UNITED STATES SECURITIES AND EXCHANGE COMMISSION WASHINGTON, D.C. 20549 |
ANNALY CAPITAL MANAGEMENT INC (Exact Name of Registrant as Specified in its Charter) |
Maryland | 22-3479661 | ||
(State or other jurisdiction of incorporation or organization) | (IRS Employer Identification No.) | ||
1211 Avenue of the Americas | |||
New York | 10036 | ||
(Address of principal executive offices) | (Zip Code) |
Trading Symbol(s) | Name of Each Exchange on Which Registered | |
Common Stock, par value $0.01 per share | NLY | New York Stock Exchange |
7.50% Series D Cumulative Redeemable Preferred Stock | NLY.D | New York Stock Exchange |
6.95% Series F Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | NLY.F | New York Stock Exchange |
6.50% Series G Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | NLY.G | New York Stock Exchange |
6.75% Series I Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | NLY.I | New York Stock Exchange |
Large accelerated filer | ☑ | Accelerated filer | ☐ | Non-accelerated filer | ☐ | Smaller reporting company | ☐ | Emerging growth company | ☐ |
ANNALY CAPITAL MANAGEMENT, INC. | |
FORM 10-Q | |
TABLE OF CONTENTS | |
Page | |
ITEM 1. FINANCIAL STATEMENTS |
ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES | |||||||||||||||
CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION | |||||||||||||||
(dollars in thousands, except per share data) | |||||||||||||||
ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION (dollars in thousands, except per share data) | ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION (dollars in thousands, except per share data) | ||||||||||||||
September 30, | December 31, | June 30, | December 31, | ||||||||||||
2018 | 2017 (1) | 2019 | 2018 (1) | ||||||||||||
(Unaudited) | (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 | |||||||||||||||
Cash and cash equivalents (includes pledged assets of $1,764,012 and $1,581,775, respectively) (2) | $ | 1,982,311 | $ | 1,735,749 | |||||||||||
Securities (includes pledged assets of $113,624,573 and $87,193,316, respectively) (3) | 119,926,869 | 92,623,788 | |||||||||||||
Loans, net (includes pledged assets of $2,614,982 and $2,997,051, respectively) (4) | 3,546,468 | 4,585,975 | |||||||||||||
Mortgage servicing rights (includes pledged assets of $2,982 and $3,616, respectively) | 425,328 | 557,813 | |||||||||||||
Assets transferred or pledged to securitization vehicles | 4,287,821 | 3,306,133 | 4,211,582 | 3,833,200 | |||||||||||
Real estate, net | 753,014 | 485,953 | 733,196 | 739,473 | |||||||||||
Derivative assets | 404,841 | 313,885 | 75,142 | 200,503 | |||||||||||
Reverse repurchase agreements | 1,234,704 | — | — | 650,040 | |||||||||||
Receivable for unsettled trades | 1,266,840 | 1,232 | 5,322 | 68,779 | |||||||||||
Interest receivable | 347,278 | 323,526 | 440,940 | 357,365 | |||||||||||
Goodwill and intangible assets, net | 103,043 | 95,035 | 96,591 | 100,854 | |||||||||||
Other assets | 329,868 | 384,117 | 357,027 | 333,988 | |||||||||||
Total assets | $ | 105,961,803 | $ | 101,760,050 | $ | 131,800,776 | $ | 105,787,527 | |||||||
LIABILITIES AND STOCKHOLDERS’ EQUITY | |||||||||||||||
Liabilities: | |||||||||||||||
Liabilities and stockholders’ equity | |||||||||||||||
Liabilities | |||||||||||||||
Repurchase agreements | $ | 79,073,026 | $ | 77,696,343 | $ | 105,181,241 | $ | 81,115,874 | |||||||
Other secured financing | 4,108,547 | 3,837,528 | 4,127,989 | 4,183,311 | |||||||||||
Debt issued by securitization vehicles | 3,799,542 | 2,971,771 | 3,470,168 | 3,347,062 | |||||||||||
Mortgages payable | 511,588 | 309,686 | 498,772 | 511,056 | |||||||||||
Derivative liabilities | 379,794 | 607,854 | 1,043,197 | 889,750 | |||||||||||
Payable for unsettled trades | 2,505,428 | 656,581 | 620,784 | 583,036 | |||||||||||
Interest payable | 399,605 | 253,068 | 691,327 | 570,928 | |||||||||||
Dividends payable | 102,811 | 347,876 | 364,066 | 394,129 | |||||||||||
Other liabilities | 125,606 | 207,770 | 95,825 | 74,580 | |||||||||||
Total liabilities | 91,005,947 | 86,888,477 | 116,093,369 | 91,669,726 | |||||||||||
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 | |||||||||||||
Stockholders’ equity | |||||||||||||||
Preferred stock, par value $0.01 per share, 92,150,000 and 75,950,000 authorized, 87,200,000 and 73,400,000 issued and outstanding, respectively | 2,110,346 | 1,778,168 | |||||||||||||
Common stock, par value $0.01 per share, 2,907,850,000 and 1,924,050,000 authorized, 1,456,263,410 and 1,313,763,450 issued and outstanding, respectively | 14,562 | 13,138 | |||||||||||||
Additional paid-in capital | 18,793,706 | 17,221,265 | 20,195,419 | 18,794,331 | |||||||||||
Accumulated other comprehensive income (loss) | (3,822,956 | ) | (1,126,020 | ) | 1,365,003 | (1,979,865 | ) | ||||||||
Accumulated deficit | (1,811,955 | ) | (2,961,749 | ) | (7,982,649 | ) | (4,493,660 | ) | |||||||
Total stockholders’ equity | 14,949,994 | 14,865,473 | 15,702,681 | 14,112,112 | |||||||||||
Noncontrolling interests | 5,862 | 6,100 | 4,726 | 5,689 | |||||||||||
Total equity | 14,955,856 | 14,871,573 | 15,707,407 | 14,117,801 | |||||||||||
Total liabilities and equity | $ | 105,961,803 | $ | 101,760,050 | $ | 131,800,776 | $ | 105,787,527 | |||||||
(1) | Derived from the audited consolidated financial statements at December 31, |
(2) | Includes cash of consolidated Variable Interest Entities (“VIEs”) of |
(3) | Excludes |
(4) | Includes $119.7 million and $97.5 million of residential mortgage loans held for sale, $41.9 million and $42.2 million of commercial mortgage loans held for sale and $26.9 million and $0 of corporate loans held for sale at June 30, 2019 and December 31, 2018, respectively. |
ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS) (dollars in thousands, except per share data) (Unaudited) | |||||||||||||||
For The Three Months Ended June 30, | For The Six Months Ended June 30, | ||||||||||||||
2019 | 2018 | 2019 | 2018 | ||||||||||||
Net interest income | |||||||||||||||
Interest income | $ | 927,598 | $ | 776,806 | $ | 1,793,784 | $ | 1,656,293 | |||||||
Interest expense | 750,217 | 442,692 | 1,397,912 | 810,113 | |||||||||||
Net interest income | 177,381 | 334,114 | 395,872 | 846,180 | |||||||||||
Realized and unrealized gains (losses) | |||||||||||||||
Net interest component of interest rate swaps | 83,653 | 31,475 | 217,688 | (16,685 | ) | ||||||||||
Realized gains (losses) on termination or maturity of interest rate swaps | (167,491 | ) | — | (755,747 | ) | 834 | |||||||||
Unrealized gains (losses) on interest rate swaps | (1,276,019 | ) | 343,475 | (1,666,575 | ) | 1,320,760 | |||||||||
Subtotal | (1,359,857 | ) | 374,950 | (2,204,634 | ) | 1,304,909 | |||||||||
Net gains (losses) on disposal of investments | (38,333 | ) | (66,117 | ) | (132,249 | ) | (52,649 | ) | |||||||
Net gains (losses) on other derivatives | (506,411 | ) | 34,189 | (621,570 | ) | (12,956 | ) | ||||||||
Net unrealized gains (losses) on instruments measured at fair value through earnings | (4,881 | ) | (48,376 | ) | 42,748 | (99,969 | ) | ||||||||
Loan loss provision | — | — | (5,703 | ) | — | ||||||||||
Subtotal | (549,625 | ) | (80,304 | ) | (716,774 | ) | (165,574 | ) | |||||||
Total realized and unrealized gains (losses) | (1,909,482 | ) | 294,646 | (2,921,408 | ) | 1,139,335 | |||||||||
Other income (loss) | 28,181 | 34,170 | 58,683 | 68,193 | |||||||||||
General and administrative expenses | |||||||||||||||
Compensation and management fee | 44,231 | 45,579 | 89,064 | 90,108 | |||||||||||
Other general and administrative expenses | 34,177 | 18,202 | 73,081 | 36,183 | |||||||||||
Total general and administrative expenses | 78,408 | 63,781 | 162,145 | 126,291 | |||||||||||
Income (loss) before income taxes | (1,782,328 | ) | 599,149 | (2,628,998 | ) | 1,927,417 | |||||||||
Income taxes | (5,915 | ) | 3,262 | (3,334 | ) | 3,826 | |||||||||
Net income (loss) | (1,776,413 | ) | 595,887 | (2,625,664 | ) | 1,923,591 | |||||||||
Net income (loss) attributable to noncontrolling interests | (83 | ) | (32 | ) | (184 | ) | (128 | ) | |||||||
Net income (loss) attributable to Annaly | (1,776,330 | ) | 595,919 | (2,625,480 | ) | 1,923,719 | |||||||||
Dividends on preferred stock (1) | 32,422 | 31,377 | 64,916 | 65,143 | |||||||||||
Net income (loss) available (related) to common stockholders | $ | (1,808,752 | ) | $ | 564,542 | $ | (2,690,396 | ) | $ | 1,858,576 | |||||
Net income (loss) per share available (related) to common stockholders | |||||||||||||||
Basic | $ | (1.24 | ) | $ | 0.49 | $ | (1.88 | ) | $ | 1.60 | |||||
Diluted | $ | (1.24 | ) | $ | 0.49 | $ | (1.88 | ) | $ | 1.60 | |||||
Weighted average number of common shares outstanding | |||||||||||||||
Basic | 1,456,038,736 | 1,160,436,777 | 1,427,485,102 | 1,160,029,575 | |||||||||||
Diluted | 1,456,038,736 | 1,160,979,451 | 1,427,485,102 | 1,160,543,580 | |||||||||||
Other comprehensive income (loss) | |||||||||||||||
Net income (loss) | $ | (1,776,413 | ) | $ | 595,887 | $ | (2,625,664 | ) | $ | 1,923,591 | |||||
Unrealized gains (losses) on available-for-sale securities | 1,654,783 | (505,130 | ) | 3,254,181 | (2,384,609 | ) | |||||||||
Reclassification adjustment for net (gains) losses included in net income (loss) | 29,596 | 70,763 | 90,687 | 76,182 | |||||||||||
Other comprehensive income (loss) | 1,684,379 | (434,367 | ) | 3,344,868 | (2,308,427 | ) | |||||||||
Comprehensive income (loss) | (92,034 | ) | 161,520 | 719,204 | (384,836 | ) | |||||||||
Comprehensive income (loss) attributable to noncontrolling interests | (83 | ) | (32 | ) | (184 | ) | (128 | ) | |||||||
Comprehensive income (loss) attributable to Annaly | (91,951 | ) | 161,552 | 719,388 | (384,708 | ) | |||||||||
Dividends on preferred stock (1) | 32,422 | 31,377 | 64,916 | 65,143 | |||||||||||
Comprehensive income (loss) attributable to common stockholders | $ | (124,373 | ) | $ | 130,175 | $ | 654,472 | $ | (449,851 | ) | |||||
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 |
(1) |
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 | ||||||||||||||||
(dollars in thousands) (Unaudited) | ||||||||||||||||
For The Three Months Ended June 30, | For The Six Months Ended June 30, | |||||||||||||||
2019 | 2018 | 2019 | 2018 | |||||||||||||
Preferred stock | ||||||||||||||||
Beginning of period | $ | 1,778,168 | $ | 1,723,168 | $ | 1,778,168 | $ | 1,720,381 | ||||||||
Issuance | 387,178 | — | 387,178 | 411,335 | ||||||||||||
Redemption | (55,000 | ) | — | (55,000 | ) | (408,548 | ) | |||||||||
End of period | $ | 2,110,346 | $ | 1,723,168 | $ | 2,110,346 | $ | 1,723,168 | ||||||||
Common stock | ||||||||||||||||
Beginning of period | $ | 14,481 | $ | 11,597 | $ | 13,138 | $ | 11,596 | ||||||||
Issuance | 80 | 46 | 1,422 | 46 | ||||||||||||
Direct purchase and dividend reinvestment | 1 | — | 2 | 1 | ||||||||||||
End of period | $ | 14,562 | $ | 11,643 | $ | 14,562 | $ | 11,643 | ||||||||
Additional paid-in capital | ||||||||||||||||
Beginning of period | $ | 20,112,875 | $ | 17,218,191 | $ | 18,794,331 | $ | 17,221,265 | ||||||||
Stock compensation expense | 1,633 | 1,488 | 1,811 | 1,621 | ||||||||||||
Issuance | 80,009 | 48,117 | 1,397,484 | 48,117 | ||||||||||||
Redemption of preferred stock | — | — | — | (3,952 | ) | |||||||||||
Direct purchase and dividend reinvestment | 902 | 800 | 1,793 | 1,545 | ||||||||||||
End of period | $ | 20,195,419 | $ | 17,268,596 | $ | 20,195,419 | $ | 17,268,596 | ||||||||
Accumulated other comprehensive income (loss) | ||||||||||||||||
Beginning of period | $ | (319,376 | ) | $ | (3,000,080 | ) | $ | (1,979,865 | ) | $ | (1,126,020 | ) | ||||
Unrealized gains (losses) on available-for-sale securities | 1,654,783 | (505,130 | ) | 3,254,181 | (2,384,609 | ) | ||||||||||
Reclassification adjustment for net gains (losses) included in net income (loss) | 29,596 | 70,763 | 90,687 | 76,182 | ||||||||||||
End of period | $ | 1,365,003 | $ | (3,434,447 | ) | $ | 1,365,003 | $ | (3,434,447 | ) | ||||||
Accumulated deficit | ||||||||||||||||
Beginning of period | $ | (5,809,931 | ) | $ | (2,015,612 | ) | $ | (4,493,660 | ) | $ | (2,961,749 | ) | ||||
Net income (loss) attributable to Annaly | (1,776,330 | ) | 595,919 | (2,625,480 | ) | 1,923,719 | ||||||||||
Dividends declared on preferred stock (1) | (32,122 | ) | (31,377 | ) | (64,616 | ) | (65,143 | ) | ||||||||
Dividends and dividend equivalents declared on common stock and share-based awards (1) | (364,266 | ) | (349,300 | ) | (798,893 | ) | (697,197 | ) | ||||||||
End of period | $ | (7,982,649 | ) | $ | (1,800,370 | ) | $ | (7,982,649 | ) | $ | (1,800,370 | ) | ||||
Total stockholder’s equity | $ | 15,702,681 | $ | 13,768,590 | $ | 15,702,681 | $ | 13,768,590 | ||||||||
Noncontrolling interests | ||||||||||||||||
Beginning of period | $ | 5,227 | $ | 5,671 | $ | 5,689 | $ | 6,100 | ||||||||
Net income (loss) attributable to noncontrolling interests | (83 | ) | (32 | ) | (184 | ) | (128 | ) | ||||||||
Equity contributions from (distributions to) noncontrolling interests | (418 | ) | (373 | ) | (779 | ) | (706 | ) | ||||||||
End of period | $ | 4,726 | $ | 5,266 | $ | 4,726 | $ | 5,266 | ||||||||
Total equity | $ | 15,707,407 | $ | 13,773,856 | $ | 15,707,407 | $ | 13,773,856 | ||||||||
(1) See Note titled “Capital Stock” for dividends per share for each class of shares. |
ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES | ||||||||
CONSOLIDATED STATEMENTS OF CASH FLOWS | ||||||||
(dollars in thousands) | ||||||||
(Unaudited) | ||||||||
Nine Months Ended September 30, | ||||||||
2018 | 2017 | |||||||
Cash flows from operating activities: | ||||||||
Net income (loss) | $ | 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 | 474,449 | 668,195 | ||||||
Amortization of securitized debt premiums and discounts and deferred financing costs | 991 | 618 | ||||||
Depreciation, amortization and other noncash expenses | 63,839 | 21,686 | ||||||
Net (gains) losses on disposals of investments | 376,943 | 11,833 | ||||||
Net (gains) losses on investments and derivatives | (1,679,921 | ) | (141,006 | ) | ||||
Income from unconsolidated joint ventures | 6,441 | 2,223 | ||||||
Payments on purchases of loans held for sale | (191,641 | ) | (230,503 | ) | ||||
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 | 100,010 | (30,387 | ) | |||||
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 | 3,023,157 | 729,531 | ||||||
Cash flows from investing activities: | ||||||||
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 | (744,071 | ) | (374,358 | ) | ||||
Principal payments on corporate debt | 235,423 | 295,380 | ||||||
Originations and purchases of commercial real estate related assets | (697,753 | ) | (388,951 | ) | ||||
Proceeds from sales of commercial real estate related assets | 134,538 | 11,960 | ||||||
Principal repayments on commercial real estate related assets | 478,726 | 852,381 | ||||||
Proceeds from reverse repurchase agreements | 70,016,988 | 50,280,000 | ||||||
Payments on reverse repurchase agreements | (70,313,441 | ) | (50,280,000 | ) | ||||
Distributions in excess of cumulative earnings from unconsolidated joint ventures | 5,434 | 6,160 | ||||||
Payments on purchases of residential mortgage loans held for investment | (729,917 | ) | (668,977 | ) | ||||
Proceeds from repayments of residential mortgage loans held for investment | 251,407 | 131,052 | ||||||
Payments on purchases of equity securities | — | (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 | (419,475 | ) | (5,425,782 | ) |
Cash flows from financing activities: | ||||||||
Proceeds from repurchase agreements and other secured financing | 3,866,183,872 | 2,505,995,751 | ||||||
Principal payments on repurchase agreements and other secured financing | (3,868,097,943 | ) | (2,501,952,817 | ) | ||||
Proceeds from issuance of securitized debt | 588,111 | — | ||||||
Principal repayments on securitized debt | (614,536 | ) | (334,386 | ) | ||||
Payment of deferred financing cost | — | (2,054 | ) | |||||
Net proceeds from stock offerings, direct purchases and dividend reinvestments | 1,531,690 | 1,503,013 | ||||||
Redemption of preferred stock | (412,500 | ) | (185,312 | ) | ||||
Principal payments on participation sold | — | (12,827 | ) | |||||
Principal payments on mortgages payable | (49 | ) | (54 | ) | ||||
Net contributions (distributions) from (to) noncontrolling interests | (780 | ) | (895 | ) | ||||
Dividends paid | (1,405,389 | ) | (986,074 | ) | ||||
Net cash provided by (used in) financing activities | (2,227,524 | ) | 4,024,345 | |||||
Net (decrease) increase in cash and cash equivalents | 376,158 | (671,906 | ) | |||||
Cash and cash equivalents including cash pledged as collateral, beginning of period | 706,589 | 1,539,746 | ||||||
Cash and cash equivalents including cash pledged as collateral, end of period | $ | 1,082,747 | $ | 867,840 | ||||
Supplemental disclosure of cash flow information: | ||||||||
Interest received | $ | 2,846,535 | $ | 2,460,097 | ||||
Dividends received | $ | 5,448 | $ | 3,774 | ||||
Interest paid (excluding interest paid on interest rate swaps) | $ | 1,159,384 | $ | 693,983 | ||||
Net interest paid (received) on interest rate swaps | $ | (243,946 | ) | $ | 264,965 | |||
Taxes paid | $ | 86 | $ | 2,612 | ||||
Noncash investing activities: | ||||||||
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 | $ | (2,696,936 | ) | $ | 445,744 | |||
Noncash financing activities: | ||||||||
Dividends declared, not yet paid | $ | 102,811 | $ | 326,425 |
ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES CONSOLIDATED STATEMENTS OF CASH FLOWS | |||||||
(dollars in thousands) | |||||||
For The Six Months Ended June 30, | |||||||
2019 | 2018 | ||||||
Cash flows from operating activities | |||||||
Net income (loss) | $ | (2,625,664 | ) | $ | 1,923,591 | ||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities | |||||||
Amortization of premiums and discounts of investments, net | 569,406 | 289,693 | |||||
Amortization of securitized debt premiums and discounts and deferred financing costs | (11,020 | ) | (202 | ) | |||
Depreciation, amortization and other noncash expenses | 16,538 | 12,907 | |||||
Net (gains) losses on disposals of investments | 132,249 | 52,649 | |||||
Net (gains) losses on investments and derivatives | 2,245,397 | (1,207,835 | ) | ||||
Income from unconsolidated joint ventures | 2,681 | 5,067 | |||||
Loan loss provision | 5,703 | — | |||||
Payments on purchases of loans held for sale | (134,504 | ) | (110,350 | ) | |||
Proceeds from sales and repayments of loans held for sale | 113,835 | 46,721 | |||||
Net receipts (payments) on derivatives | (2,051,618 | ) | 1,286,408 | ||||
Net change in | |||||||
Other assets | (20,707 | ) | (98,456 | ) | |||
Interest receivable | (75,283 | ) | 759 | ||||
Interest payable | 120,399 | 225,371 | |||||
Other liabilities | 26,498 | (136,273 | ) | ||||
Net cash provided by (used in) operating activities | (1,686,090 | ) | 2,290,050 | ||||
Cash flows from investing activities | |||||||
Payments on purchases of Residential Securities | (43,574,404 | ) | (7,309,307 | ) | |||
Proceeds from sales of Residential Securities | 13,096,706 | 3,365,971 | |||||
Principal payments on Residential Securities | 6,062,830 | 5,664,811 | |||||
Payments on purchases of MSRs | — | (381 | ) | ||||
Payments on purchases of corporate debt | (250,247 | ) | (464,496 | ) | |||
Proceeds from sales of corporate debt | 235,131 | — | |||||
Principal payments on corporate debt | 87,242 | 226,723 | |||||
Originations and purchases of commercial real estate investments | (438,218 | ) | (358,179 | ) | |||
Proceeds from sales of commercial real estate investments | 193,846 | 28,079 | |||||
Principal repayments on commercial real estate investments | 1,570,693 | 395,325 | |||||
Proceeds from sales of real estate | 6,661 | — | |||||
Proceeds from reverse repurchase agreements | 59,546,512 | 41,248,786 | |||||
Payments on reverse repurchase agreements | (58,896,472 | ) | (41,508,548 | ) | |||
Distributions in excess of cumulative earnings from unconsolidated joint ventures | 256 | 4,133 | |||||
Payments on purchases of residential mortgage loans held for investment | (972,812 | ) | (373,051 | ) | |||
Proceeds from repayments of residential mortgage loans held for investment | 316,406 | 153,722 | |||||
Net cash provided by (used in) investing activities | (23,015,870 | ) | 1,073,588 | ||||
Cash flows from financing activities | |||||||
Proceeds from repurchase agreements and other secured financing | 2,807,924,726 | 2,727,664,289 | |||||
Principal payments on repurchase agreements and other secured financing | (2,783,914,681 | ) | (2,729,676,977 | ) | |||
Proceeds from issuances of securitized debt | 1,614,580 | 279,203 | |||||
Principal repayments on securitized debt | (1,497,815 | ) | (488,335 | ) | |||
Payment of deferred financing cost | (4,524 | ) | — | ||||
Net proceeds from stock offerings, direct purchases and dividend reinvestments | 1,787,879 | 461,044 | |||||
Redemptions of preferred stock | (55,000 | ) | (412,500 | ) | |||
Principal payments on mortgages payable | (12,475 | ) | — | ||||
Net contributions (distributions) from (to) noncontrolling interests | (779 | ) | (706 | ) | |||
Dividends paid | (893,389 | ) | (760,916 | ) | |||
Net cash provided by (used in) financing activities | 24,948,522 | (2,934,898 | ) | ||||
Net (decrease) increase in cash and cash equivalents | $ | 246,562 | $ | 428,740 | |||
Cash and cash equivalents including cash pledged as collateral, beginning of period | 1,735,749 | 706,589 | |||||
Cash and cash equivalents including cash pledged as collateral, end of period | $ | 1,982,311 | $ | 1,135,329 | |||
Supplemental disclosure of cash flow information | |||||||
Interest received | $ | 2,296,054 | $ | 1,879,931 | |||
Dividends received | $ | 4,186 | $ | 3,355 | |||
Interest paid (excluding interest paid on interest rate swaps) | $ | 1,277,824 | $ | 740,186 | |||
Net interest paid on interest rate swaps | $ | (190,108 | ) | $ | (141,772 | ) | |
Taxes received (paid) | $ | 204 | $ | 136 | |||
Noncash investing activities | |||||||
Receivable for unsettled trades | $ | 5,322 | $ | 21,728 | |||
Payable for unsettled trades | $ | 620,784 | $ | 1,108,834 | |||
Net change in unrealized gains (losses) on available-for-sale securities, net of reclassification adjustment | $ | 3,344,868 | $ | (2,308,427 | ) | ||
Noncash financing activities | |||||||
Dividends declared, not yet paid | $ | 364,066 | $ | 349,300 | |||
ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED) |
1. DESCRIPTION OF BUSINESS |
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. |
2. BASIS OF PRESENTATION |
3. SIGNIFICANT ACCOUNTING POLICIES |
Standard | Description | Effective Date | Effect on the Financial Statements or Other Significant Matters | |
Standards that are not yet adopted | ||||
ASU 2016-13 Financial | This ASU updates the existing incurred loss model to a current expected credit loss (“CECL”) model for financial assets and net investments in leases that are not accounted for at fair value through earnings. The amendments affect certain loans, held-to-maturity debt securities, trade receivables, net investments in leases, off-balance sheet credit exposures and any other financial assets not excluded from the scope. There are also limited amendments to the impairment model for available-for-sale debt securities. | January 1, 2020 (early adoption permitted) | The Company | |
securities portfolio. | ||||
Standard | Description | Effective Date | Effect on the Financial Statements or Other Significant Matters | |
Standards that were adopted | ||||
ASU 2017-01 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 | This update provides specific guidance on certain cash flow classification issues, including classification of cash receipts and payments that have aspects of more than one class of cash flows. If cash flows cannot be separated by source or use, the appropriate classification should depend on the activity that is likely to be the predominant source or use of cash flows. | January 1, 2018 | As a result of adopting this standard, the Company reclassified its cash flows on reverse repurchase and repurchase agreements entered into by Arcola Securities, Inc. (“Arcola”) from operating activities to investing and financing activities, respectively, in the Consolidated Statements of Cash Flows. The Company applied the retrospective transition method, which resulted in reclassification of comparative periods. |
4. FINANCIAL INSTRUMENTS |
Financial Instruments (1) | |||||||||
Balance Sheet Line Item | Type / Form | Measurement Basis | June 30, 2019 | December 31, 2018 | |||||
Assets | (dollars in thousands) | ||||||||
Securities | Agency mortgage-backed securities (2) | Fair value, with unrealized gains (losses) through other comprehensive income | $ | 117,336,519 | $ | 89,840,322 | |||
Securities | Agency mortgage-backed securities (3) | Fair value, with unrealized gains (losses) through earnings | 865,521 | 912,673 | |||||
Securities | Credit risk transfer securities | Fair value, with unrealized gains (losses) through earnings | 491,969 | 552,097 | |||||
Securities | Non-agency mortgage-backed securities | Fair value, with unrealized gains (losses) through earnings | 1,097,752 | 1,161,938 | |||||
Securities | Commercial real estate debt investments - CMBS | Fair value, with unrealized gains (losses) through other comprehensive income | 63,968 | 138,242 | |||||
Securities | Commercial real estate debt investments - CMBS (4) | Fair value, with unrealized gains (losses) through earnings | 71,140 | 18,516 | |||||
Total securities | 119,926,869 | 92,623,788 | |||||||
Loans, net | Residential mortgage loans | Fair value, with unrealized gains (losses) through earnings | 1,061,124 | 1,359,806 | |||||
Loans, net | Commercial real estate debt and preferred equity, held for investment | Amortized cost | 623,705 | 1,296,803 | |||||
Loans, net | Commercial loans held for sale, net | Lower of amortized cost or fair value | 41,896 | 42,184 | |||||
Loans, net | Corporate debt, held for investment | Amortized cost | 1,792,837 | 1,887,182 | |||||
Loans, net | Corporate debt held for sale, net | Lower of amortized cost or fair value | 26,906 | — | |||||
Total loans, net | 3,546,468 | 4,585,975 | |||||||
Assets transferred or pledged to securitization vehicles | Residential mortgage loans | Fair value, with unrealized gains (losses) through earnings | 2,106,981 | 1,094,831 | |||||
Assets transferred or pledged to securitization vehicles | Commercial mortgage loans | Fair value, with unrealized gains (losses) through earnings | 1,314,701 | 2,738,369 | |||||
Assets transferred or pledged to securitization vehicles | Commercial mortgage loans | Amortized cost | 789,900 | — | |||||
Total assets transferred or pledged to securitization vehicles | 4,211,582 | 3,833,200 | |||||||
Reverse repurchase agreements | Reverse repurchase agreements | Amortized cost | — | 650,040 | |||||
Liabilities | |||||||||
Repurchase agreements | Repurchase agreements | Amortized cost | 105,181,241 | 81,115,874 | |||||
Other secured financing | Loans | Amortized cost | 4,127,989 | 4,183,311 | |||||
Debt issued by securitization vehicles | Securities | Fair value, with unrealized gains (losses) through earnings | 3,470,168 | 3,347,062 | |||||
Mortgages payable | Loans | Amortized cost | 498,772 | 511,056 | |||||
(1) Receivable for unsettled trades, Interest receivable, Payable for unsettled trades, Interest payable and Dividends payable are accounted for at cost. (2) Includes Agency pass-through, collateralized mortgage obligation (“CMO”) and multifamily securities. (3) Includes interest-only securities and reverse mortgages. (4) Includes conduit CMBS. |
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 |
5. SECURITIES |
Residential Securities | Commercial Securities | Total | |||||||||
(dollars in thousands) | |||||||||||
Beginning balance January 1, 2019 | $ | 92,467,030 | $ | 156,758 | $ | 92,623,788 | |||||
Purchases | 50,015,524 | 107,718 | 50,123,242 | ||||||||
Sales | (19,548,899 | ) | (92,366 | ) | (19,641,265 | ) | |||||
Principal paydowns | (6,062,713 | ) | (43,105 | ) | (6,105,818 | ) | |||||
(Amortization) / accretion | (566,071 | ) | 349 | (565,722 | ) | ||||||
Fair value adjustment | 3,486,890 | 5,754 | 3,492,644 | ||||||||
Ending balance June 30, 2019 | $ | 119,791,761 | $ | 135,108 | $ | 119,926,869 | |||||
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 |
June 30, 2019 | |||||||||||||||||||||||||||
Principal / Notional | Remaining Premium | Remaining Discount | Amortized Cost | Unrealized Gains | Unrealized Losses | Estimated Fair Value | |||||||||||||||||||||
Agency | (dollars in thousands) | ||||||||||||||||||||||||||
Fixed-rate pass-through | $ | 105,780,191 | $ | 4,540,458 | $ | (39,619 | ) | $ | 110,281,030 | $ | 1,584,896 | $ | (343,418 | ) | $ | 111,522,508 | |||||||||||
Adjustable-rate pass-through | 3,260,731 | 167,235 | (1,416 | ) | 3,426,550 | 10,032 | (70,286 | ) | 3,366,296 | ||||||||||||||||||
CMO | 10,156 | 47 | — | 10,203 | 281 | — | 10,484 | ||||||||||||||||||||
Interest-only | 5,175,612 | 1,016,856 | — | 1,016,856 | 3,223 | (192,330 | ) | 827,749 | |||||||||||||||||||
Multifamily | 2,242,153 | 19,191 | (2,499 | ) | 2,258,845 | 178,386 | — | 2,437,231 | |||||||||||||||||||
Reverse mortgages | 34,320 | 3,861 | — | 38,181 | — | (409 | ) | 37,772 | |||||||||||||||||||
Total agency securities | $ | 116,503,163 | $ | 5,747,648 | $ | (43,534 | ) | $ | 117,031,665 | $ | 1,776,818 | $ | (606,443 | ) | $ | 118,202,040 | |||||||||||
Residential credit | |||||||||||||||||||||||||||
CRT (1) | $ | 481,758 | $ | 19,561 | $ | (2,406 | ) | $ | 483,988 | $ | 10,817 | $ | (2,836 | ) | $ | 491,969 | |||||||||||
Alt-A | 204,398 | 341 | (30,027 | ) | 174,712 | 16,847 | (71 | ) | 191,488 | ||||||||||||||||||
Prime | 257,216 | 1,157 | (19,093 | ) | 239,280 | 17,389 | (189 | ) | 256,480 | ||||||||||||||||||
Prime interest-only | 188,979 | 2,407 | — | 2,407 | — | (162 | ) | 2,245 | |||||||||||||||||||
Subprime | 439,485 | 2,854 | (59,535 | ) | 382,804 | 41,809 | (143 | ) | 424,470 | ||||||||||||||||||
NPL/RPL | 8,431 | — | (15 | ) | 8,416 | 20 | — | 8,436 | |||||||||||||||||||
Prime jumbo (>=2010 vintage) | 204,020 | 1,069 | (4,369 | ) | 200,720 | 5,054 | — | 205,774 | |||||||||||||||||||
Prime jumbo (>=2010 vintage) Interest-only | 611,050 | 9,730 | — | 9,730 | 386 | (1,257 | ) | 8,859 | |||||||||||||||||||
Total residential credit securities | $ | 2,395,337 | $ | 37,119 | $ | (115,445 | ) | $ | 1,502,057 | $ | 92,322 | $ | (4,658 | ) | $ | 1,589,721 | |||||||||||
Total Residential Securities | $ | 118,898,500 | $ | 5,784,767 | $ | (158,979 | ) | $ | 118,533,722 | $ | 1,869,140 | $ | (611,101 | ) | $ | 119,791,761 | |||||||||||
Commercial | |||||||||||||||||||||||||||
Commercial Securities | $ | 136,666 | $ | 349 | $ | (8,460 | ) | $ | 128,555 | $ | 6,553 | $ | — | $ | 135,108 | ||||||||||||
Total securities | $ | 119,035,166 | $ | 5,785,116 | $ | (167,439 | ) | $ | 118,662,277 | $ | 1,875,693 | $ | (611,101 | ) | $ | 119,926,869 | |||||||||||
December 31, 2018 | |||||||||||||||||||||||||||
Principal / Notional | Remaining Premium | Remaining Discount | Amortized Cost | Unrealized Gains | Unrealized Losses | Estimated Fair Value | |||||||||||||||||||||
Agency | (dollars in thousands) | ||||||||||||||||||||||||||
Fixed-rate pass-through | $ | 81,144,650 | $ | 3,810,808 | $ | (36,987 | ) | $ | 84,918,471 | $ | 264,443 | $ | (2,130,362 | ) | $ | 83,052,552 | |||||||||||
Adjustable-rate pass-through | 4,835,983 | 247,981 | (1,337 | ) | 5,082,627 | 7,127 | (151,770 | ) | 4,937,984 | ||||||||||||||||||
CMO | 11,113 | 53 | — | 11,166 | 55 | — | 11,221 | ||||||||||||||||||||
Interest-only | 6,007,008 | 1,179,855 | — | 1,179,855 | 1,446 | (307,412 | ) | 873,889 | |||||||||||||||||||
Multifamily | 1,802,292 | 12,329 | (5,332 | ) | 1,809,289 | 32,753 | (3,477 | ) | 1,838,565 | ||||||||||||||||||
Reverse mortgages | 34,650 | 4,175 | — | 38,825 | 69 | (110 | ) | 38,784 | |||||||||||||||||||
Total agency investments | $ | 93,835,696 | $ | 5,255,201 | $ | (43,656 | ) | $ | 93,040,233 | $ | 305,893 | $ | (2,593,131 | ) | $ | 90,752,995 | |||||||||||
Residential credit | |||||||||||||||||||||||||||
CRT | $ | 542,374 | $ | 28,444 | $ | (15,466 | ) | $ | 555,352 | $ | 7,879 | $ | (11,134 | ) | $ | 552,097 | |||||||||||
Alt-A | 202,889 | 349 | (31,238 | ) | 172,000 | 10,559 | (198 | ) | 182,361 | ||||||||||||||||||
Prime | 353,108 | 2,040 | (23,153 | ) | 331,995 | 12,821 | (830 | ) | 343,986 | ||||||||||||||||||
Subprime | 423,166 | 1,776 | (65,005 | ) | 359,937 | 35,278 | (594 | ) | 394,621 | ||||||||||||||||||
NPL/RPL | 3,431 | — | (30 | ) | 3,401 | 37 | — | 3,438 | |||||||||||||||||||
Prime jumbo (>=2010 vintage) | 225,567 | 1,087 | (4,691 | ) | 221,963 | 1,439 | (2,744 | ) | 220,658 | ||||||||||||||||||
Prime jumbo (>=2010 vintage) Interest-only | 860,085 | 12,820 | — | 12,820 | 4,054 | — | 16,874 | ||||||||||||||||||||
Total residential credit securities | $ | 2,610,620 | $ | 46,516 | $ | (139,583 | ) | $ | 1,657,468 | $ | 72,067 | $ | (15,500 | ) | $ | 1,714,035 | |||||||||||
Total Residential Securities | $ | 96,446,316 | $ | 5,301,717 | $ | (183,239 | ) | $ | 94,697,701 | $ | 377,960 | $ | (2,608,631 | ) | $ | 92,467,030 | |||||||||||
Commercial | |||||||||||||||||||||||||||
Commercial Securities | $ | 155,921 | $ | 9,778 | $ | (9,740 | ) | $ | 155,959 | $ | 1,659 | $ | (860 | ) | $ | 156,758 | |||||||||||
Total securities | $ | 96,602,237 | $ | 5,311,495 | $ | (192,979 | ) | $ | 94,853,660 | $ | 379,619 | $ | (2,609,491 | ) | $ | 92,623,788 | |||||||||||
(1) | Principal/Notional amount includes $14.9 million of a CRT interest-only security as of June 30, 2019. |
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 |
June 30, 2019 | December 31, 2018 | ||||||
Investment Type | (dollars in thousands) | ||||||
Fannie Mae | $ | 75,009,975 | $ | 60,270,432 | |||
Freddie Mac | 43,049,088 | 30,397,556 | |||||
Ginnie Mae | 142,977 | 85,007 | |||||
Total | $ | 118,202,040 | $ | 90,752,995 | |||
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 | June 30, 2019 | December 31, 2018 | ||||||||||||||||||||||||||||
Estimated Fair Value | Amortized Cost | Estimated Fair Value | Amortized Cost | Estimated Fair Value | Amortized Cost | Estimated Fair Value | Amortized Cost | ||||||||||||||||||||||||
Weighted Average Life | (dollars in thousands) | ||||||||||||||||||||||||||||||
Estimated weighted average life | (dollars in thousands) | ||||||||||||||||||||||||||||||
Less than one year | $ | 19,335 | $ | 19,339 | $ | 471,977 | $ | 476,538 | $ | 19,692 | $ | 19,917 | $ | 13,447 | $ | 13,670 | |||||||||||||||
Greater than one year through five years | 10,442,022 | 10,737,675 | 13,838,890 | 13,925,749 | 43,936,556 | 43,160,455 | 11,710,172 | 11,928,973 | |||||||||||||||||||||||
Greater than five years through ten years | 79,260,878 | 83,003,720 | 77,273,833 | 78,431,852 | 75,675,118 | 75,202,911 | 80,202,479 | 82,218,464 | |||||||||||||||||||||||
Greater than ten years | 1,429,881 | 1,461,134 | 716,121 | 708,363 | 160,395 | 150,439 | 540,932 | 536,594 | |||||||||||||||||||||||
Total | $ | 91,152,116 | $ | 95,221,868 | $ | 92,300,821 | $ | 93,542,502 | $ | 119,791,761 | $ | 118,533,722 | $ | 92,467,030 | $ | 94,697,701 | |||||||||||||||
June 30, 2019 | December 31, 2018 | ||||||||||||||||||||
Estimated Fair Value (1) | Gross Unrealized Losses (1) | Number of Securities (1) | Estimated Fair Value (1) | Gross Unrealized Losses (1) | Number of Securities (1) | ||||||||||||||||
(dollars in thousands) | |||||||||||||||||||||
Less than 12 months | $ | 31,909,281 | $ | (413,704 | ) | 1,030 | $ | 22,418,036 | $ | (432,352 | ) | 713 | |||||||||
12 Months or more | — | — | — | 43,134,843 | (1,853,257 | ) | 1,476 | ||||||||||||||
Total | $ | 31,909,281 | $ | (413,704 | ) | 1,030 | $ | 65,552,879 | $ | (2,285,609 | ) | 2,189 | |||||||||
(1) Excludes interest-only mortgage-backed securities and reverse mortgages. |
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 |
6. LOANS |
Residential | Commercial | Corporate | Total | ||||||||||||
(dollars in thousands) | |||||||||||||||
Beginning balance January 1, 2019 | $ | 1,359,806 | $ | 1,338,987 | $ | 1,887,182 | $ | 4,585,975 | |||||||
Purchases | 1,111,264 | 228,379 | 250,492 | 1,590,135 | |||||||||||
Sales and transfers (1) | (1,297,622 | ) | (834,492 | ) | (237,138 | ) | (2,369,252 | ) | |||||||
Principal payments | (113,660 | ) | (63,167 | ) | (87,242 | ) | (264,069 | ) | |||||||
Gains / (losses) | 2,211 | (5,703 | ) | 3,635 | 143 | ||||||||||
(Amortization) / accretion | (875 | ) | 1,597 | 2,814 | 3,536 | ||||||||||
Ending balance June 30, 2019 | $ | 1,061,124 | $ | 665,601 | $ | 1,819,743 | $ | 3,546,468 | |||||||
(1) Includes securitizations, syndications and transfers to securitization vehicles. |
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, 2019 | December 31, 2018 | |||||
(dollars in thousands) | ||||||
Fair value | $ | 3,168,105 | $ | 2,454,637 | ||
Unpaid principal balance | $ | 3,076,415 | $ | 2,425,657 |
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 |
For the Three Months Ended | For the Six Months Ended | ||||||||||||||
June 30, 2019 | June 30, 2018 | June 30, 2019 | June 30, 2018 | ||||||||||||
(dollars in thousands) | |||||||||||||||
Interest income | $ | 35,025 | $ | 15,784 | $ | 65,016 | $ | 29,279 | |||||||
Net gains (losses) on disposal of investments | (4,605 | ) | (3,191 | ) | (9,828 | ) | (4,949 | ) | |||||||
Net unrealized gains (losses) on instruments measured at fair value through earnings | 25,891 | (1,305 | ) | 43,712 | (11,169 | ) | |||||||||
Total included in net income (loss) | $ | 56,311 | $ | 11,288 | $ | 98,900 | $ | 13,161 | |||||||
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 |
Geographic Concentrations of Residential Mortgage Loans | ||||
June 30, 2019 | December 31, 2018 | |||
Property location | % of Balance | Property location | % of Balance | |
California | 52.5% | California | 53.7% | |
New York | 10.1% | Florida | 7.1% | |
Florida | 6.2% | New York | 6.6% | |
All other (none individually greater than 5%) | 31.2% | All other (none individually greater than 5%) | 32.6% | |
Total | 100.0% | 100.0% | ||
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 | June 30, 2019 | December 31, 2018 | ||||||||||||
Portfolio Range | Portfolio Weighted Average | Portfolio Range | Portfolio Weighted Average | Portfolio Range | Portfolio Weighted Average | Portfolio Range | Portfolio Weighted Average | ||||||||
(dollars in thousands) | (dollars in thousands) | ||||||||||||||
Unpaid principal balance | $1 - $3,500 | $494 | $1 - $3,663 | $514 | $0 - $3,448 | $455 | $0 - $3,500 | $457 | |||||||
Interest rate | 2.00% - 7.50% | 4.74% | 1.63% - 7.50% | 4.25% | 2.00% - 9.25% | 5.07% | 2.00% - 7.75% | 4.72% | |||||||
Maturity | 1/1/2028 - 9/1/2058 | 1/5/2045 | 1/1/2028 - 5/1/2057 | 2/1/2043 | 1/1/2028 - 5/1/2059 | 11/4/2046 | 1/1/2028 - 11/1/2058 | 1/11/2046 | |||||||
FICO score at loan origination | 510 - 823 | 754 | 468 - 823 | 748 | 505 - 823 | 753 | 505 - 823 | 752 | |||||||
Loan-to-value ratio at loan origination | 11% - 100% | 67% | 11% - 100% | 68% | 8% - 116% | 67% | 8% - 111% | 68% |
June 30, 2019 | December 31, 2018 | ||||||||||||||||||||
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 | $ | 351,907 | $ | 350,398 | 24.6 | % | $ | 988,248 | $ | 981,202 | 75.6 | % | |||||||||
Senior securitized mortgages (3) | 795,052 | 789,900 | 55.6 | % | — | — | — | % | |||||||||||||
Mezzanine loans | 282,955 | 273,307 | 19.8 | % | 319,663 | 315,601 | 24.4 | % | |||||||||||||
Total | $ | 1,429,914 | $ | 1,413,605 | 100.0 | % | $ | 1,307,911 | $ | 1,296,803 | 100.0 | % | |||||||||
(1) | Carrying value includes unamortized origination fees of $7.1 million and $7.6 million at June 30, 2019 and December 31, 2018, respectively. |
(2) | Based on outstanding principal. |
(3) | Assets of a consolidated VIE. |
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 | % |
June 30, 2019 | June 30, 2019 | ||||||||||||||||||||||||||||||
September 30, 2018 | Senior Mortgages | Senior Securitized Mortgages (1) | Mezzanine Loans | Total | |||||||||||||||||||||||||||
Senior Mortgages | Mezzanine Loans | Preferred Equity | Total | (dollars in thousands) | |||||||||||||||||||||||||||
(dollars in thousands) | |||||||||||||||||||||||||||||||
Beginning balance (January 1, 2018) | $ | 625,900 | $ | 394,442 | $ | 8,985 | $ | 1,029,327 | |||||||||||||||||||||||
Net carrying value (January 1, 2019) | $ | 981,202 | $ | — | $ | 315,601 | $ | 1,296,803 | |||||||||||||||||||||||
Originations & advances (principal) | 489,271 | 45,334 | — | 534,605 | 210,551 | 840,052 | 19,185 | 1,069,788 | |||||||||||||||||||||||
Principal payments | (27,565 | ) | (96,993 | ) | — | (124,558 | ) | (15,663 | ) | (45,000 | ) | (47,218 | ) | (107,881 | ) | ||||||||||||||||
Transfers | (831,229 | ) | — | (8,675 | ) | (839,904 | ) | ||||||||||||||||||||||||
Net (increase) decrease in origination fees | (5,400 | ) | (370 | ) | — | (5,770 | ) | 4,240 | (6,564 | ) | (184 | ) | (2,508 | ) | |||||||||||||||||
Amortization of net origination fees | 1,961 | 287 | 13 | 2,261 | 1,297 | 1,412 | 301 | 3,010 | |||||||||||||||||||||||
Net carrying value (September 30, 2018) | $ | 1,084,167 | $ | 342,700 | $ | 8,998 | $ | 1,435,865 | |||||||||||||||||||||||
Allowance for loan losses | — | — | (5,703 | ) | (5,703 | ) | |||||||||||||||||||||||||
Net carrying value (June 30, 2019) | $ | 350,398 | $ | 789,900 | $ | 273,307 | $ | 1,413,605 | |||||||||||||||||||||||
December 31, 2018 | |||||||||||||||
Senior Mortgages | Mezzanine Loans | Preferred Equity | Total | ||||||||||||
(dollars in thousands) | |||||||||||||||
Net carrying value (January 1, 2018) | $ | 625,900 | $ | 394,442 | $ | 8,985 | $ | 1,029,327 | |||||||
Originations & advances (principal) | 575,953 | 52,224 | — | 628,177 | |||||||||||
Principal payments | (216,849 | ) | (127,575 | ) | (9,000 | ) | (353,424 | ) | |||||||
Net (increase) decrease in origination fees | (6,624 | ) | (370 | ) | — | (6,994 | ) | ||||||||
Amortization of net origination fees | 2,822 | 376 | 15 | 3,213 | |||||||||||
Allowance for loan losses | — | (3,496 | ) | — | (3,496 | ) | |||||||||
Net carrying value (December 31, 2018) | $ | 981,202 | $ | 315,601 | $ | — | $ | 1,296,803 | |||||||
(1) Assets of a consolidated VIE. |
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 |
June 30, 2019 | ||||||||||||||||||||||||||||||||||
Internal Ratings | ||||||||||||||||||||||||||||||||||
Investment Type | Outstanding Principal | Percentage of CRE Debt and Preferred Equity Portfolio | Performing | Performing - Closely Monitored | Performing - Special Mention | Substandard (1) | Doubtful (2) | Loss | Total | |||||||||||||||||||||||||
(dollars in thousands) | ||||||||||||||||||||||||||||||||||
Senior mortgages | $ | 351,907 | 24.6 | % | $ | 221,112 | $ | 22,766 | $ | 43,639 | $ | 64,390 | $ | — | $ | — | $ | 351,907 | ||||||||||||||||
Senior securitized mortgages (3) | 795,052 | 55.6 | % | 439,395 | 203,464 | 152,193 | — | — | — | 795,052 | ||||||||||||||||||||||||
Mezzanine loans | 282,955 | 19.8 | % | 79,843 | 49,683 | 109,826 | — | 43,603 | — | 282,955 | ||||||||||||||||||||||||
Total | $ | 1,429,914 | 100.0 | % | $ | 740,350 | $ | 275,913 | $ | 305,658 | $ | 64,390 | $ | 43,603 | — | $ | 1,429,914 | |||||||||||||||||
December 31, 2018 | ||||||||||||||||||||||||||||||||||
Internal Ratings | ||||||||||||||||||||||||||||||||||
Investment Type | Outstanding Principal | Percentage of CRE Debt and Preferred Equity Portfolio | Performing | Performing - Closely Monitored | Performing - Special Mention | Substandard (1) | Doubtful (2) | Loss | Total | |||||||||||||||||||||||||
(dollars in thousands) | ||||||||||||||||||||||||||||||||||
Senior mortgages | $ | 988,248 | 75.6 | % | $ | 653,066 | $ | 215,792 | $ | 55,000 | $ | 64,390 | $ | — | $ | — | $ | 988,248 | ||||||||||||||||
Mezzanine loans | 319,663 | 24.4 | % | 140,776 | 38,884 | 96,400 | 36,603 | 7,000 | — | 319,663 | ||||||||||||||||||||||||
Total | $ | 1,307,911 | 100.0 | % | $ | 793,842 | $ | 254,676 | $ | 151,400 | $ | 100,993 | $ | 7,000 | $ | — | $ | 1,307,911 | ||||||||||||||||
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 one loan as of June 30, 2019 and two loans as |
(2) | The Company rated two loans as Doubtful and evaluated for impairment as of June 30, 2019. The Company rated one loan as Doubtful and evaluated for impairment as of December 31, 2018. The allowance for loan losses was $9.2 million and $3.5 million as of June 30, 2019 and December 31, 2018, respectively. |
(3) | Assets of a consolidated VIE. |
Industry Dispersion | |||||||||||||||||||||||
June 30, 2019 | December 31, 2018 | ||||||||||||||||||||||
Fixed Rate | Floating Rate | Total | Fixed Rate | Floating Rate | Total | ||||||||||||||||||
(dollars in thousands) | |||||||||||||||||||||||
Aircraft and parts | $ | — | $ | 41,195 | $ | 41,195 | $ | — | $ | 41,342 | $ | 41,342 | |||||||||||
Arrangement of transportation of freight & cargo | — | — | — | — | 21,632 | 21,632 | |||||||||||||||||
Coating, engraving and allied services | — | 51,625 | 51,625 | — | 57,223 | 57,223 | |||||||||||||||||
Computer programming, data processing & other computer related services | — | 331,192 | 331,192 | — | 242,185 | 242,185 | |||||||||||||||||
Drugs | — | 35,909 | 35,909 | — | 35,882 | 35,882 | |||||||||||||||||
Electrical work | — | 42,026 | 42,026 | — | 41,760 | 41,760 | |||||||||||||||||
Electronic components & accessories | — | 24,000 | 24,000 | — | 24,059 | 24,059 | |||||||||||||||||
Engineering, architectural & surveying | — | 92,486 | 92,486 | — | 80,748 | 80,748 | |||||||||||||||||
Grocery stores | — | 23,338 | 23,338 | — | 23,431 | 23,431 | |||||||||||||||||
Insurance agents, brokers and services | — | 48,361 | 48,361 | — | 48,942 | 48,942 | |||||||||||||||||
Mailing, reproduction, commercial art and photography, and stenographic | — | 14,779 | 14,779 | — | 14,843 | 14,843 | |||||||||||||||||
Management and public relations services | — | 330,459 | 330,459 | — | 487,046 | 487,046 | |||||||||||||||||
Medical and dental laboratories | — | 38,620 | 38,620 | — | 26,858 | 26,858 | |||||||||||||||||
Metal cans & shipping containers | — | 118,368 | 118,368 | — | 118,248 | 118,248 | |||||||||||||||||
Miscellaneous business services | — | 19,552 | 19,552 | — | 19,622 | 19,622 | |||||||||||||||||
Miscellaneous equipment rental and leasing | — | 49,689 | 49,689 | — | 49,552 | 49,552 | |||||||||||||||||
Miscellaneous health and allied services, not elsewhere classified | — | 75,910 | 75,910 | — | 56,003 | 56,003 | |||||||||||||||||
Miscellaneous plastic products | — | 10,000 | 10,000 | — | 9,953 | 9,953 | |||||||||||||||||
Motor vehicles and motor vehicle equipment | — | — | — | — | 16,563 | 16,563 | |||||||||||||||||
Motor vehicles and motor vehicle parts and supplies | — | 28,996 | 28,996 | — | 29,046 | 29,046 | |||||||||||||||||
Nonferrous foundries (castings) | — | 12,914 | 12,914 | — | 12,948 | 12,948 | |||||||||||||||||
Offices and clinics of doctors of medicine | — | 102,719 | 102,719 | — | 97,877 | 97,877 | |||||||||||||||||
Offices of clinics and other health practitioners | — | 20,992 | 20,992 | — | 21,100 | 21,100 | |||||||||||||||||
Public warehousing and storage | — | 82,912 | 82,912 | — | 84,278 | 84,278 | |||||||||||||||||
Research, development and testing services | — | 45,610 | 45,610 | — | 33,381 | 33,381 | |||||||||||||||||
Schools and educational services, not elsewhere classified | — | 19,678 | 19,678 | — | 19,805 | 19,805 | |||||||||||||||||
Services allied with the exchange of securities | — | — | — | — | 14,877 | 14,877 | |||||||||||||||||
Surgical, medical, and dental instruments and supplies | — | 97,113 | 97,113 | — | 96,607 | 96,607 | |||||||||||||||||
Telephone communications | — | 61,300 | 61,300 | — | 61,371 | 61,371 | |||||||||||||||||
Total | $ | — | $ | 1,819,743 | $ | 1,819,743 | $ | — | $ | 1,887,182 | $ | 1,887,182 | |||||||||||
Industry Dispersion | ||||||||||||||||||||||||
September 30, 2018 | December 31, 2017 | |||||||||||||||||||||||
Fixed Rate | Floating Rate | Total | Fixed Rate | Floating Rate | Total | |||||||||||||||||||
(dollars in thousands) | ||||||||||||||||||||||||
Aircraft and Parts | $ | — | $ | 41,344 | $ | 41,344 | $ | — | $ | 34,814 | $ | 34,814 | ||||||||||||
Coating, Engraving and Allied Services | — | 58,850 | 58,850 | — | 64,034 | 64,034 | ||||||||||||||||||
Computer Programming, Data Processing & Other Computer Related Services | — | 212,969 | 212,969 | — | 209,624 | 209,624 | ||||||||||||||||||
Drugs | — | 38,735 | 38,735 | — | 38,708 | 38,708 | ||||||||||||||||||
Electrical Work | — | 43,266 | 43,266 | — | — | — | ||||||||||||||||||
Electronic Components & Accessories | — | 24,029 | 24,029 | — | 23,916 | 23,916 | ||||||||||||||||||
Engineering, Architectural & Surveying | — | 80,741 | 80,741 | — | — | — | ||||||||||||||||||
Groceries and Related Products | — | 14,725 | 14,725 | — | 14,794 | 14,794 | ||||||||||||||||||
Grocery Stores | — | 23,461 | 23,461 | — | 23,531 | 23,531 | ||||||||||||||||||
Home Health Care Services | — | — | — | — | 23,779 | 23,779 | ||||||||||||||||||
Insurance Agents, Brokers and Services | — | 49,211 | 49,211 | — | 28,872 | 28,872 | ||||||||||||||||||
Mailing, Reproduction, Commercial Art and Photography, and Stenographic | — | 14,855 | 14,855 | — | — | — | ||||||||||||||||||
Management and Public Relations Services | — | 240,740 | 240,740 | — | 94,871 | 94,871 | ||||||||||||||||||
Medical and Dental Laboratories | — | 26,876 | 26,876 | — | 26,956 | 26,956 | ||||||||||||||||||
Metal Cans & Shipping Containers | — | 118,006 | 118,006 | — | — | — | ||||||||||||||||||
Miscellaneous Business Services | — | 19,650 | 19,650 | — | 19,723 | 19,723 | ||||||||||||||||||
Miscellaneous Equipment Rental and Leasing | — | 49,433 | 49,433 | — | 49,129 | 49,129 | ||||||||||||||||||
Miscellaneous Health and Allied Services, not elsewhere classified | — | 54,189 | 54,189 | — | 25,963 | 25,963 | ||||||||||||||||||
Miscellaneous Nonmetallic Minerals, except Fuels | — | — | — | — | 25,992 | 25,992 | ||||||||||||||||||
Miscellaneous Plastic Products | — | 9,963 | 9,963 | — | 9,879 | 9,879 | ||||||||||||||||||
Motor Vehicles and Motor Vehicle Equipment | — | 16,937 | 16,937 | — | — | — | ||||||||||||||||||
Motor Vehicles and Motor Vehicle Parts and Supplies | — | 27,979 | 27,979 | — | 12,212 | 12,212 | ||||||||||||||||||
Nonferrous Foundries (Castings) | — | 12,953 | 12,953 | — | — | — | ||||||||||||||||||
Offices and Clinics of Doctors of Medicine | — | 97,760 | 97,760 | — | 600 | 600 | ||||||||||||||||||
Offices and Clinics of Other Health Practitioners | — | 21,122 | 21,122 | — | 18,979 | 18,979 | ||||||||||||||||||
Public Warehousing and Storage | — | 61,912 | 61,912 | — | 48,890 | 48,890 | ||||||||||||||||||
Research, Development and Testing Services | — | 33,334 | 33,334 | — | 33,155 | 33,155 | ||||||||||||||||||
Schools and Educational Services, not elsewhere classified | — | 19,794 | 19,794 | — | 20,625 | 20,625 | ||||||||||||||||||
Services Allied with the Exchange of Securities | — | 14,895 | 14,895 | — | 13,960 | 13,960 | ||||||||||||||||||
Surgical, Medical, and Dental Instruments and Supplies | — | 39,806 | 39,806 | — | 29,687 | 29,687 | ||||||||||||||||||
Telephone Communications | — | 61,339 | 61,339 | — | 59,182 | 59,182 | ||||||||||||||||||
Total | $ | — | $ | 1,528,874 | $ | 1,528,874 | $ | — | $ | 1,011,275 | $ | 1,011,275 |
June 30, 2019 | December 31, 2018 | ||||||
(dollars in thousands) | |||||||
First lien loans | $ | 1,196,198 | $ | 1,346,356 | |||
Second lien loans | 623,545 | 540,826 | |||||
Total | $ | 1,819,743 | $ | 1,887,182 | |||
September 30, 2018 | December 31, 2017 | |||||||
(dollars in thousands) | ||||||||
First lien loans | $ | 888,860 | $ | 582,724 | ||||
Second lien loans | 640,014 | 428,551 | ||||||
Total | $ | 1,528,874 | $ | 1,011,275 |
7. MORTGAGE SERVICING RIGHTS |
Three Months Ended | Six Months Ended | ||||||||||||||
June 30, 2019 | June 30, 2018 | June 30, 2019 | June 30, 2018 | ||||||||||||
(dollars in thousands) | |||||||||||||||
Fair value, beginning of period | $ | 500,745 | $ | 596,378 | $ | 557,813 | $ | 580,860 | |||||||
Change in fair value due to: | |||||||||||||||
Changes in valuation inputs or assumptions (1) | (55,749 | ) | 22,578 | (98,838 | ) | 59,252 | |||||||||
Other changes, including realization of expected cash flows | (19,668 | ) | (19,942 | ) | (33,647 | ) | (41,098 | ) | |||||||
Fair value, end of period | $ | 425,328 | $ | 599,014 | $ | 425,328 | $ | 599,014 | |||||||
(1) Principally represents changes in discount rates and prepayment speed inputs used in valuation model, primarily due to changes in interest rates. |
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 |
8. VARIABLE INTEREST ENTITIES |
September 30, 2018 | |||||||||||||||||||||||
June 30, 2019 | June 30, 2019 | ||||||||||||||||||||||
Commercial Trusts | Residential Trusts | MSR Silo | Commercial Trusts | Residential Trusts | MSR Silo | ||||||||||||||||||
Assets | (dollars in thousands) | (dollars in thousands) | |||||||||||||||||||||
Cash and cash equivalents | $ | — | $ | — | $ | 28,441 | $ | — | $ | — | $ | 48,323 | |||||||||||
Commercial real estate debt | 3,521,945 | — | — | ||||||||||||||||||||
Residential mortgage loans | — | 107,764 | 97,825 | ||||||||||||||||||||
Loans | — | — | 119,746 | ||||||||||||||||||||
Assets transferred or pledged to securitization vehicles | 1,314,702 | 95,817 | — | ||||||||||||||||||||
Mortgage servicing rights | — | — | 588,833 | — | — | 425,328 | |||||||||||||||||
Interest receivable | 13,432 | 555 | — | 5,411 | 489 | — | |||||||||||||||||
Other assets | — | — | 33,522 | — | — | 26,800 | |||||||||||||||||
Total assets | $ | 3,535,377 | $ | 108,319 | $ | 748,621 | $ | 1,320,113 | $ | 96,306 | $ | 620,197 | |||||||||||
Liabilities | |||||||||||||||||||||||
Securitized debt (non-recourse) | $ | 3,240,043 | $ | 29,698 | $ | — | |||||||||||||||||
Debt issued by securitization vehicles (non-recourse) | $ | 1,191,231 | $ | 75,347 | $ | — | |||||||||||||||||
Other secured financing | — | — | 70,221 | — | — | 69,870 | |||||||||||||||||
Payable for unsettled trades | — | — | 20,330 | ||||||||||||||||||||
Interest payable | 6,383 | 70 | — | 2,000 | 179 | — | |||||||||||||||||
Other liabilities | — | 148 | 2,160 | — | 190 | 2,081 | |||||||||||||||||
Total liabilities | $ | 3,246,426 | $ | 29,916 | $ | 72,381 | $ | 1,193,231 | $ | 75,716 | $ | 92,281 | |||||||||||
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 |
December 31, 2018 | |||||||||||
Commercial Trusts | Residential Trusts | MSR Silo | |||||||||
Assets | (dollars in thousands) | ||||||||||
Cash and cash equivalents | $ | — | $ | — | $ | 30,444 | |||||
Loans | — | — | 97,464 | ||||||||
Assets transferred or pledged to securitization vehicles | 2,738,369 | 105,003 | — | ||||||||
Mortgage servicing rights | — | — | 557,813 | ||||||||
Interest receivable | 11,451 | 539 | — | ||||||||
Other assets | — | 4 | 28,756 | ||||||||
Total assets | $ | 2,749,820 | $ | 105,546 | $ | 714,477 | |||||
Liabilities | |||||||||||
Debt issued by securitization vehicles (non-recourse) | $ | 2,509,264 | $ | 71,324 | $ | — | |||||
Other secured financing | — | — | 68,385 | ||||||||
Interest payable | 4,594 | 238 | — | ||||||||
Other liabilities | — | — | 1,975 | ||||||||
Total liabilities | $ | 2,513,858 | $ | 71,562 | $ | 70,360 | |||||
Three Months Ended September 30, 2018 | ||||||||||||
Commercial Trusts | Residential Trusts | MSR Silo | ||||||||||
Net interest income: | (dollars in thousands) | |||||||||||
Interest income | $ | 36,387 | $ | 1,723 | $ | 2,678 | ||||||
Interest expense | 25,068 | 773 | 438 | |||||||||
Net interest income | 11,319 | 950 | 2,240 | |||||||||
Net realized gains (losses) on disposal of investments | — | 147 | (516 | ) | ||||||||
Net unrealized gains (losses) on instruments measured at fair value through earnings | 220 | 242 | (13,364 | ) | ||||||||
Other income (loss) | (4,217 | ) | (70 | ) | 26,866 | |||||||
Less: General and administrative expenses | — | 21 | 481 | |||||||||
Net income (loss) | $ | 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 |
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 | Residential Mortgage Loan Trusts | |||||||||||||||
Property Location | Principal Balance | % of Balance | Property Location | Principal Balance | % of Balance | |||||||||||
(dollars in thousands) | ||||||||||||||||
Texas | $ | 478,593 | 13.7 | % | California | $ | 48,718 | 44.9 | % | |||||||
Maryland | 448,646 | 12.8 | % | Texas | 13,981 | 12.9 | % | |||||||||
California | 360,279 | 10.3 | % | Illinois | 8,297 | 7.6 | % | |||||||||
Virginia | 347,002 | 9.9 | % | Washington | 7,559 | 7.0 | % | |||||||||
Pennsylvania | 281,384 | 8.1 | % | Florida | 5,424 | 5.0 | % | |||||||||
New York | 280,925 | 8.0 | % | Other (1) | 24,501 | 22.6 | % | |||||||||
North Carolina | 251,187 | 7.2 | % | |||||||||||||
Massachusetts | 179,440 | 5.1 | % | |||||||||||||
Other (1) | 867,774 | 24.9 | % | |||||||||||||
Total | $ | 3,495,230 | 100.0 | % | $ | 108,480 | 100.0 | % |
Commercial Trusts | Residential Trusts | |||||||||||||||
Property Location | Principal Balance | % of Balance | Property Location | Principal Balance | % of Balance | |||||||||||
(dollars in thousands) | ||||||||||||||||
California | $ | 492,586 | 22.7 | % | California | $ | 39,860 | 42.4 | % | |||||||
Texas | 473,786 | 21.9 | % | Texas | 13,168 | 14.0 | % | |||||||||
Florida | 143,025 | 6.6 | % | Illinois | 7,148 | 7.6 | % | |||||||||
Other (1) | 1,058,775 | 48.8 | % | Washington | 6,452 | 6.9 | % | |||||||||
Total | $ | 2,168,172 | 100.0 | % | Other (1) | 27,293 | 29.1 | % | ||||||||
Total | $ | 93,921 | 100.0 | % | ||||||||||||
(1) | No individual state greater than 5%. |
9. REAL ESTATE |
Category | Term |
Building and building improvements | 1 - 44 years |
Furniture and fixtures | 1 - 4 years |
June 30, 2019 | December 31, 2018 | ||||||
Real estate, net | (dollars in thousands) | ||||||
Land | $ | 128,114 | $ | 128,742 | |||
Buildings and improvements | 578,967 | 581,320 | |||||
Furniture, fixtures and equipment | 13,918 | 11,602 | |||||
Subtotal | 720,999 | 721,664 | |||||
Less: accumulated depreciation | (78,037 | ) | (67,026 | ) | |||
Total real estate held for investment, at amortized cost, net | 642,962 | 654,638 | |||||
Equity in unconsolidated joint ventures | 90,234 | 84,835 | |||||
Total real estate, net | $ | 733,196 | $ | 739,473 | |||
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 |
June 30, 2019 | |||
(dollars in thousands) | |||
2019 (remaining) | $ | 26,570 | |
2020 | 46,349 | ||
2021 | 45,496 | ||
2022 | 41,712 | ||
2023 | 38,888 | ||
Later years | 211,658 | ||
Total | $ | 410,673 | |
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 |
10. DERIVATIVE INSTRUMENTS |
Derivatives Instruments | September 30, 2018 | December 31, 2017 | June 30, 2019 | December 31, 2018 | ||||||||||||
Derivative Assets: | (dollars in thousands) | |||||||||||||||
Assets | (dollars in thousands) | |||||||||||||||
Interest rate swaps | $ | 97,002 | $ | 30,272 | $ | 5,440 | $ | 48,114 | ||||||||
Interest rate swaptions | 65,356 | 36,150 | 5,444 | 7,216 | ||||||||||||
TBA derivatives | 13,535 | 29,067 | 34,889 | 141,688 | ||||||||||||
Futures contracts | 221,516 | 218,361 | 20,388 | — | ||||||||||||
Purchase commitments | 189 | 35 | 3,957 | 844 | ||||||||||||
Credit derivatives (1) | 7,243 | — | 5,024 | 2,641 | ||||||||||||
$ | 404,841 | $ | 313,885 | $ | 75,142 | $ | 200,503 | |||||||||
Derivative Liabilities: | ||||||||||||||||
Liabilities | ||||||||||||||||
Interest rate swaps | $ | 311,729 | $ | 569,129 | $ | 677,295 | $ | 420,365 | ||||||||
TBA derivatives | 64,900 | 21,776 | 1,432 | — | ||||||||||||
Futures contracts | 482 | 12,285 | 363,165 | 462,309 | ||||||||||||
Purchase commitments | 797 | 157 | 896 | 33 | ||||||||||||
Credit derivatives (1) | 1,886 | 4,507 | 409 | 7,043 | ||||||||||||
$ | 379,794 | $ | 607,854 | $ | 1,043,197 | $ | 889,750 | |||||||||
(1) | The notional amount of the credit derivatives in which the Company purchased protection was |
June 30, 2019 | |||||||||||
Maturity | Current Notional (1) | Weighted Average Pay Rate | Weighted Average Receive Rate | Weighted Average Years to Maturity | |||||||
(dollars in thousands) | |||||||||||
0 - 3 years | $ | 34,092,400 | 1.82 | % | 2.44 | % | 1.37 | ||||
3 - 6 years | 12,300,800 | 2.00 | % | 2.47 | % | 4.45 | |||||
6 - 10 years | 17,122,500 | 2.52 | % | 2.51 | % | 8.79 | |||||
Greater than 10 years | 3,578,000 | 3.59 | % | 2.44 | % | 17.56 | |||||
Total / Weighted average | $ | 67,093,700 | 2.12 | % | 2.46 | % | 4.63 | ||||
December 31, 2018 | |||||||||||
Maturity | Current Notional (1) | Weighted Average Pay Rate | Weighted Average Receive Rate | Weighted Average Years to Maturity | |||||||
(dollars in thousands) | |||||||||||
0 - 3 years | $ | 31,900,200 | 1.84 | % | 2.73 | % | 1.21 | ||||
3 - 6 years | 16,603,200 | 2.29 | % | 2.70 | % | 4.30 | |||||
6 - 10 years | 18,060,900 | 2.57 | % | 2.56 | % | 8.62 | |||||
Greater than 10 years | 3,901,400 | 3.63 | % | 2.59 | % | 17.33 | |||||
Total / Weighted average | $ | 70,465,700 | 2.17 | % | 2.68 | % | 4.26 | ||||
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 |
June 30, 2019 | ||||||||||
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 | $3,200,000 | 2.87% | 3M LIBOR | 10.54 | 8.73 | |||||
December 31, 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 | $4,075,000 | 3.30% | 3M LIBOR | 10.08 | 3.06 |
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 |
June 30, 2019 | ||||||||||||||
Purchase and sale contracts for derivative TBAs | Notional | Implied Cost Basis | Implied Market Value | Net Carrying Value | ||||||||||
(dollars in thousands) | ||||||||||||||
Purchase contracts | $ | 9,469,000 | $ | 9,629,913 | $ | 9,663,370 | 33,457 | |||||||
December 31, 2018 | ||||||||||||||
Purchase and sale contracts for derivative TBAs | Notional | Implied Cost Basis | Implied Market Value | Net Carrying Value | ||||||||||
(dollars in thousands) | ||||||||||||||
Purchase contracts | $ | 13,803,000 | $ | 13,823,109 | $ | 13,964,797 | 141,688 |
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 |
June 30, 2019 | |||||||||
Notional - Long Positions | Notional - Short Positions | Weighted Average Years to Maturity | |||||||
(dollars in thousands) | |||||||||
U.S. Treasury futures - 2 year | $ | — | $ | (2,872,400 | ) | 1.94 | |||
U.S. Treasury futures - 5 year | — | (7,716,500 | ) | 4.39 | |||||
U.S. Treasury futures - 10 year and greater | 900,000 | (8,430,900 | ) | 7.75 | |||||
Total | $ | 900,000 | $ | (19,019,800 | ) | 5.61 | |||
December 31, 2018 | |||||||||
Notional - Long Positions | Notional - Short Positions | Weighted Average Years to Maturity | |||||||
(dollars in thousands) | |||||||||
U.S. Treasury futures - 2 year | $ | — | $ | (1,166,000 | ) | 1.97 | |||
U.S. Treasury futures - 5 year | — | (6,359,400 | ) | 4.39 | |||||
U.S. Treasury futures - 10 year and greater | — | (11,152,600 | ) | 7.10 | |||||
Total | $ | — | $ | (18,678,000 | ) | 5.86 | |||
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 |
June 30, 2019 | |||||||||||||||
Amounts Eligible for Offset | |||||||||||||||
Gross Amounts | Financial Instruments | Cash Collateral | Net Amounts | ||||||||||||
Assets | (dollars in thousands) | ||||||||||||||
Interest rate swaps, at fair value | $ | 5,440 | $ | (4,884 | ) | $ | — | $ | 556 | ||||||
Interest rate swaptions, at fair value | 5,444 | — | — | 5,444 | |||||||||||
TBA derivatives, at fair value | 34,889 | (1,432 | ) | — | 33,457 | ||||||||||
Futures contracts, at fair value | 20,388 | (20,388 | ) | — | — | ||||||||||
Purchase commitments | 3,957 | — | — | 3,957 | |||||||||||
Credit derivatives | 5,024 | (409 | ) | — | 4,615 | ||||||||||
Liabilities | |||||||||||||||
Interest rate swaps, at fair value | $ | 677,295 | $ | (4,884 | ) | $ | (96,549 | ) | $ | 575,862 | |||||
TBA derivatives, at fair value | 1,432 | (1,432 | ) | — | — | ||||||||||
Futures contracts, at fair value | 363,165 | (20,388 | ) | (342,777 | ) | — | |||||||||
Purchase commitments | 896 | — | — | 896 | |||||||||||
Credit derivatives | 409 | (409 | ) | — | — | ||||||||||
December 31, 2018 | |||||||||||||||
Amounts Eligible for Offset | |||||||||||||||
Gross Amounts | Financial Instruments | Cash Collateral | Net Amounts | ||||||||||||
Assets | (dollars in thousands) | ||||||||||||||
Interest rate swaps, at fair value | $ | 48,114 | $ | (29,308 | ) | $ | — | $ | 18,806 | ||||||
Interest rate swaptions, at fair value | 7,216 | — | — | 7,216 | |||||||||||
TBA derivatives, at fair value | 141,688 | — | — | 141,688 | |||||||||||
Purchase commitments | 844 | — | — | 844 | |||||||||||
Credit derivatives | 2,641 | (2,641 | ) | — | — | ||||||||||
Liabilities | |||||||||||||||
Interest rate swaps, at fair value | $ | 420,365 | $ | (29,308 | ) | $ | (11,856 | ) | $ | 379,201 | |||||
Futures contracts, at fair value | 462,309 | — | (462,309 | ) | — | ||||||||||
Purchase commitments | 33 | — | — | 33 | |||||||||||
Credit derivatives | 7,043 | (2,641 | ) | (4,402 | ) | — |
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 of Interest Rate Swaps | Unrealized Gains (Losses) on Interest Rate Swaps | |||||||||
For the three months ended | (dollars in thousands) | ||||||||||
June 30, 2019 | $ | 83,653 | $ | (167,491 | ) | $ | (1,276,019 | ) | |||
June 30, 2018 | $ | 31,475 | $ | — | $ | 343,475 | |||||
For the six months ended | |||||||||||
June 30, 2019 | $ | 217,688 | $ | (755,747 | ) | $ | (1,666,575 | ) | |||
June 30, 2018 | $ | (16,685 | ) | $ | 834 | $ | 1,320,760 |
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 June 30, 2019 | |||||||||||
Derivative Instruments | Realized Gain (Loss) | Unrealized Gain (Loss) | Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives | ||||||||
(dollars in thousands) | |||||||||||
Net TBA derivatives | $ | 174,221 | $ | (68,291 | ) | $ | 105,930 | ||||
Net interest rate swaptions | (11,317 | ) | (7,178 | ) | (18,495 | ) | |||||
Futures | (514,441 | ) | (82,779 | ) | (597,220 | ) | |||||
Purchase commitments | — | 1,106 | 1,106 | ||||||||
Credit derivatives | 1,199 | 1,069 | 2,268 | ||||||||
Total | $ | (506,411 | ) | ||||||||
Three Months Ended June 30, 2018 | |||||||||||
Derivative Instruments | Realized Gain (Loss) | Unrealized Gain (Loss) | Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives | ||||||||
(dollars in thousands) | |||||||||||
Net TBA derivatives | $ | (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 September 30, 2018 | |||||||||||||||||||||||
Six Months Ended June 30, 2019 | Six Months Ended June 30, 2019 | ||||||||||||||||||||||
Derivative Instruments | Realized Gains (Losses) | Unrealized Gains (Losses) | Amount of Gains (Losses) Recognized in Net Gains (Losses) on Other Derivatives | Realized Gain (Loss) | Unrealized Gain (Loss) | Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives | (dollars in thousands) | ||||||||||||||||
Net TBA derivatives | $ | 8,569 | $ | (85,741 | ) | $ | (77,172 | ) | $ | 387,946 | $ | (108,231 | ) | $ | 279,715 | ||||||||
Net interest rate swaptions | (28,754 | ) | (17,663 | ) | (46,417 | ) | (41,309 | ) | 12,506 | (28,803 | ) | ||||||||||||
Futures | (114,317 | ) | 327,787 | 213,470 | (1,006,182 | ) | 119,533 | (886,649 | ) | ||||||||||||||
Purchase commitments | — | (841 | ) | (841 | ) | — | 2,251 | 2,251 | |||||||||||||||
Credit derivatives | 3,096 | 1,676 | 4,772 | 3,501 | 8,415 | 11,916 | |||||||||||||||||
Total | $ | 93,812 | $ | (621,570 | ) | ||||||||||||||||||
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 | |||||||||||||||||||||||
Six Months Ended June 30, 2018 | 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 | Realized Gain (Loss) | Unrealized Gain (Loss) | Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives | (dollars in thousands) | ||||||||||||||||
Net TBA derivatives | $ | (299,560 | ) | $ | (56,701 | ) | $ | (356,261 | ) | $ | (308,127 | ) | $ | 29,039 | $ | (279,088 | ) | ||||||
Net interest rate swaptions | (85,854 | ) | 53,557 | (32,297 | ) | (57,100 | ) | 71,220 | 14,120 | ||||||||||||||
Futures | 443,314 | 14,959 | 458,273 | 557,630 | (312,828 | ) | 244,802 | ||||||||||||||||
Purchase commitments | — | (416 | ) | (416 | ) | — | 425 | 425 | |||||||||||||||
Credit derivatives | 7,498 | 4,060 | 11,558 | 4,402 | 2,383 | 6,785 | |||||||||||||||||
Total | $ | 80,857 | $ | (12,956 | ) | ||||||||||||||||||
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 |
11. FAIR VALUE MEASUREMENTS |
June 30, 2019 | |||||||||||||||
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Assets | (dollars in thousands) | ||||||||||||||
Securities | |||||||||||||||
Agency mortgage-backed securities | $ | — | $ | 118,202,040 | $ | — | $ | 118,202,040 | |||||||
Credit risk transfer securities | — | 491,969 | — | 491,969 | |||||||||||
Non-Agency mortgage-backed securities | — | 1,097,752 | — | 1,097,752 | |||||||||||
Commercial mortgage-backed securities | — | 135,108 | — | 135,108 | |||||||||||
Loans | |||||||||||||||
Residential mortgage loans | — | 1,061,124 | — | 1,061,124 | |||||||||||
Mortgage servicing rights | — | — | 425,328 | 425,328 | |||||||||||
Assets transferred or pledged to securitization vehicles | — | 3,421,682 | — | 3,421,682 | |||||||||||
Derivative assets | |||||||||||||||
Interest rate swaps | — | 5,440 | — | 5,440 | |||||||||||
Other derivatives | 20,388 | 49,314 | — | 69,702 | |||||||||||
Total assets | $ | 20,388 | $ | 124,464,429 | $ | 425,328 | $ | 124,910,145 | |||||||
Liabilities | |||||||||||||||
Debt issued by securitization vehicles | — | 3,470,168 | — | 3,470,168 | |||||||||||
Derivative liabilities | |||||||||||||||
Interest rate swaps | — | 677,295 | — | 677,295 | |||||||||||
Other derivatives | 363,165 | 2,737 | — | 365,902 | |||||||||||
Total liabilities | $ | 363,165 | $ | 4,150,200 | $ | — | $ | 4,513,365 | |||||||
December 31, 2018 | |||||||||||||||
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Assets | (dollars in thousands) | ||||||||||||||
Securities | |||||||||||||||
Agency mortgage-backed securities | $ | — | $ | 90,752,995 | $ | — | $ | 90,752,995 | |||||||
Credit risk transfer securities | — | 552,097 | — | 552,097 | |||||||||||
Non-Agency mortgage-backed securities | — | 1,161,938 | — | 1,161,938 | |||||||||||
Commercial mortgage-backed securities | — | 156,758 | — | 156,758 | |||||||||||
Loans | |||||||||||||||
Residential mortgage loans | — | 1,359,806 | — | 1,359,806 | |||||||||||
Mortgage servicing rights | — | — | 557,813 | 557,813 | |||||||||||
Assets transferred or pledged to securitization vehicles | — | 3,833,200 | — | 3,833,200 | |||||||||||
Derivative assets | |||||||||||||||
Interest rate swaps | — | 48,114 | — | 48,114 | |||||||||||
Other derivatives | — | 152,389 | — | 152,389 | |||||||||||
Total assets | $ | — | $ | 98,017,297 | $ | 557,813 | $ | 98,575,110 | |||||||
Liabilities | |||||||||||||||
Debt issued by securitization vehicles | $ | — | $ | 3,347,062 | $ | — | $ | 3,347,062 | |||||||
Derivative liabilities | |||||||||||||||
Interest rate swaps | — | 420,365 | — | 420,365 | |||||||||||
Other derivatives | 462,309 | 7,076 | — | 469,385 | |||||||||||
Total liabilities | $ | 462,309 | $ | 3,774,503 | $ | — | $ | 4,236,812 | |||||||
September 30, 2018 | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets: | (dollars in thousands) | |||||||||||||||
Securities | ||||||||||||||||
Agency mortgage-backed securities | $ | — | $ | 89,290,128 | $ | — | $ | 89,290,128 | ||||||||
Credit risk transfer securities | — | 688,521 | — | 688,521 | ||||||||||||
Non-Agency mortgage-backed securities | — | 1,173,467 | — | 1,173,467 | ||||||||||||
Commercial mortgage-backed securities | — | 186,495 | — | 186,495 | ||||||||||||
Loans | ||||||||||||||||
Residential mortgage loans | — | 1,217,139 | — | 1,217,139 | ||||||||||||
Mortgage servicing rights | — | — | 588,833 | 588,833 | ||||||||||||
Assets transferred or pledged to securitization vehicles | — | 4,287,821 | — | 4,287,821 | ||||||||||||
Derivative assets | ||||||||||||||||
Interest rate swaps | — | 97,002 | — | 97,002 | ||||||||||||
Other derivatives | 221,516 | 86,323 | — | 307,839 | ||||||||||||
Total assets | $ | 221,516 | $ | 97,026,896 | $ | 588,833 | $ | 97,837,245 | ||||||||
Liabilities: | ||||||||||||||||
Debt issued by securitization vehicles | $ | — | $ | 3,799,542 | $ | — | $ | 3,799,542 | ||||||||
Derivative liabilities | ||||||||||||||||
Interest rate swaps | — | 311,729 | — | 311,729 | ||||||||||||
Other derivatives | 482 | 67,583 | — | 68,065 | ||||||||||||
Total liabilities | $ | 482 | $ | 4,178,854 | $ | — | $ | 4,179,336 | ||||||||
December 31, 2017 | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets: | (dollars in thousands) | |||||||||||||||
Securities | ||||||||||||||||
Agency mortgage-backed securities | $ | — | $ | 90,551,763 | $ | — | $ | 90,551,763 | ||||||||
Credit risk transfer securities | — | 651,764 | — | 651,764 | ||||||||||||
Non-Agency mortgage-backed securities | — | 1,097,294 | — | 1,097,294 | ||||||||||||
Commercial mortgage-backed securities | — | 262,751 | — | 262,751 | ||||||||||||
Loans | ||||||||||||||||
Residential mortgage loans | — | 958,546 | — | 958,546 | ||||||||||||
Mortgage servicing rights | — | — | 580,860 | 580,860 | ||||||||||||
Assets transferred or pledged to securitization vehicles | — | 3,306,133 | — | 3,306,133 | ||||||||||||
Derivative assets | ||||||||||||||||
Interest rate swaps | — | 30,272 | — | 30,272 | ||||||||||||
Other derivatives | 218,361 | 65,252 | — | 283,613 | ||||||||||||
Total assets | $ | 218,361 | $ | 96,923,775 | $ | 580,860 | $ | 97,722,996 | ||||||||
Liabilities: | ||||||||||||||||
Debt issued by securitization vehicles | $ | — | $ | 2,971,771 | $ | — | $ | 2,971,771 | ||||||||
Derivative liabilities | ||||||||||||||||
Interest rate swaps | — | 569,129 | — | 569,129 | ||||||||||||
Other derivatives | 12,285 | 26,440 | — | 38,725 | ||||||||||||
Total liabilities | $ | 12,285 | $ | 3,567,340 | $ | — | $ | 3,579,625 |
June 30, 2019 | December 31, 2018 | ||||||||
Valuation Technique | Unobservable Input (1) | ||||||||
Unobservable Input (1) | Range (Weighted | ||||||||
Discounted cash flow | Discount rate | 9.0% -12.0% | 9.0% -12.0% (9.4%) | ||||||
Prepayment rate | 5.9% - | 4.7% - | |||||||
Delinquency rate | 0.0% - | Delinquency rate | 0.0% - | ||||||
Cost to service | $81 - $136 ($107) | Cost to service | $82 - |
110) | ||||||||
(1) | Represents rates, estimates and assumptions that the Company believes would be used by market participants when valuing these assets. |
June 30, 2019 | December 31, 2018 | ||||||||||||||||
Level in Fair Value Hierarchy | Carrying Value | Fair Value | Carrying Value | Fair Value | |||||||||||||
Financial assets | (dollars in thousands) | ||||||||||||||||
Loans | |||||||||||||||||
Commercial real estate debt and preferred equity, held for investment (1) | 3 | $ | 1,413,605 | $ | 1,421,826 | $ | 1,296,803 | $ | 1,303,487 | ||||||||
Commercial loans held for sale, net | 3 | 41,896 | 41,896 | 42,184 | 42,184 | ||||||||||||
Corporate debt, held for investment | 2 | 1,792,837 | 1,770,850 | 1,887,182 | 1,863,524 | ||||||||||||
Corporate debt held for sale, net | 2 | 26,906 | 26,906 | — | — | ||||||||||||
Financial liabilities | |||||||||||||||||
Repurchase agreements | 1,2 | $ | 105,181,241 | $ | 105,181,241 | $ | 81,115,874 | $ | 81,115,874 | ||||||||
Other secured financing | 1,2 | 4,127,989 | 4,128,155 | 4,183,311 | 4,183,805 | ||||||||||||
Mortgage payable | 3 | 498,772 | 524,723 | 511,056 | 507,770 | ||||||||||||
(1) Includes assets of a consolidated VIE. |
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 |
12. GOODWILL AND INTANGIBLE ASSETS |
Intangible Assets, net | |||
(dollars in thousands) | |||
Balance at December 31, 2018 | $ | 29,039 | |
Intangible assets divested | (151 | ) | |
Less: amortization expense | (4,112 | ) | |
Balance at June 30, 2019 | $ | 24,776 | |
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 |
13. SECURED FINANCING |
June 30, 2019 | ||||||||||||||||||||||||||
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) | ||||||||||||||||||||||||||
1 day | $ | 23,192,254 | $ | — | $ | — | $ | — | $ | — | $ | 23,192,254 | 2.84 | % | ||||||||||||
2 to 29 days | 11,125,931 | 175,622 | 478,019 | — | 140,311 | 11,919,883 | 2.70 | % | ||||||||||||||||||
30 to 59 days | 6,755,307 | — | — | — | 23,476 | 6,778,783 | 2.62 | % | ||||||||||||||||||
60 to 89 days | 26,554,485 | 31,380 | 236,605 | — | 23,141 | 26,845,611 | 2.63 | % | ||||||||||||||||||
90 to 119 days | 13,002,459 | — | — | — | — | 13,002,459 | 2.64 | % | ||||||||||||||||||
Over 120 days (1) | 23,102,462 | — | 112,162 | 209,980 | 17,647 | 23,442,251 | 2.63 | % | ||||||||||||||||||
Total | $ | 103,732,898 | $ | 207,002 | $ | 826,786 | $ | 209,980 | $ | 204,575 | $ | 105,181,241 | 2.69 | % | ||||||||||||
December 31, 2018 | ||||||||||||||||||||||||||||||
Agency Mortgage-Backed Securities | CRTs | Non-Agency Mortgage-Backed Securities | Commercial Loans | Commercial Mortgage-Backed Securities | U.S. Treasury Securities | Total Repurchase Agreements | Weighted Average Rate | |||||||||||||||||||||||
(dollars in thousands) | ||||||||||||||||||||||||||||||
1 day | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | — | % | ||||||||||||||
2 to 29 days | 30,661,001 | 284,906 | 353,429 | — | 72,840 | 640,465 | 32,012,641 | 3.50 | % | |||||||||||||||||||||
30 to 59 days | 8,164,165 | — | — | — | — | — | 8,164,165 | 2.33 | % | |||||||||||||||||||||
60 to 89 days | 18,326,399 | 88,630 | 251,441 | — | 23,302 | — | 18,689,772 | 2.62 | % | |||||||||||||||||||||
90 to 119 days | 10,067,183 | — | — | — | — | — | 10,067,183 | 2.54 | % | |||||||||||||||||||||
Over 120 days (1) | 11,263,625 | — | 116,434 | 693,939 | 108,115 | — | 12,182,113 | 2.92 | % | |||||||||||||||||||||
Total | $ | 78,482,373 | $ | 373,536 | $ | 721,304 | $ | 693,939 | $ | 204,257 | $ | 640,465 | $ | 81,115,874 | 2.97 | % | ||||||||||||||
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 | |||||||||||||||||||||
(dollars in thousands) | |||||||||||||||||||||||||||
1 day | $ | 16,400,345 | $ | — | $ | — | $ | — | $ | — | $ | 16,400,345 | 2.38 | % | |||||||||||||
2 to 29 days | 19,476,641 | 365,101 | 252,960 | — | 80,474 | 20,175,176 | 2.18 | % | |||||||||||||||||||
30 to 59 days | 7,256,371 | — | 65,567 | — | — | 7,321,938 | 2.26 | % | |||||||||||||||||||
60 to 89 days | 17,159,885 | 71,919 | 155,479 | — | 36,076 | 17,423,359 | 2.38 | % | |||||||||||||||||||
90 to 119 days | 6,518,313 | — | — | — | — | 6,518,313 | 2.20 | % | |||||||||||||||||||
Over 120 days (1) | 10,330,866 | — | — | 764,543 | 138,486 | 11,233,895 | 2.48 | % | |||||||||||||||||||
Total | $ | 77,142,421 | $ | 437,020 | $ | 474,006 | $ | 764,543 | $ | 255,036 | $ | 79,073,026 | 2.32 | % |
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 | |||||||||||||||||||||
(dollars in thousands) | |||||||||||||||||||||||||||
1 day | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | — | ||||||||||||||
2 to 29 days | 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 | % | |||||||||||||||||||
60 to 89 days | 13,800,743 | 7,214 | 47,830 | — | — | 13,855,787 | 1.59 | % | |||||||||||||||||||
90 to 119 days | 10,128,006 | — | — | — | — | 10,128,006 | 1.39 | % | |||||||||||||||||||
Over 120 days (1) | 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 | % |
(1) |
June 30, 2019 | December 31, 2018 | ||||||||||||||
Reverse Repurchase Agreements | Repurchase Agreements | Reverse Repurchase Agreements | Repurchase Agreements | ||||||||||||
(dollars in thousands) | |||||||||||||||
Gross amounts | $ | 2,000,000 | $ | 107,181,241 | $ | 650,040 | $ | 81,115,874 | |||||||
Amounts offset | (2,000,000 | ) | (2,000,000 | ) | — | — | |||||||||
Netted amounts | $ | — | $ | 105,181,241 | $ | 650,040 | $ | 81,115,874 | |||||||
September 30, 2018 | December 31, 2017 | |||||||||||||||
Reverse Repurchase Agreements | Repurchase Agreements | Reverse Repurchase Agreements | Repurchase Agreements | |||||||||||||
(dollars in thousands) | ||||||||||||||||
Gross Amounts | $ | 1,484,704 | $ | 79,323,026 | $ | 1,250,000 | $ | 78,946,343 | ||||||||
Amounts Offset | (250,000 | ) | (250,000 | ) | (1,250,000 | ) | (1,250,000 | ) | ||||||||
Netted Amounts | $ | 1,234,704 | $ | 79,073,026 | $ | — | $ | 77,696,343 |
June 30, 2019 | |||||||||||||||
Property | Mortgage Carrying Value | Mortgage Principal | Interest Rate | Fixed/Floating Rate | Maturity Date | Priority | |||||||||
(dollars in thousands) | |||||||||||||||
Joint Ventures (fixed) | $ | 316,479 | $ | 318,664 | 4.03% - 4.96% | Fixed | 2024 - 2029 | First liens | |||||||
Joint Ventures (floating) | 16,125 | 16,125 | L+2.75% | Floating | 3/14/2020 | First liens | |||||||||
Virginia | 83,879 | 85,680 | 2.34% - 3.98% | Fixed | 2036 - 2053 | First liens | |||||||||
Texas | 31,931 | 33,455 | 3.28% | Fixed | 1/1/2048 and 1/1/2053 | First liens | |||||||||
Utah (floating) | 9,740 | 9,706 | L+3.50% | Floating | 1/31/2020 | First liens | |||||||||
Utah (fixed) | 7,130 | 7,149 | 3.69% | Fixed | 6/1/2053 | First liens | |||||||||
Minnesota | 13,342 | 13,376 | 3.69% | Fixed | 6/1/2053 | First liens | |||||||||
Tennessee | 12,311 | 12,350 | 4.01% | Fixed | 9/6/2019 | First liens | |||||||||
Wisconsin | 7,835 | 7,856 | 3.69% | Fixed | 6/1/2053 | First liens | |||||||||
Total | $ | 498,772 | $ | 504,361 | |||||||||||
December 31, 2018 | |||||||||||||||
Property | Mortgage Carrying Value | Mortgage Principal | Interest Rate | Fixed/Floating Rate | Maturity Date | Priority | |||||||||
(dollars in thousands) | |||||||||||||||
Joint Ventures (fixed) | $ | 316,275 | $ | 318,664 | 4.03% - 4.96% | Fixed | 2024 - 2029 | First liens | |||||||
Joint Ventures (floating) | 16,125 | 16,125 | L+2.75% | Floating | 3/14/2020 | First liens | |||||||||
Virginia | 95,827 | 97,667 | 2.75% - 4.96% | Fixed | 2019 - 2053 | First liens | |||||||||
Texas | 32,189 | 33,735 | 3.28% | Fixed | 1/1/2053 | First liens | |||||||||
Utah (floating) | 9,703 | 9,706 | L+3.50% | Floating | 1/31/2019 | First liens | |||||||||
Utah (fixed) | 7,279 | 7,201 | 3.69% | Fixed | 6/1/2053 | First liens | |||||||||
Minnesota | 13,438 | 13,473 | 3.69% | Fixed | 6/1/2053 | First liens | |||||||||
Tennessee | 12,328 | 12,350 | 4.01% | Fixed | 9/6/2019 | First liens | |||||||||
Wisconsin | 7,892 | 7,913 | 3.69% | Fixed | 6/1/2053 | First liens | |||||||||
Total | $ | 511,056 | $ | 516,834 | |||||||||||
Mortgage Loan Principal Payments | |||
(dollars in thousands) | |||
2019 (remaining) | $ | 13,928 | |
2020 | 29,114 | ||
2021 | 3,491 | ||
2022 | 3,709 | ||
2023 | 3,844 | ||
Later years | 450,275 | ||
Total | $ | 504,361 | |
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 |
14. CAPITAL STOCK |
(A) | Common Stock |
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 | |||||||||||
June 30, 2019 | December 31, 2018 | June 30, 2019 | December 31, 2018 | Par Value | ||||||||
Common stock | 2,907,850,000 | 1,924,050,000 | 1,456,263,410 | 1,313,763,450 | $0.01 |
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 |
Six Months Ended | ||||||||
June 30, 2019 | June 30, 2018 | |||||||
(dollars in thousands) | ||||||||
Shares issued through direct purchase and dividend reinvestment program | 180,000 | 147,000 | ||||||
Amount raised from direct purchase and dividend reinvestment program | $ | 1,795 | $ | 1,546 |
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 |
(B) | Preferred Stock |
Shares authorized | Shares issued and outstanding | Carrying value | Contractual rate | Earliest redemption date (1) | Date at which dividend rate becomes floating | Floating annual rate | 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 | June 30, 2019 | December 31, 2018 | June 30, 2019 | December 31, 2018 | June 30, 2019 | December 31, 2018 | |||||||||||||||||||||||||||||||||||
Fixed-rate: | (dollars in thousands) | |||||||||||||||||||||||||||||||||||||||||||||
Fixed-rate | 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 | 7,000,000 | 7,000,000 | 7,000,000 | 7,000,000 | $ | 169,466 | $ | 169,466 | 7.625% | 5/16/2017 | NA | NA | ||||||||||||||||||||||
Series D | 18,400,000 | 18,400,000 | 18,400,000 | 18,400,000 | 445,457 | 445,457 | 7.50% | 9/13/2017 | NA | NA | 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 | — | 2,200,000 | — | 2,200,000 | — | 55,000 | 8.125% | 5/22/2019 | NA | NA | ||||||||||||||||||||||||||
Fixed-to-floating rate: | ||||||||||||||||||||||||||||||||||||||||||||||
Fixed-to-floating rate | 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 | 3M LIBOR + 4.993% | 28,800,000 | 28,800,000 | 28,800,000 | 28,800,000 | 696,910 | 696,910 | 6.95% | 9/30/2022 | 3M LIBOR + 4.993% | ||||||||||||||||||||||||||||
Series G | 19,550,000 | — | 17,000,000 | — | 411,335 | — | 6.50% | 3/31/2023 | 3M LIBOR + 4.172% | 19,550,000 | 19,550,000 | 17,000,000 | 17,000,000 | 411,335 | 411,335 | 6.50% | 3/31/2023 | 3M LIBOR + 4.172% | ||||||||||||||||||||||||||||
Series I | 18,400,000 | — | 16,000,000 | — | 387,178 | — | 6.75% | 6/30/2024 | 3M LIBOR + 4.989% | |||||||||||||||||||||||||||||||||||||
Total | 75,950,000 | 70,700,000 | 73,400,000 | 70,700,000 | $ | 1,778,168 | $ | 1,720,381 | 92,150,000 | 75,950,000 | 87,200,000 | 73,400,000 | $ | 2,110,346 | $ | 1,778,168 | ||||||||||||||||||||||||||||||
(1) Subject to the Company’s right under limited circumstances to redeem preferred stock earlier in order to preserve its qualification as a REIT or under limited circumstances related to a change in control of the Company. | (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. |
(C) | Distributions to Stockholders |
Nine Months Ended | ||||||||
September 30, 2018 | September 30, 2017 | |||||||
(dollars in thousands, except per share data) | ||||||||
Distributions declared to common stockholders | $ | 1,062,685 | $ | 937,825 | ||||
Distributions declared per common share | $ | 0.90 | $ | 0.90 | ||||
Distributions paid to common stockholders after period end | $ | 102,811 | $ | 326,425 | ||||
Distributions paid per common share after period end | $ | 0.08 | $ | 0.30 | ||||
Date of distributions paid to common stockholders after period end | October 31, 2018 | October 31, 2017 | ||||||
Dividends declared to Series A Preferred stockholders | $ | — | $ | 9,527 | ||||
Dividends declared per share of Series A Preferred Stock | $ | — | $ | 1.477 | ||||
Dividends declared to Series C Preferred stockholders | $ | 10,987 | $ | 17,157 | ||||
Dividends declared per share of Series C Preferred Stock (1) | $ | 1.430 | $ | 1.430 | ||||
Dividends declared to Series D Preferred stockholders | $ | 25,875 | $ | 25,875 | ||||
Dividends declared per share of Series D Preferred Stock | $ | 1.406 | $ | 1.406 | ||||
Dividends declared to Series E Preferred stockholders | $ | 2,253 | $ | 16,441 | ||||
Dividends declared per share of Series E Preferred Stock | $ | 0.196 | $ | 1.430 | ||||
Dividends declared to Series F Preferred stockholders | $ | 37,530 | $ | — | ||||
Dividends declared per share of Series F Preferred Stock (2) | $ | 1.303 | $ | — | ||||
Dividends declared to Series G Preferred stockholders | $ | 19,875 | $ | — | ||||
Dividends declared per share of Series G Preferred Stock | $ | 1.169 | $ | — | ||||
Dividends declared to Series H Preferred stockholders | $ | 298 | $ | — | ||||
Dividends declared per share of Series H Preferred Stock | $ | 0.135 | $ | — |
For the Three Months Ended | For the Six Months Ended | ||||||||||||||
June 30, 2019 | June 30, 2018 | June 30, 2019 | June 30, 2018 | ||||||||||||
(dollars in thousands, except per share data) | |||||||||||||||
Dividends and dividend equivalents declared on common stock and share-based awards | $ | 364,266 | $ | 349,300 | $ | 798,893 | $ | 697,197 | |||||||
Distributions declared per common share | $ | 0.25 | $ | 0.30 | $ | 0.55 | $ | 0.60 | |||||||
Distributions paid to common stockholders after period end | $ | 364,066 | $ | 349,300 | $ | 364,066 | $ | 349,300 | |||||||
Distributions paid per common share after period end | $ | 0.25 | $ | 0.30 | $ | 0.25 | $ | 0.30 | |||||||
Date of distributions paid to common stockholders after period end | July 31, 2019 | July 31, 2018 | July 31, 2019 | July 31, 2018 | |||||||||||
Dividends declared to series C preferred stockholders | $ | 3,336 | $ | 3,336 | $ | 6,672 | $ | 7,652 | |||||||
Dividends declared per share of series C preferred stock (1) | $ | 0.477 | $ | 0.477 | $ | 0.953 | $ | 0.953 | |||||||
Dividends declared to series D preferred stockholders | $ | 8,625 | $ | 8,625 | $ | 17,250 | $ | 17,250 | |||||||
Dividends declared per share of series D preferred stock | $ | 0.469 | $ | 0.469 | $ | 0.938 | $ | 0.938 | |||||||
Dividends declared to series E preferred stockholders | $ | — | $ | — | $ | — | $ | 2,253 | |||||||
Dividends declared per share of series E preferred stock | $ | — | $ | — | $ | — | $ | 0.196 | |||||||
Dividends declared to series F preferred stockholders | $ | 12,510 | $ | 12,510 | $ | 25,020 | $ | 25,020 | |||||||
Dividends declared per share of series F preferred stock | $ | 0.434 | $ | 0.434 | $ | 0.869 | $ | 0.869 | |||||||
Dividends declared to series G preferred stockholders | $ | 6,906 | $ | 6,906 | $ | 13,812 | $ | 12,968 | |||||||
Dividends declared per share of series G preferred stock | $ | 0.406 | $ | 0.406 | $ | 0.813 | $ | 0.763 | |||||||
Dividends declared to series H preferred stockholders | $ | 745 | $ | — | $ | 1,862 | $ | — | |||||||
Dividends declared per share of series H preferred stock | $ | 0.339 | $ | — | $ | 0.846 | $ | — |
(1) | Includes dividends declared per share for shares outstanding at June 30, 2018. |
15. INTEREST INCOME AND INTEREST EXPENSE |
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 |
Effective yield (3) | |
Reverse mortgages (2) | Prospective |
Interest-only (2) | Prospective |
Residential | |
CRT (2) | Prospective |
Alt-A (2) | Prospective |
Prime (2) | Prospective |
Subprime (2) | Prospective |
NPL/RPL (2) | Prospective |
Prime | Prospective |
Prime | 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 |
For the Three Months Ended June 30, | For the Six Months Ended June 30, | ||||||||||||||
2019 | 2018 | 2019 | 2018 | ||||||||||||
Interest income | (dollars in thousands) | ||||||||||||||
Residential Securities | $ | 777,891 | $ | 662,750 | 1,487,665 | $ | 1,442,338 | ||||||||
Residential mortgage loans (1) | 35,025 | 18,868 | 65,016 | 34,373 | |||||||||||
Commercial investment portfolio (1) (2) | 92,131 | 79,343 | 193,083 | 151,800 | |||||||||||
Reverse repurchase agreements | 22,551 | 15,845 | 48,020 | 27,782 | |||||||||||
Total interest income | $ | 927,598 | $ | 776,806 | $ | 1,793,784 | $ | 1,656,293 | |||||||
Interest expense | |||||||||||||||
Repurchase agreements | 683,647 | 400,475 | 1,263,161 | 731,849 | |||||||||||
Debt issued by securitization vehicles | 34,151 | 18,201 | 68,358 | 33,853 | |||||||||||
Other | 32,419 | 24,016 | 66,393 | 44,411 | |||||||||||
Total interest expense | 750,217 | 442,692 | 1,397,912 | 810,113 | |||||||||||
Net interest income | $ | 177,381 | $ | 334,114 | $ | 395,872 | $ | 846,180 | |||||||
(1) Includes assets transferred or pledged to securitization vehicles. (2) Includes commercial real estate debt and preferred equity and corporate debt. |
Three Months Ended | Nine Months Ended | |||||||||||||||
September 30, 2018 | September 30, 2017 | September 30, 2018 | September 30, 2017 | |||||||||||||
Interest income: | (dollars in thousands) | |||||||||||||||
Residential Securities | $ | 680,037 | $ | 540,436 | $ | 2,122,375 | $ | 1,515,654 | ||||||||
Residential mortgage loans | 21,184 | 8,509 | 55,557 | 19,790 | ||||||||||||
Commercial investment portfolio (1) | 97,531 | 67,790 | 249,331 | 200,288 | ||||||||||||
U.S. Treasury securities | 160 | — | 160 | — | ||||||||||||
Reverse repurchase agreements | 17,684 | 5,815 | 45,466 | 11,971 | ||||||||||||
Total interest income | 816,596 | 622,550 | 2,472,889 | 1,747,703 | ||||||||||||
Interest expense: | ||||||||||||||||
Repurchase agreements | 445,535 | 237,669 | 1,177,384 | 607,910 | ||||||||||||
Debt issued by securitization vehicles | 29,391 | 16,072 | 63,244 | 42,899 | ||||||||||||
Participation sold | — | — | — | 195 | ||||||||||||
Other | 26,047 | 15,196 | 70,458 | 38,639 | ||||||||||||
Total interest expense | 500,973 | 268,937 | 1,311,086 | 689,643 | ||||||||||||
Net interest income | 315,623 | 353,613 | $ | 1,161,803 | $ | 1,058,060 |
For the Three Months Ended | For the Six Months Ended | ||||||||||||||
June 30, 2019 | June 30, 2018 | June 30, 2019 | June 30, 2018 | ||||||||||||
(dollars in thousands, except per share data) | |||||||||||||||
Net income (loss) | $ | (1,776,413 | ) | $ | 595,887 | $ | (2,625,664 | ) | $ | 1,923,591 | |||||
Net income (loss) attributable to noncontrolling interests | (83 | ) | (32 | ) | (184 | ) | (128 | ) | |||||||
Net income (loss) attributable to Annaly | (1,776,330 | ) | 595,919 | (2,625,480 | ) | 1,923,719 | |||||||||
Dividends on preferred stock (1) | 32,422 | 31,377 | 64,916 | 65,143 | |||||||||||
Net income (loss) available (related) to common stockholders | $ | (1,808,752 | ) | $ | 564,542 | $ | (2,690,396 | ) | $ | 1,858,576 | |||||
Weighted average shares of common stock outstanding-basic | 1,456,038,736 | 1,160,436,777 | 1,427,485,102 | 1,160,029,575 | |||||||||||
Add: Effect of stock awards, if dilutive | — | 542,674 | — | 514,005 | |||||||||||
Weighted average shares of common stock outstanding-diluted | 1,456,038,736 | 1,160,979,451 | 1,427,485,102 | 1,160,543,580 | |||||||||||
Net income (loss) per share available (related) to common share | |||||||||||||||
Basic | $ | (1.24 | ) | $ | 0.49 | $ | (1.88 | ) | $ | 1.60 | |||||
Diluted | $ | (1.24 | ) | $ | 0.49 | $ | (1.88 | ) | $ | 1.60 |
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) | ||||||||||||||||
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 | ||||||||
Weighted average shares of common stock outstanding-basic | 1,202,353,851 | 1,072,566,395 | 1,174,292,701 | 1,037,033,076 | ||||||||||||
Add: Effect of stock awards, if dilutive | — | 474,242 | — | 412,101 | ||||||||||||
Weighted average shares of common stock outstanding-diluted | 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 | $ | 0.29 | $ | 0.31 | $ | 1.88 | $ | 0.72 | ||||||||
Diluted | $ | 0.29 | $ | 0.31 | $ | 1.88 | $ | 0.72 |
(1) |
17. INCOME TAXES |
18. RISK MANAGEMENT |
19. RELATED PARTY TRANSACTIONS |
20. LEASE COMMITMENTS AND CONTINGENCIES |
Operating Leases | Classification | June 30, 2019 | |||
Assets | (dollars in thousands) | ||||
Operating lease right-of-use assets | Other assets | $ | 17,062 | ||
Liabilities | |||||
Operating lease liabilities (1) | Other liabilities | $ | 21,989 | ||
Lease term and discount rate | |||||
Weighted average remaining lease term | 6.2 years | ||||
Weighted average discount rate (1) | 2.9% | ||||
Cash paid for amounts included in the measurement of lease liabilities | |||||
Operating cash flows from operating leases | $ | 1,856 | |||
(1) As the Company’s leases do not provide an implicit rate, the Company uses an incremental borrowing rate based on the information available at adoption date in determining the present value of lease payments. |
Lease Commitments | Maturity of Lease Liabilities | |||||
Years Ending September 30, | (dollars in thousands) | |||||
2018 (remaining) | $ | 891 | ||||
2019 | 3,565 | |||||
Years ending December 31, | (dollars in thousands) | |||||
2019 (remaining) | $ | 1,856 | ||||
2020 | 3,652 | 3,799 | ||||
2021 | 3,862 | 3,918 | ||||
2022 | 3,862 | 3,862 | ||||
2023 | 3,862 | |||||
Later years | 10,618 | 6,757 | ||||
Total | $ | 26,450 | ||||
Total lease payments | $ | 24,054 | ||||
Less imputed interest | 2,065 | |||||
Present value of lease liabilities | $ | 21,989 | ||||
21. ARCOLA REGULATORY REQUIREMENTS |
22. ACQUISITION OF MTGE INVESTMENT CORP. |
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 |
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 |
23. SUBSEQUENT EVENTS |
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 | ||
Unrealized Gains and Losses - Available-for-Sale Investments | ||
June 30, 2019 | December 31, 2018 | June 30, 2018 | |||
30-Year mortgage current coupon | 2.74% | 3.50% | 3.60% | ||
Mortgage basis | 73 bps | 82 bps | 74 bps | ||
10-Year U.S. Treasury rate | 2.01% | 2.68% | 2.86% | ||
LIBOR | |||||
1-Month | 2.40% | 2.50% | 2.09% | ||
6-Month | 2.20% | 2.88% | 2.50% |
September 30, 2018 | December 31, 2017 | September 30, 2017 | ||||
30-Year mortgage current coupon | 3.81% | 3.00% | 2.97% | |||
Mortgage basis | 75 bps | 59 bps | 63 bps | |||
10-Year U.S. Treasury rate | 3.06% | 2.41% | 2.33% | |||
LIBOR: | ||||||
1-Month | 2.26% | 1.56% | 1.23% | |||
6-Month | 2.60% | 1.84% | 1.51% |
As of and for the Three Months Ended June 30, | As of and for the Six Months Ended June 30, | ||||||||||||||
2019 | 2018 | 2019 | 2018 | ||||||||||||
(dollars in thousands, except per share data) | |||||||||||||||
Interest income | $ | 927,598 | $ | 776,806 | $ | 1,793,784 | $ | 1,656,293 | |||||||
Interest expense | 750,217 | 442,692 | 1,397,912 | 810,113 | |||||||||||
Net interest income | 177,381 | 334,114 | 395,872 | 846,180 | |||||||||||
Realized and unrealized gains (losses) | (1,909,482 | ) | 294,646 | (2,921,408 | ) | 1,139,335 | |||||||||
Other income (loss) | 28,181 | 34,170 | 58,683 | 68,193 | |||||||||||
Less: General and administrative expenses | 78,408 | 63,781 | 162,145 | 126,291 | |||||||||||
Income (loss) before income taxes | (1,782,328 | ) | 599,149 | (2,628,998 | ) | 1,927,417 | |||||||||
Income taxes | (5,915 | ) | 3,262 | (3,334 | ) | 3,826 | |||||||||
Net income (loss) | (1,776,413 | ) | 595,887 | (2,625,664 | ) | 1,923,591 | |||||||||
Less: Net income (loss) attributable to noncontrolling interests | (83 | ) | (32 | ) | (184 | ) | (128 | ) | |||||||
Net income (loss) attributable to Annaly | (1,776,330 | ) | 595,919 | (2,625,480 | ) | 1,923,719 | |||||||||
Less: Dividends on preferred stock (1) | 32,422 | 31,377 | 64,916 | 65,143 | |||||||||||
Net income (loss) available (related) to common stockholders | $ | (1,808,752 | ) | $ | 564,542 | $ | (2,690,396 | ) | $ | 1,858,576 | |||||
Net income (loss) per share available (related) to common stockholders | |||||||||||||||
Basic | $ | (1.24 | ) | $ | 0.49 | $ | (1.88 | ) | $ | 1.60 | |||||
Diluted | $ | (1.24 | ) | $ | 0.49 | $ | (1.88 | ) | $ | 1.60 | |||||
Weighted average number of common shares outstanding | |||||||||||||||
Basic | 1,456,038,736 | 1,160,436,777 | 1,427,485,102 | 1,160,029,575 | |||||||||||
Diluted | 1,456,038,736 | 1,160,979,451 | 1,427,485,102 | 1,160,543,580 | |||||||||||
Other information | |||||||||||||||
Asset portfolio at period-end | $ | 128,843,443 | $ | 96,314,032 | $ | 128,843,443 | $ | 96,314,032 | |||||||
Average total assets | $ | 125,486,663 | $ | 99,607,615 | $ | 118,920,284 | $ | 100,325,093 | |||||||
Average equity | $ | 15,744,426 | $ | 13,858,396 | $ | 15,202,217 | $ | 14,196,121 | |||||||
Leverage at period-end (2) | 7.2:1 | 6.0:1 | 7.2:1 | 6.0:1 | |||||||||||
Economic leverage at period-end (3) | 7.6:1 | 6.4:1 | 7.6:1 | 6.4:1 | |||||||||||
Capital ratio (4) | 11.4 | % | 13.2 | % | 11.4 | % | 13.2 | % | |||||||
Annualized return on average total assets | (5.66 | %) | 2.39 | % | (4.42 | %) | 3.83 | % | |||||||
Annualized return on average equity | (45.13 | %) | 17.20 | % | (34.54 | %) | 27.10 | % | |||||||
Annualized core return on average equity (excluding PAA) (5) | 9.94 | % | 11.05 | % | 10.85 | % | 10.83 | % | |||||||
Net interest margin (6) | 0.87 | % | 1.53 | % | 1.05 | % | 1.74 | % | |||||||
Net interest margin (excluding PAA) (5) | 1.28 | % | 1.56 | % | 1.39 | % | 1.54 | % | |||||||
Average yield on interest earning assets | 3.03 | % | 3.04 | % | 3.09 | % | 3.24 | % | |||||||
Average yield on interest earning assets (excluding PAA) (5) | 3.48 | % | 3.07 | % | 3.47 | % | 3.03 | % | |||||||
Average cost of interest bearing liabilities (7) | 2.41 | % | 1.89 | % | 2.29 | % | 1.90 | % | |||||||
Net interest spread | 0.62 | % | 1.15 | % | 0.80 | % | 1.34 | % | |||||||
Net interest spread (excluding PAA) (5) | 1.07 | % | 1.18 | % | 1.18 | % | 1.13 | % | |||||||
Weighted average experienced CPR for the period | 11.2 | % | 10.1 | % | 9.3 | % | 9.5 | % | |||||||
Weighted average projected long-term CPR at period-end | 14.5 | % | 9.1 | % | 14.5 | % | 9.1 | % | |||||||
Common stock book value per share | $ | 9.33 | $ | 10.35 | $ | 9.33 | $ | 10.35 | |||||||
Interest income (excluding PAA) (5) | $ | 1,067,361 | $ | 784,322 | $ | 2,015,418 | $ | 1,545,414 | |||||||
Economic interest expense (5) (7) | $ | 666,564 | $ | 411,217 | $ | 1,180,224 | $ | 826,798 | |||||||
Economic net interest income (excluding PAA) (5) | $ | 400,797 | $ | 373,105 | $ | 835,194 | $ | 718,616 | |||||||
Core earnings (5) | $ | 251,390 | $ | 375,297 | $ | 602,674 | $ | 878,964 | |||||||
Premium amortization adjustment cost (benefit) | $ | 139,763 | $ | 7,516 | $ | 221,634 | $ | (110,879 | ) | ||||||
Core earnings (excluding PAA) (5) | $ | 391,153 | $ | 382,813 | $ | 824,308 | $ | 768,085 | |||||||
Core earnings per common share (5) | $ | 0.15 | $ | 0.30 | $ | 0.38 | $ | 0.70 | |||||||
PAA cost (benefit) per common share (5) | $ | 0.10 | $ | — | $ | 0.15 | $ | (0.09 | ) | ||||||
Core earnings (excluding PAA) per common share (5) | $ | 0.25 | $ | 0.30 | $ | 0.53 | $ | 0.61 | |||||||
(1) The three and six months ended June 30, 2019 include cumulative and undeclared dividends of $0.3 million of our Series I Preferred Stock as of June 30, 2019. (2) Debt consists of repurchase agreements, other secured financing, debt issued by securitization vehicles and mortgages payable. Debt issued by securitization vehicles, certain credit facilities (included within other secured financing), and mortgages payable are non-recourse to us. (3) Computed as the sum of Recourse Debt, TBA derivative and CMBX notional outstanding and net forward purchases (sales) of investments divided by total equity. (4) Calculated as total stockholders’ equity divided by total assets inclusive of outstanding market value of TBA positions and exclusive of consolidated VIEs. (5) Represents a non-GAAP financial measure. Refer to the “Non-GAAP Financial Measures” section for additional information. (6) 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. (7) Average cost on interest bearing liabilities represents annualized economic interest expense divided by average interest bearing liabilities. Average interest bearing liabilities reflects the average amortized cost during the period. Economic interest expense is comprised of GAAP interest expense and the net interest component of interest rate swaps. |
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) | |||||||||||||||
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) | 199,716 | 43,807 | 1,339,051 | (159,722 | ) | ||||||||||
Other income (loss) | (10,643 | ) | 28,282 | 57,550 | 90,793 | ||||||||||
Less: 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 | |||||||||||
Other information: | |||||||||||||||
Asset portfolio at period-end | $ | 101,192,482 | $ | 95,343,337 | $ | 101,192,482 | $ | 95,343,337 | |||||||
Average total assets | $ | 102,397,400 | $ | 91,275,380 | $ | 101,734,271 | $ | 88,778,691 | |||||||
Average equity | $ | 14,364,856 | $ | 13,382,322 | $ | 14,386,055 | $ | 12,996,991 | |||||||
Leverage at period-end (2) | 5.9:1 | 5.4:1 | 5.9:1 | 5.4:1 | |||||||||||
Economic leverage at period-end (3) | 6.7:1 | 6.9:1 | 6.7:1 | 6.9:1 | |||||||||||
Capital ratio (4) | 12.6 | % | 12.3 | % | 12.6 | % | 12.3 | % | |||||||
Annualized return on average total assets | 1.51 | % | 1.61 | % | 3.03 | % | 1.23 | % | |||||||
Annualized return (loss) on average equity | 10.73 | % | 10.98 | % | 21.40 | % | 8.44 | % | |||||||
Annualized core return on average equity (excluding PAA) (5) | 10.85 | % | 10.57 | % | 10.73 | % | 10.49 | % | |||||||
Net interest margin (6) | 1.49 | % | 1.33 | % | 1.65 | % | 1.34 | % | |||||||
Net interest margin (excluding PAA) (5) | 1.50 | % | 1.47 | % | 1.53 | % | 1.51 | % | |||||||
Average yield on interest earning assets | 3.21 | % | 2.79 | % | 3.23 | % | 2.71 | % | |||||||
Average yield on interest earning assets (excluding PAA) (5) | 3.22 | % | 2.97 | % | 3.09 | % | 2.91 | % | |||||||
Average cost of interest bearing liabilities (7) | 2.08 | % | 1.82 | % | 1.96 | % | 1.72 | % | |||||||
Net interest spread | 1.13 | % | 0.97 | % | 1.27 | % | 0.99 | % | |||||||
Net interest spread (excluding PAA) (5) | 1.14 | % | 1.15 | % | 1.13 | % | 1.19 | % | |||||||
Constant prepayment rate | 10.3 | % | 10.3 | % | 9.8 | % | 10.9 | % | |||||||
Long-term constant prepayment rate | 9.1 | % | 10.4 | % | 9.1 | % | 10.4 | % | |||||||
Common stock book value per share (7) | $ | 10.03 | $ | 11.42 | $ | 10.03 | $ | 11.42 | |||||||
Interest income (excluding PAA) (5) | $ | 819,982 | $ | 662,449 | $ | 2,365,396 | $ | 1,878,172 | |||||||
Economic interest expense (5) (8) | $ | 449,624 | $ | 347,501 | $ | 1,276,422 | $ | 941,425 | |||||||
Economic net interest income (excluding PAA) (5) | $ | 370,358 | $ | 314,948 | $ | 1,088,974 | $ | 936,747 | |||||||
Core earnings (5) | $ | 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) (5) | $ | 389,666 | $ | 353,546 | $ | 1,157,751 | $ | 1,022,045 | |||||||
Core earnings per common share (5) | $ | 0.29 | $ | 0.26 | $ | 1.00 | $ | 0.79 | |||||||
PAA cost (benefit) per common share (5) | $ | 0.01 | $ | 0.04 | $ | (0.10 | ) | $ | 0.12 | ||||||
Core earnings (excluding PAA) per common share (5) | $ | 0.30 | $ | 0.30 | $ | 0.90 | $ | 0.91 |
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 | Nine Months Ended | For the Three Months Ended June 30, | For the Six Months Ended June 30, | |||||||||||||||||||||||||||
September 30, 2018 | September 30, 2017 | September 30, 2018 | September 30, 2017 | 2019 | 2018 | 2019 | 2018 | |||||||||||||||||||||||
(dollars in thousands, except per share data) | (dollars in thousands, except per share data) | |||||||||||||||||||||||||||||
GAAP net income (loss) | $ | 385,429 | $ | 367,315 | $ | 2,309,020 | $ | 822,245 | $ | (1,776,413 | ) | $ | 595,887 | $ | (2,625,664 | ) | $ | 1,923,591 | ||||||||||||
Net income (loss) attributable to noncontrolling interests | (149 | ) | (232 | ) | (277 | ) | (437 | ) | (83 | ) | (32 | ) | (184 | ) | (128 | ) | ||||||||||||||
Net income (loss) attributable to Annaly | 385,578 | 367,547 | 2,309,297 | 822,682 | (1,776,330 | ) | 595,919 | (2,625,480 | ) | 1,923,719 | ||||||||||||||||||||
Adjustments to exclude reported realized and unrealized (gains) losses: | ||||||||||||||||||||||||||||||
Adjustments to exclude reported realized and unrealized (gains) losses | Adjustments to exclude reported realized and unrealized (gains) losses | |||||||||||||||||||||||||||||
Realized (gains) losses on termination or maturity of interest rate swaps | (575 | ) | — | (1,409 | ) | 58 | 167,491 | — | 755,747 | (834 | ) | |||||||||||||||||||
Unrealized (gains) losses on interest rate swaps | (417,203 | ) | (56,854 | ) | (1,737,963 | ) | (28,471 | ) | 1,276,019 | (343,475 | ) | 1,666,575 | (1,320,760 | ) | ||||||||||||||||
Net (gains) losses on disposal of investments | 324,294 | 11,552 | 376,943 | 11,833 | 38,333 | 66,117 | 132,249 | 52,649 | ||||||||||||||||||||||
Net (gains) losses on other derivatives | (94,827 | ) | (154,208 | ) | (81,871 | ) | (140,104 | ) | 506,411 | (34,189 | ) | 621,570 | 12,956 | |||||||||||||||||
Net unrealized (gains) losses on instruments measured at fair value through earnings | 39,944 | 67,492 | 139,913 | 27,569 | 4,881 | 48,376 | (42,748 | ) | 99,969 | |||||||||||||||||||||
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: | ||||||||||||||||||||||||||||||
Loan loss provision | — | — | 5,703 | — | ||||||||||||||||||||||||||
Adjustments to exclude components of other (income) loss | Adjustments to exclude components of other (income) loss | |||||||||||||||||||||||||||||
Depreciation and amortization expense related to commercial real estate (1) | 10,147 | — | 20,261 | — | ||||||||||||||||||||||||||
Non-core (income) loss allocated to equity method investments (2) | 11,327 | — | 20,823 | — | ||||||||||||||||||||||||||
Adjustments to exclude components of general and administrative expenses and income taxes | Adjustments to exclude components of general and administrative expenses and income taxes | |||||||||||||||||||||||||||||
Transaction expenses and non-recurring items (3) | 60,081 | — | 61,600 | — | 3,046 | — | 13,028 | 1,519 | ||||||||||||||||||||||
Income tax effect of non-core income/(loss) items | 886 | — | 886 | — | ||||||||||||||||||||||||||
Adjustments to add back components of realized and unrealized (gains) losses: | ||||||||||||||||||||||||||||||
Income tax effect of non-core income (loss) items | (3,507 | ) | — | (2,781 | ) | — | ||||||||||||||||||||||||
Adjustments to add back components of realized and unrealized (gains) losses | 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 | 33,229 | 62,491 | 71,363 | 150,844 | ||||||||||||||||||||||
MSR amortization (5) | (19,913 | ) | (16,208 | ) | (61,011 | ) | (47,336 | ) | (19,657 | ) | (19,942 | ) | (33,636 | ) | (41,098 | ) | ||||||||||||||
Core earnings (6) | 386,280 | 313,647 | 1,265,244 | 891,576 | 251,390 | 375,297 | 602,674 | 878,964 | ||||||||||||||||||||||
Less | ||||||||||||||||||||||||||||||
Premium amortization adjustment cost (benefit) | 3,386 | 39,899 | (107,493 | ) | 130,469 | 139,763 | 7,516 | 221,634 | (110,879 | ) | ||||||||||||||||||||
Core earnings (excluding PAA) (6) | $ | 389,666 | $ | 353,546 | $ | 1,157,751 | $ | 1,022,045 | $ | 391,153 | $ | 382,813 | $ | 824,308 | $ | 768,085 | ||||||||||||||
Dividends on preferred stock (7) | 32,422 | 31,377 | 64,916 | 65,143 | ||||||||||||||||||||||||||
Core earnings attributable to common stockholders (6) | $ | 218,968 | $ | 343,920 | $ | 537,758 | $ | 813,821 | ||||||||||||||||||||||
Core earnings attributable to common stockholders (excluding PAA) (6) | $ | 358,731 | $ | 351,436 | $ | 759,392 | $ | 702,942 | ||||||||||||||||||||||
GAAP net income (loss) per average common share (7) | $ | 0.29 | $ | 0.31 | $ | 1.88 | $ | 0.72 | $ | (1.24 | ) | $ | 0.49 | $ | (1.88 | ) | $ | 1.60 | ||||||||||||
Core earnings per average common share (6) (7) | $ | 0.29 | $ | 0.26 | $ | 1.00 | $ | 0.79 | $ | 0.15 | $ | 0.30 | $ | 0.38 | $ | 0.70 | ||||||||||||||
Core earnings (excluding PAA) per average common share (6) (7) | $ | 0.30 | $ | 0.30 | $ | 0.90 | $ | 0.91 | $ | 0.25 | $ | 0.30 | $ | 0.53 | $ | 0.61 | ||||||||||||||
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 | % | ||||||||||||||||||||||
GAAP return (loss) on average equity | (45.13 | %) | 17.20 | % | (34.54 | %) | 27.10 | % | ||||||||||||||||||||||
Core return on average equity (excluding PAA) (6) | 9.94 | % | 11.05 | % | 10.85 | % | 10.83 | % |
(1) | Includes depreciation and amortization expense related to equity method investments. There were no adjustments for depreciation and amortization expense related to equity method investments prior to September 30, 2018. |
(2) | Beginning with the |
(3) | Represents costs incurred in connection with |
(4) | TBA dollar roll income and CMBX coupon income each represent a component of Net gains (losses) on other derivatives. CMBX coupon income totaled |
(5) | MSR amortization represents the portion of changes in fair value that is attributable to the realization of estimated cash flows on the Company’s MSR portfolio and is reported as a component of Net unrealized gains (losses) on instruments measured at fair value. |
(6) | Represents a non-GAAP financial measure. |
(7) |
For the Three Months Ended June 30, | For the Six Months Ended June 30, | ||||||||||||||
2019 | 2018 | 2019 | 2018 | ||||||||||||
(dollars in thousands) | |||||||||||||||
Premium amortization expense | $ | 318,587 | $ | 202,426 | $ | 566,033 | $ | 298,258 | |||||||
Less: PAA cost (benefit) | 139,763 | 7,516 | 221,634 | (110,879 | ) | ||||||||||
Premium amortization expense (excluding PAA) | $ | 178,824 | $ | 194,910 | $ | 344,399 | $ | 409,137 | |||||||
For the Three Months Ended June 30, | For the Six Months Ended June 30, | ||||||||||||||
2019 | 2018 | 2019 | 2018 | ||||||||||||
(per average common share) | |||||||||||||||
Premium amortization expense | $ | 0.22 | $ | 0.17 | $ | 0.40 | $ | 0.26 | |||||||
Less: PAA cost (benefit) | 0.10 | — | 0.15 | (0.09 | ) | ||||||||||
Premium amortization expense (excluding PAA) | $ | 0.12 | $ | 0.17 | $ | 0.25 | $ | 0.35 | |||||||
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 Income | PAA Cost (Benefit) | Interest Income (excluding PAA) | |||||||||
For the three months ended | (dollars in thousands) | ||||||||||
June 30, 2019 | $ | 927,598 | $ | 139,763 | $ | 1,067,361 | |||||
June 30, 2018 | $ | 776,806 | $ | 7,516 | $ | 784,322 | |||||
For the six months ended | |||||||||||
June 30, 2019 | $ | 1,793,784 | $ | 221,634 | $ | 2,015,418 | |||||
June 30, 2018 | $ | 1,656,293 | $ | (110,879 | ) | $ | 1,545,414 |
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 |
GAAP Interest Expense | Add: Net Interest Component of Interest Rate Swaps | Economic Interest Expense | GAAP Net Interest Income | Less: Net Interest Component of Interest Rate Swaps | Economic Net Interest Income | Add: PAA Cost (Benefit) | Economic Net Interest Income (excluding PAA) | ||||||||||||||||||||||||
For the three months ended | (dollars in thousands) | ||||||||||||||||||||||||||||||
June 30, 2019 | $ | 750,217 | $ | (83,653 | ) | $ | 666,564 | $ | 177,381 | $ | (83,653 | ) | $ | 261,034 | $ | 139,763 | $ | 400,797 | |||||||||||||
June 30, 2018 | $ | 442,692 | $ | (31,475 | ) | $ | 411,217 | $ | 334,114 | $ | (31,475 | ) | $ | 365,589 | $ | 7,516 | $ | 373,105 | |||||||||||||
For the six months ended | |||||||||||||||||||||||||||||||
June 30, 2019 | $ | 1,397,912 | $ | (217,688 | ) | $ | 1,180,224 | $ | 395,872 | $ | (217,688 | ) | $ | 613,560 | $ | 221,634 | $ | 835,194 | |||||||||||||
June 30, 2018 | $ | 810,113 | $ | 16,685 | $ | 826,798 | $ | 846,180 | $ | 16,685 | $ | 829,495 | $ | (110,879 | ) | $ | 718,616 |
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% |
Experienced CPR (1) | Projected Long-term CPR (2) | ||||
For the three months ended | |||||
June 30, 2019 | 11.2 | % | 14.5 | % | |
June 30, 2018 | 10.1 | % | 9.1 | % | |
For the six months ended | |||||
June 30, 2019 | 9.3 | % | 14.5 | % | |
June 30, 2018 | 9.5 | % | 9.1 | % |
(1) | For the three and six months ended June 30, 2019 and 2018, respectively. |
(2) | At June 30, 2019 and 2018, 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) | ||||||||||||||||||||
For the three months ended | (dollars in thousands) | ||||||||||||||||||||||||||
June 30, 2019 | $ | 122,601,881 | $ | 1,067,361 | 3.48 | % | $ | 109,628,007 | $ | 666,564 | 2.41 | % | 400,797 | 1.07 | % | ||||||||||||
June 30, 2018 | $ | 102,193,435 | $ | 784,322 | 3.07 | % | $ | 87,103,807 | $ | 411,217 | 1.89 | % | 373,105 | 1.18 | % | ||||||||||||
For the six months ended | |||||||||||||||||||||||||||
June 30, 2019 | $ | 116,274,204 | $ | 2,015,418 | 3.47 | % | $ | 102,578,913 | $ | 1,180,224 | 2.29 | % | 835,194 | 1.18 | % | ||||||||||||
June 30, 2018 | $ | 102,086,239 | $ | 1,545,414 | 3.03 | % | $ | 87,240,130 | $ | 826,798 | 1.90 | % | 718,616 | 1.13 | % | ||||||||||||
(1) Based on amortized cost. (2) Represents a non-GAAP financial measure. Refer to the “Non-GAAP Financial Measures” section for additional information. (3) Average cost on interest bearing liabilities represents annualized economic interest expense divided by average interest bearing liabilities. Average interest bearing liabilities reflects the average amortized cost during the period. Economic interest expense is comprised of GAAP interest expense and the net interest component of interest rate swaps. |
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 | % |
Interest Income (excluding PAA) (1) | TBA Dollar Roll and CMBX Coupon Income (2) | 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) | ||||||||||||||||||||||
For the three months ended | (dollars in thousands) | |||||||||||||||||||||||||||||
June 30, 2019 | $ | 1,067,361 | 33,229 | (750,217 | ) | 83,653 | $ | 434,026 | $ | 122,601,881 | 12,757,975 | $ | 135,359,856 | 1.28 | % | |||||||||||||||
June 30, 2018 | $ | 784,322 | 62,491 | (442,692 | ) | 31,475 | $ | 435,596 | $ | 102,193,435 | 9,407,819 | $ | 111,601,254 | 1.56 | % | |||||||||||||||
For the six months ended | ||||||||||||||||||||||||||||||
June 30, 2019 | $ | 2,015,418 | 71,363 | (1,397,912 | ) | 217,688 | $ | 906,557 | $ | 116,274,204 | 13,842,733 | $ | 130,116,937 | 1.39 | % | |||||||||||||||
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 | % |
(1) |
Represents a non-GAAP financial measure. Refer to the “Non-GAAP Financial Measures” section for additional information. |
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 | % |
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 | % |
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 | |||||||||||||||||||||
For the three months ended | |||||||||||||||||||||||||||||
June 30, 2019 | $ | 109,628,007 | $ | 112,779,398 | $ | 666,564 | 2.41 | % | 2.44 | % | 2.50 | % | (0.06 | %) | (0.03 | %) | (0.09 | %) | |||||||||||
June 30, 2018 | $ | 87,103,807 | $ | 82,249,834 | $ | 411,217 | 1.89 | % | 1.97 | % | 2.50 | % | (0.53 | %) | (0.08 | %) | (0.61 | %) | |||||||||||
For the six months ended | |||||||||||||||||||||||||||||
June 30, 2019 | $ | 102,578,913 | $ | 112,779,398 | $ | 1,180,224 | 2.29 | % | 2.47 | % | 2.63 | % | (0.16 | %) | (0.18 | %) | (0.34 | %) | |||||||||||
June 30, 2018 | $ | 87,240,130 | $ | 82,249,834 | $ | 826,798 | 1.90 | % | 1.81 | % | 2.30 | % | (0.49 | %) | 0.09 | % | (0.40 | %) | |||||||||||
(1) Economic interest expense is comprised of GAAP interest expense and the net interest component of interest rate swaps. |
Three Months Ended | Nine Months Ended | ||||||||||||||
September 30, 2018 | September 30, 2017 | September 30, 2018 | September 30, 2017 | ||||||||||||
(dollars in thousands) | |||||||||||||||
Net gains (losses) on interest rate swaps (1) | $ | 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 | ) | |||||||
Total | $ | 199,716 | $ | 43,807 | $ | 1,339,051 | $ | (159,722 | ) |
For the Three Months Ended June 30, | For the Six Months Ended June 30, | ||||||||||||||
2019 | 2018 | 2019 | 2018 | ||||||||||||
(dollars in thousands) | |||||||||||||||
Net gains (losses) on interest rate swaps (1) | $ | (1,359,857 | ) | $ | 374,950 | (2,204,634 | ) | 1,304,909 | |||||||
Net gains (losses) on disposal of investments | (38,333 | ) | (66,117 | ) | (132,249 | ) | (52,649 | ) | |||||||
Net gains (losses) on other derivatives | (506,411 | ) | 34,189 | (621,570 | ) | (12,956 | ) | ||||||||
Net unrealized gains (losses) on instruments measured at fair value through earnings | (4,881 | ) | (48,376 | ) | 42,748 | (99,969 | ) | ||||||||
Loan loss provision | — | — | (5,703 | ) | — | ||||||||||
Total | $ | (1,909,482 | ) | $ | 294,646 | $ | (2,921,408 | ) | $ | 1,139,335 | |||||
(1) Includes the net interest component of interest rate swaps, realized gains (losses) on termination or maturity of interest rate swaps and unrealized gains (losses) on interest rate swaps. |
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% |
Total G&A Expenses (1) | Total G&A Expenses/Average Assets (1) | Total G&A Expenses/Average Equity (1) | |||||||
For the three months ended | (dollars in thousands) | ||||||||
June 30, 2019 | $ | 78,408 | 0.25 | % | 1.99 | % | |||
June 30, 2018 | $ | 63,781 | 0.26 | % | 1.84 | % | |||
For the six months ended | |||||||||
June 30, 2019 | $ | 162,145 | 0.27 | % | 2.13 | % | |||
June 30, 2018 | $ | 126,291 | 0.25 | % | 1.78 | % |
(1) | Includes 2019. |
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 | ||||||||||||
For the three months ended | |||||||||||||||||
June 30, 2019 | 6.63 | % | (50.64 | %) | 0.72 | % | (1.99 | %) | 0.15 | % | (45.13 | %) | |||||
June 30, 2018 | 10.55 | % | 7.59 | % | 0.99 | % | (1.84 | %) | (0.09 | %) | 17.20 | % | |||||
For the six months ended | |||||||||||||||||
June 30, 2019 | 8.07 | % | (41.25 | %) | 0.73 | % | (2.13 | %) | 0.04 | % | (34.54 | %) | |||||
June 30, 2018 | 11.69 | % | 16.28 | % | 0.96 | % | (1.78 | %) | (0.05 | %) | 27.10 | % | |||||
(1) Economic net interest income includes the net interest component of interest rate swaps. (2) Realized and unrealized gains and losses excludes the net interest component of interest rate swaps. |
September 30, 2018 | December 31, 2017 | June 30, 2019 | December 31, 2018 | ||||||||||||
(dollars in thousands) | (dollars in thousands) | ||||||||||||||
Unrealized gain | $ | 38,088 | $ | 157,818 | $ | 1,778,707 | $ | 306,037 | |||||||
Unrealized loss | (3,861,044 | ) | (1,283,838 | ) | (413,704 | ) | (2,285,902 | ) | |||||||
Net unrealized gain (loss) | $ | (3,822,956 | ) | $ | (1,126,020 | ) | |||||||||
Accumulated other comprehensive income (loss) | $ | 1,365,003 | $ | (1,979,865 | ) | ||||||||||
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% |
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) | |||||||||||||||||||||||||
Assets: | (dollars in thousands) | |||||||||||||||||||||||||||||||
Fair Value/Carrying Value | $ | 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 | 77,142,421 | 16,209,160 | 437,020 | 474,006 | 1,019,579 | — | — | 79,073,026 | ||||||||||||||||||||||||
Other secured financing | 2,757,633 | — | — | 805,914 | 95,000 | — | 450,000 | 4,108,547 | ||||||||||||||||||||||||
Debt issued by securitization vehicles | — | — | — | 559,499 | 3,240,043 | — | — | 3,799,542 | ||||||||||||||||||||||||
Net forward purchases | 1,195,813 | — | 11,587 | 31,188 | — | — | — | 1,238,588 | ||||||||||||||||||||||||
Mortgages payable | — | — | — | — | — | 511,588 | — | 511,588 | ||||||||||||||||||||||||
Net Equity Allocated | $ | 8,783,094 | $ | 44,033 | $ | 239,914 | $ | 1,285,875 | $ | 832,008 | $ | 241,426 | $ | 1,078,874 | 12,461,191 | (4) | ||||||||||||||||
Net Equity Allocated (%) | 70 | % | — | % | 2 | % | 10 | % | 7 | % | 2 | % | 9 | % | 100 | % | ||||||||||||||||
Debt/Net Equity Ratio | 9.2:1 | NM | 1.9:1 | 1.5:1 | 5.2:1 | 2.1:1 | 0.4:1 | 5.9:1 | (5) |
Residential | Commercial | |||||||||||||||||||||||||||||||
Agency MBS and MSRs | TBAs (1) | CRTs | Non-Agency MBS and Residential Mortgage Loans (2) | CRE Debt & Preferred Equity Investments (2) | Investments in CRE | Corporate Debt (2) | Total (3) | |||||||||||||||||||||||||
Assets | (dollars in thousands) | |||||||||||||||||||||||||||||||
Fair value/carrying value | $ | 118,627,368 | $ | 9,663,370 | $ | 491,969 | $ | 4,265,857 | $ | 2,905,310 | $ | 733,196 | $ | 1,819,743 | $ | 128,843,443 | ||||||||||||||||
Debt | ||||||||||||||||||||||||||||||||
Repurchase agreements | 103,732,898 | 9,469,000 | 207,002 | 826,786 | 414,555 | — | — | 105,181,241 | ||||||||||||||||||||||||
Other secured financing | 2,714,958 | — | — | 852,106 | 91,132 | — | 469,793 | 4,127,989 | ||||||||||||||||||||||||
Debt issued by securitization vehicles | — | — | — | 1,643,432 | 1,826,736 | — | — | 3,470,168 | ||||||||||||||||||||||||
Net forward purchases | 582,132 | — | 8,000 | 25,330 | — | — | — | 615,462 | ||||||||||||||||||||||||
Mortgages payable | — | — | — | — | — | 498,772 | — | 498,772 | ||||||||||||||||||||||||
Net equity allocated | $ | 11,597,380 | $ | 194,370 | $ | 276,967 | $ | 918,203 | $ | 572,887 | $ | 234,424 | $ | 1,349,950 | $ | 14,949,811 | (4) | |||||||||||||||
Net equity allocated (%) | 78 | % | 1 | % | 2 | % | 6 | % | 4 | % | 1 | % | 9 | % | 100 | % | ||||||||||||||||
Debt/net equity ratio | 9.2:1 | NM | 0.8:1 | 3.6:1 | 4.1:1 | 2.1:1 | 0.3:1 | 7.2:1 | (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, 2019 | December 31, 2018 | ||||||
Estimated Fair Value | |||||||
Agency | (dollars in thousands) | ||||||
Fixed-rate pass-through | $ | 111,522,508 | $ | 83,052,552 | |||
Adjustable-rate pass-through | 3,366,296 | 4,937,984 | |||||
CMO | 10,484 | 11,221 | |||||
Interest-only | 827,749 | 873,889 | |||||
Multifamily | 2,437,231 | 1,838,565 | |||||
Reverse mortgages | 37,772 | 38,784 | |||||
Total agency securities | $ | 118,202,040 | $ | 90,752,995 | |||
Residential credit | |||||||
CRT | $ | 491,969 | $ | 552,097 | |||
Alt-A | 191,488 | 182,361 | |||||
Prime | 256,480 | 343,986 | |||||
Subprime | 424,470 | 394,621 | |||||
NPL/RPL | 8,436 | 3,438 | |||||
Prime jumbo (>= 2010 vintage) | 205,774 | 220,658 | |||||
Prime jumbo (>= 2010 vintage) interest-only | 8,859 | 16,874 | |||||
Total residential credit securities | $ | 1,589,721 | $ | 1,714,035 | |||
Total Residential Securities | $ | 119,791,761 | $ | 92,467,030 |
September 30, 2018 | December 31, 2017 | |||||||
Residential Securities: (1) | (dollars in thousands) | |||||||
Principal Amount | $ | 89,452,442 | $ | 87,518,155 | ||||
Net Premium | $ | 4,530,128 | $ | 4,682,299 | ||||
Amortized Cost | $ | 93,982,570 | $ | 92,200,454 | ||||
Amortized Cost/Principal Amount | 105.06 | % | 105.35 | % | ||||
Carrying Value | $ | 90,246,669 | $ | 91,197,901 | ||||
Carrying Value / Principal Amount | 100.89 | % | 104.20 | % | ||||
Weighted Average Coupon Rate | 3.81 | % | 3.69 | % | ||||
Weighted Average Yield | 3.02 | % | 2.79 | % | ||||
Adjustable-Rate Residential Securities: (1) | ||||||||
Principal Amount | $ | 6,778,380 | $ | 8,002,252 | ||||
Weighted Average Coupon Rate | 3.35 | % | 3.05 | % | ||||
Weighted Average Yield | 2.77 | % | 2.52 | % | ||||
Weighted Average Term to Next Adjustment | 20 Months | 24 Months | ||||||
Weighted Average Lifetime Cap (2) | 8.04 | % | 8.12 | % | ||||
Principal Amount at Period End as % of Total Residential Securities | 7.58 | % | 9.14 | % | ||||
Fixed-Rate Residential Securities: (1) | ||||||||
Principal Amount | $ | 82,674,062 | $ | 79,515,903 | ||||
Weighted Average Coupon Rate | 3.85 | % | 3.75 | % | ||||
Weighted Average Yield | 3.04 | % | 2.82 | % | ||||
Principal Amount at Period End as % of Total Residential Securities | 92.42 | % | 90.86 | % | ||||
Interest-Only Residential Securities: | ||||||||
Notional Amount | $ | 7,133,210 | $ | 7,793,767 | ||||
Net Premium | $ | 1,239,298 | $ | 1,342,048 | ||||
Amortized Cost | $ | 1,239,298 | $ | 1,342,048 | ||||
Amortized Cost/Notional Amount | 17.37 | % | 17.22 | % | ||||
Carrying Value | $ | 905,447 | $ | 1,102,920 | ||||
Carrying Value/Notional Amount | 12.69 | % | 14.15 | % | ||||
Weighted Average Coupon Rate | 3.29 | % | 3.61 | % | ||||
Weighted Average Yield | 3.31 | % | 4.17 | % |
June 30, 2019 | December 31, 2018 | ||||||
Residential Securities (1) | (dollars in thousands) | ||||||
Principal amount | $ | 112,922,859 | $ | 89,579,223 | |||
Net premium | 4,596,795 | 3,925,803 | |||||
Amortized cost | 117,504,729 | 93,505,026 | |||||
Amortized cost / principal amount | 104.06 | % | 104.38 | % | |||
Carrying value | 118,952,908 | 91,575,882 | |||||
Carrying value / principal amount | 105.34 | % | 102.23 | % | |||
Weighted average coupon rate | 3.99 | % | 3.90 | % | |||
Weighted average yield | 3.12 | % | 3.17 | % | |||
Adjustable-rate Residential Securities (1) | |||||||
Principal amount | $ | 4,300,072 | $ | 6,020,096 | |||
Weighted average coupon rate | 3.95 | % | 3.47 | % | |||
Weighted average yield | 2.91 | % | 2.87 | % | |||
Weighted average term to next adjustment | 10 Months | 19 Months | |||||
Weighted average lifetime cap (2) | 8.08 | % | 8.04 | % | |||
Principal amount at period end as % of total residential securities | 3.81 | % | 6.72 | % | |||
Fixed-rate Residential Securities (1) | |||||||
Principal amount | $ | 108,622,787 | $ | 83,559,127 | |||
Weighted average coupon rate | 3.99 | % | 3.93 | % | |||
Weighted average yield | 3.13 | % | 3.19 | % | |||
Principal amount at period end as % of total residential securities | 96.19 | % | 93.28 | % | |||
Interest-only Residential Securities | |||||||
Notional amount | $ | 5,975,641 | $ | 6,867,093 | |||
Net premium | 1,028,993 | 1,192,675 | |||||
Amortized cost | 1,028,993 | 1,192,675 | |||||
Amortized cost / notional amount | 17.22 | % | 17.37 | % | |||
Carrying value | 838,853 | 891,148 | |||||
Carrying value / notional amount | 14.04 | % | 12.98 | % | |||
Weighted average coupon rate | 3.11 | % | 3.10 | % | |||
Weighted average yield | (0.49 | %) | 1.73 | % | |||
(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 | |||||||||||||||||||||||
Product | Estimated Fair Value | Senior | Subordinate | Coupon | Credit Enhancement | 60+ Delinquencies | 3M VPR (1) | |||||||||||||||||
(dollars in thousands) | ||||||||||||||||||||||||
Agency Credit Risk Transfer | $ | 658,691 | $ | — | $ | 658,691 | 5.46 | % | 1.16 | % | 0.25 | % | 9.33 | % | ||||||||||
Private Label Credit Risk Transfer | 29,830 | — | 29,830 | 7.49 | % | 1.17 | % | 0.52 | % | 12.12 | % | |||||||||||||
Alt-A | 216,064 | 152,656 | 63,408 | 4.58 | % | 10.47 | % | 11.20 | % | 12.84 | % | |||||||||||||
Prime | 377,630 | 189,938 | 187,692 | 4.60 | % | 9.32 | % | 7.86 | % | 12.36 | % | |||||||||||||
Subprime | 428,686 | 156,671 | 272,015 | 3.08 | % | 10.47 | % | 18.40 | % | 6.23 | % | |||||||||||||
Non-Performing Loan Securitizations | 3,439 | — | 3,439 | 5.00 | % | 55.49 | % | 54.68 | % | 14.76 | % | |||||||||||||
Prime Jumbo (>=2010 Vintage) | 129,968 | 95,393 | 34,575 | 3.63 | % | 13.62 | % | 0.02 | % | 6.48 | % | |||||||||||||
Prime Jumbo (>=2010 Vintage) Interest-Only | 17,680 | 17,680 | — | 0.45 | % | — | % | 0.24 | % | 7.87 | % | |||||||||||||
Total/Weighted Average | $ | 1,861,988 | $ | 612,338 | $ | 1,249,650 | 4.70 | % | 7.30 | % | 7.80 | % | 13.23 | % |
Payment Structure | Investment Characteristics | ||||||||||||||||||||||
Product | Total | Senior | Subordinate | Coupon | Credit Enhancement | 60+ Delinquencies | 3M VPR (1) | ||||||||||||||||
(dollars in thousands) | |||||||||||||||||||||||
Agency credit risk transfer | $ | 464,846 | $ | — | $ | 464,846 | 5.91 | % | 1.12 | % | 0.35 | % | 9.75 | % | |||||||||
Private label credit risk transfer | 27,123 | — | 27,123 | 7.60 | % | 0.29 | % | 0.24 | % | 8.91 | % | ||||||||||||
Alt-A | 191,488 | 104,950 | 86,538 | 4.85 | % | 10.88 | % | 7.46 | % | 12.65 | % | ||||||||||||
Prime | 256,480 | 81,040 | 175,440 | 4.76 | % | 6.93 | % | 4.62 | % | 15.96 | % | ||||||||||||
Prime interest-only | 2,245 | 2,245 | — | 0.59 | % | — | 0.25 | % | 22.49 | % | |||||||||||||
Subprime | 424,470 | 182,628 | 241,842 | 3.46 | % | 13.67 | % | 17.38 | % | 6.07 | % | ||||||||||||
Re-performing loan securitizations | 5,000 | 5,000 | — | 3.97 | % | 38.54 | % | — | % | — | % | ||||||||||||
Non-performing loan securitizations | 3,436 | — | 3,436 | 5.00 | % | 65.01 | % | 41.79 | % | 2.27 | % | ||||||||||||
Prime jumbo (>=2010 vintage) | 205,774 | 170,174 | 35,600 | 3.97 | % | 15.18 | % | 0.15 | % | 17.71 | % | ||||||||||||
Prime jumbo (>=2010 vintage) interest-only | 8,859 | 8,859 | — | 0.38 | % | — | 0.26 | % | 7.22 | % | |||||||||||||
Total/weighted average | $ | 1,589,721 | $ | 554,896 | $ | 1,034,825 | 4.94 | % | 8.89 | % | 6.89 | % | 16.37 | % | |||||||||
(1) Represents the 3 month voluntary prepayment rate (“VPR”). |
Bond Coupon | |||||||||||||||||||||||||||||||||||||||
Bond Coupon | |||||||||||||||||||||||||||||||||||||||
Product | ARM | Fixed | Floater | Interest-Only | Estimated Fair Value | 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 | ||||||||||||||||||||||||||||||||||
Agency credit risk transfer | $ | — | $ | — | $ | 464,846 | $ | — | $ | 464,846 | |||||||||||||||||||||||||||||
Private label credit risk transfer | — | — | 27,123 | — | 27,123 | ||||||||||||||||||||||||||||||||||
Alt-A | 64,558 | 100,264 | 51,242 | — | 216,064 | 54,923 | 113,244 | 23,321 | — | 191,488 | |||||||||||||||||||||||||||||
Prime | 177,834 | 172,384 | 27,412 | — | 377,630 | 105,020 | 151,460 | — | — | 256,480 | |||||||||||||||||||||||||||||
Prime interest-only | — | — | — | 2,245 | 2,245 | ||||||||||||||||||||||||||||||||||
Subprime | — | 59,903 | 368,783 | — | 428,686 | 32,459 | 66,589 | 325,422 | — | 424,470 | |||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||
Re-performing loan securitizations | — | 5,000 | — | — | 5,000 | ||||||||||||||||||||||||||||||||||
Non-performing loan securitizations | — | 3,436 | — | — | 3,436 | ||||||||||||||||||||||||||||||||||
Prime jumbo (>=2010 vintage) | — | 205,774 | — | — | 205,774 | ||||||||||||||||||||||||||||||||||
Prime jumbo (>=2010 vintage) interest-only | — | — | — | 8,859 | 8,859 | ||||||||||||||||||||||||||||||||||
Total | $ | 242,392 | $ | 465,958 | $ | 1,135,958 | $ | 17,680 | $ | 1,861,988 | $ | 192,402 | $ | 545,503 | $ | 840,712 | $ | 11,104 | $ | 1,589,721 | |||||||||||||||||||
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 | $ | 78,691,215 | $ | 381,811 | $ | — | $ | — | $ | 79,073,026 | $ | 105,093,529 | $ | 87,712 | $ | — | $ | — | $ | 105,181,241 | |||||||||||||||||||
Interest expense on repurchase agreements (1) | 290,234 | 4,924 | — | — | 295,158 | 539,773 | 1,763 | — | — | 541,536 | |||||||||||||||||||||||||||||
Other secured financing | 2,366 | 3,656,181 | 450,000 | — | 4,108,547 | 157,485 | 3,500,711 | 469,793 | — | 4,127,989 | |||||||||||||||||||||||||||||
Interest expense on other secured financing (1) | 110,558 | 147,904 | 1,614 | — | 260,076 | 125,174 | 96,208 | 11,250 | — | 232,632 | |||||||||||||||||||||||||||||
Debt issued by securitization vehicles (principal) | — | 888,500 | 1,880,487 | 1,004,753 | 3,773,740 | 883,500 | — | — | 2,631,072 | 3,514,572 | |||||||||||||||||||||||||||||
Interest expense on debt issued by securitization vehicles | 122,399 | 244,797 | 122,847 | 501,601 | 991,644 | 136,820 | 190,476 | 174,278 | 2,052,088 | 2,553,662 | |||||||||||||||||||||||||||||
Mortgages payable (principal) | 33,081 | 16,125 | — | 468,297 | 517,503 | 51,004 | 23,005 | 7,615 | 422,737 | 504,361 | |||||||||||||||||||||||||||||
Interest expense on mortgages payable | 20,338 | 38,143 | 37,933 | 166,394 | 262,808 | 19,930 | 37,790 | 37,790 | 150,304 | 245,814 | |||||||||||||||||||||||||||||
Long-term operating lease obligations | 3,267 | 7,415 | 7,723 | 8,045 | 26,450 | 3,712 | 7,792 | 7,723 | 4,827 | 24,054 | |||||||||||||||||||||||||||||
Total | $ | 79,273,458 | $ | 5,385,800 | $ | 2,500,604 | $ | 2,149,090 | $ | 89,308,952 | $ | 107,010,927 | $ | 3,945,457 | $ | 708,449 | $ | 5,261,028 | $ | 116,925,861 | |||||||||||||||||||
(1) | Interest expense on repurchase agreements and other secured financing calculated based on rates at |
September 30, 2018 | December 31, 2017 | ||||||
Stockholders’ Equity: | (dollars in thousands) | ||||||
7.625% Series C Cumulative Redeemable Preferred Stock | $ | 169,466 | $ | 290,514 | |||
7.50% Series D Cumulative Redeemable Preferred Stock | 445,457 | 445,457 | |||||
7.625% Series E Cumulative Redeemable Preferred Stock | — | 287,500 | |||||
6.95% Series F Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | 696,910 | 696,910 | |||||
6.50% Series G Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | 411,335 | — | |||||
8.125% Series H Cumulative Redeemable Preferred Stock | 55,000 | — | |||||
Common stock | 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 |
June 30, 2019 | December 31, 2018 | ||||||
Stockholders’ equity | (dollars in thousands) | ||||||
7.625% Series C cumulative redeemable preferred stock | $ | 169,466 | $ | 169,466 | |||
7.50% Series D cumulative redeemable preferred stock | 445,457 | 445,457 | |||||
6.95% Series F fixed-to-floating rate cumulative redeemable preferred stock | 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 | |||||
6.75% Series I fixed-to-floating rate cumulative redeemable preferred stock | 387,178 | — | |||||
Common stock | 14,562 | 13,138 | |||||
Additional paid-in capital | 20,195,419 | 18,794,331 | |||||
Accumulated other comprehensive income (loss) | 1,365,003 | (1,979,865 | ) | ||||
Accumulated deficit | (7,982,649 | ) | (4,493,660 | ) | |||
Total stockholders’ equity | $ | 15,702,681 | $ | 14,112,112 | |||
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 |
For the Six Months Ended | ||||||||
June 30, 2019 | June 30, 2018 | |||||||
(dollars in thousands) | ||||||||
Shares issued through direct purchase and dividend reinvestment program | 180,000 | 147,000 | ||||||
Amount raised from direct purchase and dividend reinvestment program | $ | 1,795 | $ | 1,546 |
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 | |
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 seek to 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 | |
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 (including proprietary and third party models), human factors or external events. | |
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 | |
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 | ||||||||||||||
Average Daily Amount Outstanding | Ending Amount Outstanding | Average Daily Amount Outstanding | Ending Amount Outstanding | ||||||||||||
Three Months Ended: | (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 | |||||||||||
March 31, 2018 | 80,770,663 | 78,015,431 | 2,064,862 | 200,459 | |||||||||||
December 31, 2017 | 78,755,896 | 77,696,343 | 1,295,652 | — | |||||||||||
September 30, 2017 | 69,314,576 | 69,430,268 | 994,565 | — | |||||||||||
June 30, 2017 | 63,191,827 | 62,497,400 | 474,176 | — | |||||||||||
March 31, 2017 | 64,961,511 | 62,719,087 | 1,738,333 | — | |||||||||||
December 31, 2016 | 64,484,326 | 65,215,810 | 1,064,130 | — | |||||||||||
September 30, 2016 | 63,231,246 | 61,784,121 | 1,494,022 | — |
Repurchase Agreements | Reverse Repurchase Agreements | ||||||||||||||
Average Daily Amount Outstanding | Ending Amount Outstanding | Average Daily Amount Outstanding | Ending Amount Outstanding | ||||||||||||
For the three months ended | (dollars in thousands) | ||||||||||||||
June 30, 2019 | $ | 101,983,828 | $ | 105,181,241 | $ | 3,478,510 | $ | — | |||||||
March 31, 2019 | 87,781,404 | 88,554,170 | 3,937,769 | 523,449 | |||||||||||
December 31, 2018 | 83,984,254 | 81,115,874 | 2,741,022 | 650,040 | |||||||||||
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 | |||||||||||
March 31, 2018 | 80,770,663 | 78,015,431 | 2,064,862 | 200,459 | |||||||||||
December 31, 2017 | 78,755,896 | 77,696,343 | 1,295,652 | — | |||||||||||
September 30, 2017 | 69,314,576 | 69,430,268 | 994,565 | — | |||||||||||
June 30, 2017 | 63,191,827 | 62,497,400 | 474,176 | — |
June 30, 2019 | ||||||||||||||||||
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 | % | $ | 23,192,254 | 2.84 | % | 21.2 | % | ||||||
2 to 29 days | 20,175,176 | 2.10 | % | 24.4 | % | 11,919,883 | 2.70 | % | 10.9 | % | ||||||||
30 to 59 days | 7,321,938 | 2.26 | % | 8.8 | % | 6,778,783 | 2.62 | % | 6.2 | % | ||||||||
60 to 89 days | 17,423,359 | 2.38 | % | 20.9 | % | 26,845,611 | 2.63 | % | 24.6 | % | ||||||||
90 to 119 days | 6,518,313 | 2.20 | % | 7.8 | % | 13,002,459 | 2.64 | % | 11.9 | % | ||||||||
Over 120 days (1) | 15,342,442 | 2.52 | % | 18.4 | % | 27,570,240 | 2.69 | % | 25.2 | % | ||||||||
Total | $ | 83,181,573 | 2.31 | % | 100.0 | % | $ | 109,309,230 | 2.70 | % | 100.0 | % | ||||||
(1) | Approximately |
Weighted Average Rate | Weighted Average Rate | ||||||||||||||||||||||
Principal Balance | At Period End | For the Quarter | Weighted Average Days to Maturity (1) | Principal Balance | As of Period End | For the Quarter | Weighted Average Days to Maturity (1) | ||||||||||||||||
(dollars in thousands) | (dollars in thousands) | ||||||||||||||||||||||
Repurchase agreements | $ | 79,073,026 | 2.32 | % | 2.25 | % | 55 | $ | 105,181,241 | 2.69 | % | 2.65 | % | 70 | |||||||||
Other secured financing (2) | 4,108,547 | 2.66 | % | 2.73 | % | 845 | 4,127,989 | 3.03 | % | 3.10 | % | 628 | |||||||||||
Securitized debt of consolidated VIEs (3) | 3,773,740 | 3.24 | % | 3.26 | % | 2,983 | 3,514,572 | 3.89 | % | 3.85 | % | 6,998 | |||||||||||
Mortgages payable (3) | 517,503 | 4.03 | % | 4.44 | % | 4,863 | 504,361 | 4.12 | % | 4.19 | % | 4,649 | |||||||||||
Total indebtedness | $ | 87,472,816 | $ | 113,328,163 | |||||||||||||||||||
(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. | (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 | |||||||||
Financial assets | (dollars in thousands) | ||||||||||
Cash and cash equivalents | $ | 1,764,012 | $ | 218,299 | $ | 1,982,311 | |||||
Investments, at carrying value (1) | |||||||||||
Agency mortgage-backed securities | 112,324,522 | 5,308,634 | 117,633,156 | ||||||||
Credit risk transfer securities | 263,470 | 220,344 | 483,814 | ||||||||
Non-agency mortgage-backed securities | 910,558 | 182,194 | 1,092,752 | ||||||||
Residential mortgage loans (2) | 2,877,648 | 290,457 | 3,168,105 | ||||||||
MSRs | 2,982 | 422,346 | 425,328 | ||||||||
Commercial real estate debt investments (2) | 2,230,625 | 9,084 | 2,239,709 | ||||||||
Commercial real estate debt and preferred equity, held for investment | 207,018 | 416,687 | 623,705 | ||||||||
Corporate debt, held for investment | 1,270,071 | 522,766 | 1,792,837 | ||||||||
Loans held for sale, net | 41,896 | 26,906 | 68,802 | ||||||||
Other assets (3) | — | 229,882 | 229,882 | ||||||||
Total financial assets | $ | 121,892,802 | $ | 7,847,599 | $ | 129,740,401 | |||||
Encumbered Assets | Unencumbered Assets | Total | |||||||||
Financial Assets: | (dollars in thousands) | ||||||||||
Cash and cash equivalents | $ | 924,891 | $ | 157,856 | $ | 1,082,747 | |||||
Reverse repurchase agreements (1) | 750,000 | 484,704 | 1,234,704 | ||||||||
Investments, at carrying value: (2) | |||||||||||
Agency mortgage-backed securities | 83,280,776 | 4,750,600 | 88,031,376 | ||||||||
Credit risk transfer securities | 551,673 | 125,274 | 676,947 | ||||||||
Non-Agency mortgage-backed securities | 617,579 | 524,614 | 1,142,193 | ||||||||
Residential mortgage loans (3) | 1,555,562 | 427,453 | 1,983,015 | ||||||||
MSRs | 2,958 | 585,875 | 588,833 | ||||||||
Commercial real estate debt investments (3) | 3,685,492 | 22,948 | 3,708,440 | ||||||||
Commercial real estate debt and preferred equity, held for investment | 1,050,469 | 385,396 | 1,435,865 | ||||||||
Loans held for sale, net | — | 42,325 | 42,325 | ||||||||
Corporate debt | 679,185 | 849,689 | 1,528,874 | ||||||||
Total financial assets | $ | 93,098,585 | $ | 8,356,734 | $ | 101,455,319 |
(1) |
The amounts reflected in the table above are on a settlement date basis and may differ from the total positions reported on the Consolidated Statements of Financial Condition. |
Includes assets transferred or pledged to securitization vehicles. |
(3) | Includes interests in certain joint ventures and equity instruments. |
Carrying Value (1) | Carrying Value (1) | |||||
Liquid Assets | (dollars in thousands) | |||||
Liquid assets | (dollars in thousands) | |||||
Cash and cash equivalents | $ | 1,082,747 | $ | 1,982,311 | ||
Reverse repurchase agreements | 484,704 | |||||
Residential Securities (2) | 89,850,516 | 119,209,381 | ||||
Residential mortgage loans (3) | 1,217,139 | 1,061,124 | ||||
Commercial real estate debt investments (4) | 186,495 | 135,108 | ||||
Commercial real estate debt and preferred equity, held for investment | 1,143,549 | 420,966 | ||||
Corporate debt, held for investment | 1,403,958 | |||||
Loans held for sale, net | 42,325 | 68,802 | ||||
Corporate debt | 888,859 | |||||
Total liquid assets | $ | 94,896,334 | $ | 124,281,650 | ||
Percentage of liquid assets to carrying amount of encumbered and unencumbered financial assets (3)(4) | 97.66 | % | 99.01 | % |
(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 Consolidated Statements of Financial Condition. |
(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) | |||||||||||||||||||||||||||||||||||||
Financial assets | (dollars in thousands) | |||||||||||||||||||||||||||||||||||||
Cash and cash equivalents | $ | 1,082,747 | $ | — | $ | — | $ | — | $ | 1,082,747 | $ | 1,982,311 | $ | — | $ | — | $ | — | $ | 1,982,311 | ||||||||||||||||||
Reverse repurchase agreements | 1,234,704 | — | — | — | 1,234,704 | |||||||||||||||||||||||||||||||||
Agency mortgage-backed securities (principal) | — | — | 2,662,348 | 84,921,742 | 87,584,090 | — | — | 4,470,193 | 106,857,358 | 111,327,551 | ||||||||||||||||||||||||||||
Credit risk transfer securities (principal) | 1,569 | — | — | 649,791 | 651,360 | 8,000 | — | 13,250 | 445,583 | 466,833 | ||||||||||||||||||||||||||||
Non-Agency mortgage-backed securities (principal) | — | 17,305 | 135,653 | 1,064,034 | 1,216,992 | |||||||||||||||||||||||||||||||||
Non-agency mortgage-backed securities (principal) | — | 10,980 | 101,089 | 1,001,481 | 1,113,550 | |||||||||||||||||||||||||||||||||
Commercial mortgage-backed securities (principal) | — | — | — | 196,407 | 196,407 | — | — | — | 136,666 | 136,666 | ||||||||||||||||||||||||||||
Total securities | 1,569 | 17,305 | 2,798,001 | 86,831,974 | 89,648,849 | 8,000 | 10,980 | 4,584,532 | 108,441,088 | 113,044,600 | ||||||||||||||||||||||||||||
Residential mortgage loans (principal) | — | — | — | 1,218,940 | 1,218,940 | — | — | — | 1,032,059 | 1,032,059 | ||||||||||||||||||||||||||||
Commercial real estate debt and preferred equity (principal) | 209,094 | 183,227 | 712,367 | 338,515 | 1,443,203 | 14,121 | 217,743 | 191,203 | 211,795 | 634,862 | ||||||||||||||||||||||||||||
Corporate debt (principal) | — | — | 99,953 | 1,442,858 | 1,542,811 | — | 6,856 | 89,502 | 1,739,602 | 1,835,960 | ||||||||||||||||||||||||||||
Total loans | 209,094 | 183,227 | 812,320 | 3,000,313 | 4,204,954 | 14,121 | 224,599 | 280,705 | 2,983,456 | 3,502,881 | ||||||||||||||||||||||||||||
Assets transferred or pledged to securitization vehicles (principal) | — | — | — | 4,252,367 | 4,252,367 | — | — | — | 4,212,528 | 4,212,528 | ||||||||||||||||||||||||||||
Total financial assets - maturity | 2,528,114 | 200,532 | 3,610,321 | 94,084,654 | 100,423,621 | 2,004,432 | 235,579 | 4,865,237 | 115,637,072 | 122,742,320 | ||||||||||||||||||||||||||||
Effect of utilizing reset dates (1) | 7,829,356 | 3,049,093 | (1,809,353 | ) | (9,069,096 | ) | 6,212,676 | 2,266,675 | (921,584 | ) | (7,557,767 | ) | — | |||||||||||||||||||||||||
Total financial assets - interest rate sensitive | $ | 10,357,470 | $ | 3,249,625 | $ | 1,800,968 | $ | 85,015,558 | $ | 100,423,621 | $ | 8,217,108 | $ | 2,502,254 | $ | 3,943,653 | $ | 108,079,305 | $ | 122,742,320 | ||||||||||||||||||
Financial Liabilities: | ||||||||||||||||||||||||||||||||||||||
Financial liabilities | ||||||||||||||||||||||||||||||||||||||
Repurchase agreements | $ | 61,320,817 | $ | 17,370,398 | $ | 381,811 | $ | — | $ | 79,073,026 | $ | 68,736,531 | $ | 36,356,998 | $ | 87,712 | $ | — | $ | 105,181,241 | ||||||||||||||||||
Other secured financing | — | 2,366 | 3,956,181 | 150,000 | 4,108,547 | — | 157,485 | 3,500,711 | 469,793 | 4,127,989 | ||||||||||||||||||||||||||||
Debt issued by securitization vehicles (principal) | — | — | 888,500 | 2,885,240 | 3,773,740 | 883,500 | — | — | 2,631,072 | 3,514,572 | ||||||||||||||||||||||||||||
Total financial liabilities - maturity | 61,320,817 | 17,372,764 | 5,226,492 | 3,035,240 | 86,955,313 | 69,620,031 | 36,514,483 | 3,588,423 | 3,100,865 | 112,823,802 | ||||||||||||||||||||||||||||
Effect of utilizing reset dates (1)(2) | (61,080,204 | ) | 14,276,031 | 13,128,363 | 33,675,810 | (59,494,715 | ) | 16,244,267 | 13,386,413 | 29,864,035 | ||||||||||||||||||||||||||||
Total financial liabilities - interest rate sensitive | $ | 240,613 | $ | 31,648,795 | $ | 18,354,855 | $ | 36,711,050 | $ | 86,955,313 | $ | 10,125,316 | $ | 52,758,750 | $ | 16,974,836 | $ | 32,964,900 | $ | 112,823,802 | ||||||||||||||||||
Maturity gap | $ | (58,792,703 | ) | $ | (17,172,232 | ) | $ | (1,616,171 | ) | $ | 91,049,414 | $ | 13,468,308 | $ | (67,615,599 | ) | $ | (36,278,904 | ) | $ | 1,276,814 | $ | 112,536,207 | $ | 9,918,518 | |||||||||||||
Cumulative maturity gap | $ | (58,792,703 | ) | $ | (75,964,935 | ) | $ | (77,581,106 | ) | $ | 13,468,308 | $ | (67,615,599 | ) | $ | (103,894,503 | ) | $ | (102,617,689 | ) | $ | 9,918,518 | ||||||||||||||||
Interest rate sensitivity gap | $ | 10,116,857 | $ | (28,399,170 | ) | $ | (16,553,887 | ) | $ | 48,304,508 | $ | 13,468,308 | $ | (1,908,208 | ) | $ | (50,256,496 | ) | $ | (13,031,183 | ) | $ | 75,114,405 | $ | 9,918,518 | |||||||||||||
Cumulative rate sensitivity gap | $ | 10,116,857 | $ | (18,282,313 | ) | $ | (34,836,200 | ) | $ | 13,468,308 | $ | (1,908,208 | ) | $ | (52,164,704 | ) | $ | (65,195,887 | ) | $ | 9,918,518 | |||||||||||||||||
(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. | (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) | ||
-75 Basis points | (61.2%) | (0.2%) | (2.0%) | ||
-50 Basis points | (39.1%) | (0.1%) | (0.9%) | ||
-25 Basis points | (18.5%) | —% | (0.2%) | ||
+25 Basis points | 14.1% | (0.1%) | (0.6%) | ||
+50 Basis points | 24.2% | (0.3%) | (2.4%) | ||
+75 Basis points | 29.0% | (0.6%) | (5.3%) | ||
MBS Spread Shock (1) | Estimated Change in Portfolio Market Value | Estimated Change as a % on NAV (3)(4) | |||
-25 Basis points | 1.2% | 10.7% | |||
-15 Basis points | 0.7% | 6.4% | |||
-5 Basis points | 0.2% | 2.1% | |||
+5 Basis points | (0.2%) | (2.1%) | |||
+15 Basis points | (0.7%) | (6.3%) | |||
+25 Basis points | (1.2%) | (10.4%) | |||
(1) Interest rate and MBS spread sensitivity are based on results from third party models in conjunction with inputs from our internal investment professionals. Actual results could differ materially from these estimates. (2) Scenarios include Residential Securities, commercial real estate investments, corporate debt, repurchase agreements, other secured financing and interest rate swaps. Economic net interest income includes the net interest component of interest rate swaps. (3) Scenarios include Residential Securities, residential mortgage loans, MSRs and derivative instruments. (4) NAV represents book value of equity. |
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) | |||
-75 Basis Points | (12.2%) | 0.5% | 3.3% | |||
-50 Basis Points | (6.2%) | 0.4% | 3.0% | |||
-25 Basis Points | (2.2%) | 0.3% | 1.8% | |||
Base Interest Rate | — | — | — | |||
+25 Basis Points | 0.7% | (0.3%) | (2.4%) | |||
+50 Basis Points | 0.8% | (0.7%) | (5.3%) | |||
+75 Basis Points | 0.4% | (1.2%) | (8.6%) | |||
MBS Spread Shock (1) | Estimated Change in Portfolio Market Value | Estimated Change as a % on NAV (3)(4) | ||||
-25 Basis Points | 1.6% | 11.5% | ||||
-15 Basis Points | 1.0% | 6.9% | ||||
-5 Basis Points | 0.3% | 2.3% | ||||
Base Interest Rate | — | — | ||||
+5 Basis Points | (0.3%) | (2.3%) | ||||
+15 Basis Points | (0.9%) | (6.8%) | ||||
+25 Basis Points | (1.6%) | (11.3%) |
September 30, 2018 | December 31, 2017 | June 30, 2019 | December 31, 2018 | |||||||
Category | ||||||||||
Agency mortgage-backed securities | 88.2 | % | 90.6 | % | 91.7 | % | 88.8 | % | ||
Credit risk transfer securities | 0.7 | % | 0.7 | % | 0.4 | % | 0.5 | % | ||
Non-Agency mortgage-backed securities | 1.2 | % | 1.1 | % | ||||||
Non-agency mortgage-backed securities | 0.9 | % | 1.1 | % | ||||||
Residential mortgage loans (1) | 2.0 | % | 1.4 | % | 2.5 | % | 2.4 | % | ||
Mortgage servicing rights | 0.6 | % | 0.6 | % | 0.3 | % | 0.5 | % | ||
Commercial real estate (1)(2) | 5.8 | % | 4.6 | % | ||||||
Commercial real estate (1) (2) | 2.8 | % | 4.9 | % | ||||||
Corporate debt | 1.5 | % | 1.0 | % | 1.4 | % | 1.8 | % | ||
(1) Includes assets transferred or pledged to securitization vehicles. (2) Net of unamortized origination fees. | (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 | (dollars in thousands) | |||||||||||||
North America | 35 | $ | 56,666,963 | $ | (90,964 | ) | $ | 2,734,516 | ||||||
Europe | 13 | 16,985,714 | (123,763 | ) | 1,831,751 | |||||||||
Asia (non-Japan) | 1 | 513,694 | — | 28,476 | ||||||||||
Japan | 4 | 4,906,655 | — | 292,017 | ||||||||||
Total | 53 | $ | 79,073,026 | $ | (214,727 | ) | $ | 4,886,760 |
Number of Counterparties | Repurchase Agreement Financing | Interest Rate Swaps at Fair Value | Exposure (1) | |||||||||||
Country | (dollars in thousands) | |||||||||||||
North America | 34 | $ | 73,191,145 | $ | (240,782 | ) | $ | 2,763,461 | ||||||
Europe | 13 | 25,471,296 | (431,073 | ) | 1,781,906 | |||||||||
Asia (non-Japan) | 1 | 638,195 | — | 37,693 | ||||||||||
Japan | 4 | 5,880,605 | — | 336,006 | ||||||||||
Total | 52 | $ | 105,181,241 | $ | (671,855 | ) | $ | 4,919,066 | ||||||
(1) Represents the amount of cash and/or securities pledged as collateral to each counterparty less the aggregate of repurchase agreement financing and unrealized loss on swaps for each counterparty. |
Glossary of Terms |
A |
B |
C |
D |
E |
F |
G |
H |
I |
L |
M |
N |
O |
P |
R |
S |
T |
U |
V |
W |
Y |
ITEM 3. QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK |
ITEM 4. CONTROLS AND PROCEDURES |
ITEM 1. LEGAL PROCEEDINGS |
ITEM 1A. RISK FACTORS |
ITEM 2. UNREGISTERED SALES OF EQUITY SECURITIES AND USE OF PROCEEDS |
ITEM 6. EXHIBITS |
Exhibit Number | Exhibit Description | |
Taxonomy Extension Schema Document † | ||
Taxonomy Extension Calculation Linkbase Document † | ||
Additional Taxonomy Extension Definition Linkbase Document | ||
Taxonomy Extension Label Linkbase Document † | ||
Taxonomy Extension Presentation Linkbase Document † | ||
104 | The cover page for the Registrant’s Quarterly Report on Form 10-Q for the quarter ended June 30, 2019 (formatted in Inline XBRL and contained in Exhibit 101). |
ANNALY CAPITAL MANAGEMENT, INC. | |||
Dated: | By: /s/ Kevin G. Keyes | ||
Kevin G. Keyes | |||
Chairman, Chief Executive Officer and President | |||
Dated: | By: /s/ Glenn A. Votek | ||
Glenn A. Votek | |||
Chief Financial Officer (Principal Financial Officer) |