ||||||||||||||||||||||
Senior mortgages | $ | 887,728 | $ | 882,570 | 70.6 | % | $ | 629,143 | $ | 625,900 | 60.9 | % | ||||||||||
Mezzanine loans | 360,095 | 359,574 | 28.7 | % | 395,015 | 394,442 | 38.2 | % | ||||||||||||||
Preferred equity | 9,000 | 8,994 | 0.7 | % | 9,000 | 8,985 | 0.9 | % | ||||||||||||||
Total | $ | 1,256,823 | $ | 1,251,138 | 100.0 | % | $ | 1,033,158 | $ | 1,029,327 | 100.0 | % |
June 30, 2018 | ||||||||||||||||
Senior Mortgages | Mezzanine Loans | Preferred Equity | Total | |||||||||||||
(dollars in thousands) | ||||||||||||||||
Beginning balance (January 1, 2018) | $ | 625,900 | $ | 394,442 | $ | 8,985 | $ | 1,029,327 | ||||||||
Originations & advances (principal) | 286,017 | 24,193 | — | 310,210 | ||||||||||||
Principal payments | (27,432 | ) | (59,113 | ) | — | (86,545 | ) | |||||||||
Net (increase) decrease in origination fees | (3,130 | ) | (147 | ) | — | (3,277 | ) | |||||||||
Amortization of net origination fees | 1,215 | 199 | 9 | 1,423 | ||||||||||||
Net carrying value (June 30, 2018) | $ | 882,570 | $ | 359,574 | $ | 8,994 | $ | 1,251,138 |
December 31, 2017 | ||||||||||||||||
Senior Mortgages | Mezzanine Loans | Preferred Equity | Total | |||||||||||||
(dollars in thousands) | ||||||||||||||||
Beginning balance (January 1, 2017) | $ | 510,071 | $ | 451,467 | $ | 8,967 | $ | 970,505 | ||||||||
Originations & advances (principal) | 338,242 | 69,121 | — | 407,363 | ||||||||||||
Principal payments | (221,421 | ) | (127,799 | ) | — | (349,220 | ) | |||||||||
Amortization & accretion of (premium) discounts | (44 | ) | 28 | — | (16 | ) | ||||||||||
Net (increase) decrease in origination fees | (3,317 | ) | (605 | ) | — | (3,922 | ) | |||||||||
Amortization of net origination fees | 2,369 | 2,230 | 18 | 4,617 | ||||||||||||
Net carrying value (December 31, 2017) | $ | 625,900 | $ | 394,442 | $ | 8,985 | $ | 1,029,327 |
Residential | Commercial | Corporate | Total | ||||||||||||
(dollars in thousands) | |||||||||||||||
Beginning balance January 1, 2018 | $ | 958,546 | $ | 1,029,327 | $ | 1,011,275 | $ | 2,999,148 | |||||||
Purchases | 430,854 | 528,835 | 788,213 | 1,747,902 | |||||||||||
Syndications | — | — | (44,125 | ) | (44,125 | ) | |||||||||
Principal Payments | (156,198 | ) | (124,559 | ) | (235,423 | ) | (516,180 | ) | |||||||
Change in fair value | (13,812 | ) | — | — | (13,812 | ) | |||||||||
Amortization | (2,251 | ) | 2,262 | 8,934 | 8,945 | ||||||||||
Ending balance September 30, 2018 | $ | 1,217,139 | $ | 1,435,865 | $ | 1,528,874 | $ | 4,181,878 |
June 30, 2018 | |||||||||||||||||||||||||||||||||||
Outstanding Principal | Percentage of CRE Debt and Preferred Equity Portfolio | Internal Ratings | |||||||||||||||||||||||||||||||||
Investment Type | Performing | Performing - Closely Monitored | Performing - Special Mention | Substandard (1) | Doubtful | Loss | Total | ||||||||||||||||||||||||||||
(dollars in thousands) | |||||||||||||||||||||||||||||||||||
Senior mortgages | $ | 887,728 | 70.6 | % | $ | 513,610 | $ | 272,928 | $ | 36,800 | $ | 64,390 | $ | — | $ | — | $ | 887,728 | |||||||||||||||||
Mezzanine loans | 360,095 | 28.7 | % | 160,173 | 51,608 | 111,711 | 36,603 | — | — | 360,095 | |||||||||||||||||||||||||
Preferred equity | 9,000 | 0.7 | % | — | — | 9,000 | — | — | — | 9,000 | |||||||||||||||||||||||||
Total | $ | 1,256,823 | 100.0 | % | $ | 673,783 | $ | 324,536 | $ | 157,511 | $ | 100,993 | $ | — | $ | — | $ | 1,256,823 |
September 30, 2018 | December 31, 2017 | |||||||
(dollars in thousands) | ||||||||
Fair value | $ | 1,983,015 | $ | 1,438,322 | ||||
Unpaid principal balance | $ | 1,976,077 | $ | 1,419,807 |
December 31, 2017 | |||||||||||||||||||||||||||||||||||
Outstanding Principal | Percentage of CRE Debt and Preferred Equity Portfolio | Internal Ratings | |||||||||||||||||||||||||||||||||
Investment Type | Performing | Performing - Closely Monitored | Performing - Special Mention | Substandard (1) | Doubtful | Loss | Total | ||||||||||||||||||||||||||||
(dollars in thousands) | |||||||||||||||||||||||||||||||||||
Senior mortgages | $ | 629,143 | 60.9 | % | $ | 409,878 | $ | 115,075 | $ | 36,800 | $ | 67,390 | $ | — | $ | — | $ | 629,143 | |||||||||||||||||
Mezzanine loans | 395,015 | 38.2 | % | 206,169 | 66,498 | 122,348 | — | — | — | 395,015 | |||||||||||||||||||||||||
Preferred equity | 9,000 | 0.9 | % | — | — | 9,000 | — | — | — | 9,000 | |||||||||||||||||||||||||
Total | $ | 1,033,158 | 100.0 | % | $ | 616,047 | $ | 181,573 | $ | 168,148 | $ | 67,390 | $ | — | $ | — | $ | 1,033,158 |
Three Months Ended | Nine Months Ended | |||||||||||||||
September 30, 2018 | September 30, 2017 | September 30, 2018 | September 30, 2017 | |||||||||||||
(dollars in thousands) | ||||||||||||||||
Net interest income | $ | 16,423 | $ | 8,226 | $ | 45,702 | $ | 18,935 | ||||||||
Net gains (losses) on disposal of investments (1) | (2,975 | ) | (2,093 | ) | (7,924 | ) | (3,407 | ) | ||||||||
Net unrealized gains (losses) on instruments measured at fair value through earnings | (3,633 | ) | (725 | ) | (14,802 | ) | 5,400 | |||||||||
Total included in net income (loss) | $ | 9,815 | $ | 5,408 | $ | 22,976 | $ | 20,928 |
(1) Includes loan premium write offs. |
Geographic Concentrations of Residential Mortgage Loans | ||||||
September 30, 2018 | �� | December 31, 2017 | ||||
Property Location | % of Balance | Property Location | % of Balance | |||
California | 54.5 | % | California | 49.8 | % | |
New York | 8.1 | % | Florida | 9.3 | % | |
Florida | 6.6 | % | New York | 7.1 | % | |
All other (none individually greater than 5%) | 30.8 | % | All other (none individually greater than 5%) | 33.8 | % | |
Total | 100.0 | % | Total | 100.0 | % |
September 30, 2018 | December 31, 2017 | |||||||
Portfolio Range | Portfolio Weighted Average | Portfolio Range | Portfolio Weighted Average | |||||
(dollars in thousands) | ||||||||
Unpaid principal balance | $1 - $3,500 | $494 | $1 - $3,663 | $514 | ||||
Interest rate | 2.00% - 7.50% | 4.74% | 1.63% - 7.50% | 4.25% | ||||
Maturity | 1/1/2028 - 9/1/2058 | 1/5/2045 | 1/1/2028 - 5/1/2057 | 2/1/2043 | ||||
FICO score at loan origination | 510 - 823 | 754 | 468 - 823 | 748 | ||||
Loan-to-value ratio at loan origination | 11% - 100% | 67% | 11% - 100% | 68% |
June 30, 2018 | December 31, 2017 | |||||||
(dollars in thousands) | ||||||||
Real estate held for investment, at amortized cost | ||||||||
Land | $ | 111,012 | $ | 111,012 | ||||
Buildings and improvements | 331,879 | 330,959 | ||||||
Subtotal | 442,891 | 441,971 | ||||||
Less: accumulated depreciation | (56,315 | ) | (48,920 | ) | ||||
Total real estate held for investment, at amortized cost, net | 386,576 | 393,051 | ||||||
Equity in unconsolidated joint ventures | 91,311 | 92,902 | ||||||
Investments in commercial real estate, net | $ | 477,887 | $ | 485,953 |
June 30, 2018 | |||
(dollars in thousands) | |||
2018 (remaining) | $ | 14,895 | |
2019 | 27,384 | ||
2020 | 22,653 | ||
2021 | 18,271 | ||
2022 | 13,278 | ||
Later years | 22,002 | ||
Total | $ | 118,483 |
June 30, 2018 | ||||||||||||||||
Property | Mortgage Carrying Value | Mortgage Principal | Interest Rate | Fixed/Floating Rate | Maturity Date | Priority | ||||||||||
(dollars in thousands) | ||||||||||||||||
Joint Ventures | $ | 286,546 | $ | 289,125 | 4.03% - 4.61% | Fixed | 2024 and 2025 | First liens | ||||||||
Tennessee | 12,311 | 12,350 | 4.01% | Fixed | 9/6/2019 | First liens | ||||||||||
Virginia | 11,021 | 11,025 | 3.58% | Fixed | 6/6/2019 | First liens | ||||||||||
Total | $ | 309,878 | $ | 312,500 |
December 31, 2017 | ||||||||||||||||
Property | Mortgage Carrying Value | Mortgage Principal | Interest Rate | Fixed/Floating Rate | Maturity Date | Priority | ||||||||||
(dollars in thousands) | ||||||||||||||||
Joint Ventures | $ | 286,373 | $ | 289,125 | 4.03% - 4.61% | Fixed | 2024 and 2025 | First liens | ||||||||
Tennessee | 12,294 | 12,350 | 4.01% | Fixed | 9/6/2019 | First liens | ||||||||||
Virginia | 11,019 | 11,025 | 3.58% | Fixed | 6/6/2019 | First liens | ||||||||||
Total | $ | 309,686 | $ | 312,500 |
Mortgage Loan Principal Payments | |||
(dollars in thousands) | |||
2018 (remaining) | $ | — | |
2019 | 23,375 | ||
2020 | — | ||
2021 | — | ||
2022 | — | ||
Later years | 289,125 | ||
Total | $ | 312,500 |
September 30, 2018 | December 31, 2017 | |||||||||||||||||||||
Outstanding Principal | Carrying Value (1) | Percentage of Loan Portfolio (2) | Outstanding Principal | Carrying Value (1) | Percentage of Loan Portfolio (2) | |||||||||||||||||
(dollars in thousands) | ||||||||||||||||||||||
Senior mortgages | $ | 1,090,849 | $ | 1,084,167 | 75.6 | % | $ | 629,143 | $ | 625,900 | 60.9 | % | ||||||||||
Mezzanine loans | 343,354 | 342,700 | 23.8 | % | 395,015 | 394,442 | 38.2 | % | ||||||||||||||
Preferred equity | 9,000 | 8,998 | 0.6 | % | 9,000 | 8,985 | 0.9 | % | ||||||||||||||
Total | $ | 1,443,203 | $ | 1,435,865 | 100.0 | % | $ | 1,033,158 | $ | 1,029,327 | 100.0 | % |
(1) |
(2) | Based on outstanding principal. |
September 30, 2018 | ||||||||||||||||
Senior Mortgages | Mezzanine Loans | Preferred Equity | Total | |||||||||||||
(dollars in thousands) | ||||||||||||||||
Beginning balance (January 1, 2018) | $ | 625,900 | $ | 394,442 | $ | 8,985 | $ | 1,029,327 | ||||||||
Originations & advances (principal) | 489,271 | 45,334 | — | 534,605 | ||||||||||||
Principal payments | (27,565 | ) | (96,993 | ) | — | (124,558 | ) | |||||||||
Net (increase) decrease in origination fees | (5,400 | ) | (370 | ) | — | (5,770 | ) | |||||||||
Amortization of net origination fees | 1,961 | 287 | 13 | 2,261 | ||||||||||||
Net carrying value (September 30, 2018) | $ | 1,084,167 | $ | 342,700 | $ | 8,998 | $ | 1,435,865 |
December 31, 2017 | ||||||||||||||||
Senior Mortgages | Mezzanine Loans | Preferred Equity | Total | |||||||||||||
(dollars in thousands) | ||||||||||||||||
Beginning balance (January 1, 2017) | $ | 510,071 | $ | 451,467 | $ | 8,967 | $ | 970,505 | ||||||||
Originations & advances (principal) | 338,242 | 69,121 | — | 407,363 | ||||||||||||
Principal payments | (221,421 | ) | (127,799 | ) | — | (349,220 | ) | |||||||||
Amortization & accretion of (premium) discounts | (44 | ) | 28 | — | (16 | ) | ||||||||||
Net (increase) decrease in origination fees | (3,317 | ) | (605 | ) | — | (3,922 | ) | |||||||||
Amortization of net origination fees | 2,369 | 2,230 | 18 | 4,617 | ||||||||||||
Net carrying value (December 31, 2017) | $ | 625,900 | $ | 394,442 | $ | 8,985 | $ | 1,029,327 |
September 30, 2018 | |||||||||||||||||||||||||||||||||||
Outstanding Principal | Percentage of CRE Debt and Preferred Equity Portfolio | Internal Ratings | |||||||||||||||||||||||||||||||||
Investment Type | Performing | Performing - Closely Monitored | Performing - Special Mention | Substandard (1) | Doubtful | Loss | Total | ||||||||||||||||||||||||||||
(dollars in thousands) | |||||||||||||||||||||||||||||||||||
Senior mortgages | $ | 1,090,849 | 75.6 | % | $ | 724,111 | $ | 302,348 | $ | — | $ | 64,390 | $ | — | $ | — | $ | 1,090,849 | |||||||||||||||||
Mezzanine loans | 343,354 | 23.8 | % | 135,334 | 64,323 | 107,094 | 36,603 | — | — | 343,354 | |||||||||||||||||||||||||
Preferred equity | 9,000 | 0.6 | % | — | — | 9,000 | — | — | — | 9,000 | |||||||||||||||||||||||||
Total | $ | 1,443,203 | 100.0 | % | $ | 859,445 | $ | 366,671 | $ | 116,094 | $ | 100,993 | $ | — | $ | — | $ | 1,443,203 |
December 31, 2017 | |||||||||||||||||||||||||||||||||||
Outstanding Principal | Percentage of CRE Debt and Preferred Equity Portfolio | Internal Ratings | |||||||||||||||||||||||||||||||||
Investment Type | Performing | Performing - Closely Monitored | Performing - Special Mention | Substandard (1) | Doubtful | Loss | Total | ||||||||||||||||||||||||||||
(dollars in thousands) | |||||||||||||||||||||||||||||||||||
Senior mortgages | $ | 629,143 | 60.9 | % | $ | 409,878 | $ | 115,075 | $ | 36,800 | $ | 67,390 | $ | — | $ | — | $ | 629,143 | |||||||||||||||||
Mezzanine loans | 395,015 | 38.2 | % | 206,169 | 66,498 | 122,348 | — | — | — | 395,015 | |||||||||||||||||||||||||
Preferred equity | 9,000 | 0.9 | % | — | — | 9,000 | — | — | — | 9,000 | |||||||||||||||||||||||||
Total | $ | 1,033,158 | 100.0 | % | $ | 616,047 | $ | 181,573 | $ | 168,148 | $ | 67,390 | $ | — | $ | — | $ | 1,033,158 |
(1) | The Company rated two loans as Substandard as of September 30, 2018. The Company evaluated whether an impairment exists and determined in each case that, based on quantitative and qualitative factors, the Company expects repayment of contractual amounts due. |
Industry Dispersion | Industry Dispersion | |||||||||||||||||||||||||||||||||||||||||||||||
June 30, 2018 | December 31, 2017 | September 30, 2018 | December 31, 2017 | |||||||||||||||||||||||||||||||||||||||||||||
Fixed Rate | Floating Rate | Total | Fixed Rate | Floating Rate | Total | Fixed Rate | Floating Rate | Total | Fixed Rate | Floating Rate | Total | |||||||||||||||||||||||||||||||||||||
(dollars in thousands) | (dollars in thousands) | |||||||||||||||||||||||||||||||||||||||||||||||
Aircraft and Parts | $ | — | $ | 38,022 | $ | 38,022 | $ | — | $ | 34,814 | $ | 34,814 | $ | — | $ | 41,344 | $ | 41,344 | $ | — | $ | 34,814 | $ | 34,814 | ||||||||||||||||||||||||
Coating, Engraving and Allied Services | — | 60,049 | 60,049 | — | 64,034 | 64,034 | — | 58,850 | 58,850 | — | 64,034 | 64,034 | ||||||||||||||||||||||||||||||||||||
Computer Programming, Data Processing & Other Computer Related Services | — | 212,750 | 212,750 | — | 209,624 | 209,624 | — | 212,969 | 212,969 | — | 209,624 | 209,624 | ||||||||||||||||||||||||||||||||||||
Drugs | — | 38,730 | 38,730 | — | 38,708 | 38,708 | — | 38,735 | 38,735 | — | 38,708 | 38,708 | ||||||||||||||||||||||||||||||||||||
Electrical Work | — | 39,457 | 39,457 | — | — | — | — | 43,266 | 43,266 | — | — | — | ||||||||||||||||||||||||||||||||||||
Electronic Components & Accessories | — | 23,995 | 23,995 | — | 23,916 | 23,916 | — | 24,029 | 24,029 | — | 23,916 | 23,916 | ||||||||||||||||||||||||||||||||||||
Engineering, Architectural & Surveying | — | 10,635 | 10,635 | — | — | — | — | 80,741 | 80,741 | — | — | — | ||||||||||||||||||||||||||||||||||||
Groceries and Related Products | — | 14,745 | 14,745 | — | 14,794 | 14,794 | — | 14,725 | 14,725 | — | 14,794 | 14,794 | ||||||||||||||||||||||||||||||||||||
Grocery Stores | — | 23,486 | 23,486 | — | 23,531 | 23,531 | — | 23,461 | 23,461 | — | 23,531 | 23,531 | ||||||||||||||||||||||||||||||||||||
Home Health Care Services | — | — | — | — | 23,779 | 23,779 | — | — | — | — | 23,779 | 23,779 | ||||||||||||||||||||||||||||||||||||
Insurance Agents, Brokers and Services | — | 49,480 | 49,480 | — | 28,872 | 28,872 | — | 49,211 | 49,211 | — | 28,872 | 28,872 | ||||||||||||||||||||||||||||||||||||
Mailing, Reproduction, Commercial Art and Photography, and Stenographic | — | 14,863 | 14,863 | — | — | — | — | 14,855 | 14,855 | — | — | — | ||||||||||||||||||||||||||||||||||||
Management and Public Relations Services | — | 210,511 | 210,511 | — | 94,871 | 94,871 | — | 240,740 | 240,740 | — | 94,871 | 94,871 | ||||||||||||||||||||||||||||||||||||
Medical and Dental Laboratories | — | 26,904 | 26,904 | — | 26,956 | 26,956 | — | 26,876 | 26,876 | — | 26,956 | 26,956 | ||||||||||||||||||||||||||||||||||||
Metal Cans & Shipping Containers | — | 118,006 | 118,006 | — | — | — | ||||||||||||||||||||||||||||||||||||||||||
Miscellaneous Business Services | — | 19,677 | 19,677 | — | 19,723 | 19,723 | — | 19,650 | 19,650 | — | 19,723 | 19,723 | ||||||||||||||||||||||||||||||||||||
Miscellaneous Equipment Rental and Leasing | — | 49,375 | 49,375 | — | 49,129 | 49,129 | — | 49,433 | 49,433 | — | 49,129 | 49,129 | ||||||||||||||||||||||||||||||||||||
Miscellaneous Health and Allied Services, not elsewhere classified | — | 54,196 | 54,196 | — | 25,963 | 25,963 | — | 54,189 | 54,189 | — | 25,963 | 25,963 | ||||||||||||||||||||||||||||||||||||
Miscellaneous Nonmetallic Minerals, except Fuels | — | — | — | — | 25,992 | 25,992 | — | — | — | — | 25,992 | 25,992 | ||||||||||||||||||||||||||||||||||||
Miscellaneous Plastic Products | — | 9,937 | 9,937 | — | 9,879 | 9,879 | — | 9,963 | 9,963 | — | 9,879 | 9,879 | ||||||||||||||||||||||||||||||||||||
Motor Vehicles and Motor Vehicle Equipment | — | 17,138 | 17,138 | — | — | — | — | 16,937 | 16,937 | — | — | — | ||||||||||||||||||||||||||||||||||||
Motor Vehicles and Motor Vehicle Parts and Supplies | — | 23,546 | 23,546 | — | 12,212 | 12,212 | — | 27,979 | 27,979 | — | 12,212 | 12,212 | ||||||||||||||||||||||||||||||||||||
Nonferrous Foundries (Castings) | — | 12,953 | 12,953 | — | — | — | ||||||||||||||||||||||||||||||||||||||||||
Offices and Clinics of Doctors of Medicine | — | 97,722 | 97,722 | — | 60,000 | 60,000 | — | 97,760 | 97,760 | — | 600 | 600 | ||||||||||||||||||||||||||||||||||||
Offices and Clinics of Other Health Practitioners | — | 20,053 | 20,053 | — | 18,979 | 18,979 | — | 21,122 | 21,122 | — | 18,979 | 18,979 | ||||||||||||||||||||||||||||||||||||
Public Warehousing and Storage | — | 55,057 | 55,057 | — | 48,890 | 48,890 | — | 61,912 | 61,912 | — | 48,890 | 48,890 | ||||||||||||||||||||||||||||||||||||
Research, Development and Testing Services | — | 33,282 | 33,282 | — | 33,155 | 33,155 | — | 33,334 | 33,334 | — | 33,155 | 33,155 | ||||||||||||||||||||||||||||||||||||
Schools and Educational Services, not elsewhere classified | — | 19,806 | 19,806 | — | 20,625 | 20,625 | — | 19,794 | 19,794 | — | 20,625 | 20,625 | ||||||||||||||||||||||||||||||||||||
Services Allied with the Exchange of Securities | — | 14,909 | 14,909 | — | 13,960 | 13,960 | — | 14,895 | 14,895 | — | 13,960 | 13,960 | ||||||||||||||||||||||||||||||||||||
Surgical, Medical, and Dental Instruments and Supplies | — | 16,658 | 16,658 | — | 29,687 | 29,687 | — | 39,806 | 39,806 | — | 29,687 | 29,687 | ||||||||||||||||||||||||||||||||||||
Telephone Communications | — | 61,293 | 61,293 | — | 59,182 | 59,182 | — | 61,339 | 61,339 | — | 59,182 | 59,182 | ||||||||||||||||||||||||||||||||||||
Total | $ | — | $ | 1,256,276 | $ | 1,256,276 | $ | — | $ | 1,011,275 | $ | 1,011,275 | $ | — | $ | 1,528,874 | $ | 1,528,874 | $ | — | $ | 1,011,275 | $ | 1,011,275 |
June 30, 2018 | December 31, 2017 | September 30, 2018 | December 31, 2017 | |||||||||||||
(dollars in thousands) | (dollars in thousands) | |||||||||||||||
First lien loans | $ | 753,373 | $ | 582,724 | $ | 888,860 | $ | 582,724 | ||||||||
Second lien loans | 502,903 | 428,551 | 640,014 | 428,551 | ||||||||||||
Total | $ | 1,256,276 | $ | 1,011,275 | $ | 1,528,874 | $ | 1,011,275 |
Three Months Ended | Nine Months Ended | ||||||||||||||
September 30, 2018 | September 30, 2017 | September 30, 2018 | September 30, 2017 | ||||||||||||
(dollars in thousands) | |||||||||||||||
Fair value, beginning of period | $ | 599,014 | $ | 605,653 | $ | 580,860 | $ | 652,216 | |||||||
Purchases (1) | — | (30 | ) | — | (27 | ) | |||||||||
Other | — | — | — | 10 | |||||||||||
Change in fair value due to: | |||||||||||||||
Changes in valuation inputs or assumptions (2) | (19,913 | ) | (19,207 | ) | (61,011 | ) | (34,645 | ) | |||||||
Other changes, including realization of expected cash flows | 9,732 | (16,198 | ) | 68,984 | (47,336 | ) | |||||||||
Fair value, end of period | $ | 588,833 | $ | 570,218 | $ | 588,833 | $ | 570,218 |
(1) |
(2) | Principally represents changes in discount rates and prepayment speed inputs used in valuation model, primarily due to changes in interest rates. |
June 30, 2018 | ||||||||||||
FREMF Trusts | Residential Mortgage Loan Trusts | MSR Silo | ||||||||||
(dollars in thousands) | ||||||||||||
Assets | ||||||||||||
Cash and cash equivalents | $ | — | $ | — | $ | 32,443 | ||||||
Commercial real estate debt investments | 2,542,413 | — | — | |||||||||
Residential mortgage loans | — | 214,694 | 37,842 | |||||||||
Mortgage servicing rights | — | — | 599,014 | |||||||||
Accrued interest receivable | 10,951 | 918 | — | |||||||||
Other assets | — | 87 | 33,642 | |||||||||
Total assets | $ | 2,553,364 | $ | 215,699 | $ | 702,941 | ||||||
Liabilities | ||||||||||||
Securitized debt (non-recourse) at fair value | $ | 2,354,380 | $ | 117,864 | $ | — | ||||||
Other secured financing | — | — | 26,369 | |||||||||
Accrued interest payable | 4,572 | 330 | — | |||||||||
Accounts payable and other liabilities | — | 140 | 1,693 | |||||||||
Total liabilities | $ | 2,358,952 | $ | 118,334 | $ | 28,062 | ||||||
December 31, 2017 | ||||||||||||
FREMF Trusts | Residential Mortgage Loan Trusts | MSR Silo | ||||||||||
(dollars in thousands) | ||||||||||||
Assets | ||||||||||||
Cash and cash equivalents | $ | — | $ | — | $ | 42,293 | ||||||
Commercial real estate debt investments | 2,826,357 | — | — | |||||||||
Residential mortgage loans | — | 478,811 | 19,667 | |||||||||
Mortgage servicing rights | — | — | 580,860 | |||||||||
Accrued interest receivable | 10,339 | 1,599 | — | |||||||||
Other derivatives, at fair value | — | — | 1 | |||||||||
Other assets | — | 1,418 | 32,354 | |||||||||
Total assets | $ | 2,836,696 | $ | 481,828 | $ | 675,175 | ||||||
Liabilities | ||||||||||||
Securitized debt (non-recourse) at fair value | $ | 2,620,952 | $ | 350,819 | $ | — | ||||||
Other secured financing | — | — | 10,496 | |||||||||
Accrued interest payable | 4,554 | 931 | — | |||||||||
Accounts payable and other liabilities | — | 112 | 4,856 | |||||||||
Total liabilities | $ | 2,625,506 | $ | 351,862 | $ | 15,352 |
September 30, 2018 | ||||||||||||
Commercial Trusts | Residential Trusts | MSR Silo | ||||||||||
Assets | (dollars in thousands) | |||||||||||
Cash and cash equivalents | $ | — | $ | — | $ | 28,441 | ||||||
Commercial real estate debt | 3,521,945 | — | — | |||||||||
Residential mortgage loans | — | 107,764 | 97,825 | |||||||||
Mortgage servicing rights | — | — | 588,833 | |||||||||
Interest receivable | 13,432 | 555 | — | |||||||||
Other assets | — | — | 33,522 | |||||||||
Total assets | $ | 3,535,377 | $ | 108,319 | $ | 748,621 | ||||||
Liabilities | ||||||||||||
Securitized debt (non-recourse) | $ | 3,240,043 | $ | 29,698 | $ | — | ||||||
Other secured financing | — | — | 70,221 | |||||||||
Interest payable | 6,383 | 70 | — | |||||||||
Other liabilities | — | 148 | 2,160 | |||||||||
Total liabilities | $ | 3,246,426 | $ | 29,916 | $ | 72,381 | ||||||
December 31, 2017 | ||||||||||||
Commercial Trusts | Residential Trusts | MSR Silo | ||||||||||
Assets | (dollars in thousands) | |||||||||||
Cash and cash equivalents | $ | — | $ | — | $ | 42,293 | ||||||
Commercial real estate debt | 2,826,357 | — | — | |||||||||
Residential mortgage loans | — | 478,811 | 19,667 | |||||||||
Mortgage servicing rights | — | — | 580,860 | |||||||||
Interest receivable | 10,339 | 1,599 | — | |||||||||
Derivative assets | — | — | 1 | |||||||||
Other assets | — | 1,418 | 32,354 | |||||||||
Total assets | $ | 2,836,696 | $ | 481,828 | $ | 675,175 | ||||||
Liabilities | ||||||||||||
Securitized debt (non-recourse) | $ | 2,620,952 | $ | 350,819 | $ | — | ||||||
Other secured financing | — | — | 10,496 | |||||||||
Interest payable | 4,554 | 931 | — | |||||||||
Other liabilities | — | 112 | 4,856 | |||||||||
Total liabilities | $ | 2,625,506 | $ | 351,862 | $ | 15,352 |
Three Months Ended June 30, 2018 | ||||||||||||
FREMF Trusts | Residential Mortgage Loan Trusts | MSR Silo | ||||||||||
(dollars in thousands) | ||||||||||||
Net interest income: | ||||||||||||
Interest income | $ | 25,100 | $ | 2,184 | $ | 813 | ||||||
Interest expense | 15,363 | 1,089 | 245 | |||||||||
Net interest income | 9,737 | 1,095 | 568 | |||||||||
Realized gain (loss) on disposal of investments | — | (140 | ) | (739 | ) | |||||||
Net gains (losses) on other derivatives | — | — | 1 | |||||||||
Net unrealized gains (losses) on instruments measured at fair value through earnings | 820 | (351 | ) | 1,850 | ||||||||
Other income (loss) | (4,292 | ) | (74 | ) | 28,342 | |||||||
Less: General and administration expenses | — | 15 | 455 | |||||||||
Net income (loss) | $ | 6,265 | $ | 515 | $ | 29,567 |
Three Months Ended June 30, 2017 | ||||||||||||
FREMF Trusts | Residential Mortgage Loan Trusts | MSR Silo | ||||||||||
(dollars in thousands) | ||||||||||||
Net interest income: | ||||||||||||
Interest income | $ | 24,948 | $ | 1,171 | $ | 491 | ||||||
Interest expense | 11,679 | 298 | 57 | |||||||||
Net interest income | 13,269 | 873 | 434 | |||||||||
Realized gain (loss) on disposal of investments | — | (121 | ) | 24 | ||||||||
Net unrealized gains (losses) on instruments measured at fair value through earnings | 4,387 | 720 | (26,848 | ) | ||||||||
Other income (loss) | (6,224 | ) | (94 | ) | 33,338 | |||||||
Less: General and administration expenses | 1 | 17 | 838 | |||||||||
Net income (loss) | $ | 11,431 | $ | 1,361 | $ | 6,110 |
Six Months Ended June 30, 2018 | ||||||||||||||||||||||||
FREMF Trusts | Residential Mortgage Loan Trusts | MSR Silo | Three Months Ended September 30, 2018 | |||||||||||||||||||||
(dollars in thousands) | Commercial Trusts | Residential Trusts | MSR Silo | |||||||||||||||||||||
Net interest income: | (dollars in thousands) | |||||||||||||||||||||||
Interest income | $ | 48,938 | $ | 4,557 | $ | 1,448 | $ | 36,387 | $ | 1,723 | $ | 2,678 | ||||||||||||
Interest expense | 29,197 | 2,848 | 437 | 25,068 | 773 | 438 | ||||||||||||||||||
Net interest income | 19,741 | 1,709 | 1,011 | 11,319 | 950 | 2,240 | ||||||||||||||||||
Realized gain (loss) on disposal of investments | — | 1,902 | (1,310 | ) | ||||||||||||||||||||
Net gains (losses) on trading assets | — | — | 70 | |||||||||||||||||||||
Net realized gains (losses) on disposal of investments | — | 147 | (516 | ) | ||||||||||||||||||||
Net unrealized gains (losses) on instruments measured at fair value through earnings | 1,112 | (1,167 | ) | 16,465 | 220 | 242 | (13,364 | ) | ||||||||||||||||
Other income (loss) | (8,769 | ) | (151 | ) | 57,058 | (4,217 | ) | (70 | ) | 26,866 | ||||||||||||||
Less: General and administration expenses | — | 29 | 927 | |||||||||||||||||||||
Less: General and administrative expenses | — | 21 | 481 | |||||||||||||||||||||
Net income (loss) | $ | 12,084 | $ | 2,264 | $ | 72,367 | $ | 7,322 | 1,248 | 14,745 |
Three Months Ended September 30, 2017 | ||||||||||||
Commercial Trusts | Residential Trusts | MSR Silo | ||||||||||
Net interest income: | (dollars in thousands) | |||||||||||
Interest income | $ | 28,841 | $ | 1,145 | $ | 514 | ||||||
Interest expense | 15,791 | 282 | 121 | |||||||||
Net interest income | 13,050 | 863 | 393 | |||||||||
Net realized gains (losses) on disposal of investments | — | (229 | ) | (1,430 | ) | |||||||
Net gains (losses) on trading assets | — | — | (19 | ) | ||||||||
Net unrealized gains (losses) on instruments measured at fair value through earnings | (2,256 | ) | (20 | ) | (36,226 | ) | ||||||
Other income (loss) | (6,073 | ) | (89 | ) | 32,001 | |||||||
Less: General and administrative expenses | (1 | ) | 34 | 560 | ||||||||
Net income (loss) | $ | 4,722 | $ | 491 | $ | (5,841 | ) |
Nine Months Ended September 30, 2018 | ||||||||||||
Commercial Trusts | Residential Mortgage Loan Trusts | MSR Silo | ||||||||||
Net interest income: | (dollars in thousands) | |||||||||||
Interest income | $ | 85,325 | $ | 6,280 | $ | 4,126 | ||||||
Interest expense | 54,265 | 3,621 | 875 | |||||||||
Net interest income | 31,060 | 2,659 | 3,251 | |||||||||
Net realized gains (losses) on disposal of investments | — | 2,049 | (1,826 | ) | ||||||||
Net gains (losses) on other derivatives | — | — | 70 | |||||||||
Net unrealized gains (losses) on instruments measured at fair value through earnings | 1,332 | (925 | ) | 3,101 | ||||||||
Other income (loss) | (12,986 | ) | (221 | ) | 83,924 | |||||||
Less: General and administrative expenses | — | 50 | 1,408 | |||||||||
Net income (loss) | $ | 19,406 | $ | 3,512 | $ | 87,112 |
Six Months Ended June 30, 2017 | ||||||||||||
FREMF Trusts | Residential Mortgage Loan Trusts | MSR Silo | ||||||||||
(dollars in thousands) | ||||||||||||
Net interest income: | ||||||||||||
Interest income | $ | 52,667 | $ | 2,540 | $ | 491 | ||||||
Interest expense | 26,255 | 572 | 122 | |||||||||
Net interest income | 26,412 | 1,968 | 369 | |||||||||
Realized gain (loss) on disposal of investments | — | (382 | ) | (485 | ) | |||||||
Net unrealized gains (losses) on instruments measured at fair value through earnings | 5,089 | 1,702 | (47,112 | ) | ||||||||
Other income (loss) | (12,522 | ) | (191 | ) | 67,926 | |||||||
Less: General and administration expenses | 1 | 37 | 1,940 | |||||||||
Net income (loss) | $ | 18,978 | $ | 3,060 | $ | 18,758 |
Nine Months Ended September 30, 2017 | ||||||||||||
Commercial Trusts | Residential Mortgage Loan Trusts | MSR Silo | ||||||||||
Net interest income: | (dollars in thousands) | |||||||||||
Interest income | $ | 81,508 | $ | 3,685 | $ | 1,005 | ||||||
Interest expense | 42,046 | 854 | 243 | |||||||||
Net interest income | 39,462 | 2,831 | 762 | |||||||||
Net realized gains (losses) on disposal of investments | — | (611 | ) | (1,915 | ) | |||||||
Net gains (losses) on trading assets | — | — | (17 | ) | ||||||||
Net unrealized gains (losses) on instruments measured at fair value through earnings | 2,833 | 1,682 | (83,340 | ) | ||||||||
Other income (loss) | (18,595 | ) | (280 | ) | 99,927 | |||||||
Less: General and administrative expenses | — | 71 | 2,500 | |||||||||
Net income (loss) | $ | 23,700 | $ | 3,551 | $ | 12,917 |
FREMF Trusts | FREMF Trusts | Residential Mortgage Loan Trusts | FREMF Trusts | Residential Mortgage Loan Trusts | ||||||||||||||||||||||||||||
Property Location | Principal Balance | % of Balance | Property Location | Principal Balance | % of Balance | Principal Balance | % of Balance | Property Location | Principal Balance | % of Balance | (dollars in thousands) | |||||||||||||||||||||
Texas | $ | 478,593 | 13.7 | % | California | $ | 48,718 | 44.9 | % | |||||||||||||||||||||||
Maryland | $ | 437,110 | 17.3 | % | California | $ | 71,095 | 32.7 | % | 448,646 | 12.8 | % | Texas | 13,981 | 12.9 | % | ||||||||||||||||
Texas | 361,075 | 14.4 | % | Florida | 18,596 | 8.6 | % | |||||||||||||||||||||||||
California | 360,279 | 10.3 | % | Illinois | 8,297 | 7.6 | % | |||||||||||||||||||||||||
Virginia | 329,250 | 13.1 | % | Texas | 17,616 | 8.1 | % | 347,002 | 9.9 | % | Washington | 7,559 | 7.0 | % | ||||||||||||||||||
Pennsylvania | 281,384 | 8.1 | % | Florida | 5,424 | 5.0 | % | |||||||||||||||||||||||||
New York | 280,925 | 11.2 | % | Illinois | 15,133 | 7.0 | % | 280,925 | 8.0 | % | Other (1) | 24,501 | 22.6 | % | ||||||||||||||||||
North Carolina | 231,335 | 9.2 | % | New Jersey | 13,156 | 6.0 | % | 251,187 | 7.2 | % | ||||||||||||||||||||||
Pennsylvania | 225,810 | 9.0 | % | Other (1) | 81,901 | 37.6 | % | |||||||||||||||||||||||||
Massachusetts | 179,440 | 7.1 | % | 179,440 | 5.1 | % | ||||||||||||||||||||||||||
Ohio | 156,138 | 6.2 | % | |||||||||||||||||||||||||||||
Other (1) | 314,514 | 12.5 | % | 867,774 | 24.9 | % | ||||||||||||||||||||||||||
Total | $ | 2,515,597 | 100.0 | % | $ | 217,497 | 100.0 | % | $ | 3,495,230 | 100.0 | % | $ | 108,480 | 100.0 | % |
(1) | No individual state greater than 5%. |
Category | Term |
Building and building improvements | 1 - 44 years |
Furniture and fixtures | 1 - 4 years |
September 30, 2018 | December 31, 2017 | |||||||
Real Estate, Net | (dollars in thousands) | |||||||
Land | $ | 128,742 | $ | 111,012 | ||||
Buildings and improvements | 580,932 | 330,959 | ||||||
Furniture, fixtures and equipment | 11,205 | — | ||||||
Subtotal | 720,879 | 441,971 | ||||||
Less: accumulated depreciation | (60,795 | ) | (48,920 | ) | ||||
Total real estate held for investment, at amortized cost, net | 660,084 | 393,051 | ||||||
Equity in unconsolidated joint ventures | 92,930 | 92,902 | ||||||
Total Real Estate, Net | $ | 753,014 | $ | 485,953 |
September 30, 2018 | |||
(dollars in thousands) | |||
2018 (remaining) | $ | 12,627 | |
2019 | 49,246 | ||
2020 | 44,973 | ||
2021 | 40,940 | ||
2022 | 36,393 | ||
Later years | 223,175 | ||
Total | $ | 407,354 |
Derivatives Instruments | September 30, 2018 | December 31, 2017 | ||||||
Derivative Assets: | (dollars in thousands) | |||||||
Interest rate swaps | $ | 97,002 | $ | 30,272 | ||||
Interest rate swaptions | 65,356 | 36,150 | ||||||
TBA derivatives | 13,535 | 29,067 | ||||||
Futures contracts | 221,516 | 218,361 | ||||||
Purchase commitments | 189 | 35 | ||||||
Credit derivatives (1) | 7,243 | — | ||||||
$ | 404,841 | $ | 313,885 | |||||
Derivative Liabilities: | ||||||||
Interest rate swaps | $ | 311,729 | $ | 569,129 | ||||
TBA derivatives | 64,900 | 21,776 | ||||||
Futures contracts | 482 | 12,285 | ||||||
Purchase commitments | 797 | 157 | ||||||
Credit derivatives (1) | 1,886 | 4,507 | ||||||
$ | 379,794 | $ | 607,854 |
(1) | The notional amount of the credit derivatives in which the Company purchased protection was $70.0 million at |
September 30, 2018 | ||||||||||||
Maturity | Current Notional (1) | Weighted Average Pay Rate | Weighted Average Receive Rate | Weighted Average Years to Maturity | ||||||||
(dollars in thousands) | ||||||||||||
0 - 3 years | $ | 34,361,800 | 1.76 | % | 2.36 | % | 1.38 | |||||
3 - 6 years | 16,854,750 | 2.25 | % | 2.34 | % | 4.44 | ||||||
6 - 10 years | 15,746,900 | 2.48 | % | 2.26 | % | 8.62 | ||||||
Greater than 10 years | 4,151,400 | 3.60 | % | 2.27 | % | 17.13 | ||||||
Total / Weighted Average | $ | 71,114,850 | 2.10 | % | 2.33 | % | 4.34 | |||||
December 31, 2017 | ||||||||||||
Maturity | Current Notional (1) | Weighted Average Pay Rate (2) (3) | Weighted Average Receive Rate (2) | Weighted Average Years to Maturity (2) | ||||||||
(dollars in thousands) | ||||||||||||
0 - 3 years | $ | 6,532,000 | 1.56 | % | 1.62 | % | 2.08 | |||||
3 - 6 years | 14,791,800 | 2.12 | % | 1.57 | % | 4.51 | ||||||
6 - 10 years | 10,179,000 | 2.35 | % | 1.58 | % | 8.04 | ||||||
Greater than 10 years | 3,826,400 | 3.65 | % | 1.51 | % | 18.47 | ||||||
Total / Weighted Average | $ | 35,329,200 | 2.22 | % | 1.58 | % | 6.72 |
(1) | There were no forward starting swaps at September 30, 2018. Notional amount includes $8.1 billion of forward starting pay fixed |
(2) | Excludes forward starting swaps. |
(3) | Weighted average fixed rate on forward starting pay fixed swaps was 1.86% at December 31, 2017. |
September 30, 2018 | ||||||||||||||
Current Underlying Notional | Weighted Average Underlying Pay Rate | Weighted Average Underlying Receive Rate | Weighted Average Underlying Years to Maturity | Weighted Average Months to Expiration | ||||||||||
(dollars in thousands) | ||||||||||||||
Long | $ | 4,500,000 | 3.18 | % | 3M LIBOR | 10.21 | 5.09 | |||||||
December 31, 2017 | ||||||||||||||
Current Underlying Notional | Weighted Average Underlying Pay Rate | Weighted Average Underlying Receive Rate | Weighted Average Underlying Years to Maturity | Weighted Average Months to Expiration | ||||||||||
(dollars in thousands) | ||||||||||||||
Long | $ | 6,000,000 | 2.62 | % | 3M LIBOR | 9.97 | 4.49 |
September 30, 2018 | ||||||||||||||||
Purchase and sale contracts for derivative TBAs | Notional | Implied Cost Basis | Implied Market Value | Net Carrying Value | ||||||||||||
(dollars in thousands) | ||||||||||||||||
Purchase contracts | $ | 16,209,160 | $ | 16,304,558 | $ | 16,253,193 | $ | (51,365 | ) | |||||||
December 31, 2017 | ||||||||||||||||
Purchase and sale contracts for derivative TBAs | Notional | Implied Cost Basis | Implied Market Value | Net Carrying Value | ||||||||||||
(dollars in thousands) | ||||||||||||||||
Purchase contracts | $ | 15,828,000 | $ | 16,381,826 | $ | 16,390,251 | $ | 8,425 | ||||||||
Sale contracts | (250,000 | ) | (254,804 | ) | (255,938 | ) | (1,134 | ) | ||||||||
Net TBA derivatives | $ | 15,578,000 | $ | 16,127,022 | $ | 16,134,313 | $ | 7,291 |
September 30, 2018 | ||||||||||
Notional - Long Positions | Notional - Short Positions | Weighted Average Years to Maturity | ||||||||
(dollars in thousands) | ||||||||||
U.S. Treasury futures - 2 year | $ | — | $ | (1,166,000 | ) | 2.00 | ||||
U.S. Treasury futures - 5 year | — | (6,359,400 | ) | 4.41 | ||||||
U.S. Treasury futures - 10 year and greater | — | (12,346,600 | ) | 7.18 | ||||||
Total | $ | — | $ | (19,872,000 | ) | 5.99 | ||||
December 31, 2017 | ||||||||||
Notional - Long Positions | Notional - Short Positions | Weighted Average Years to Maturity | ||||||||
(dollars in thousands) | ||||||||||
2-year swap equivalent Eurodollar contracts | $ | — | $ | (17,161,000 | ) | 2.00 | ||||
U.S. Treasury futures - 5 year | — | (4,217,400 | ) | 4.41 | ||||||
U.S. Treasury futures - 10 year and greater | — | (4,914,500 | ) | 7.01 | ||||||
Total | $ | — | $ | (26,292,900 | ) | 3.32 |
September 30, 2018 | ||||||||||||||||
Amounts Eligible for Offset | ||||||||||||||||
Gross Amounts | Financial Instruments | Cash Collateral | Net Amounts | |||||||||||||
Assets: | (dollars in thousands) | |||||||||||||||
Interest rate swaps, at fair value | $ | 97,002 | $ | (45,805 | ) | $ | — | $ | 51,197 | |||||||
Interest rate swaptions, at fair value | 65,356 | — | — | 65,356 | ||||||||||||
TBA derivatives, at fair value | 13,535 | (13,535 | ) | — | — | |||||||||||
Futures contracts, at fair value | 221,516 | (482 | ) | — | 221,034 | |||||||||||
Purchase commitments | 189 | — | — | 189 | ||||||||||||
Credit derivatives | 7,243 | (1,886 | ) | — | 5,357 | |||||||||||
Liabilities: | ||||||||||||||||
Interest rate swaps, at fair value | $ | 311,729 | $ | (45,805 | ) | $ | — | $ | 265,924 | |||||||
TBA derivatives, at fair value | 64,900 | (13,535 | ) | — | 51,365 | |||||||||||
Futures contracts, at fair value | 482 | (482 | ) | — | — | |||||||||||
Purchase commitments | 797 | — | — | 797 | ||||||||||||
Credit derivatives | 1,886 | (1,886 | ) | — | — | |||||||||||
December 31, 2017 | ||||||||||||||||
Amounts Eligible for Offset | ||||||||||||||||
Gross Amounts | Financial Instruments | Cash Collateral | Net Amounts | |||||||||||||
Assets: | (dollars in thousands) | |||||||||||||||
Interest rate swaps, at fair value | $ | 30,272 | $ | (27,379 | ) | $ | — | $ | 2,893 | |||||||
Interest rate swaptions, at fair value | 36,150 | — | — | 36,150 | ||||||||||||
TBA derivatives, at fair value | 29,067 | (12,551 | ) | — | 16,516 | |||||||||||
Futures contracts, at fair value | 218,361 | (12,285 | ) | — | 206,076 | |||||||||||
Purchase commitments | 35 | — | — | 35 | ||||||||||||
Liabilities: | ||||||||||||||||
Interest rate swaps, at fair value | $ | 569,129 | $ | (27,379 | ) | $ | — | $ | 541,750 | |||||||
TBA derivatives, at fair value | 21,776 | (12,551 | ) | — | 9,225 | |||||||||||
Futures contracts, at fair value | 12,285 | (12,285 | ) | — | — | |||||||||||
Purchase commitments | 157 | — | — | 157 | ||||||||||||
Credit derivatives | 4,507 | — | (3,520 | ) | 987 |
Location on Consolidated Statements of Comprehensive Income (Loss) | ||||||||||||
Net Interest Component of Interest Rate Swaps | Realized Gains (Losses) on Termination or Maturity of Interest Rate Swaps | Unrealized Gains (Losses) on Interest Rate Swaps | ||||||||||
Three Months Ended: | (dollars in thousands) | |||||||||||
September 30, 2018 | $ | 51,349 | $ | 575 | $ | 417,203 | ||||||
September 30, 2017 | $ | (88,211 | ) | $ | — | $ | 56,854 | |||||
Nine Months Ended: | ||||||||||||
September 30, 2018 | $ | 34,664 | $ | 1,409 | $ | 1,737,963 | ||||||
September 30, 2017 | $ | (288,837 | ) | $ | (58 | ) | $ | 28,471 |
Three Months Ended September 30, 2018 | ||||||||||||
Derivative Instruments | Realized Gains (Losses) | Unrealized Gains (Losses) | Amount of Gains (Losses) Recognized in Net Gains (Losses) on Other Derivatives | |||||||||
(dollars in thousands) | ||||||||||||
Net TBA derivatives | $ | 8,569 | $ | (85,741 | ) | $ | (77,172 | ) | ||||
Net interest rate swaptions | (28,754 | ) | (17,663 | ) | (46,417 | ) | ||||||
Futures | (114,317 | ) | 327,787 | 213,470 | ||||||||
Purchase commitments | — | (841 | ) | (841 | ) | |||||||
Credit derivatives | 3,096 | 1,676 | 4,772 | |||||||||
Total | $ | 93,812 | ||||||||||
Three Months Ended September 30, 2017 | ||||||||||||
Derivative Instruments | Realized Gains (Losses) | Unrealized Gains (Losses) | Amount of Gains (Losses) Recognized in Net Gains (Losses) on Other Derivatives | |||||||||
(dollars in thousands) | ||||||||||||
Net TBA derivatives | $ | 110,067 | $ | 29,728 | $ | 139,795 | ||||||
Net interest rate swaptions | — | (9,137 | ) | (9,137 | ) | |||||||
Futures | (70,054 | ) | 92,784 | 22,730 | ||||||||
Purchase commitments | — | (108 | ) | (108 | ) | |||||||
Credit derivatives | 495 | 433 | 928 | |||||||||
Total | $ | 154,208 |
Nine Months Ended September 30, 2018 | ||||||||||||
Derivative Instruments | Realized Gains (Losses) | Unrealized Gains (Losses) | Amount of Gains (Losses) Recognized in Net Gains (Losses) on Other Derivatives | |||||||||
(dollars in thousands) | ||||||||||||
Net TBA derivatives | $ | (299,560 | ) | $ | (56,701 | ) | $ | (356,261 | ) | |||
Net interest rate swaptions | (85,854 | ) | 53,557 | (32,297 | ) | |||||||
Futures | 443,314 | 14,959 | 458,273 | |||||||||
Purchase commitments | — | (416 | ) | (416 | ) | |||||||
Credit derivatives | 7,498 | 4,060 | 11,558 | |||||||||
Total | $ | 80,857 | ||||||||||
Nine Months Ended September 30, 2017 | ||||||||||||
Derivative Instruments | Realized Gains (Losses) | Unrealized Gains (Losses) | Amount of Gain (Losses) Recognized in Net Gains (Losses) on Other Derivatives | |||||||||
(dollars in thousands) | ||||||||||||
Net TBA derivatives | $ | 215,529 | $ | 39,964 | $ | 255,493 | ||||||
Net interest rate swaptions | — | (19,574 | ) | (19,574 | ) | |||||||
Futures | (128,478 | ) | 31,492 | (96,986 | ) | |||||||
Purchase commitments | — | 165 | 165 | |||||||||
Credit derivatives | 632 | 356 | 988 | |||||||||
Total | $ | 140,086 |
June 30, 2018 | ||||||||||||||||||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | September 30, 2018 | ||||||||||||||||||||||||||||
(dollars in thousands) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||||||||||||||
Assets: | (dollars in thousands) | |||||||||||||||||||||||||||||||
Securities | ||||||||||||||||||||||||||||||||
Agency mortgage-backed securities | $ | — | $ | 86,593,058 | $ | — | $ | 86,593,058 | $ | — | $ | 89,290,128 | $ | — | $ | 89,290,128 | ||||||||||||||||
Credit risk transfer securities | — | 563,796 | — | 563,796 | — | 688,521 | — | 688,521 | ||||||||||||||||||||||||
Non-Agency mortgage-backed securities | — | 1,006,785 | — | 1,006,785 | — | 1,173,467 | — | 1,173,467 | ||||||||||||||||||||||||
Commercial mortgage-backed securities | — | 186,495 | — | 186,495 | ||||||||||||||||||||||||||||
Loans | ||||||||||||||||||||||||||||||||
Residential mortgage loans | — | 1,666,157 | — | 1,666,157 | — | 1,217,139 | — | 1,217,139 | ||||||||||||||||||||||||
Mortgage servicing rights | — | — | 599,014 | 599,014 | — | — | 588,833 | 588,833 | ||||||||||||||||||||||||
Commercial real estate debt investments | — | 2,857,463 | — | 2,857,463 | ||||||||||||||||||||||||||||
Assets transferred or pledged to securitization vehicles | — | 4,287,821 | — | 4,287,821 | ||||||||||||||||||||||||||||
Derivative assets | ||||||||||||||||||||||||||||||||
Interest rate swaps | — | 82,458 | — | 82,458 | — | 97,002 | — | 97,002 | ||||||||||||||||||||||||
Other derivatives | 4,857 | 124,823 | — | 129,680 | 221,516 | 86,323 | — | 307,839 | ||||||||||||||||||||||||
Total assets | $ | 4,857 | $ | 92,894,540 | $ | 599,014 | $ | 93,498,411 | $ | 221,516 | $ | 97,026,896 | $ | 588,833 | $ | 97,837,245 | ||||||||||||||||
Liabilities: | ||||||||||||||||||||||||||||||||
Securitized debt of consolidated VIEs | $ | — | $ | 2,728,692 | $ | — | $ | 2,728,692 | ||||||||||||||||||||||||
Debt issued by securitization vehicles | $ | — | $ | 3,799,542 | $ | — | $ | 3,799,542 | ||||||||||||||||||||||||
Derivative liabilities | ||||||||||||||||||||||||||||||||
Interest rate swaps | — | 376,106 | — | 376,106 | — | 311,729 | — | 311,729 | ||||||||||||||||||||||||
Other derivatives | 111,610 | 6,321 | — | 117,931 | 482 | 67,583 | — | 68,065 | ||||||||||||||||||||||||
Total liabilities | $ | 111,610 | $ | 3,111,119 | $ | — | $ | 3,222,729 | $ | 482 | $ | 4,178,854 | $ | — | $ | 4,179,336 | ||||||||||||||||
December 31, 2017 | December 31, 2017 | |||||||||||||||||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | Level 1 | Level 2 | Level 3 | Total | |||||||||||||||||||||||||
(dollars in thousands) | ||||||||||||||||||||||||||||||||
Assets: | (dollars in thousands) | |||||||||||||||||||||||||||||||
Securities | ||||||||||||||||||||||||||||||||
Agency mortgage-backed securities | $ | — | $ | 90,551,763 | $ | — | $ | 90,551,763 | $ | — | $ | 90,551,763 | $ | — | $ | 90,551,763 | ||||||||||||||||
Credit risk transfer securities | — | 651,764 | — | 651,764 | — | 651,764 | — | 651,764 | ||||||||||||||||||||||||
Non-Agency mortgage-backed securities | — | 1,097,294 | — | 1,097,294 | — | 1,097,294 | — | 1,097,294 | ||||||||||||||||||||||||
Commercial mortgage-backed securities | — | 262,751 | — | 262,751 | ||||||||||||||||||||||||||||
Loans | ||||||||||||||||||||||||||||||||
Residential mortgage loans | — | 1,438,322 | — | 1,438,322 | — | 958,546 | — | 958,546 | ||||||||||||||||||||||||
Mortgage servicing rights | — | — | 580,860 | 580,860 | — | — | 580,860 | 580,860 | ||||||||||||||||||||||||
Commercial real estate debt investments | — | 3,089,108 | — | 3,089,108 | ||||||||||||||||||||||||||||
Assets transferred or pledged to securitization vehicles | — | 3,306,133 | — | 3,306,133 | ||||||||||||||||||||||||||||
Derivative assets | ||||||||||||||||||||||||||||||||
Interest rate swaps | — | 30,272 | — | 30,272 | — | 30,272 | — | 30,272 | ||||||||||||||||||||||||
Other derivatives | 218,361 | 65,252 | — | 283,613 | 218,361 | 65,252 | — | 283,613 | ||||||||||||||||||||||||
Total assets | $ | 218,361 | $ | 96,923,775 | $ | 580,860 | $ | 97,722,996 | $ | 218,361 | $ | 96,923,775 | $ | 580,860 | $ | 97,722,996 | ||||||||||||||||
Liabilities: | ||||||||||||||||||||||||||||||||
Securitized debt of consolidated VIEs | $ | — | $ | 2,971,771 | $ | — | $ | 2,971,771 | ||||||||||||||||||||||||
Debt issued by securitization vehicles | $ | — | $ | 2,971,771 | $ | — | $ | 2,971,771 | ||||||||||||||||||||||||
Derivative liabilities | ||||||||||||||||||||||||||||||||
Interest rate swaps | — | 569,129 | — | 569,129 | — | 569,129 | — | 569,129 | ||||||||||||||||||||||||
Other derivatives | 12,285 | 26,440 | — | 38,725 | 12,285 | 26,440 | — | 38,725 | ||||||||||||||||||||||||
Total liabilities | $ | 12,285 | $ | 3,567,340 | $ | — | $ | 3,579,625 | $ | 12,285 | $ | 3,567,340 | $ | — | $ | 3,579,625 |
Valuation Technique | Unobservable Input (1) | |||
Range (Weighted Average) | ||||
Discounted cash flow | Discount rate | 9.0% -12.0% (9.4%) | 10.0% -15.0% (10.4%) | |
Prepayment rate | 4.5% - | 4.6% - 22.3% (9.4%) | ||
Delinquency rate | 0.0% - 5.0% | 0.0% - 13.0% (2.2%) | ||
Cost to service | $82 - | $84 - $181 ($102) |
(1) | Represents rates, estimates and assumptions that the Company believes would be used by market participants when |
June 30, 2018 | December 31, 2017 | |||||||||||||||||
Level in Fair Value Hierarchy | Carrying Value | Fair Value | Carrying Value | Fair Value | ||||||||||||||
Financial assets: | (dollars in thousands) | |||||||||||||||||
Cash and cash equivalents | 1 | $ | 1,135,329 | $ | 1,135,329 | $ | 706,589 | $ | 706,589 | |||||||||
Agency mortgage-backed securities | 2 | 86,593,058 | 86,593,058 | 90,551,763 | 90,551,763 | |||||||||||||
Credit risk transfer securities | 2 | 563,796 | 563,796 | 651,764 | 651,764 | |||||||||||||
Non-Agency mortgage-backed securities | 2 | 1,006,785 | 1,006,785 | 1,097,294 | 1,097,294 | |||||||||||||
Residential mortgage loans | 2 | 1,666,157 | 1,666,157 | 1,438,322 | 1,438,322 | |||||||||||||
Mortgage servicing rights | 3 | 599,014 | 599,014 | 580,860 | 580,860 | |||||||||||||
Commercial real estate debt investments | 2 | 2,857,463 | 2,857,463 | 3,089,108 | 3,089,108 | |||||||||||||
Commercial real estate debt and preferred equity, held for investment | 3 | 1,251,138 | 1,258,236 | 1,029,327 | 1,035,095 | |||||||||||||
Loans held for sale, net | 3 | 42,458 | 42,495 | — | — | |||||||||||||
Corporate debt | 2 | 1,256,276 | 1,254,072 | 1,011,275 | 1,014,139 | |||||||||||||
Interest rate swaps | 2 | 82,458 | 82,458 | 30,272 | 30,272 | |||||||||||||
Other derivatives | 1,2 | 129,680 | 129,680 | 283,613 | 283,613 | |||||||||||||
Reverse repurchase agreements | 1 | 259,762 | 259,762 | — | — | |||||||||||||
Financial liabilities: | ||||||||||||||||||
Repurchase agreements | 1,2 | $ | 75,760,655 | $ | 75,760,655 | $ | 77,696,343 | $ | 77,697,828 | |||||||||
Other secured financing | 1,2 | 3,760,487 | 3,759,980 | 3,837,528 | 3,837,595 | |||||||||||||
Securitized debt of consolidated VIEs | 2 | 2,728,692 | 2,728,692 | 2,971,771 | 2,971,771 | |||||||||||||
Mortgage payable | 3 | 309,878 | 302,149 | 309,686 | 310,218 | |||||||||||||
Interest rate swaps | 2 | 376,106 | 376,106 | 569,129 | 569,129 | |||||||||||||
Other derivatives | 1,2 | 117,931 | 117,931 | 38,725 | 38,725 |
Level in Fair Value Hierarchy | September 30, 2018 | December 31, 2017 | ||||||||||||||||
Carrying Value | Fair Value | Carrying Value | Fair Value | |||||||||||||||
Financial assets: | (dollars in thousands) | |||||||||||||||||
Loans | ||||||||||||||||||
Commercial real estate debt and preferred equity, held for investment | 3 | 1,435,865 | 1,446,062 | 1,029,327 | 1,035,095 | |||||||||||||
Commercial loans held for sale, net | 3 | 42,325 | 43,055 | — | — | |||||||||||||
Corporate debt | 2 | 1,528,874 | 1,531,546 | 1,011,275 | 1,014,139 | |||||||||||||
Financial liabilities: | ||||||||||||||||||
Repurchase agreements | 1,2 | $ | 79,073,026 | $ | 79,073,026 | $ | 77,696,343 | $ | 77,697,828 | |||||||||
Other secured financing | 1,2 | 4,108,547 | 4,108,801 | 3,837,528 | 3,837,595 | |||||||||||||
Mortgages payable | 3 | 511,588 | 494,690 | 309,686 | 310,218 |
Intangible Assets, net | |||
(dollars in thousands) | |||
Balance at December 31, 2017 | $ | 23,220 | |
Intangible assets acquired | 14,483 | ||
Less: amortization expense | (6,475 | ) | |
Balance at September 30, 2018 | $ | 31,228 |
June 30, 2018 | September 30, 2018 | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Agency Mortgage-Backed Securities | CRTs | Non-Agency Mortgage-Backed Securities | Commercial Loans | Commercial Mortgage-Backed Securities | Total Repurchase Agreements | Weighted Average Rate | Agency Mortgage-Backed Securities | CRTs | Non-Agency Mortgage-Backed Securities | Commercial Loans | Commercial Mortgage-Backed Securities | Total Repurchase Agreements | Weighted Average Rate | |||||||||||||||||||||||||||||||||||||||||
(dollars in thousands) | (dollars in thousands) | |||||||||||||||||||||||||||||||||||||||||||||||||||||
1 day | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | — | $ | 16,400,345 | $ | — | $ | — | $ | — | $ | — | $ | 16,400,345 | 2.38 | % | |||||||||||||||||||||||||||
2 to 29 days | 30,476,466 | 263,467 | 161,587 | — | 17,996 | 30,919,516 | 2.15 | % | 19,476,641 | 365,101 | 252,960 | — | 80,474 | 20,175,176 | 2.18 | % | ||||||||||||||||||||||||||||||||||||||
30 to 59 days | 6,314,836 | 7,950 | — | — | 6,155 | 6,328,941 | 2.11 | % | 7,256,371 | — | 65,567 | — | — | 7,321,938 | 2.26 | % | ||||||||||||||||||||||||||||||||||||||
60 to 89 days | 14,105,633 | 64,443 | 105,187 | — | — | 14,275,263 | 2.15 | % | 17,159,885 | 71,919 | 155,479 | — | 36,076 | 17,423,359 | 2.38 | % | ||||||||||||||||||||||||||||||||||||||
90 to 119 days | 9,278,603 | — | — | — | — | 9,278,603 | 2.08 | % | 6,518,313 | — | — | — | — | 6,518,313 | 2.20 | % | ||||||||||||||||||||||||||||||||||||||
Over 120 days (1) | 14,321,748 | — | — | 488,579 | 148,005 | 14,958,332 | 2.32 | % | 10,330,866 | — | — | 764,543 | 138,486 | 11,233,895 | 2.48 | % | ||||||||||||||||||||||||||||||||||||||
Total | $ | 74,497,286 | $ | 335,860 | $ | 266,774 | $ | 488,579 | $ | 172,156 | $ | 75,760,655 | 2.17 | % | $ | 77,142,421 | $ | 437,020 | $ | 474,006 | $ | 764,543 | $ | 255,036 | $ | 79,073,026 | 2.32 | % |
December 31, 2017 | December 31, 2017 | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Agency Mortgage-Backed Securities | CRTs | Non-Agency Mortgage-Backed Securities | Commercial Loans | Commercial Mortgage-Backed Securities | Total Repurchase Agreements | Weighted Average Rate | Agency Mortgage-Backed Securities | CRTs | Non-Agency Mortgage-Backed Securities | Commercial Loans | Commercial Mortgage-Backed Securities | Total Repurchase Agreements | Weighted Average Rate | |||||||||||||||||||||||||||||||||||||||||
(dollars in thousands) | (dollars in thousands) | |||||||||||||||||||||||||||||||||||||||||||||||||||||
1 day | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | — | ||||||||||||||||||||||||||||
2 to 29 days | 33,421,609 | 263,528 | 253,290 | — | 18,125 | 33,956,552 | 1.69 | % | 33,421,609 | 263,528 | 253,290 | — | 18,125 | 33,956,552 | 1.69 | % | ||||||||||||||||||||||||||||||||||||||
30 to 59 days | 10,811,515 | 7,229 | 3,658 | — | 6,375 | 10,828,777 | 1.44 | % | 10,811,515 | 7,229 | 3,658 | — | 6,375 | 10,828,777 | 1.44 | % | ||||||||||||||||||||||||||||||||||||||
60 to 89 days | 13,800,743 | 7,214 | 47,830 | — | — | 13,855,787 | 1.59 | % | 13,800,743 | 7,214 | 47,830 | — | — | 13,855,787 | 1.59 | % | ||||||||||||||||||||||||||||||||||||||
90 to 119 days | 10,128,006 | — | — | — | — | 10,128,006 | 1.39 | % | 10,128,006 | — | — | — | — | 10,128,006 | 1.39 | % | ||||||||||||||||||||||||||||||||||||||
Over 120 days (1) | 8,542,108 | — | — | 385,113 | — | 8,927,221 | 1.77 | % | 8,542,108 | — | — | 385,113 | — | 8,927,221 | 1.77 | % | ||||||||||||||||||||||||||||||||||||||
Total | $ | 76,703,981 | $ | 277,971 | $ | 304,778 | $ | 385,113 | $ | 24,500 | $ | 77,696,343 | 1.61 | % | $ | 76,703,981 | $ | 277,971 | $ | 304,778 | $ | 385,113 | $ | 24,500 | $ | 77,696,343 | 1.61 | % |
(1) | Approximately 0% and 1% of the total repurchase agreements had a remaining maturity over 1 year at |
June 30, 2018 | December 31, 2017 | September 30, 2018 | December 31, 2017 | |||||||||||||||||||||||||||||
Reverse Repurchase Agreements | Repurchase Agreements | Reverse Repurchase Agreements | Repurchase Agreements | Reverse Repurchase Agreements | Repurchase Agreements | Reverse Repurchase Agreements | Repurchase Agreements | |||||||||||||||||||||||||
(dollars in thousands) | (dollars in thousands) | |||||||||||||||||||||||||||||||
Gross Amounts | $ | 2,909,762 | $ | 78,410,655 | $ | 1,250,000 | $ | 78,946,343 | $ | 1,484,704 | $ | 79,323,026 | $ | 1,250,000 | $ | 78,946,343 | ||||||||||||||||
Amounts Offset | (2,650,000 | ) | (2,650,000 | ) | (1,250,000 | ) | (1,250,000 | ) | (250,000 | ) | (250,000 | ) | (1,250,000 | ) | (1,250,000 | ) | ||||||||||||||||
Netted Amounts | $ | 259,762 | $ | 75,760,655 | $ | — | $ | 77,696,343 | $ | 1,234,704 | $ | 79,073,026 | $ | — | $ | 77,696,343 |
Derivatives Instruments | Balance Sheet Location | June 30, 2018 | December 31, 2017 | |||||||
Assets: | (dollars in thousands) | |||||||||
Interest rate swaps | Interest rate swaps, at fair value | $ | 82,458 | $ | 30,272 | |||||
Interest rate swaptions | Other derivatives, at fair value | 82,034 | 36,150 | |||||||
TBA derivatives | Other derivatives, at fair value | 36,394 | 29,067 | |||||||
Futures contracts | Other derivatives, at fair value | 4,857 | 218,361 | |||||||
Purchase commitments | Other derivatives, at fair value | 258 | 35 | |||||||
Credit derivatives (1) | Other derivatives, at fair value | 6,137 | — | |||||||
$ | 212,138 | $ | 313,885 | |||||||
Liabilities: | ||||||||||
Interest rate swaps | Interest rate swaps, at fair value | $ | 376,106 | $ | 569,129 | |||||
TBA derivatives | Other derivatives, at fair value | 63 | 21,776 | |||||||
Futures contracts | Other derivatives, at fair value | 111,610 | 12,285 | |||||||
Purchase commitments | Other derivatives, at fair value | 25 | 157 | |||||||
Credit derivatives (1) | Other derivatives, at fair value | 6,233 | 4,507 | |||||||
$ | 494,037 | $ | 607,854 |
September 30, 2018 | ||||||||||||||||
Property | Mortgage Carrying Value | Mortgage Principal | Interest Rate | Fixed/Floating Rate | Maturity Date | Priority | ||||||||||
(dollars in thousands) | ||||||||||||||||
Joint Ventures | $ | 332,317 | $ | 334,789 | 2.75% - 4.96% | Fixed | 2024 - 2029 | First liens | ||||||||
Tennessee | 12,319 | 12,350 | 4.01% | Fixed | 9/6/2019 | First liens | ||||||||||
Virginia | 96,266 | 98,127 | 2.34% - 4.55% | Fixed | 2019-2053 | First liens | ||||||||||
Utah (fixed) | 7,297 | 7,218 | 3.69% | Fixed | 6/1/2053 | First liens | ||||||||||
Utah (floating) | 9,691 | 9,706 | L+3.50% | Floating | 1/31/2019 | First liens | ||||||||||
Minnesota | 13,470 | 13,506 | 3.69% | Fixed | 6/1/2053 | First liens | ||||||||||
Wisconsin | 7,911 | 7,932 | 3.69% | Fixed | 6/1/2053 | First liens | ||||||||||
Texas | 32,317 | 33,875 | 3.28% | Fixed | 1/1/1953 | First liens | ||||||||||
Total | $ | 511,588 | $ | 517,503 |
December 31, 2017 | ||||||||||||||||
Property | Mortgage Carrying Value | Mortgage Principal | Interest Rate | Fixed/Floating Rate | Maturity Date | Priority | ||||||||||
(dollars in thousands) | ||||||||||||||||
Joint Ventures | $ | 286,373 | $ | 289,125 | 4.03% - 4.61% | Fixed | 2024 and 2025 | First liens | ||||||||
Tennessee | 12,294 | 12,350 | 4.01% | Fixed | 9/6/2019 | First liens | ||||||||||
Virginia | 11,019 | 11,025 | 3.58% | Fixed | 6/6/2019 | First liens | ||||||||||
Total | $ | 309,686 | $ | 312,500 |
Mortgage Loan Principal Payments | |||
(dollars in thousands) | |||
2018 (remaining) | $ | 717 | |
2019 | 36,111 | ||
2020 | 19,410 | ||
2021 | 3,493 | ||
2022 | 3,711 | ||
Later years | 454,061 | ||
Total | $ | 517,503 |
Shares authorized | Shares issued and outstanding | |||||||||||
September 30, 2018 | December 31, 2017 | September 30, 2018 | December 31, 2017 | Par Value | ||||||||
Common stock | 1,924,050,000 | 1,929,300,000 | 1,303,079,555 | 1,159,585,078 | $0.01 |
June 30, 2018 | ||||||||||||
Maturity | Current Notional (1) | Weighted Average Pay Rate | Weighted Average Receive Rate | Weighted Average Years to Maturity | ||||||||
(dollars in thousands) | ||||||||||||
0 - 3 years | $ | 32,086,800 | 1.76 | % | 2.34 | % | 1.62 | |||||
3 - 6 years | 15,449,650 | 2.27 | % | 2.31 | % | 4.67 | ||||||
6 - 10 years | 12,476,900 | 2.45 | % | 2.24 | % | 8.59 | ||||||
Greater than 10 years | 4,076,400 | 3.58 | % | 2.21 | % | 17.48 | ||||||
Total / Weighted Average | $ | 64,089,750 | 2.08 | % | 2.31 | % | 4.43 | |||||
December 31, 2017 | ||||||||||||
Maturity | Current Notional (1) | Weighted Average Pay Rate (2) (3) | Weighted Average Receive Rate (2) | Weighted Average Years to Maturity (2) | ||||||||
(dollars in thousands) | ||||||||||||
0 - 3 years | $ | 6,532,000 | 1.56 | % | 1.62 | % | 2.08 | |||||
3 - 6 years | 14,791,800 | 2.12 | % | 1.57 | % | 4.51 | ||||||
6 - 10 years | 10,179,000 | 2.35 | % | 1.58 | % | 8.04 | ||||||
Greater than 10 years | 3,826,400 | 3.65 | % | 1.51 | % | 18.47 | ||||||
Total / Weighted Average | $ | 35,329,200 | 2.22 | % | 1.58 | % | 6.72 |
June 30, 2018 | Current Underlying Notional | Weighted Average Underlying Pay Rate | Weighted Average Underlying Receive Rate | Weighted Average Underlying Years to Maturity | Weighted Average Months to Expiration | |||||||||
(dollars in thousands) | ||||||||||||||
Long | $ | 3,250,000 | 2.75 | % | 3M LIBOR | 10.28 | 3.16 | |||||||
December 31, 2017 | Current Underlying Notional | Weighted Average Underlying Pay Rate | Weighted Average Underlying Receive Rate | Weighted Average Underlying Years to Maturity | Weighted Average Months to Expiration | |||||||||
(dollars in thousands) | ||||||||||||||
Long | $ | 6,000,000 | 2.62 | % | 3M LIBOR | 9.97 | 4.49 |
June 30, 2018 | ||||||||||||||||
Purchase and sale contracts for derivative TBAs | Notional | Implied Cost Basis | Implied Market Value | Net Carrying Value | ||||||||||||
(dollars in thousands) | ||||||||||||||||
Purchase contracts | $ | 8,000,000 | $ | 8,144,363 | $ | 8,180,694 | $ | 36,331 | ||||||||
December 31, 2017 | ||||||||||||||||
Purchase and sale contracts for derivative TBAs | Notional | Implied Cost Basis | Implied Market Value | Net Carrying Value | ||||||||||||
(dollars in thousands) | ||||||||||||||||
Purchase contracts | $ | 15,828,000 | $ | 16,381,826 | $ | 16,390,251 | $ | 8,425 | ||||||||
Sale contracts | (250,000 | ) | (254,804 | ) | (255,938 | ) | (1,134 | ) | ||||||||
Net TBA derivatives | $ | 15,578,000 | $ | 16,127,022 | $ | 16,134,313 | $ | 7,291 |
June 30, 2018 | ||||||||||
Notional - Long Positions | Notional - Short Positions | Weighted Average Years to Maturity | ||||||||
(dollars in thousands) | ||||||||||
U.S. Treasury futures - 2 year | $ | — | $ | (480,000 | ) | 2.00 | ||||
U.S. Treasury futures - 5 year | $ | — | $ | (4,987,400 | ) | 4.42 | ||||
U.S. Treasury futures - 10 year and greater | — | (10,274,500 | ) | 7.13 | ||||||
Total | $ | — | $ | (15,741,900 | ) | 6.12 | ||||
December 31, 2017 | ||||||||||
Notional - Long Positions | Notional - Short Positions | Weighted Average Years to Maturity | ||||||||
(dollars in thousands) | ||||||||||
2-year swap equivalent Eurodollar contracts | $ | — | $ | (17,161,000 | ) | 2.00 | ||||
U.S. Treasury futures - 5 year | — | (4,217,400 | ) | 4.41 | ||||||
U.S. Treasury futures - 10 year and greater | — | (4,914,500 | ) | 7.01 | ||||||
Total | $ | — | $ | (26,292,900 | ) | 3.32 |
June 30, 2018 | ||||||||||||||||
Amounts Eligible for Offset | ||||||||||||||||
Gross Amounts | Financial Instruments | Cash Collateral | Net Amounts | |||||||||||||
Assets: | (dollars in thousands) | |||||||||||||||
Interest rate swaps, at fair value | $ | 82,458 | $ | (44,260 | ) | $ | — | $ | 38,198 | |||||||
Interest rate swaptions, at fair value | 82,034 | — | — | 82,034 | ||||||||||||
TBA derivatives, at fair value | 36,394 | (63 | ) | — | 36,331 | |||||||||||
Futures contracts, at fair value | 4,857 | (4,857 | ) | — | — | |||||||||||
Purchase commitments | 258 | — | — | 258 | ||||||||||||
Credit derivatives | 6,137 | (5,736 | ) | — | 401 | |||||||||||
Liabilities: | ||||||||||||||||
Interest rate swaps, at fair value | $ | 376,106 | $ | (44,260 | ) | $ | — | $ | 331,846 | |||||||
TBA derivatives, at fair value | 63 | (63 | ) | — | — | |||||||||||
Futures contracts, at fair value | 111,610 | (4,857 | ) | (106,753 | ) | — | ||||||||||
Purchase commitments | 25 | — | — | 25 | ||||||||||||
Credit derivatives | 6,233 | (5,736 | ) | (497 | ) | — | ||||||||||
December 31, 2017 | ||||||||||||||||
Amounts Eligible for Offset | ||||||||||||||||
Gross Amounts | Financial Instruments | Cash Collateral | Net Amounts | |||||||||||||
Assets: | (dollars in thousands) | |||||||||||||||
Interest rate swaps, at fair value | $ | 30,272 | $ | (27,379 | ) | $ | — | $ | 2,893 | |||||||
Interest rate swaptions, at fair value | 36,150 | — | — | 36,150 | ||||||||||||
TBA derivatives, at fair value | 29,067 | (12,551 | ) | — | 16,516 | |||||||||||
Futures contracts, at fair value | 218,361 | (12,285 | ) | — | 206,076 | |||||||||||
Purchase commitments | 35 | — | — | 35 | ||||||||||||
Liabilities: | ||||||||||||||||
Interest rate swaps, at fair value | $ | 569,129 | $ | (27,379 | ) | $ | — | $ | 541,750 | |||||||
TBA derivatives, at fair value | 21,776 | (12,551 | ) | — | 9,225 | |||||||||||
Futures contracts, at fair value | 12,285 | (12,285 | ) | — | — | |||||||||||
Purchase commitments | 157 | — | — | 157 | ||||||||||||
Credit derivatives | 4,507 | — | (3,520 | ) | 987 |
Location on Consolidated Statements of Comprehensive Income (Loss) | ||||||||||||
Net Interest Component of Interest Rate Swaps | Realized Gains (Losses) on Termination or Maturity of Interest Rate Swaps | Unrealized Gains (Losses) on Interest Rate Swaps | ||||||||||
(dollars in thousands) | ||||||||||||
Three Months Ended: | ||||||||||||
June 30, 2018 | $ | 31,475 | $ | — | $ | 343,475 | ||||||
June 30, 2017 | $ | (96,470 | ) | $ | (58 | ) | $ | (177,567 | ) | |||
Six Months Ended: | ||||||||||||
June 30, 2018 | $ | (16,685 | ) | $ | 834 | $ | 1,320,760 | |||||
June 30, 2017 | $ | (200,626 | ) | $ | (58 | ) | $ | (28,383 | ) |
Three Months Ended June 30, 2018 | ||||||||||||
Derivative Instruments | Realized Gains (Losses) | Unrealized Gains (Losses) | Amount of Gains (Losses) Recognized in Net Gains (Losses) on Other Derivatives | |||||||||
(dollars in thousands) | ||||||||||||
Net TBA derivatives | $ | (30,228 | ) | $ | 11,123 | $ | (19,105 | ) | ||||
Net interest rate swaptions | (35,667 | ) | 3,999 | (31,668 | ) | |||||||
Futures | 62,618 | 15,684 | 78,302 | |||||||||
Purchase commitments | — | 59 | 59 | |||||||||
Credit derivatives | 2,889 | 3,712 | 6,601 | |||||||||
Total | $ | 34,189 | ||||||||||
Three Months Ended June 30, 2017 | ||||||||||||
Derivative Instruments | Realized Gains (Losses) | Unrealized Gains (Losses) | Amount of Gains (Losses) Recognized in Net Gains (Losses) on Other Derivatives | |||||||||
(dollars in thousands) | ||||||||||||
Net TBA derivatives | $ | 165,777 | $ | (72,844 | ) | $ | 92,933 | |||||
Net interest rate swaptions | — | (10,438 | ) | (10,438 | ) | |||||||
Futures | (59,397 | ) | (37,588 | ) | (96,985 | ) | ||||||
Purchase commitments | — | 8 | 8 | |||||||||
Credit derivatives | 136 | (77 | ) | 59 | ||||||||
Total | $ | (14,423 | ) | |||||||||
Six Months Ended June 30, 2018 | ||||||||||||
Derivative Instruments | Realized Gains (Losses) | Unrealized Gains (Losses) | Amount of Gains (Losses) Recognized in Net Gains (Losses) on Other Derivatives | |||||||||
(dollars in thousands) | ||||||||||||
Net TBA derivatives | $ | (308,127 | ) | $ | 29,039 | $ | (279,088 | ) | ||||
Net interest rate swaptions | (57,100 | ) | 71,220 | 14,120 | ||||||||
Futures | 557,630 | (312,828 | ) | 244,802 | ||||||||
Purchase commitments | — | 425 | 425 | |||||||||
Credit derivatives | 4,402 | 2,383 | 6,785 | |||||||||
Total | $ | (12,956 | ) | |||||||||
Six Months Ended June 30, 2017 | ||||||||||||
Derivative Instruments | Realized Gains (Losses) | Unrealized Gains (Losses) | Amount of Gain (Losses) Recognized in Net Gains (Losses) on Other Derivatives | |||||||||
(dollars in thousands) | ||||||||||||
Net TBA derivatives | $ | 105,463 | $ | 10,237 | $ | 115,700 | ||||||
Net interest rate swaptions | — | (10,438 | ) | (10,438 | ) | |||||||
Futures | (58,424 | ) | (61,292 | ) | (119,716 | ) | ||||||
Purchase commitments | — | 272 | 272 | |||||||||
Credit derivatives | 136 | (77 | ) | 59 | ||||||||
Total | $ | (14,123 | ) |
Nine Months Ended | ||||||||
September 30, 2018 | September 30, 2017 | |||||||
(dollars in thousands) | ||||||||
Shares issued through direct purchase and dividend reinvestment program | 245,000 | 169,000 | ||||||
Amount raised from direct purchase and dividend reinvestment program | $ | 2,584 | $ | 1,949 |
Shares authorized | Shares issued and outstanding | Carrying value | Contractual rate | Earliest redemption date (1) | Date at which dividend rate becomes floating | Floating annual rate | |||||||||||||||||
September 30, 2018 | December 31, 2017 | September 30, 2018 | December 31, 2017 | September 30, 2018 | December 31, 2017 | ||||||||||||||||||
Fixed-rate: | (dollars in thousands) | ||||||||||||||||||||||
Series C | 7,000,000 | 12,000,000 | 7,000,000 | 12,000,000 | $ | 169,466 | $ | 290,514 | 7.625% | 5/16/2017 | NA | NA | |||||||||||
Series D | 18,400,000 | 18,400,000 | 18,400,000 | 18,400,000 | 445,457 | 445,457 | 7.50% | 9/13/2017 | NA | NA | |||||||||||||
Series E | — | 11,500,000 | — | 11,500,000 | — | 287,500 | 7.625% | 8/27/2017 | NA | NA | |||||||||||||
Series H | 2,200,000 | — | 2,200,000 | — | 55,000 | — | 8.125% | 5/22/2019 | NA | NA | |||||||||||||
Fixed-to-floating rate: | |||||||||||||||||||||||
Series F | 28,800,000 | 28,800,000 | 28,800,000 | 28,800,000 | 696,910 | 696,910 | 6.95% | 9/30/2022 | 9/30/2022 | 3M LIBOR + 4.993% | |||||||||||||
Series G | 19,550,000 | — | 17,000,000 | — | 411,335 | — | 6.50% | 3/31/2023 | 3/31/2023 | 3M LIBOR + 4.172% | |||||||||||||
Total | 75,950,000 | 70,700,000 | 73,400,000 | 70,700,000 | $ | 1,778,168 | $ | 1,720,381 |
(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. |
Six Months Ended | Nine Months Ended | |||||||||||||||
June 30, 2018 | June 30, 2017 | September 30, 2018 | September 30, 2017 | |||||||||||||
(dollars in thousands, except per share data) | (dollars in thousands, except per share data) | |||||||||||||||
Distributions declared to common stockholders | $ | 697,197 | $ | 611,400 | $ | 1,062,685 | $ | 937,825 | ||||||||
Distributions declared per common share | $ | 0.60 | $ | 0.60 | $ | 0.90 | $ | 0.90 | ||||||||
Distributions paid to common stockholders after period end | $ | 349,300 | $ | 305,709 | $ | 102,811 | $ | 326,425 | ||||||||
Distributions paid per common share after period end | $ | 0.30 | $ | — | $ | 0.08 | $ | 0.30 | ||||||||
Date of distributions paid to common stockholders after period end | July 31, 2018 | July 31, 2017 | October 31, 2018 | October 31, 2017 | ||||||||||||
Dividends declared to Series A Preferred stockholders | $ | — | $ | 7,296 | $ | — | $ | 9,527 | ||||||||
Dividends declared per share of Series A Preferred Stock | $ | — | $ | 0.984 | $ | — | $ | 1.477 | ||||||||
Dividends declared to Series C Preferred stockholders | $ | 7,652 | $ | 11,438 | $ | 10,987 | $ | 17,157 | ||||||||
Dividends declared per share of Series C Preferred Stock (1) | $ | 0.953 | $ | 0.953 | $ | 1.430 | $ | 1.430 | ||||||||
Dividends declared to Series D Preferred stockholders | $ | 17,250 | $ | 17,250 | $ | 25,875 | $ | 25,875 | ||||||||
Dividends declared per share of Series D Preferred Stock | $ | 0.938 | $ | 0.938 | $ | 1.406 | $ | 1.406 | ||||||||
Dividends declared to Series E Preferred stockholders | $ | 2,253 | $ | 10,962 | $ | 2,253 | $ | 16,441 | ||||||||
Dividends declared per share of Series E Preferred Stock | $ | 0.196 | $ | 0.953 | $ | 0.196 | $ | 1.430 | ||||||||
Dividends declared to Series F Preferred stockholders | $ | 25,020 | $ | — | $ | 37,530 | $ | — | ||||||||
Dividends declared per share of Series F Preferred Stock | $ | 0.869 | $ | — | $ | 1.303 | $ | — | ||||||||
Dividends declared to Series G Preferred stockholders | $ | 12,968 | $ | — | $ | 19,875 | $ | — | ||||||||
Dividends declared per share of Series G Preferred Stock | $ | 0.763 | $ | — | $ | 1.169 | $ | — | ||||||||
Dividends declared to Series H Preferred stockholders | $ | 298 | $ | — | ||||||||||||
Dividends declared per share of Series H Preferred Stock | $ | 0.135 | $ | — |
(1) | Includes dividends declared per share for shares outstanding at |
(2) | Includes cumulative and undeclared dividends on the Company’s Series F Preferred Stock of $8.3 million for the nine |
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 |
Collateralized Mortgage Obligation (“CMO”) (1) | Effective yield (3) |
Reverse mortgages (2) | Prospective |
Interest-only (2) | Prospective |
Residential Credit | |
CRT (2) | Prospective |
Alt-A (2) | Prospective |
Prime (2) | Prospective |
Subprime (2) | Prospective |
NPL/RPL (2) | Prospective |
Prime Jumbo (2) | Prospective |
Prime Jumbo interest-only (2) | Prospective |
(1) | Changes in fair value are recognized in Other comprehensive income (loss) on the accompanying |
(2) | Changes in fair value are recognized in Net unrealized gains (losses) on instruments measured at fair |
(3) | Effective yield is recalculated for differences between estimated and actual prepayments and the |
Three Months Ended | Six Months Ended | Three Months Ended | Nine Months Ended | |||||||||||||||||||||||||||||
June 30, 2018 | June 30, 2017 | June 30, 2018 | June 30, 2017 | September 30, 2018 | September 30, 2017 | September 30, 2018 | September 30, 2017 | |||||||||||||||||||||||||
Interest income: | (dollars in thousands) | (dollars in thousands) | ||||||||||||||||||||||||||||||
Residential Investment Securities | $ | 662,750 | $ | 459,308 | $ | 1,442,338 | $ | 975,218 | ||||||||||||||||||||||||
Residential Securities | $ | 680,037 | $ | 540,436 | $ | 2,122,375 | $ | 1,515,654 | ||||||||||||||||||||||||
Residential mortgage loans | 18,868 | 7,417 | 34,373 | 11,281 | 21,184 | 8,509 | 55,557 | 19,790 | ||||||||||||||||||||||||
Commercial investment portfolio (1) | 79,343 | 68,153 | 151,800 | 132,498 | 97,531 | 67,790 | 249,331 | 200,288 | ||||||||||||||||||||||||
U.S. Treasury securities | 160 | — | 160 | — | ||||||||||||||||||||||||||||
Reverse repurchase agreements | 15,845 | 2,548 | 27,782 | 6,156 | 17,684 | 5,815 | 45,466 | 11,971 | ||||||||||||||||||||||||
Total interest income | 776,806 | 537,426 | 1,656,293 | 1,125,153 | 816,596 | 622,550 | 2,472,889 | 1,747,703 | ||||||||||||||||||||||||
Interest expense: | ||||||||||||||||||||||||||||||||
Repurchase agreements | 400,475 | 197,151 | 731,849 | 370,241 | 445,535 | 237,669 | 1,177,384 | 607,910 | ||||||||||||||||||||||||
Securitized debt of consolidated VIEs | 18,201 | 11,977 | 33,853 | 26,827 | ||||||||||||||||||||||||||||
Debt issued by securitization vehicles | 29,391 | 16,072 | 63,244 | 42,899 | ||||||||||||||||||||||||||||
Participation sold | — | 42 | — | 195 | — | — | — | 195 | ||||||||||||||||||||||||
Other | 24,016 | 13,111 | 44,411 | 23,443 | 26,047 | 15,196 | 70,458 | 38,639 | ||||||||||||||||||||||||
Total interest expense | 442,692 | 222,281 | 810,113 | 420,706 | 500,973 | 268,937 | 1,311,086 | 689,643 | ||||||||||||||||||||||||
Net interest income | $ | 334,114 | $ | 315,145 | $ | 846,180 | $ | 704,447 | 315,623 | 353,613 | $ | 1,161,803 | $ | 1,058,060 |
(1) | Includes commercial real estate debt and preferred equity, corporate debt and |
Three Months Ended | Six Months Ended | Three Months Ended | Nine Months Ended | |||||||||||||||||||||||||||||
June 30, 2018 | June 30, 2017 | June 30, 2018 | June 30, 2017 | September 30, 2018 | September 30, 2017 | September 30, 2018 | September 30, 2017 | |||||||||||||||||||||||||
(dollars in thousands, except per share data) | (dollars in thousands, except per share data) | |||||||||||||||||||||||||||||||
Net income (loss) | $ | 595,887 | $ | 14,522 | $ | 1,923,591 | $ | 454,930 | $ | 385,429 | $ | 367,315 | $ | 2,309,020 | $ | 822,245 | ||||||||||||||||
Net income (loss) attributable to noncontrolling interest | (32 | ) | (102 | ) | (128 | ) | (205 | ) | ||||||||||||||||||||||||
Net income (loss) attributable to noncontrolling interests | (149 | ) | (232 | ) | (277 | ) | (437 | ) | ||||||||||||||||||||||||
Net income (loss) attributable to Annaly | 595,919 | 14,624 | 1,923,719 | 455,135 | 385,578 | 367,547 | 2,309,297 | 822,682 | ||||||||||||||||||||||||
Dividends on preferred stock | 31,377 | 23,473 | 65,143 | 46,946 | 31,675 | 30,355 | 96,818 | 77,301 | ||||||||||||||||||||||||
Net income (loss) available (related) to common stockholders | $ | 564,542 | $ | (8,849 | ) | $ | 1,858,576 | $ | 408,189 | $ | 353,903 | $ | 337,192 | $ | 2,212,479 | $ | 745,381 | |||||||||||||||
Weighted average shares of common stock outstanding-basic | 1,160,436,777 | 1,019,000,817 | 1,160,029,575 | 1,018,971,942 | 1,202,353,851 | 1,072,566,395 | 1,174,292,701 | 1,037,033,076 | ||||||||||||||||||||||||
Add: Effect of stock awards, if dilutive | 542,674 | — | 514,005 | 385,755 | — | 474,242 | — | 412,101 | ||||||||||||||||||||||||
Weighted average shares of common stock outstanding-diluted | 1,160,979,451 | 1,019,000,817 | 1,160,543,580 | 1,019,357,697 | 1,202,353,851 | 1,073,040,637 | 1,174,292,701 | 1,037,445,177 | ||||||||||||||||||||||||
Net income (loss) per share available (related) to common share: | ||||||||||||||||||||||||||||||||
Basic | $ | 0.49 | $ | (0.01 | ) | $ | 1.60 | $ | 0.40 | $ | 0.29 | $ | 0.31 | $ | 1.88 | $ | 0.72 | |||||||||||||||
Diluted | $ | 0.49 | $ | (0.01 | ) | $ | 1.60 | $ | 0.40 | $ | 0.29 | $ | 0.31 | $ | 1.88 | $ | 0.72 |
(1) | Includes cumulative and undeclared dividends on the Company’s Series F Preferred Stock of $8.3 million for the three and nine months ended September 30, 2017. |
Six Months Ended | |||||||||||||
June 30, 2018 | June 30, 2017 | ||||||||||||
Number of Shares | Weighted Average Exercise Price | Number of Shares | Weighted Average Exercise Price | ||||||||||
Options outstanding at the beginning of year | 794,125 | $ | 15.30 | 1,125,625 | $ | 15.43 | |||||||
Granted | — | — | — | — | |||||||||
Exercised | — | — | — | — | |||||||||
Forfeited | — | — | (117,000 | ) | 15.85 | ||||||||
Expired | (290,200 | ) | 16.45 | (199,500 | ) | 15.74 | |||||||
Options outstanding at the end of period | 503,925 | $ | 14.63 | 809,125 | $ | 15.29 | |||||||
Options exercisable at the end of the period | 503,925 | $ | 14.63 | 809,125 | $ | 15.29 |
Years Ending December 31, | Lease Commitments | ||
(dollars in thousands) | |||
2018 (remaining) | $ | 1,782 | |
2019 | 3,565 | ||
2020 | 3,652 | ||
2021 | 3,862 | ||
2022 | 3,862 | ||
Later years | 10,619 | ||
Total | $ | 27,342 |
Lease Commitments | |||
Years Ending September 30, | (dollars in thousands) | ||
2018 (remaining) | $ | 891 | |
2019 | 3,565 | ||
2020 | 3,652 | ||
2021 | 3,862 | ||
2022 | 3,862 | ||
Later years | 10,618 | ||
Total | $ | 26,450 |
September 2018 | |||
Consideration Transferred: | (dollars in thousands) | ||
Cash | $ | 450,287 | |
Common equity | 455,943 | ||
Preferred shares: | |||
Exchange of MTGE preferred stock for Annaly preferred stock | 55,000 | ||
Total consideration | $ | 961,230 | |
Net Assets: | |||
Cash and cash equivalents | $ | 191,953 | |
Securities | 4,111,930 | ||
Real estate, net | 277,648 | ||
Derivative assets | 18,629 | ||
Reverse repurchase agreements | 938,251 | ||
Receivable for unsettled trades | 6,809 | ||
Principal receivable | 44,462 | ||
Interest receivable | 14,282 | ||
Intangible assets, net | 14,483 | ||
Other assets | 50,105 | ||
Total assets acquired | 5,668,552 | ||
Repurchase agreements | 3,561,816 | ||
Mortgages payable | 201,629 | ||
U.S. Treasury securities sold, not yet purchased | 934,149 | ||
Derivative liabilities | 2,498 | ||
Interest Payable | 22,220 | ||
Dividends payable | 819 | ||
Other liabilities | 28,715 | ||
Total liabilities assumed | 4,751,846 | ||
Net assets acquired | $ | 916,706 |
ITEM 2. MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS | ||||
INDEX TO ITEM 2. MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS | ||
Page | ||
Investment Groups | Description |
Annaly Agency Group | Invests in |
Annaly Residential Credit Group | Invests in non-Agency residential mortgage assets within the securitized product and residential mortgage loan markets. |
Annaly Commercial Real Estate Group | Originates and invests in commercial mortgage loans, securities, and other commercial real estate debt and equity investments. |
Annaly Middle Market Lending Group | Provides financing to private equity-backed middle market businesses across the capital structure. |
June 30, 2018 | December 31, 2017 | June 30, 2017 | September 30, 2018 | December 31, 2017 | September 30, 2017 | |||||||
30-Year mortgage current coupon | 3.60% | 3.00% | 3.03% | 3.81% | 3.00% | 2.97% | ||||||
Mortgage basis | 74 bps | 59 bps | 73 bps | 75 bps | 59 bps | 63 bps | ||||||
10-Year U.S. Treasury rate | 2.86% | 2.41% | 2.30% | 3.06% | 2.41% | 2.33% | ||||||
LIBOR: | ||||||||||||
1-Month | 2.09% | 1.56% | 1.22% | 2.26% | 1.56% | 1.23% | ||||||
6-Month | 2.50% | 1.84% | 1.45% | 2.60% | 1.84% | 1.51% |
Three Months Ended | Six Months Ended | Three Months Ended | Nine Months Ended | |||||||||||||||||||||||||||
June 30, 2018 | June 30, 2017 | June 30, 2018 | June 30, 2017 | September 30, 2018 | September 30, 2017 | September 30, 2018 | September 30, 2017 | |||||||||||||||||||||||
(dollars in thousands, except per share data) | (dollars in thousands, except per share data) | |||||||||||||||||||||||||||||
Interest income | $ | 776,806 | $ | 537,426 | $ | 1,656,293 | $ | 1,125,153 | $ | 816,596 | $ | 622,550 | $ | 2,472,889 | $ | 1,747,703 | ||||||||||||||
Interest expense | 442,692 | 222,281 | 810,113 | 420,706 | 500,973 | 268,937 | 1,311,086 | 689,643 | ||||||||||||||||||||||
Net interest income | 334,114 | 315,145 | 846,180 | 704,447 | 315,623 | 353,613 | 1,161,803 | 1,058,060 | ||||||||||||||||||||||
Realized and unrealized gains (losses) | 294,646 | (277,794 | ) | 1,139,335 | (203,529 | ) | 199,716 | 43,807 | 1,339,051 | (159,722 | ) | |||||||||||||||||||
Other income (loss) | 34,170 | 30,865 | 68,193 | 62,511 | (10,643 | ) | 28,282 | 57,550 | 90,793 | |||||||||||||||||||||
Less: General and administrative expenses | 63,781 | 54,023 | 126,291 | 107,851 | 126,509 | 57,016 | 252,800 | 164,867 | ||||||||||||||||||||||
Income (loss) before income taxes | 599,149 | 14,193 | 1,927,417 | 455,578 | 378,187 | 368,686 | 2,305,604 | 824,264 | ||||||||||||||||||||||
Income taxes | 3,262 | (329 | ) | 3,826 | 648 | (7,242 | ) | 1,371 | (3,416 | ) | 2,019 | |||||||||||||||||||
Net income (loss) | 595,887 | 14,522 | 1,923,591 | 454,930 | 385,429 | 367,315 | 2,309,020 | 822,245 | ||||||||||||||||||||||
Net income (loss) attributable to noncontrolling interest | (32 | ) | (102 | ) | (128 | ) | (205 | ) | ||||||||||||||||||||||
Net income (loss) attributable to noncontrolling interests | (149 | ) | (232 | ) | (277 | ) | (437 | ) | ||||||||||||||||||||||
Net income (loss) attributable to Annaly | 595,919 | 14,624 | 1,923,719 | 455,135 | 385,578 | 367,547 | 2,309,297 | 822,682 | ||||||||||||||||||||||
Dividends on preferred stock | 31,377 | 23,473 | 65,143 | 46,946 | 31,675 | 30,355 | 96,818 | 77,301 | ||||||||||||||||||||||
Net income (loss) available (related) to common stockholders | $ | 564,542 | $ | (8,849 | ) | $ | 1,858,576 | $ | 408,189 | $ | 353,903 | $ | 337,192 | $ | 2,212,479 | $ | 745,381 | |||||||||||||
Net income (loss) per share available (related) to common stockholders: | Net income (loss) per share available (related) to common stockholders: | |||||||||||||||||||||||||||||
Basic | $ | 0.49 | $ | (0.01 | ) | $ | 1.60 | $ | 0.40 | $ | 0.29 | $ | 0.31 | $ | 1.88 | $ | 0.72 | |||||||||||||
Diluted | $ | 0.49 | $ | (0.01 | ) | $ | 1.60 | $ | 0.40 | $ | 0.29 | $ | 0.31 | $ | 1.88 | $ | 0.72 | |||||||||||||
Weighted average number of common shares outstanding: | ||||||||||||||||||||||||||||||
Basic | 1,160,436,777 | 1,019,000,817 | 1,160,029,575 | 1,018,971,942 | 1,202,353,851 | 1,072,566,395 | 1,174,292,701 | 1,037,033,076 | ||||||||||||||||||||||
Diluted | 1,160,979,451 | 1,019,000,817 | 1,160,543,580 | 1,019,357,697 | 1,202,353,851 | 1,073,040,637 | 1,174,292,701 | 1,037,445,177 | ||||||||||||||||||||||
Other information: | ||||||||||||||||||||||||||||||
Asset portfolio at period-end | $ | 96,314,032 | $ | 83,338,423 | $ | 96,314,032 | $ | 83,338,423 | $ | 101,192,482 | $ | 95,343,337 | $ | 101,192,482 | $ | 95,343,337 | ||||||||||||||
Average total assets | $ | 99,607,615 | $ | 84,817,768 | $ | 100,325,093 | $ | 85,846,860 | $ | 102,397,400 | $ | 91,275,380 | $ | 101,734,271 | $ | 88,778,691 | ||||||||||||||
Average equity | $ | 13,858,396 | $ | 12,628,387 | $ | 14,196,121 | $ | 12,610,915 | $ | 14,364,856 | $ | 13,382,322 | $ | 14,386,055 | $ | 12,996,991 | ||||||||||||||
Leverage at period-end | 6.0:1 | 5.6:1 | 6.0:1 | 5.6:1 | 5.9:1 | 5.4:1 | 5.9:1 | 5.4:1 | ||||||||||||||||||||||
Economic leverage at period-end | 6.4:1 | 6.4:1 | 6.4:1 | 6.4:1 | 6.7:1 | 6.9:1 | 6.7:1 | 6.9:1 | ||||||||||||||||||||||
Capital ratio | 13.2 | % | 13.2 | % | 13.2 | % | 13.2 | % | 12.6 | % | 12.3 | % | 12.6 | % | 12.3 | % | ||||||||||||||
Annualized return on average total assets | 2.39 | % | 0.07 | % | 3.83 | % | 1.06 | % | 1.51 | % | 1.61 | % | 3.03 | % | 1.23 | % | ||||||||||||||
Annualized return (loss) on average equity | 17.20 | % | 0.46 | % | 27.10 | % | 7.21 | % | 10.73 | % | 10.98 | % | 21.40 | % | 8.44 | % | ||||||||||||||
Annualized core return on average equity (excluding PAA) | 11.05 | % | 10.54 | % | 10.83 | % | 10.61 | % | 10.85 | % | 10.57 | % | 10.73 | % | 10.49 | % | ||||||||||||||
Net interest margin | 1.53 | % | 1.23 | % | 1.74 | % | 1.35 | % | 1.49 | % | 1.33 | % | 1.65 | % | 1.34 | % | ||||||||||||||
Net interest margin (excluding PAA) | 1.56 | % | 1.53 | % | 1.54 | % | 1.54 | % | 1.50 | % | 1.47 | % | 1.53 | % | 1.51 | % | ||||||||||||||
Average yield on interest earning assets | 3.04 | % | 2.58 | % | 3.24 | % | 2.66 | % | 3.21 | % | 2.79 | % | 3.23 | % | 2.71 | % | ||||||||||||||
Average yield on interest earning assets (excluding PAA) | 3.07 | % | 2.93 | % | 3.03 | % | 2.88 | % | 3.22 | % | 2.97 | % | 3.09 | % | 2.91 | % | ||||||||||||||
Average cost of interest bearing liabilities | 1.89 | % | 1.74 | % | 1.90 | % | 1.66 | % | 2.08 | % | 1.82 | % | 1.96 | % | 1.72 | % | ||||||||||||||
Net interest spread | 1.15 | % | 0.84 | % | 1.34 | % | 1.00 | % | 1.13 | % | 0.97 | % | 1.27 | % | 0.99 | % | ||||||||||||||
Net interest spread (excluding PAA) | 1.18 | % | 1.19 | % | 1.13 | % | 1.22 | % | 1.14 | % | 1.15 | % | 1.13 | % | 1.19 | % | ||||||||||||||
Constant prepayment rate | 10.1 | % | 10.9 | % | 9.5 | % | 11.2 | % | 10.3 | % | 10.3 | % | 9.8 | % | 10.9 | % | ||||||||||||||
Long-term constant prepayment rate | 9.1 | % | 10.6 | % | 9.1 | % | 10.6 | % | 9.1 | % | 10.4 | % | 9.1 | % | 10.4 | % | ||||||||||||||
Common stock book value per share | $ | 10.35 | $ | 11.19 | $ | 10.35 | $ | 11.19 | $ | 10.03 | $ | 11.42 | $ | 10.03 | $ | 11.42 | ||||||||||||||
Interest income (excluding PAA) | $ | 784,322 | $ | 610,126 | $ | 1,545,414 | $ | 1,215,723 | $ | 819,982 | $ | 662,449 | $ | 2,365,396 | $ | 1,878,172 | ||||||||||||||
Economic interest expense (4) (6) | $ | 411,217 | $ | 306,533 | $ | 826,798 | $ | 593,924 | ||||||||||||||||||||||
Economic interest expense (5) (8) | $ | 449,624 | $ | 347,501 | $ | 1,276,422 | $ | 941,425 | ||||||||||||||||||||||
Economic net interest income (excluding PAA) | $ | 373,105 | $ | 303,593 | $ | 718,616 | $ | 621,799 | $ | 370,358 | $ | 314,948 | $ | 1,088,974 | $ | 936,747 | ||||||||||||||
Core earnings | $ | 375,297 | $ | 259,901 | $ | 878,964 | $ | 577,929 | $ | 386,280 | $ | 313,647 | $ | 1,265,244 | $ | 891,576 | ||||||||||||||
Premium amortization adjustment cost (benefit) | $ | 7,516 | $ | 72,700 | $ | (110,879 | ) | $ | 90,570 | $ | 3,386 | $ | 39,899 | $ | (107,493 | ) | $ | 130,469 | ||||||||||||
Core earnings (excluding PAA) | $ | 382,813 | $ | 332,601 | $ | 768,085 | $ | 668,499 | $ | 389,666 | $ | 353,546 | $ | 1,157,751 | $ | 1,022,045 | ||||||||||||||
Core earnings per common share | $ | 0.30 | $ | 0.23 | $ | 0.70 | $ | 0.52 | $ | 0.29 | $ | 0.26 | $ | 1.00 | $ | 0.79 | ||||||||||||||
PAA cost (benefit) per common share | $ | — | $ | 0.07 | $ | (0.09 | ) | $ | 0.09 | $ | 0.01 | $ | 0.04 | $ | (0.10 | ) | $ | 0.12 | ||||||||||||
Core earnings (excluding PAA) per common share | $ | 0.30 | $ | 0.30 | $ | 0.61 | $ | 0.61 | $ | 0.30 | $ | 0.30 | $ | 0.90 | $ | 0.91 |
(1) | Includes cumulative and undeclared dividends on our Series F Preferred Stock of $8.3 million for the three and nine months ended September 30, 2017. |
(2) | Debt consists of repurchase agreements, other secured financing, securitized debt and mortgages payable. |
Computed as the sum of Recourse Debt, TBA derivative notional outstanding and net forward purchases (sales) of investments divided by total equity. |
Represents the ratio of stockholders’ equity to total assets (inclusive of total market value of TBA derivatives and exclusive of |
Represents a non-GAAP financial measure. Refer to the “Non-GAAP Financial Measures” section for additional information. |
Represents the sum of our interest income plus TBA dollar roll income and CMBX coupon income less interest expense and the net interest component of interest rate swaps divided by the sum of average Interest Earning Assets plus average outstanding TBA contract and CMBX balances. |
Book value per common share includes 10.6 million shares of our common stock that were pending issuance to shareholders of MTGE at September 30, 2018 in connection with the MTGE Acquisition. |
(8) | Includes GAAP interest expense and the net interest component of interest rate swaps. Prior to the three months ended March 31, 2018, this metric included the net interest component of interest rate swaps used to hedge cost of funds. Beginning with the three months ended March 31, 2018, as a result of changes to our hedging portfolio, this metric reflects the net interest component of all interest rate swaps. |
Three Months Ended | Nine Months Ended | ||||||||||||||
September 30, 2018 | September 30, 2017 | September 30, 2018 | September 30, 2017 | ||||||||||||
(dollars in thousands) | |||||||||||||||
Premium amortization expense | $ | 187,537 | $ | 220,636 | $ | 485,795 | $ | 675,354 | |||||||
Less: PAA cost (benefit) | 3,386 | 39,899 | (107,493 | ) | 130,469 | ||||||||||
Premium amortization expense (excluding PAA) | $ | 184,151 | $ | 180,737 | $ | 593,288 | $ | 544,885 |
Three Months Ended | Nine Months Ended | ||||||||||||||
September 30, 2018 | September 30, 2017 | September 30, 2018 | September 30, 2017 | ||||||||||||
(per average common share) | |||||||||||||||
Premium amortization expense | $ | 0.16 | $ | 0.21 | $ | 0.41 | $ | 0.65 | |||||||
Less: PAA cost (benefit) | 0.01 | 0.04 | (0.10 | ) | 0.12 | ||||||||||
Premium amortization expense (excluding PAA) | $ | 0.15 | $ | 0.17 | $ | 0.51 | $ | 0.53 |
Three Months Ended | Six Months Ended | ||||||||||||||
June 30, 2018 | June 30, 2017 | June 30, 2018 | June 30, 2017 | ||||||||||||
(dollars in thousands, except per share data) | |||||||||||||||
GAAP net income (loss) | $ | 595,887 | $ | 14,522 | $ | 1,923,591 | $ | 454,930 | |||||||
Less: | |||||||||||||||
Realized (gains) losses on termination or maturity of interest rate swaps | — | 58 | (834 | ) | 58 | ||||||||||
Unrealized (gains) losses on interest rate swaps | (343,475 | ) | 177,567 | (1,320,760 | ) | 28,383 | |||||||||
Net (gains) losses on disposal of investments | 66,117 | 5,516 | 52,649 | 281 | |||||||||||
Net (gains) losses on other derivatives | (34,189 | ) | 14,423 | 12,956 | 14,104 | ||||||||||
Net unrealized (gains) losses on instruments measured at fair value through earnings | 48,376 | (16,240 | ) | 99,969 | (39,923 | ) | |||||||||
Transaction expenses (1) | — | — | 1,519 | — | |||||||||||
Net (income) loss attributable to noncontrolling interest | 32 | 102 | 128 | 205 | |||||||||||
Plus: | |||||||||||||||
TBA dollar roll income (loss) (2) | 62,491 | 81,051 | 150,844 | 151,019 | |||||||||||
MSR amortization (3) | (19,942 | ) | (17,098 | ) | (41,098 | ) | (31,128 | ) | |||||||
Core earnings (4) | 375,297 | 259,901 | $ | 878,964 | $ | 577,929 | |||||||||
Less: | |||||||||||||||
Premium amortization adjustment cost (benefit) | 7,516 | 72,700 | (110,879 | ) | 90,570 | ||||||||||
Core earnings (excluding PAA) (4) | $ | 382,813 | $ | 332,601 | $ | 768,085 | $ | 668,499 | |||||||
GAAP net income (loss) per common share | $ | 0.49 | $ | (0.01 | ) | $ | 1.60 | $ | 0.40 | ||||||
Core earnings per common share (4) | $ | 0.30 | $ | 0.23 | $ | 0.70 | $ | 0.52 | |||||||
Core earnings (excluding PAA) per common share (4) | $ | 0.30 | $ | 0.30 | $ | 0.61 | $ | 0.61 | |||||||
Annualized GAAP return (loss) on average equity | 17.20 | % | 0.46 | % | 27.10 | % | 7.21 | % | |||||||
Annualized core return on average equity (excluding PAA) (4) | 11.05 | % | 10.54 | % | 10.83 | % | 10.61 | % |
Three Months Ended | Nine Months Ended | ||||||||||||||
September 30, 2018 | September 30, 2017 | September 30, 2018 | September 30, 2017 | ||||||||||||
(dollars in thousands, except per share data) | |||||||||||||||
GAAP net income (loss) | $ | 385,429 | $ | 367,315 | $ | 2,309,020 | $ | 822,245 | |||||||
Net income (loss) attributable to noncontrolling interests | (149 | ) | (232 | ) | (277 | ) | (437 | ) | |||||||
Net income (loss) attributable to Annaly | 385,578 | 367,547 | 2,309,297 | 822,682 | |||||||||||
Adjustments to exclude reported realized and unrealized (gains) losses: | |||||||||||||||
Realized (gains) losses on termination or maturity of interest rate swaps | (575 | ) | — | (1,409 | ) | 58 | |||||||||
Unrealized (gains) losses on interest rate swaps | (417,203 | ) | (56,854 | ) | (1,737,963 | ) | (28,471 | ) | |||||||
Net (gains) losses on disposal of investments | 324,294 | 11,552 | 376,943 | 11,833 | |||||||||||
Net (gains) losses on other derivatives | (94,827 | ) | (154,208 | ) | (81,871 | ) | (140,104 | ) | |||||||
Net unrealized (gains) losses on instruments measured at fair value through earnings | 39,944 | 67,492 | 139,913 | 27,569 | |||||||||||
Adjustments to exclude components of other (income) loss: | |||||||||||||||
Depreciation and amortization expense related to commercial real estate | 9,278 | — | 9,278 | — | |||||||||||
Non-core (income) loss allocated to equity method investments (1) | (2,358 | ) | — | (2,358 | ) | — | |||||||||
Non-core other (income) loss (2) | 44,525 | — | 44,525 | — | |||||||||||
Adjustments to exclude components of general and administrative expenses and income taxes: | |||||||||||||||
Transaction expenses and non-recurring items (3) | 60,081 | — | 61,600 | — | |||||||||||
Income tax effect of non-core income/(loss) items | 886 | — | 886 | — | |||||||||||
Adjustments to add back components of realized and unrealized (gains) losses: | |||||||||||||||
TBA dollar roll income and CMBX coupon income (4) | 56,570 | 94,326 | 207,414 | 245,345 | |||||||||||
MSR amortization (5) | (19,913 | ) | (16,208 | ) | (61,011 | ) | (47,336 | ) | |||||||
Core earnings (6) | 386,280 | 313,647 | 1,265,244 | 891,576 | |||||||||||
Premium amortization adjustment cost (benefit) | 3,386 | 39,899 | (107,493 | ) | 130,469 | ||||||||||
Core earnings (excluding PAA) (6) | $ | 389,666 | $ | 353,546 | $ | 1,157,751 | $ | 1,022,045 | |||||||
GAAP net income (loss) per average common share (7) | $ | 0.29 | $ | 0.31 | $ | 1.88 | $ | 0.72 | |||||||
Core earnings per average common share (6) (7) | $ | 0.29 | $ | 0.26 | $ | 1.00 | $ | 0.79 | |||||||
Core earnings (excluding PAA) per average common share (6) (7) | $ | 0.30 | $ | 0.30 | $ | 0.90 | $ | 0.91 | |||||||
Annualized GAAP return (loss) on average equity | 10.73 | % | 10.98 | % | 21.40 | % | 8.44 | % | |||||||
Annualized core return on average equity (excluding PAA) (6) | 10.85 | % | 10.57 | % | 10.73 | % | 10.49 | % |
(1) |
(2) | Represents the amount of consideration paid for the acquisition of MTGE in excess of the fair value of net assets acquired. This amount is primarily attributable to a |
(3) | Represents costs incurred in connection with the MTGE transaction and costs incurred in connection with a securitization of residential whole loans for the three and nine months ended September 30, 2018. |
(4) | TBA dollar roll income and CMBX coupon income each represent a component of Net gains (losses) on other derivatives. CMBX coupon income totaled $1.2 million for the three and nine months ended September 30, 2018. There were no adjustments for CMBX coupon income prior to September 30, 2018. |
(5) | MSR amortization represents the portion of changes in fair value that is attributable to the realization of estimated cash flows on |
Represents a non-GAAP financial measure. |
(7) | Includes cumulative and undeclared dividends on our Series F Preferred Stock of $8.3 million for the |
Three Months Ended | Six Months Ended | ||||||||||||||
June 30, 2018 | June 30, 2017 | June 30, 2018 | June 30, 2017 | ||||||||||||
(dollars in thousands) | |||||||||||||||
Premium amortization expense | $ | 202,426 | $ | 251,084 | $ | 298,258 | $ | 454,718 | |||||||
Less: PAA cost (benefit) | 7,516 | 72,700 | (110,879 | ) | 90,570 | ||||||||||
Premium amortization expense (excluding PAA) | $ | 194,910 | $ | 178,384 | $ | 409,137 | $ | 364,148 |
Three Months Ended | Six Months Ended | ||||||||||||||
June 30, 2018 | June 30, 2017 | June 30, 2018 | June 30, 2017 | ||||||||||||
(per average common share) | |||||||||||||||
Premium amortization expense | $ | 0.17 | $ | 0.25 | $ | 0.26 | $ | 0.45 | |||||||
Less: PAA cost (benefit) | — | 0.07 | (0.09 | ) | 0.09 | ||||||||||
Premium amortization expense (excluding PAA) | $ | 0.17 | $ | 0.18 | $ | 0.35 | $ | 0.36 |
Three Months Ended | Experienced CPR (1) | Projected Long-term CPR (2) | ||
June 30, 2018 | 10.1% | 9.1% | ||
June 30, 2017 | 10.9% | 10.6% | ||
Six Months Ended | Experienced CPR (1) | Long-term CPR (2) | ||
June 30, 2018 | 9.5% | 9.1% | ||
June 30, 2017 | 11.2% | 10.6% |
GAAP Interest Income | PAA Cost (Benefit) | Interest Income (excluding PAA) | |||||||||
Three Months Ended: | (dollars in thousands) | ||||||||||
June 30, 2018 | $ | 776,806 | $ | 7,516 | $ | 784,322 | |||||
June 30, 2017 | $ | 537,426 | $ | 72,700 | $ | 610,126 | |||||
Six Months Ended: | |||||||||||
June 30, 2018 | $ | 1,656,293 | $ | (110,879 | ) | $ | 1,545,414 | ||||
June 30, 2017 | $ | 1,125,153 | $ | 90,570 | $ | 1,215,723 |
GAAP Interest Income | PAA Cost (Benefit) | Interest Income (excluding PAA) | |||||||||
Three Months Ended: | (dollars in thousands) | ||||||||||
September 30, 2018 | $ | 816,596 | $ | 3,386 | $ | 819,982 | |||||
September 30, 2017 | $ | 622,550 | $ | 39,899 | $ | 662,449 | |||||
Nine Months Ended: | |||||||||||
September 30, 2018 | $ | 2,472,889 | $ | (107,493 | ) | $ | 2,365,396 | ||||
September 30, 2017 | $ | 1,747,703 | $ | 130,469 | $ | 1,878,172 |
GAAP Interest Expense | Add: Net Interest Component of Interest Rate Swaps (1) | Economic Interest Expense | GAAP Net Interest Income | Less: Net Interest Component of Interest Rate Swaps (1) | Economic Net Interest Income | Add: PAA Cost (Benefit) | Economic Net Interest Income (excluding PAA) | ||||||||||||||||||||||||
Three Months Ended: | (dollars in thousands) | ||||||||||||||||||||||||||||||
June 30, 2018 | $ | 442,692 | $ | (31,475 | ) | $ | 411,217 | $ | 334,114 | $ | (31,475 | ) | $ | 365,589 | $ | 7,516 | $ | 373,105 | |||||||||||||
June 30, 2017 | $ | 222,281 | $ | 84,252 | $ | 306,533 | $ | 315,145 | $ | 84,252 | $ | 230,893 | $ | 72,700 | $ | 303,593 | |||||||||||||||
Six Months Ended: | |||||||||||||||||||||||||||||||
June 30, 2018 | $ | 810,113 | $ | 16,685 | $ | 826,798 | $ | 846,180 | $ | 16,685 | $ | 829,495 | $ | (110,879 | ) | $ | 718,616 | ||||||||||||||
June 30, 2017 | $ | 420,706 | $ | 173,218 | $ | 593,924 | $ | 704,447 | $ | 173,218 | $ | 531,229 | $ | 90,570 | $ | 621,799 |
GAAP Interest Expense | Add: Net Interest Component of Interest Rate Swaps (1) | Economic Interest Expense | GAAP Net Interest Income | Less: Net Interest Component of Interest Rate Swaps (1) | Economic Net Interest Income | Add: PAA Cost (Benefit) | Economic Net Interest Income (excluding PAA) | ||||||||||||||||||||||||
Three Months Ended: | (dollars in thousands) | ||||||||||||||||||||||||||||||
September 30, 2018 | $ | 500,973 | $ | (51,349 | ) | $ | 449,624 | $ | 315,623 | $ | (51,349 | ) | $ | 366,972 | $ | 3,386 | $ | 370,358 | |||||||||||||
September 30, 2017 | $ | 268,937 | $ | 78,564 | $ | 347,501 | $ | 353,613 | $ | 78,564 | $ | 275,049 | $ | 39,899 | $ | 314,948 | |||||||||||||||
Nine Months Ended: | |||||||||||||||||||||||||||||||
September 30, 2018 | $ | 1,311,086 | $ | (34,664 | ) | $ | 1,276,422 | $ | 1,161,803 | $ | (34,664 | ) | $ | 1,196,467 | $ | (107,493 | ) | $ | 1,088,974 | ||||||||||||
September 30, 2017 | $ | 689,643 | $ | 251,782 | $ | 941,425 | $ | 1,058,060 | $ | 251,782 | $ | 806,278 | $ | 130,469 | $ | 936,747 |
(1) | Prior to the three months ended March 31, 2018, economic interest expense included the net interest component of interest rate swaps used to |
Experienced CPR (1) | Projected Long-term CPR (2) | |||
Three Months Ended: | ||||
September 30, 2018 | 10.3% | 9.1% | ||
September 30, 2017 | 10.3% | 10.4% | ||
Experienced CPR (1) | Long-term CPR (2) | |||
Nine Months Ended: | ||||
September 30, 2018 | 9.8% | 9.1% | ||
September 30, 2017 | 10.9% | 10.4% |
(1) | For the three and nine months ended September 30, 2018 and 2017, respectively. |
(2) | At September 30, 2018 and 2017, respectively. |
Average Interest Earning Assets (1) | Interest Income (excluding PAA) (2) | Average Yield on Interest Earning Assets (excluding PAA) (2) | Average Interest Bearing Liabilities | Economic Interest Expense (2)(3) | Average Cost of Interest Bearing Liabilities (3) | Economic Net Interest Income (excluding PAA) (2) | Net Interest Spread (excluding PAA) (2) | |||||||||||||||||||||
Three Months Ended: | (dollars in thousands) | |||||||||||||||||||||||||||
June 30, 2018 | $ | 102,193,435 | $ | 784,322 | 3.07 | % | $ | 87,103,807 | $ | 411,217 | 1.89 | % | $ | 373,105 | 1.18 | % | ||||||||||||
June 30, 2017 | $ | 83,427,268 | $ | 610,126 | 2.93 | % | $ | 70,486,779 | $ | 306,533 | 1.74 | % | $ | 303,593 | 1.19 | % | ||||||||||||
Six Months Ended: | ||||||||||||||||||||||||||||
June 30, 2018 | $ | 102,086,239 | $ | 1,545,414 | 3.03 | % | $ | 87,240,130 | $ | 826,798 | 1.90 | % | $ | 718,616 | 1.13 | % | ||||||||||||
June 30, 2017 | $ | 84,545,709 | $ | 1,215,723 | 2.88 | % | $ | 71,454,874 | $ | 593,924 | 1.66 | % | $ | 621,799 | 1.22 | % |
Average Interest Earning Assets (1) | Interest Income (excluding PAA) (2) | Average Yield on Interest Earning Assets (excluding PAA) (2) | Average Interest Bearing Liabilities | Economic Interest Expense (2)(3) | Average Cost of Interest Bearing Liabilities (3) | Economic Net Interest Income (excluding PAA) (2) | Net Interest Spread (excluding PAA) (2) | |||||||||||||||||||||
Three Months Ended: | (dollars in thousands) | |||||||||||||||||||||||||||
September 30, 2018 | $ | 101,704,957 | $ | 819,982 | 3.22 | % | $ | 86,638,082 | $ | 449,624 | 2.08 | % | $ | 370,358 | 1.14 | % | ||||||||||||
September 30, 2017 | $ | 89,253,094 | $ | 662,449 | 2.97 | % | $ | 76,382,315 | $ | 347,501 | 1.82 | % | $ | 314,948 | 1.15 | % | ||||||||||||
Nine Months Ended: | ||||||||||||||||||||||||||||
September 30, 2018 | $ | 101,959,145 | $ | 2,365,396 | 3.09 | % | $ | 87,039,447 | $ | 1,276,422 | 1.96 | % | $ | 1,088,974 | 1.13 | % | ||||||||||||
September 30, 2017 | $ | 86,114,838 | $ | 1,878,172 | 2.91 | % | $ | 73,097,354 | $ | 941,425 | 1.72 | % | $ | 936,747 | 1.19 | % |
(1) | Does not reflect the unrealized gains/(losses). |
(2) | Represents a non-GAAP financial measure. Refer to the “Non-GAAP Financial Measures” section for additional information. |
(3) | Includes GAAP interest expense and the net interest component of interest rate swaps. Prior to the three months ended March 31, 2018, this metric included the net interest component of interest rate swaps used to hedge cost of funds. Beginning with the three months ended March 31, 2018, as a result of changes to our hedging portfolio, this metric reflects the net interest component of all interest rate swaps. |
Interest Income (excluding PAA) (1) | TBA Dollar Roll Income | Interest Expense | Net Interest Component of Interest Rate Swaps | Subtotal | Average Interest Earnings Assets | Average TBA Contract Balances | Subtotal | Net Interest Margin (excluding PAA) (1) | |||||||||||||||||||||
Three Months Ended: | (dollars in thousands) | ||||||||||||||||||||||||||||
June 30, 2018 | $ | 784,322 | 62,491 | (442,692 | ) | 31,475 | $ | 435,596 | 102,193,435 | 9,407,819 | $ | 111,601,254 | 1.56 | % | |||||||||||||||
June 30, 2017 | $ | 610,126 | 81,051 | (222,281 | ) | (96,470 | ) | $ | 372,426 | 83,427,268 | 14,206,869 | $ | 97,634,137 | 1.53 | % | ||||||||||||||
Six Months Ended: | |||||||||||||||||||||||||||||
June 30, 2018 | $ | 1,545,414 | 150,844 | (810,113 | ) | (16,685 | ) | $ | 869,460 | 102,086,239 | 10,729,080 | $ | 112,815,319 | 1.54 | % | ||||||||||||||
June 30, 2017 | $ | 1,215,723 | 151,019 | (420,706 | ) | (200,626 | ) | $ | 745,410 | 84,545,709 | 12,431,327 | $ | 96,977,036 | 1.54 | % |
Interest Income (excluding PAA) (1) | TBA Dollar Roll and CMBX Coupon Income | Interest Expense | Net Interest Component of Interest Rate Swaps | Subtotal | Average Interest Earnings Assets | Average TBA Contract and CMBX Balances | Subtotal | Net Interest Margin (excluding PAA) (1) | ||||||||||||||||||||||
Three Months Ended: | (dollars in thousands) | |||||||||||||||||||||||||||||
September 30, 2018 | $ | 819,982 | 56,570 | (500,973 | ) | 51,349 | $ | 426,928 | $ | 101,704,957 | 12,216,863 | $ | 113,921,820 | 1.50 | % | |||||||||||||||
September 30, 2017 | $ | 662,449 | 94,326 | (268,937 | ) | (88,211 | ) | $ | 399,627 | $ | 89,253,094 | 19,291,834 | $ | 108,544,928 | 1.47 | % | ||||||||||||||
Nine Months Ended: | ||||||||||||||||||||||||||||||
September 30, 2018 | $ | 2,365,396 | 207,414 | (1,311,086 | ) | 34,664 | $ | 1,296,388 | $ | 101,959,145 | 11,225,007 | $ | 113,184,152 | 1.53 | % | |||||||||||||||
September 30, 2017 | $ | 1,878,172 | 245,345 | (689,643 | ) | (288,837 | ) | $ | 1,145,037 | $ | 86,114,838 | 14,718,163 | $ | 100,833,001 | 1.51 | % |
(1) | Represents a non-GAAP financial measure. Refer to the “Non-GAAP Financial Measures” section for additional information. |
Average Interest Bearing Liabilities | Interest Bearing Liabilities at Period End | Economic Interest Expense (1) | Average Cost of Interest Bearing Liabilities | Average One- Month LIBOR | Average Six- Month LIBOR | Average One-Month LIBOR Relative to Average Six-Month LIBOR | Average Cost of Interest Bearing Liabilities Relative to Average One-Month LIBOR | Average Cost of Interest Bearing Liabilities Relative to Average Six-Month LIBOR | |||||||||||||||||||||
Three Months Ended: | (dollars in thousands) | ||||||||||||||||||||||||||||
June 30, 2018 | $ | 87,103,807 | $ | 82,249,834 | $ | 411,217 | 1.89 | % | 1.97 | % | 2.50 | % | (0.53 | %) | (0.08 | )% | (0.61 | )% | |||||||||||
June 30, 2017 | $ | 70,486,779 | $ | 69,721,618 | $ | 306,533 | 1.74 | % | 1.06 | % | 1.42 | % | (0.36 | )% | 0.68 | % | 0.32 | % | |||||||||||
Six Months Ended: | |||||||||||||||||||||||||||||
June 30, 2018 | $ | 87,240,130 | $ | 82,249,834 | $ | 826,798 | 1.90 | % | 1.81 | % | 2.30 | % | (0.49 | )% | 0.09 | % | (0.40 | )% | |||||||||||
June 30, 2017 | $ | 71,454,874 | $ | 69,721,618 | $ | 593,924 | 1.66 | % | 0.94 | % | 1.40 | % | (0.46 | )% | 0.72 | % | 0.26 | % |
Average Interest Bearing Liabilities | Interest Bearing Liabilities at Period End | Economic Interest Expense (1) | Average Cost of Interest Bearing Liabilities | Average One- Month LIBOR | Average Six- Month LIBOR | Average One-Month LIBOR Relative to Average Six-Month LIBOR | Average Cost of Interest Bearing Liabilities Relative to Average One-Month LIBOR | Average Cost of Interest Bearing Liabilities Relative to Average Six-Month LIBOR | |||||||||||||||||||||
Three Months Ended: | (dollars in thousands) | ||||||||||||||||||||||||||||
September 30, 2018 | $ | 86,638,082 | $ | 86,981,115 | $ | 449,624 | 2.08 | % | 2.11 | % | 2.54 | % | (0.43 | %) | (0.03 | )% | (0.46 | )% | |||||||||||
September 30, 2017 | $ | 76,382,315 | $ | 76,501,453 | $ | 347,501 | 1.82 | % | 1.23 | % | 1.46 | % | (0.23 | )% | 0.59 | % | 0.36 | % | |||||||||||
Nine Months Ended: | |||||||||||||||||||||||||||||
September 30, 2018 | $ | 87,039,447 | $ | 86,981,115 | $ | 1,276,422 | 1.96 | % | 1.91 | % | 2.38 | % | (0.47 | )% | 0.05 | % | (0.42 | )% | |||||||||||
September 30, 2017 | $ | 73,097,354 | $ | 76,501,453 | $ | 941,425 | 1.72 | % | 1.04 | % | 1.42 | % | (0.38 | )% | 0.68 | % | 0.30 | % |
(1) | Economic interest expense includes the net interest component of interest rate swaps. Prior to the three months ended March 31, 2018, economic interest expense included the net interest component of interest rate swaps used to hedge cost of funds. Beginning with the three months ended March 31, 2018, as a result of changes to our hedging portfolio, this metric reflects the net interest component of all interest rate swaps. |
Three Months Ended | Six Months Ended | Three Months Ended | Nine Months Ended | |||||||||||||||||||||||||||
June 30, 2018 | June 30, 2017 | June 30, 2018 | June 30, 2017 | September 30, 2018 | September 30, 2017 | September 30, 2018 | September 30, 2017 | |||||||||||||||||||||||
(dollars in thousands) | (dollars in thousands) | |||||||||||||||||||||||||||||
Net gains (losses) on interest rate swaps (1) | $ | 374,950 | $ | (274,095 | ) | $ | 1,304,909 | $ | (229,067 | ) | $ | 469,127 | $ | (31,357 | ) | $ | 1,774,036 | $ | (260,424 | ) | ||||||||||
Net gains (losses) on disposal of investments | (66,117 | ) | (5,516 | ) | (52,649 | ) | (281 | ) | (324,294 | ) | (11,552 | ) | (376,943 | ) | (11,833 | ) | ||||||||||||||
Net gains (losses) on other derivatives | 34,189 | (14,423 | ) | (12,956 | ) | (14,104 | ) | 94,827 | 154,208 | 81,871 | 140,104 | |||||||||||||||||||
Net unrealized gains (losses) on instruments measured at fair value through earnings | (48,376 | ) | 16,240 | (99,969 | ) | 39,923 | (39,944 | ) | (67,492 | ) | (139,913 | ) | (27,569 | ) | ||||||||||||||||
Total | $ | 294,646 | $ | (277,794 | ) | $ | 1,139,335 | $ | (203,529 | ) | $ | 199,716 | $ | 43,807 | $ | 1,339,051 | $ | (159,722 | ) |
(1) | Includes the net interest component of interest rate swaps, realized gains (losses) on termination or maturity of interest rate swaps and |
Total G&A Expenses | Total G&A Expenses/Average Assets (1) | Total G&A Expenses/Average Equity (1) | ||||||
Three Months Ended: | (dollars in thousands) | |||||||
June 30, 2018 | $ | 63,781 | 0.26% | 1.84% | ||||
June 30, 2017 | $ | 54,023 | 0.25% | 1.71% | ||||
Six Months Ended: | ||||||||
June 30, 2018 | $ | 126,291 | 0.25% | 1.78% | ||||
June 30, 2017 | $ | 107,851 | 0.25% | 1.71% |
Total G&A Expenses | Total G&A Expenses/Average Assets (1) | Total G&A Expenses/Average Equity (1) | ||||||
Three Months Ended: | (dollars in thousands) | |||||||
September 30, 2018 | $ | 126,509 | 0.49% | 3.52% | ||||
September 30, 2017 | $ | 57,016 | 0.25% | 1.70% | ||||
Nine Months Ended: | ||||||||
September 30, 2018 | $ | 252,800 | 0.33% | 2.34% | ||||
September 30, 2017 | $ | 164,867 | 0.25% | 1.69% |
(1) | Includes |
June 30, 2018 | December 31, 2017 | September 30, 2018 | December 31, 2017 | |||||||||||||
(dollars in thousands) | (dollars in thousands) | |||||||||||||||
Unrealized gain | $ | 55,406 | $ | 157,818 | $ | 38,088 | $ | 157,818 | ||||||||
Unrealized loss | (3,489,853 | ) | (1,283,838 | ) | (3,861,044 | ) | (1,283,838 | ) | ||||||||
Net unrealized gain (loss) | $ | (3,434,447 | ) | $ | (1,126,020 | ) | $ | (3,822,956 | ) | $ | (1,126,020 | ) |
Economic Net Interest Income/Average Equity (1) | Realized and Unrealized Gains and Losses/Average Equity (2) | Other Income (Loss)/Average Equity (3) | G&A Expenses/Average Equity | Income Taxes/Average Equity | Return on Average Equity | |||||||
Three Months Ended: | ||||||||||||
June 30, 2018 | 10.55% | 7.59% | 0.99% | (1.84%) | (0.09%) | 17.20% | ||||||
June 30, 2017 | 7.31% | (6.13%) | 0.98% | (1.71%) | 0.01% | 0.46% | ||||||
Six Months Ended: | ||||||||||||
June 30, 2018 | 11.69% | 16.28% | 0.96% | (1.78%) | (0.05%) | 27.10% | ||||||
June 30, 2017 | 8.42% | (0.48%) | 0.99% | (1.71%) | (0.01%) | 7.21% |
Economic Net Interest Income/Average Equity (1) | Realized and Unrealized Gains and Losses/Average Equity (2) | Other Income (Loss)/Average Equity | G&A Expenses/Average Equity | Income Taxes/Average Equity | Return on Average Equity | |||||||
Three Months Ended: | ||||||||||||
September 30, 2018 | 10.22% | 4.13% | (0.30%) | (3.52%) | 0.20% | 10.73% | ||||||
September 30, 2017 | 8.21% | 3.66% | 0.85% | (1.70%) | (0.04%) | 10.98% | ||||||
Nine Months Ended: | ||||||||||||
September 30, 2018 | 11.09% | 12.09% | 0.53% | (2.34%) | 0.03% | 21.40% | ||||||
September 30, 2017 | 8.27% | 0.94% | 0.93% | (1.69%) | (0.01%) | 8.44% |
(1) | Economic net interest income includes the net interest component of interest rate swaps. Prior to the three months ended March 31, 2018, economic interest expense included the net interest component of interest rate swaps used to hedge cost of funds. Beginning with the three months ended March 31, 2018, as a result of changes to our hedging portfolio, this metric reflects the net interest component of all interest rate swaps. |
(2) | Realized and unrealized gains and losses excludes the net interest component of interest rate swaps. |
Residential | Commercial | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Agency MBS and MSRs | TBAs (1) | CRTs | Non-Agency MBS and Residential Mortgage Loans | CRE Debt & Preferred Equity Investments (2) | Investments in CRE | Corporate Debt | Total (3) | Residential | Commercial | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
(dollars in thousands) | Agency MBS and MSRs | TBAs (1) | CRTs | Non-Agency MBS and Residential Mortgage Loans | CRE Debt & Preferred Equity Investments (2) | Investments in CRE | Corporate Debt | Total (3) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Assets: | (dollars in thousands) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value/Carrying Value | $ | 87,192,072 | $ | 8,180,694 | $ | 563,796 | $ | 2,672,942 | $ | 4,151,059 | $ | 477,887 | $ | 1,256,276 | $ | 96,314,032 | $ | 89,878,961 | $ | 16,253,193 | $ | 688,521 | $ | 3,156,482 | $ | 5,186,630 | $ | 753,014 | $ | 1,528,874 | $ | 101,192,482 | ||||||||||||||||||||||||||||||||
Debt: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Repurchase agreements | 74,497,286 | 8,000,000 | 335,860 | 266,774 | 660,735 | — | — | 75,760,655 | 77,142,421 | 16,209,160 | 437,020 | 474,006 | 1,019,579 | — | — | 79,073,026 | ||||||||||||||||||||||||||||||||||||||||||||||||
Other secured financing | 2,546,975 | — | — | 937,720 | 130,000 | — | 145,792 | 3,760,487 | 2,757,633 | — | — | 805,914 | 95,000 | — | 450,000 | 4,108,547 | ||||||||||||||||||||||||||||||||||||||||||||||||
Securitized debt | — | — | — | 374,312 | 2,354,380 | — | — | 2,728,692 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Debt issued by securitization vehicles | — | — | — | 559,499 | 3,240,043 | — | — | 3,799,542 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net forward purchases | 979,049 | — | 14,557 | — | 93,500 | — | — | 1,087,106 | 1,195,813 | — | 11,587 | 31,188 | — | — | — | 1,238,588 | ||||||||||||||||||||||||||||||||||||||||||||||||
Mortgages payable | — | — | — | — | — | 309,878 | — | 309,878 | — | — | — | — | — | 511,588 | — | 511,588 | ||||||||||||||||||||||||||||||||||||||||||||||||
Net Equity Allocated | $ | 9,168,762 | $ | 180,694 | $ | 213,379 | $ | 1,094,136 | $ | 912,444 | $ | 168,009 | $ | 1,110,484 | 12,667,214 | (4) | $ | 8,783,094 | $ | 44,033 | $ | 239,914 | $ | 1,285,875 | $ | 832,008 | $ | 241,426 | $ | 1,078,874 | 12,461,191 | (4) | ||||||||||||||||||||||||||||||||
Net Equity Allocated (%) | 72 | % | 1 | % | 2 | % | 9 | % | 7 | % | 1 | % | 9 | % | 100 | % | 70 | % | — | % | 2 | % | 10 | % | 7 | % | 2 | % | 9 | % | 100 | % | ||||||||||||||||||||||||||||||||
Debt/Net Equity Ratio | 8.5:1 | 44.3:1 | 1.6:1 | 1.4:1 | 3.5:1 | 1.8:1 | 0.1:1 | 6.0:1 | (5) | 9.2:1 | NM | 1.9:1 | 1.5:1 | 5.2:1 | 2.1:1 | 0.4:1 | 5.9:1 | (5) |
(1) | Fair value/carrying value represents implied market value and repurchase agreements represent the notional value. |
(2) | Includes loans held for sale, net. |
(3) | Excludes the TBA asset, debt and equity balances. |
(4) | Net Equity Allocated, as disclosed in the above table, excludes non-portfolio related activity and may differ from stockholders’ equity per the Consolidated Statements of Financial Condition. |
(5) | Represents the debt/net equity ratio as determined using amounts on the Consolidated Statements of Financial Condition. |
NM | Not meaningful. |
September 30, 2018 | December 31, 2017 | ||||||
Estimated Fair Value | |||||||
Agency | (dollars in thousands) | ||||||
Fixed-rate pass-through | $ | 81,650,616 | $ | 81,983,842 | |||
Adjustable-rate pass-through | 5,527,421 | 6,948,906 | |||||
CMO | 11,541 | — | |||||
Interest-only | 887,767 | 1,085,762 | |||||
Multifamily | 1,174,298 | 493,689 | |||||
Reverse mortgages | 38,485 | 39,564 | |||||
Total Agency Securities | $ | 89,290,128 | $ | 90,551,763 | |||
Residential Credit | |||||||
CRT | $ | 688,521 | $ | 651,764 | |||
Alt-A | 216,064 | 183,886 | |||||
Prime | 377,630 | 192,760 | |||||
Subprime | 428,686 | 533,880 | |||||
NPL/RPL | 3,439 | 42,988 | |||||
Prime Jumbo (>= 2010 Vintage) | 129,968 | 126,622 | |||||
Prime Jumbo (>= 2010 Vintage) Interest-Only | 17,680 | 17,158 | |||||
Total Residential Credit Securities | $ | 1,861,988 | $ | 1,749,058 | |||
Total Residential Securities | $ | 91,152,116 | $ | 92,300,821 |
June 30, 2018 | December 31, 2017 | September 30, 2018 | December 31, 2017 | |||||||||||||
(dollars in thousands) | ||||||||||||||||
Residential Investment Securities: (1) | ||||||||||||||||
Residential Securities: (1) | (dollars in thousands) | |||||||||||||||
Principal Amount | $ | 85,921,121 | $ | 87,518,155 | $ | 89,452,442 | $ | 87,518,155 | ||||||||
Net Premium | 4,609,636 | 4,682,299 | $ | 4,530,128 | $ | 4,682,299 | ||||||||||
Amortized Cost | 90,530,757 | 92,200,454 | $ | 93,982,570 | $ | 92,200,454 | ||||||||||
Amortized Cost/Principal Amount | 105.36 | % | 105.35 | % | 105.06 | % | 105.35 | % | ||||||||
Carrying Value | 87,185,951 | 91,197,901 | $ | 90,246,669 | $ | 91,197,901 | ||||||||||
Carrying Value / Principal Amount | 101.47 | % | 104.20 | % | 100.89 | % | 104.20 | % | ||||||||
Weighted Average Coupon Rate | 3.73 | % | 3.69 | % | 3.81 | % | 3.69 | % | ||||||||
Weighted Average Yield | 2.91 | % | 2.79 | % | 3.02 | % | 2.79 | % | ||||||||
Adjustable-Rate Residential Investment Securities: (1) | ||||||||||||||||
Adjustable-Rate Residential Securities: (1) | Adjustable-Rate Residential Securities: (1) | |||||||||||||||
Principal Amount | $ | 7,042,925 | $ | 8,002,252 | $ | 6,778,380 | $ | 8,002,252 | ||||||||
Weighted Average Coupon Rate | 3.19 | % | 3.05 | % | 3.35 | % | 3.05 | % | ||||||||
Weighted Average Yield | 2.73 | % | 2.52 | % | 2.77 | % | 2.52 | % | ||||||||
Weighted Average Term to Next Adjustment | 21 Months | 24 Months | 20 Months | 24 Months | ||||||||||||
Weighted Average Lifetime Cap (2) | 8.06 | % | 8.12 | % | 8.04 | % | 8.12 | % | ||||||||
Principal Amount at Period End as % of Total Residential Investment Securities | 8.20 | % | 9.14 | % | ||||||||||||
Fixed-Rate Residential Investment Securities: (1) | ||||||||||||||||
Principal Amount at Period End as % of Total Residential Securities | 7.58 | % | 9.14 | % | ||||||||||||
Fixed-Rate Residential Securities: (1) | ||||||||||||||||
Principal Amount | $ | 78,878,196 | $ | 79,515,903 | $ | 82,674,062 | $ | 79,515,903 | ||||||||
Weighted Average Coupon Rate | 3.78 | % | 3.75 | % | 3.85 | % | 3.75 | % | ||||||||
Weighted Average Yield | 2.92 | % | 2.82 | % | 3.04 | % | 2.82 | % | ||||||||
Principal Amount at Period End as % of Total Residential Investment Securities | 91.80 | % | 90.86 | % | ||||||||||||
Interest-Only Residential Investment Securities: | ||||||||||||||||
Principal Amount at Period End as % of Total Residential Securities | 92.42 | % | 90.86 | % | ||||||||||||
Interest-Only Residential Securities: | ||||||||||||||||
Notional Amount | $ | 7,447,116 | $ | 7,793,767 | $ | 7,133,210 | $ | 7,793,767 | ||||||||
Net Premium | 1,287,119 | 1,342,048 | $ | 1,239,298 | $ | 1,342,048 | ||||||||||
Amortized Cost | 1,287,119 | 1,342,048 | $ | 1,239,298 | $ | 1,342,048 | ||||||||||
Amortized Cost/Notional Amount | 17.28 | % | 17.22 | % | 17.37 | % | 17.22 | % | ||||||||
Carrying Value | 977,688 | 1,102,920 | $ | 905,447 | $ | 1,102,920 | ||||||||||
Carrying Value/Notional Amount | 13.13 | % | 14.15 | % | 12.69 | % | 14.15 | % | ||||||||
Weighted Average Coupon Rate | 3.35 | % | 3.61 | % | 3.29 | % | 3.61 | % | ||||||||
Weighted Average Yield | 4.03 | % | 4.17 | % | 3.31 | % | 4.17 | % |
(1) | Excludes interest-only mortgage-backed securities. |
(2) | Excludes non-Agency mortgage-backed securities and CRT securities as this attribute is not applicable to these asset classes. |
Payment Structure | Investment Characteristics | Payment Structure | Investment Characteristics | |||||||||||||||||||||||||||||||||||||||||||||
Product | Estimated Fair Value | Senior | Subordinate | Coupon | Credit Enhancement | 60+ Delinquencies | 3M VPR (1) | Estimated Fair Value | Senior | Subordinate | Coupon | Credit Enhancement | 60+ Delinquencies | 3M VPR (1) | (dollars in thousands) | |||||||||||||||||||||||||||||||||
Agency Credit Risk Transfer | $ | 536,768 | $ | — | $ | 536,768 | 5.34 | % | 1.15 | % | 0.30 | % | 6.57 | % | $ | 658,691 | $ | — | $ | 658,691 | 5.46 | % | 1.16 | % | 0.25 | % | 9.33 | % | ||||||||||||||||||||
Private Label Credit Risk Transfer | 27,028 | — | 27,028 | 7.78 | % | 3.51 | % | 1.65 | % | 6.32 | % | 29,830 | — | 29,830 | 7.49 | % | 1.17 | % | 0.52 | % | 12.12 | % | ||||||||||||||||||||||||||
Alt-A | 170,922 | 105,461 | 65,461 | 4.56 | % | 10.71 | % | 10.99 | % | 10.53 | % | 216,064 | 152,656 | 63,408 | 4.58 | % | 10.47 | % | 11.20 | % | 12.84 | % | ||||||||||||||||||||||||||
Prime | 264,491 | 108,641 | 155,850 | 4.71 | % | 11.05 | % | 9.86 | % | 14.24 | % | 377,630 | 189,938 | 187,692 | 4.60 | % | 9.32 | % | 7.86 | % | 12.36 | % | ||||||||||||||||||||||||||
Subprime | 426,449 | 159,019 | 267,430 | 2.91 | % | 9.67 | % | 18.93 | % | 5.79 | % | 428,686 | 156,671 | 272,015 | 3.08 | % | 10.47 | % | 18.40 | % | 6.23 | % | ||||||||||||||||||||||||||
Non-Performing Loan Securitizations | 3,447 | — | 3,447 | 5.00 | % | 48.95 | % | 52.51 | % | 2.35 | % | 3,439 | — | 3,439 | 5.00 | % | 55.49 | % | 54.68 | % | 14.76 | % | ||||||||||||||||||||||||||
Prime Jumbo (>=2010 Vintage) | 124,141 | 98,880 | 25,261 | 3.61 | % | 14.45 | % | 0.13 | % | 8.63 | % | 129,968 | 95,393 | 34,575 | 3.63 | % | 13.62 | % | 0.02 | % | 6.48 | % | ||||||||||||||||||||||||||
Prime Jumbo (>=2010 Vintage) Interest-Only | 17,335 | 17,335 | — | 0.45 | % | — | % | 0.18 | % | 8.95 | % | 17,680 | 17,680 | — | 0.45 | % | — | % | 0.24 | % | 7.87 | % | ||||||||||||||||||||||||||
Total/Weighted Average | $ | 1,570,581 | $ | 489,336 | $ | 1,081,245 | 4.60 | % | 7.69 | % | 8.79 | % | 13.48 | % | $ | 1,861,988 | $ | 612,338 | $ | 1,249,650 | 4.70 | % | 7.30 | % | 7.80 | % | 13.23 | % |
(1) | Represents the 3 month voluntary prepayment rate (“VPR”). |
Market Value By Sector and Bond Coupon | ||||||||||||||||||||
Product | ARM | Fixed | Floater | Interest-Only | Estimated Fair Value | |||||||||||||||
(dollars in thousands) | ||||||||||||||||||||
Agency Credit Risk Transfer | $ | — | $ | — | $ | 536,768 | $ | — | $ | 536,768 | ||||||||||
Private Label Credit Risk Transfer | — | — | 27,028 | — | 27,028 | |||||||||||||||
Alt-A | 48,614 | 96,578 | 25,730 | — | 170,922 | |||||||||||||||
Prime | 145,837 | 118,654 | — | — | 264,491 | |||||||||||||||
Subprime | — | 47,190 | 379,259 | — | 426,449 | |||||||||||||||
Non-Performing Loan Securitizations | — | 3,447 | — | — | 3,447 | |||||||||||||||
Prime Jumbo (>=2010 Vintage) | — | 124,141 | — | — | 124,141 | |||||||||||||||
Prime Jumbo (>=2010 Vintage) Interest-Only | — | — | — | 17,335 | 17,335 | |||||||||||||||
Total | $ | 194,451 | $ | 390,010 | $ | 968,785 | $ | 17,335 | $ | 1,570,581 |
Bond Coupon | ||||||||||||||||||||
Product | ARM | Fixed | Floater | Interest-Only | Estimated Fair Value | |||||||||||||||
(dollars in thousands) | ||||||||||||||||||||
Agency Credit Risk Transfer | $ | — | $ | — | $ | 658,691 | $ | — | $ | 658,691 | ||||||||||
Private Label Credit Risk Transfer | — | — | 29,830 | — | 29,830 | |||||||||||||||
Alt-A | 64,558 | 100,264 | 51,242 | — | 216,064 | |||||||||||||||
Prime | 177,834 | 172,384 | 27,412 | — | 377,630 | |||||||||||||||
Subprime | — | 59,903 | 368,783 | — | 428,686 | |||||||||||||||
Non-Performing Loan Securitizations | — | 3,439 | — | — | 3,439 | |||||||||||||||
Prime Jumbo (>=2010 Vintage) | — | 129,968 | — | — | 129,968 | |||||||||||||||
Prime Jumbo (>=2010 Vintage) Interest-Only | — | — | — | 17,680 | 17,680 | |||||||||||||||
Total | $ | 242,392 | $ | 465,958 | $ | 1,135,958 | $ | 17,680 | $ | 1,861,988 |
Within One Year | One to Three Years | Three to Five Years | More than Five Years | Total | Within One Year | One to Three Years | Three to Five Years | More than Five Years | Total | |||||||||||||||||||||||||||||||
(dollars in thousands) | (dollars in thousands) | |||||||||||||||||||||||||||||||||||||||
Repurchase agreements | $ | 75,760,655 | $ | — | $ | — | $ | — | $ | 75,760,655 | $ | 78,691,215 | $ | 381,811 | $ | — | $ | — | $ | 79,073,026 | ||||||||||||||||||||
Interest expense on repurchase agreements (1) | 333,590 | — | — | — | 333,590 | 290,234 | 4,924 | — | — | 295,158 | ||||||||||||||||||||||||||||||
Other secured financing | 2,915 | 3,611,780 | 145,792 | — | 3,760,487 | 2,366 | 3,656,181 | 450,000 | — | 4,108,547 | ||||||||||||||||||||||||||||||
Interest expense on other secured financing (1) | 94,465 | 143,568 | 3,358 | — | 241,391 | 110,558 | 147,904 | 1,614 | — | 260,076 | ||||||||||||||||||||||||||||||
Securitized debt of consolidated VIEs (principal) | — | — | 1,882,640 | 819,857 | 2,702,497 | |||||||||||||||||||||||||||||||||||
Interest expense on securitized debt of consolidated VIEs | 73,092 | 146,185 | 118,652 | 320,182 | 658,111 | |||||||||||||||||||||||||||||||||||
Debt issued by securitization vehicles (principal) | — | 888,500 | 1,880,487 | 1,004,753 | 3,773,740 | |||||||||||||||||||||||||||||||||||
Interest expense on debt issued by securitization vehicles | 122,399 | 244,797 | 122,847 | 501,601 | 991,644 | |||||||||||||||||||||||||||||||||||
Mortgages payable (principal) | 11,025 | 12,350 | — | 289,125 | 312,500 | 33,081 | 16,125 | — | 468,297 | 517,503 | ||||||||||||||||||||||||||||||
Interest expense on mortgages payable | 13,243 | 24,847 | 24,746 | 26,716 | 89,552 | 20,338 | 38,143 | 37,933 | 166,394 | 262,808 | ||||||||||||||||||||||||||||||
Long-term operating lease obligations | 3,267 | 7,340 | 7,723 | 9,012 | 27,342 | 3,267 | 7,415 | 7,723 | 8,045 | 26,450 | ||||||||||||||||||||||||||||||
Total | $ | 76,292,252 | $ | 3,946,070 | $ | 2,182,911 | $ | 1,464,892 | $ | 83,886,125 | $ | 79,273,458 | $ | 5,385,800 | $ | 2,500,604 | $ | 2,149,090 | $ | 89,308,952 |
(1) | Interest expense on repurchase agreements and other secured financing calculated based on rates at |
June 30, 2018 | December 31, 2017 | September 30, 2018 | December 31, 2017 | |||||||||||
Stockholders’ Equity: | (dollars in thousands) | (dollars in thousands) | ||||||||||||
7.625% Series C Cumulative Redeemable Preferred Stock | $ | 169,466 | $ | 290,514 | $ | 169,466 | $ | 290,514 | ||||||
7.50% Series D Cumulative Redeemable Preferred Stock | 445,457 | 445,457 | 445,457 | 445,457 | ||||||||||
7.625% Series E Cumulative Redeemable Preferred Stock | — | 287,500 | — | 287,500 | ||||||||||
6.95% Series F Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | 696,910 | 696,910 | 696,910 | 696,910 | ||||||||||
6.50% Series G Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | 411,335 | — | 411,335 | — | ||||||||||
8.125% Series H Cumulative Redeemable Preferred Stock | 55,000 | — | ||||||||||||
Common stock | 11,643 | 11,596 | 13,031 | 11,596 | ||||||||||
Additional paid-in capital | 17,268,596 | 17,221,265 | 18,793,706 | 17,221,265 | ||||||||||
Accumulated other comprehensive income (loss) | (3,434,447 | ) | (1,126,020 | ) | (3,822,956 | ) | (1,126,020 | ) | ||||||
Accumulated deficit | (1,800,370 | ) | (2,961,749 | ) | (1,811,955 | ) | (2,961,749 | ) | ||||||
Total stockholders’ equity | $ | 13,768,590 | $ | 14,865,473 | $ | 14,949,994 | $ | 14,865,473 |
Options Exercised | Aggregate Exercise Price | Shares Issued Through Direct Purchase | Amount Raised from Direct Purchase and Dividend Reinvestment Program | ||||||||||
Six Months Ended: | (dollars in thousands) | ||||||||||||
June 30, 2018 | — | $ | — | 147,000 | $ | 1,546 | |||||||
June 30, 2017 | — | $ | — | 113,000 | $ | 1,270 |
Shares Issued Through Direct Purchase | Amount Raised from Direct Purchase and Dividend Reinvestment Program | |||||
Nine Months Ended: | (dollars in thousands) | |||||
September 30, 2018 | 245,000 | $ | 2,584 | |||
September 30, 2017 | 169,000 | $ | 1,949 |
Risk Parameter | Description | |
Portfolio Composition | We will maintain a portfolio comprised of target assets approved by our Board and in accordance with our capital allocation policy. | |
Leverage | We will operate at an economic leverage ratio no greater than 10:1. | |
Liquidity Risk | We will seek to maintain an unencumbered asset portfolio sufficient to meet our liquidity needs under adverse market conditions. | |
Interest Rate Risk | We will seek to manage interest rate risk to protect the portfolio from adverse rate movements utilizing derivative instruments targeting both income and capital preservation. | |
Credit Risk | We will seek to manage credit risk by making investments which conform within our specific investment policy parameters and optimize risk-adjusted returns. | |
Capital Preservation | We will seek to protect our capital base through disciplined risk management practices. | |
Compliance | We will comply with regulatory requirements needed to maintain our REIT status and our exemption from registration under the Investment Company Act. |
Risk | Description | |
Capital, Liquidity and Funding Risk | Risk to earnings, capital or business arising from our inability to meet our obligations when they come due without incurring unacceptable losses because of inability to liquidate assets or obtain adequate funding. | |
Investment/Market Risk | Risk to earnings, capital or business resulting in the decline in value of our assets or an increase in the costs of financing caused by changes in market variables, such as interest rates, which affect the values of investment securities and other investment instruments. | |
Credit Risk | Risk to earnings, capital or business resulting from an obligor’s failure to meet the terms of any contract or otherwise failure to perform as agreed. This risk is present in lending and investing activities. | |
Counterparty Risk | Risk to earnings, capital or business resulting from a counterparty’s failure to meet the terms of any contract or otherwise failure to perform as agreed. This risk is present in funding, hedging and investing activities. | |
Operational Risk | Risk to earnings, capital, reputation or business arising from inadequate or failed internal processes or systems, human factors or external events. Model risk is included in operational risk. | |
Compliance, Regulatory and Legal Risk | Risk to earnings, capital, reputation or conduct of business arising from violations of, or nonconformance with internal and external applicable rules and regulations, losses resulting from lawsuits or adverse judgments, or from changes in the regulatory environment that may impact our business model. |
Element | Description | |
Funding | Availability of diverse and stable sources of funds. | |
Excess Liquidity | Excess liquidity primarily in the form of unencumbered assets. | |
Maturity Profile | Diversity and tenor of liabilities and modest use of leverage. | |
Stress Testing | Scenario modeling to measure the resiliency of our liquidity position. | |
Liquidity Management Policies | Comprehensive policies including monitoring, risk limits and an escalation protocol. |
Repurchase Agreements | Reverse Repurchase Agreements | Repurchase Agreements | Reverse Repurchase Agreements | |||||||||||||||||||||||||||
Average Daily Amount Outstanding | Ending Amount Outstanding | Average Daily Amount Outstanding | Ending Amount Outstanding | Average Daily Amount Outstanding | Ending Amount Outstanding | Average Daily Amount Outstanding | Ending Amount Outstanding | |||||||||||||||||||||||
Three Months Ended: | (dollars in thousands) | (dollars in thousands) | ||||||||||||||||||||||||||||
September 30, 2018 | $ | 79,214,382 | $ | 79,073,026 | $ | 2,330,519 | $ | 1,234,704 | ||||||||||||||||||||||
June 30, 2018 | $ | 80,582,681 | $ | 75,760,655 | $ | 2,929,470 | $ | 259,762 | 80,582,681 | 75,760,655 | 2,929,470 | 259,762 | ||||||||||||||||||
March 31, 2018 | 80,770,663 | 78,015,431 | 2,064,862 | 200,459 | 80,770,663 | 78,015,431 | 2,064,862 | 200,459 | ||||||||||||||||||||||
December 31, 2017 | 78,755,896 | 77,696,343 | 1,295,652 | — | 78,755,896 | 77,696,343 | 1,295,652 | — | ||||||||||||||||||||||
September 30, 2017 | 69,314,576 | 69,430,268 | 994,565 | — | 69,314,576 | 69,430,268 | 994,565 | — | ||||||||||||||||||||||
June 30, 2017 | 63,191,827 | 62,497,400 | 474,176 | — | 63,191,827 | 62,497,400 | 474,176 | — | ||||||||||||||||||||||
March 31, 2017 | 64,961,511 | 62,719,087 | 1,738,333 | — | 64,961,511 | 62,719,087 | 1,738,333 | — | ||||||||||||||||||||||
December 31, 2016 | 64,484,326 | 65,215,810 | 1,064,130 | — | 64,484,326 | 65,215,810 | 1,064,130 | — | ||||||||||||||||||||||
September 30, 2016 | 63,231,246 | 61,784,121 | 1,494,022 | — | 63,231,246 | 61,784,121 | 1,494,022 | — | ||||||||||||||||||||||
June 30, 2016 | 54,647,175 | 53,868,385 | 1,159,341 | — |
June 30, 2018 | June 30, 2018 | |||||||||||||||||
Principal Balance | Weighted Average Rate | % of Total | Principal Balance | Weighted Average Rate | % of Total | |||||||||||||
(dollars in thousands) | (dollars in thousands) | |||||||||||||||||
1 day | $ | — | — | % | — | % | $ | 16,400,345 | 2.38 | % | 19.7 | % | ||||||
2 to 29 days | 30,922,430 | 2.15 | % | 38.9 | % | 20,175,176 | 2.10 | % | 24.4 | % | ||||||||
30 to 59 days | 6,328,941 | 2.11 | % | 8.0 | % | 7,321,938 | 2.26 | % | 8.8 | % | ||||||||
60 to 89 days | 14,275,263 | 2.15 | % | 18.0 | % | 17,423,359 | 2.38 | % | 20.9 | % | ||||||||
90 to 119 days | 9,278,603 | 2.08 | % | 11.7 | % | 6,518,313 | 2.20 | % | 7.8 | % | ||||||||
Over 120 days (1) | 18,715,905 | 2.35 | % | 23.4 | % | 15,342,442 | 2.52 | % | 18.4 | % | ||||||||
Total | $ | 79,521,142 | 2.18 | % | 100.0 | % | $ | 83,181,573 | 2.31 | % | 100.0 | % |
(1) | Approximately 5% of the total repurchase agreements and other secured financing had a remaining maturity over 1 year. |
Weighted Average Rate | Weighted Average Rate | |||||||||||||||||||||||
Principal Balance | At Period End | For the Quarter | Weighted Average Days to Maturity (1) | Principal Balance | At Period End | For the Quarter | Weighted Average Days to Maturity (1) | |||||||||||||||||
(dollars in thousands) | (dollars in thousands) | |||||||||||||||||||||||
Repurchase agreements | $ | 75,760,655 | 2.17 | % | 1.99 | % | 71 | $ | 79,073,026 | 2.32 | % | 2.25 | % | 55 | ||||||||||
Other secured financing (2) | 3,760,487 | 2.48 | % | 2.57 | % | 924 | 4,108,547 | 2.66 | % | 2.73 | % | 845 | ||||||||||||
Securitized debt of consolidated VIEs (3) | 2,702,497 | 2.70 | % | 2.62 | % | 3,199 | 3,773,740 | 3.24 | % | 3.26 | % | 2,983 | ||||||||||||
Mortgages payable (3) | 312,500 | 4.24 | % | 4.36 | % | 2,407 | 517,503 | 4.03 | % | 4.44 | % | 4,863 | ||||||||||||
Total indebtedness | $ | 82,536,139 | $ | 87,472,816 |
(1) | Determined based on estimated weighted-average lives of the underlying debt instruments. |
(2) | Includes advances from the Federal Home Loan Bank of Des Moines of $3.6 billion and financing under credit facilities. |
(3) | Non-recourse to Annaly. |
Encumbered Assets | Unencumbered Assets | Total | ||||||||||||||||||||
(dollars in thousands) | Encumbered Assets | Unencumbered Assets | Total | |||||||||||||||||||
Financial Assets: | (dollars in thousands) | |||||||||||||||||||||
Cash and cash equivalents | $ | 1,042,671 | $ | 92,658 | $ | 1,135,329 | $ | 924,891 | $ | 157,856 | $ | 1,082,747 | ||||||||||
Reverse repurchase agreements (1) | 750,000 | 484,704 | 1,234,704 | |||||||||||||||||||
Investments, at carrying value: | ||||||||||||||||||||||
Agency mortgage-backed securities | 80,997,975 | 4,542,820 | 85,540,795 | 83,280,776 | 4,750,600 | 88,031,376 | ||||||||||||||||
Credit risk transfer securities | 417,403 | 136,793 | 554,196 | 551,673 | 125,274 | 676,947 | ||||||||||||||||
Non-Agency mortgage-backed securities | 435,877 | 570,908 | 1,006,785 | 617,579 | 524,614 | 1,142,193 | ||||||||||||||||
Residential mortgage loans | 1,608,935 | 57,222 | 1,666,157 | 1,555,562 | 427,453 | 1,983,015 | ||||||||||||||||
MSRs | 4,164 | 594,850 | 599,014 | 2,958 | 585,875 | 588,833 | ||||||||||||||||
Commercial real estate debt investments | 2,733,405 | 124,058 | 2,857,463 | 3,685,492 | 22,948 | 3,708,440 | ||||||||||||||||
Commercial real estate debt and preferred equity, held for investment | 652,897 | 598,241 | 1,251,138 | 1,050,469 | 385,396 | 1,435,865 | ||||||||||||||||
Loans held for sale, net | — | 42,458 | 42,458 | — | 42,325 | 42,325 | ||||||||||||||||
Corporate debt | 642,016 | 614,260 | 1,256,276 | 679,185 | 849,689 | 1,528,874 | ||||||||||||||||
Total financial assets | $ | 88,535,343 | $ | 7,374,268 | $ | 95,909,611 | $ | 93,098,585 | $ | 8,356,734 | $ | 101,455,319 |
(1) | The collateral received in connection with reverse repurchase agreements was not sold or repledged as of September 30, 2018. |
(2) | The amounts reflected in the table above are on a settlement date basis and may differ from the total positions reported on the |
(3) | Includes assets transferred or pledged to securitization vehicles. |
Carrying Value (1) | ||||||
Liquid Assets | Carrying Value (1) | (dollars in thousands) | ||||
(dollars in thousands) | ||||||
Cash and cash equivalents | $ | 1,135,329 | $ | 1,082,747 | ||
Residential Investment Securities (2) | 87,101,776 | |||||
Reverse repurchase agreements | 484,704 | |||||
Residential Securities (2) | 89,850,516 | |||||
Residential mortgage loans (3) | 1,143,178 | 1,217,139 | ||||
Commercial real estate debt investments (4) | 315,050 | 186,495 | ||||
Commercial real estate debt and preferred equity, held for investment | 921,997 | 1,143,549 | ||||
Loans held for sale, net | 42,458 | 42,325 | ||||
Corporate debt | 772,114 | 888,859 | ||||
Total liquid assets | $ | 91,431,902 | $ | 94,896,334 | ||
Percentage of liquid assets to carrying amount of encumbered and unencumbered financial assets (3)(4) | 98.48 | % | 97.66 | % |
(1) | Carrying value approximates the market value of assets. The assets listed in this table include |
(2) | The amounts reflected in the table above are on a settlement date basis and may differ from the total positions reported on the |
(3) | Excludes securitized residential mortgage loans transferred or pledged to consolidated VIEs carried at fair value of |
(4) | Excludes senior securitized commercial mortgage loans of consolidated VIEs carried at fair value of |
Less than 3 Months | 3-12 Months | More than 1 Year to 3 Years | 3 Years and Over | Total | Less than 3 Months | 3-12 Months | More than 1 Year to 3 Years | 3 Years and Over | Total | |||||||||||||||||||||||||||||
Financial Assets: | (dollars in thousands) | (dollars in thousands) | ||||||||||||||||||||||||||||||||||||
Cash and cash equivalents | $ | 1,135,329 | $ | — | $ | — | $ | — | $ | 1,135,329 | $ | 1,082,747 | $ | — | $ | — | $ | — | $ | 1,082,747 | ||||||||||||||||||
Reverse repurchase agreements | 1,234,704 | — | — | — | 1,234,704 | |||||||||||||||||||||||||||||||||
Agency mortgage-backed securities (principal) | — | — | 2,837,663 | 81,508,805 | 84,346,468 | — | — | 2,662,348 | 84,921,742 | 87,584,090 | ||||||||||||||||||||||||||||
Credit risk transfer securities (principal) | — | 5,728 | 20,000 | 503,141 | 528,869 | 1,569 | — | — | 649,791 | 651,360 | ||||||||||||||||||||||||||||
Non-Agency mortgage-backed securities (principal) | — | — | 100,892 | 944,892 | 1,045,784 | — | 17,305 | 135,653 | 1,064,034 | 1,216,992 | ||||||||||||||||||||||||||||
Commercial mortgage-backed securities (principal) | — | — | — | 196,407 | 196,407 | |||||||||||||||||||||||||||||||||
Total securities | 1,569 | 17,305 | 2,798,001 | 86,831,974 | 89,648,849 | |||||||||||||||||||||||||||||||||
Residential mortgage loans (principal) | — | — | — | 1,658,358 | 1,658,358 | — | — | — | 1,218,940 | 1,218,940 | ||||||||||||||||||||||||||||
Commercial real estate debt investments (principal) | — | — | — | 2,842,310 | 2,842,310 | |||||||||||||||||||||||||||||||||
Commercial real estate debt and preferred equity (principal) | 15,187 | 345,856 | 713,356 | 182,424 | 1,256,823 | 209,094 | 183,227 | 712,367 | 338,515 | 1,443,203 | ||||||||||||||||||||||||||||
Corporate debt (principal) | — | — | 61,810 | 1,205,166 | 1,266,976 | — | — | 99,953 | 1,442,858 | 1,542,811 | ||||||||||||||||||||||||||||
Reverse repurchase agreements | 259,762 | — | — | — | 259,762 | |||||||||||||||||||||||||||||||||
Total loans | 209,094 | 183,227 | 812,320 | 3,000,313 | 4,204,954 | |||||||||||||||||||||||||||||||||
Assets transferred or pledged to securitization vehicles (principal) | — | — | — | 4,252,367 | 4,252,367 | |||||||||||||||||||||||||||||||||
Total financial assets - maturity | 1,410,278 | 351,584 | 3,733,721 | 88,845,096 | 94,340,679 | 2,528,114 | 200,532 | 3,610,321 | 94,084,654 | 100,423,621 | ||||||||||||||||||||||||||||
Effect of utilizing reset dates (1) | 6,662,423 | 2,847,883 | (1,684,108 | ) | (7,826,198 | ) | 7,829,356 | 3,049,093 | (1,809,353 | ) | (9,069,096 | ) | ||||||||||||||||||||||||||
Total financial assets - interest rate sensitive | $ | 8,072,701 | $ | 3,199,467 | $ | 2,049,613 | $ | 81,018,898 | $ | 94,340,679 | $ | 10,357,470 | $ | 3,249,625 | $ | 1,800,968 | $ | 85,015,558 | $ | 100,423,621 | ||||||||||||||||||
Financial Liabilities: | ||||||||||||||||||||||||||||||||||||||
Repurchase agreements | $ | 53,372,845 | $ | 22,387,810 | $ | — | $ | — | $ | 75,760,655 | $ | 61,320,817 | $ | 17,370,398 | $ | 381,811 | $ | — | $ | 79,073,026 | ||||||||||||||||||
Other secured financing | — | 2,915 | 3,682,518 | 75,054 | 3,760,487 | — | 2,366 | 3,956,181 | 150,000 | 4,108,547 | ||||||||||||||||||||||||||||
Securitized debt of consolidated VIE (principal) | — | — | — | 2,702,497 | 2,702,497 | |||||||||||||||||||||||||||||||||
Debt issued by securitization vehicles (principal) | — | — | 888,500 | 2,885,240 | 3,773,740 | |||||||||||||||||||||||||||||||||
Total financial liabilities - maturity | 53,372,845 | 22,390,725 | 3,682,518 | 2,777,551 | 82,223,639 | 61,320,817 | 17,372,764 | 5,226,492 | 3,035,240 | 86,955,313 | ||||||||||||||||||||||||||||
Effect of utilizing reset dates (1)(2) | (55,411,651 | ) | 13,276,366 | 12,954,336 | 29,180,949 | (61,080,204 | ) | 14,276,031 | 13,128,363 | 33,675,810 | ||||||||||||||||||||||||||||
Total financial liabilities - interest rate sensitive | $ | (2,038,806 | ) | $ | 35,667,091 | $ | 16,636,854 | $ | 31,958,500 | $ | 82,223,639 | $ | 240,613 | $ | 31,648,795 | $ | 18,354,855 | $ | 36,711,050 | $ | 86,955,313 | |||||||||||||||||
Maturity gap | $ | (51,962,567 | ) | $ | (22,039,141 | ) | $ | 51,203 | $ | 86,067,545 | $ | 12,117,040 | $ | (58,792,703 | ) | $ | (17,172,232 | ) | $ | (1,616,171 | ) | $ | 91,049,414 | $ | 13,468,308 | |||||||||||||
Cumulative maturity gap | $ | (51,962,567 | ) | $ | (74,001,708 | ) | $ | (73,950,505 | ) | $ | 12,117,040 | $ | (58,792,703 | ) | $ | (75,964,935 | ) | $ | (77,581,106 | ) | $ | 13,468,308 | ||||||||||||||||
Interest rate sensitivity gap | $ | 10,111,507 | $ | (32,467,624 | ) | $ | (14,587,241 | ) | $ | 49,060,398 | $ | 12,117,040 | $ | 10,116,857 | $ | (28,399,170 | ) | $ | (16,553,887 | ) | $ | 48,304,508 | $ | 13,468,308 | ||||||||||||||
Cumulative rate sensitivity gap | $ | 10,111,507 | $ | (22,356,117 | ) | $ | (36,943,358 | ) | $ | 12,117,040 | $ | 10,116,857 | $ | (18,282,313 | ) | $ | (34,836,200 | ) | $ | 13,468,308 |
(1) | Maturity gap utilizes stated maturities, or prepayment expectations for assets that exhibit prepayment characteristics, while interest rate sensitivity gap utilizes reset dates, if applicable. |
(2) | Includes effect of interest rate swaps. |
Change in Interest Rate (1) | Projected Percentage Change in Economic Net Interest Income (2) | Estimated Percentage Change in Portfolio Value (3) | Estimated Change as a % on NAV (3)(4) | Projected Percentage Change in Economic Net Interest Income (2) | Estimated Percentage Change in Portfolio Value (3) | Estimated Change as a % on NAV (3)(4) | ||||||
-75 Basis Points | (15.3%) | 0.2% | 1.8% | (12.2%) | 0.5% | 3.3% | ||||||
-50 Basis Points | (8.0%) | 0.3% | 2.0% | (6.2%) | 0.4% | 3.0% | ||||||
-25 Basis Points | (2.7%) | 0.2% | 1.3% | (2.2%) | 0.3% | 1.8% | ||||||
Base Interest Rate | — | — | — | — | — | — | ||||||
+25 Basis Points | 1.7% | (0.3%) | (1.9%) | 0.7% | (0.3%) | (2.4%) | ||||||
+50 Basis Points | 2.1% | (0.6%) | (4.2%) | 0.8% | (0.7%) | (5.3%) | ||||||
+75 Basis Points | 2.0% | (0.9%) | (7.0%) | 0.4% | (1.2%) | (8.6%) | ||||||
MBS Spread Shock (1) | Estimated Change in Portfolio Market Value | Estimated Change as a % on NAV (3)(4) | Estimated Change in Portfolio Market Value | Estimated Change as a % on NAV (3)(4) | ||||||||
-25 Basis Points | 1.5% | 11.5% | 1.6% | 11.5% | ||||||||
-15 Basis Points | 0.9% | 6.8% | 1.0% | 6.9% | ||||||||
-5 Basis Points | 0.3% | 2.3% | 0.3% | 2.3% | ||||||||
Base Interest Rate | — | — | — | — | ||||||||
+5 Basis Points | (0.3%) | (2.3%) | (0.3%) | (2.3%) | ||||||||
+15 Basis Points | (0.9%) | (6.7%) | (0.9%) | (6.8%) | ||||||||
+25 Basis Points | (1.5%) | (11.2%) | (1.6%) | (11.3%) |
(1) | Interest rate and MBS spread sensitivity are based on results from third party models in conjunction with inputs from our internal |
(2) | Scenarios include Residential |
(3) | Scenarios include Residential |
(4) | NAV represents book value of equity. |
Asset Portfolio (using balance sheet values) | ||||||||||
September 30, 2018 | December 31, 2017 | |||||||||
Category | June 30, 2018 | December 31, 2017 | ||||||||
Agency mortgage-backed securities | 89.9 | % | 90.6 | % | 88.2 | % | 90.6 | % | ||
Credit risk transfer securities | 0.6 | % | 0.7 | % | 0.7 | % | 0.7 | % | ||
Non-Agency mortgage-backed securities | 1.1 | % | 1.1 | % | 1.2 | % | 1.1 | % | ||
Residential mortgage loans | 1.7 | % | 1.4 | % | 2.0 | % | 1.4 | % | ||
Mortgage servicing rights | 0.6 | % | 0.6 | % | 0.6 | % | 0.6 | % | ||
Commercial real estate | 4.8 | % | 4.6 | % | 5.8 | % | 4.6 | % | ||
Corporate debt | 1.3 | % | 1.0 | % | 1.5 | % | 1.0 | % |
(1) | Includes assets transferred or pledged to securitization vehicles. |
(2) | Net of unamortized origination fees. |
Number of Counterparties | Repurchase Agreement Financing | Interest Rate Swaps at Fair Value | Exposure (1) | |||||||||||||||||||||||||
Country | Number of Counterparties | Repurchase Agreement Financing | Interest Rate Swaps at Fair Value | Exposure (1) | (dollars in thousands) | |||||||||||||||||||||||
(dollars in thousands) | ||||||||||||||||||||||||||||
North America | 33 | $ | 53,980,782 | $ | (117,504 | ) | $ | 2,247,252 | 35 | $ | 56,666,963 | $ | (90,964 | ) | $ | 2,734,516 | ||||||||||||
Europe | 13 | 16,555,183 | (176,144 | ) | 1,496,257 | 13 | 16,985,714 | (123,763 | ) | 1,831,751 | ||||||||||||||||||
Asia (non-Japan) | 1 | 441,947 | — | 24,638 | 1 | 513,694 | — | 28,476 | ||||||||||||||||||||
Japan | 4 | 4,782,743 | — | 278,810 | 4 | 4,906,655 | — | 292,017 | ||||||||||||||||||||
Total | 51 | $ | 75,760,655 | $ | (293,648 | ) | $ | 4,046,957 | 53 | $ | 79,073,026 | $ | (214,727 | ) | $ | 4,886,760 |
(1) | Represents the amount of cash and/or securities pledged as collateral to each counterparty less the |
Exhibit Number | Exhibit Description | |
Exhibit 101.INS XBRL | Instance Document † | |
Exhibit 101.SCH XBRL | Taxonomy Extension Schema Document † | |
Exhibit 101.CAL XBRL | Taxonomy Extension Calculation Linkbase Document † | |
Exhibit 101.DEF XBRL | Additional Taxonomy Extension Definition Linkbase Document Created† | |
Exhibit 101.LAB XBRL | Taxonomy Extension Label Linkbase Document † | |
Exhibit 101.PRE XBRL | Taxonomy Extension Presentation Linkbase Document † |
ANNALY CAPITAL MANAGEMENT, INC. | |||
Dated: | By: /s/ Kevin G. Keyes | ||
Kevin G. Keyes | |||
Chief Executive Officer, President and Director (Principal Executive Officer) | |||
Dated: | By: /s/ Glenn A. Votek | ||
Glenn A. Votek | |||
Chief Financial Officer (Principal Financial Officer) |